FloatStreamConvention

java.lang.Object

org.drip.market.otc.FloatStreamConvention

public class FloatStreamConvention
extends java.lang.Object

FloatStreamConvention contains the details of the Floating Stream of an OTC IBOR/Overnight Fix- Float Swap 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

FloatStreamConvention(ForwardLabel forwardLabel, java.lang.String strCompositePeriodTenor)
FloatStreamConvention Constructor

Method Summary

Modifier and Type	Method	Description
`java.lang.String`	`compositePeriodTenor()`	Retrieve the Composite Period Tenor
`Stream`	`createStream(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblBasis, double dblNotional)`	Create a Floating Stream Instance
`ForwardLabel`	`floaterIndex()`	Retrieve the Forward Label
`java.lang.String`	`toString()`

Methods inherited from class java.lang.Object

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

Constructor Details
- FloatStreamConvention
  
  public FloatStreamConvention(ForwardLabel forwardLabel, java.lang.String strCompositePeriodTenor) throws java.lang.Exception
  
  FloatStreamConvention Constructor
  
  Parameters:
  
  forwardLabel - The Forward Label
  
  strCompositePeriodTenor - Composite Period Tenor
  
  Throws:
  
  java.lang.Exception - Thrown if Inputs are invalid
Method Details
- floaterIndex
  
  public ForwardLabel floaterIndex()
  
  Retrieve the Forward Label
  
  Returns:
  
  The Forward Label
- compositePeriodTenor
  
  public java.lang.String compositePeriodTenor()
  
  Retrieve the Composite Period Tenor
  
  Returns:
  
  The Composite Period Tenor
- createStream
  
  public Stream createStream(JulianDate dtEffective, java.lang.String strMaturityTenor, double dblBasis, double dblNotional)
  
  Create a Floating Stream Instance
  
  Parameters:
  
  dtEffective - Effective Date
  
  strMaturityTenor - Maturity Tenor
  
  dblBasis - Basis
  
  dblNotional - Notional
  
  Returns:
  
  The Fixed Stream Instance
- toString
  
  public java.lang.String toString()
  
  Overrides:
  
  toString in class java.lang.Object