Package org.drip.market.otc

Class CrossFloatSwapConvention

java.lang.Object

org.drip.market.otc.CrossFloatSwapConvention

public class CrossFloatSwapConvention
extends java.lang.Object

CrossFloatSwapConvention contains the Details of the Cross-Currency Floating Swap of an OTC Contract.

• Module = Product Core Module
• Library = Fixed Income Analytics Library
• Project = Static Market Fields - the Definitions, the OTC/Exchange Traded Products, and Treasury Settings
• Package = OTC Dual Stream Option Container

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CrossFloatSwapConvention(CrossFloatStreamConvention crossStreamReference, CrossFloatStreamConvention crossStreamDerived, int iFixingType, boolean bFXMTM, int iSpotLag)	CrossFloatSwapConvention Constructor

Method Summary

Modifier and Type	Method	Description
FloatFloatComponent	createFloatFloatComponent(JulianDate dtSpot, java.lang.String strMaturityTenor, double dblBasis, double dblReferenceNotional, double dblDerivedNotional)	Create an Instance of the Float-Float Component
CrossFloatStreamConvention	derivedConvention()	Retrieve the Derived Convention
int	fixingType()	Retrieve the Fixing Setting Type
boolean	isFXMTM()	Retrieve the FX MTM Flag
CrossFloatStreamConvention	referenceConvention()	Retrieve the Reference Convention
int	spotLag()	Retrieve the Spot Lag
java.lang.String	toString()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Details

CrossFloatSwapConvention

public CrossFloatSwapConvention(CrossFloatStreamConvention crossStreamReference,
CrossFloatStreamConvention crossStreamDerived,
int iFixingType,
boolean bFXMTM,
int iSpotLag)
                         throws java.lang.Exception

CrossFloatSwapConvention Constructor

Parameters:

crossStreamReference - Reference Cross Float Stream

crossStreamDerived - Derived Cross Float Stream

iFixingType - Fixing Type

bFXMTM - TRUE - The Cross Currency Swap is of the FX MTM type

iSpotLag - Spot Lag

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

referenceConvention

public CrossFloatStreamConvention referenceConvention()

Retrieve the Reference Convention

Returns:

The Reference Convention

derivedConvention

public CrossFloatStreamConvention derivedConvention()

Retrieve the Derived Convention

Returns:

The Derived Convention

fixingType

public int fixingType()

Retrieve the Fixing Setting Type

Returns:

The Fixing Setting Type

spotLag

public int spotLag()

Retrieve the Spot Lag

Returns:

The Spot Lag

isFXMTM

public boolean isFXMTM()

Retrieve the FX MTM Flag

Returns:

The FX MTM Flag

createFloatFloatComponent

public FloatFloatComponent createFloatFloatComponent(JulianDate dtSpot,
java.lang.String strMaturityTenor,
double dblBasis,
double dblReferenceNotional,
double dblDerivedNotional)

Create an Instance of the Float-Float Component

Parameters:

dtSpot - Spot Date

strMaturityTenor - The Maturity Tenor

dblBasis - Basis

dblReferenceNotional - Notional of the Reference Stream

dblDerivedNotional - Notional of the Derived Stream

Returns:

Instance of the Float-Float Component

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object