Package org.drip.market.otc

Class FloatFloatSwapConvention

java.lang.Object
org.drip.market.otc.FloatFloatSwapConvention
public class FloatFloatSwapConvention
extends java.lang.Object
FloatFloatSwapConvention contains the Details of the IBOR Float-Float Component of an OTC contact.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FloatFloatSwapConvention​(java.lang.String strCurrency, java.lang.String strReferenceTenor, boolean bBasisOnDerivedStream, boolean bBasisOnDerivedComponent, boolean bIsDerivedCompoundedToReference, boolean bIsComponentPair, int iSpotLag)
    FloatFloatSwapConvention Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean basisOnDerivedComponent()
    Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Component
    boolean basisOnDerivedStream()
    Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
    boolean componentPair()
    Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
    ComponentPair createFixFloatComponentPair​(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblReferenceFixedCoupon, double dblDerivedFixedCoupon, double dblBasis, double dblNotional)
    Create an Instance of the Fix-Float Component Pair
    FloatFloatComponent createFloatFloatComponent​(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblBasis, double dblNotional)
    Create an Instance of the Float-Float Component
    java.lang.String currency()
    Retrieve the Currency
    boolean derivedCompoundedToReference()
    Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference Period
    java.lang.String referenceTenor()
    Retrieve the Reference Tenor
    int spotLag()
    Retrieve the Spot Lag

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FloatFloatSwapConvention

      public FloatFloatSwapConvention​(java.lang.String strCurrency, java.lang.String strReferenceTenor, boolean bBasisOnDerivedStream, boolean bBasisOnDerivedComponent, boolean bIsDerivedCompoundedToReference, boolean bIsComponentPair, int iSpotLag) throws java.lang.Exception
      FloatFloatSwapConvention Constructor
      Parameters:
      strCurrency - The Currency
      strReferenceTenor - The Reference Tenor
      bBasisOnDerivedStream - TRUE - Apply the Basis to the Derived Stream
      bBasisOnDerivedComponent - TRUE - Apply the Basis to the Derived Component
      bIsDerivedCompoundedToReference - TRUE - The Derived Periods are Compounded onto the Reference
      bIsComponentPair - TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
      iSpotLag - Spot Lag
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • currency

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

    • referenceTenor

      public java.lang.String referenceTenor()
      Retrieve the Reference Tenor
      Returns:
      The Reference Tenor

    • basisOnDerivedStream

      public boolean basisOnDerivedStream()
      Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
      Returns:
      TRUE - The Basis is applied to the Derived Stream

    • basisOnDerivedComponent

      public boolean basisOnDerivedComponent()
      Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Component
      Returns:
      TRUE - The Basis is applied to the Derived Component

    • derivedCompoundedToReference

      public boolean derivedCompoundedToReference()
      Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference Period
      Returns:
      TRUE - The Derived Periods are Compounded onto the Reference

    • componentPair

      public boolean componentPair()
      Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
      Returns:
      TRUE - The Float-Float Swap is a Component Pair of 2 Fix-Float Swaps

    • spotLag

      public int spotLag()
      Retrieve the Spot Lag
      Returns:
      The Spot Lag

    • createFloatFloatComponent

      public FloatFloatComponent createFloatFloatComponent​(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblBasis, double dblNotional)
      Create an Instance of the Float-Float Component
      Parameters:
      dtSpot - Spot Date
      strDerivedTenor - The Derived Tenor
      strMaturityTenor - The Maturity Tenor
      dblBasis - Basis
      dblNotional - Notional
      Returns:
      Instance of the Float-Float Component

    • createFixFloatComponentPair

      public ComponentPair createFixFloatComponentPair​(JulianDate dtSpot, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblReferenceFixedCoupon, double dblDerivedFixedCoupon, double dblBasis, double dblNotional)
      Create an Instance of the Fix-Float Component Pair
      Parameters:
      dtSpot - Spot Date
      strDerivedTenor - The Derived Tenor
      strMaturityTenor - The Maturity Tenor
      dblReferenceFixedCoupon - Fixed Coupon Rate for the Reference Component
      dblDerivedFixedCoupon - Fixed Coupon Rate for the Derived Component
      dblBasis - Basis
      dblNotional - Notional
      Returns:
      Instance of the Fix-Float Component Pair