Package org.drip.market.otc

Class FixedFloatSwapConvention

java.lang.Object

org.drip.market.otc.FixedFloatSwapConvention

public class FixedFloatSwapConvention
extends java.lang.Object

FixedFloatSwapConvention contains the Details of the Fixed-Float Swap Component of an OTC contact.

• 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
FixedFloatSwapConvention(FixedStreamConvention fixedConv, FloatStreamConvention floatConv, int iSpotLag)	FixedFloatSwapConvention Constructor

Method Summary

Modifier and Type	Method	Description
FixFloatComponent	createFixFloatComponent(JulianDate dtSpot, java.lang.String strMaturityTenor, double dblFixedCoupon, double dblFloatBasis, double dblNotional)	Create a Standardized Fixed-Float Component Instance from the Inputs
FixedStreamConvention	fixedStreamConvention()	Retrieve the Fixed Stream Convention
FloatStreamConvention	floatStreamConvention()	Retrieve the Float Stream 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

FixedFloatSwapConvention

public FixedFloatSwapConvention(FixedStreamConvention fixedConv,
FloatStreamConvention floatConv,
int iSpotLag)
                         throws java.lang.Exception

FixedFloatSwapConvention Constructor

Parameters:

fixedConv - Fixed Stream Convention

floatConv - Float Stream Convention

iSpotLag - Spot Lag

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

Method Details

fixedStreamConvention

public FixedStreamConvention fixedStreamConvention()

Retrieve the Fixed Stream Convention

Returns:

The Fixed Stream Convention

floatStreamConvention

public FloatStreamConvention floatStreamConvention()

Retrieve the Float Stream Convention

Returns:

The Float Stream Convention

spotLag

public int spotLag()

Retrieve the Spot Lag

Returns:

The Spot Lag

createFixFloatComponent

public FixFloatComponent createFixFloatComponent(JulianDate dtSpot,
java.lang.String strMaturityTenor,
double dblFixedCoupon,
double dblFloatBasis,
double dblNotional)

Create a Standardized Fixed-Float Component Instance from the Inputs

Parameters:

dtSpot - The Spot Date

strMaturityTenor - The Maturity Tenor

dblFixedCoupon - The Fixed Coupon

dblFloatBasis - The Float Basis

dblNotional - Notional

Returns:

The Standardized Fixed-Float Component Instance

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object