Package org.drip.market.otc

Class FixedStreamConvention

java.lang.Object
org.drip.market.otc.FixedStreamConvention
public class FixedStreamConvention
extends java.lang.Object
FixedStreamConvention contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight Swap Contact.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FixedStreamConvention​(java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, java.lang.String strUnitPeriodTenor, java.lang.String strCompositePeriodTenor, int iAccrualCompoundingRule)
    FixedStreamConvention Constructor

  • Method Summary

    Modifier and Type Method Description
    int accrualCompoundingRule()
    Retrieve the Accrual Compounding Rule
    java.lang.String calendar()
    Retrieve the Holiday Calendar
    java.lang.String compositePeriodTenor()
    Retrieve the Composite Period Tenor
    Stream createStream​(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblCoupon, double dblNotional)
    Create a Fixed Stream Instance
    java.lang.String currency()
    Retrieve the Currency
    java.lang.String dayCount()
    Retrieve the Day Count Convention
    java.lang.String toString()  
    java.lang.String unitPeriodTenor()
    Retrieve the Unit Period Tenor

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixedStreamConvention

      public FixedStreamConvention​(java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, java.lang.String strUnitPeriodTenor, java.lang.String strCompositePeriodTenor, int iAccrualCompoundingRule) throws java.lang.Exception
      FixedStreamConvention Constructor
      Parameters:
      strCurrency - Currency
      strDayCount - Day Count
      strCalendar - Calendar
      strUnitPeriodTenor - Unit Period Tenor
      strCompositePeriodTenor - Composite Period Tenor
      iAccrualCompoundingRule - Accrual Compounding Rule
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • calendar

      public java.lang.String calendar()
      Retrieve the Holiday Calendar
      Returns:
      The Holiday Calendar

    • currency

      public java.lang.String currency()
      Retrieve the Currency
      Returns:
      The Currency

    • dayCount

      public java.lang.String dayCount()
      Retrieve the Day Count Convention
      Returns:
      The Day Count Convention

    • unitPeriodTenor

      public java.lang.String unitPeriodTenor()
      Retrieve the Unit Period Tenor
      Returns:
      The Unit Period Tenor

    • compositePeriodTenor

      public java.lang.String compositePeriodTenor()
      Retrieve the Composite Period Tenor
      Returns:
      The Composite Period Tenor

    • accrualCompoundingRule

      public int accrualCompoundingRule()
      Retrieve the Accrual Compounding Rule
      Returns:
      The Accrual Compounding Rule

    • createStream

      public Stream createStream​(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblCoupon, double dblNotional)
      Create a Fixed Stream Instance
      Parameters:
      dtEffective - Effective Date
      strMaturityTenor - Maturity Tenor
      dblCoupon - Coupon
      dblNotional - Notional
      Returns:
      The Fixed Stream Instance

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object