Package org.drip.param.quoting

Class YieldInterpreter

java.lang.Object

org.drip.param.quoting.MeasureInterpreter

org.drip.param.quoting.YieldInterpreter

public class YieldInterpreter
extends MeasureInterpreter

YieldInterpreter holds the fields needed to interpret a Yield Quote. It contains the quote day count, quote frequency, quote EOM Adjustment, quote Act/Act parameters, and quote Calendar.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters
• Package = Quoting Convention Valuation Customization Parameters

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
YieldInterpreter(java.lang.String strDC, int iFreq, boolean bApplyEOMAdj, ActActDCParams aap, java.lang.String strCalendar)	Construct YieldInterpreter from the Day Count and the Frequency parameters

Method Summary

Modifier and Type	Method	Description
ActActDCParams	aap()	Retrieve the Act/Act Day Count Parameters
java.lang.String	calendar()	Retrieve the Calendar
java.lang.String	dayCount()	Retrieve the Day Count Convention
boolean	eomAdj()	Retrieve the EOM Adjustment
int	freq()	Retrieve the Frequency

Methods inherited from class java.lang.Object

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

Constructor Details

YieldInterpreter

public YieldInterpreter(java.lang.String strDC,
int iFreq,
boolean bApplyEOMAdj,
ActActDCParams aap,
java.lang.String strCalendar)
                 throws java.lang.Exception

Construct YieldInterpreter from the Day Count and the Frequency parameters

Parameters:

strDC - Quoting Day Count

iFreq - Quoting Frequency

bApplyEOMAdj - TRUE - Apply the EOM Adjustment

aap - The ActActDCParams Instance

strCalendar - The Calendar

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Details

dayCount

public java.lang.String dayCount()

Retrieve the Day Count Convention

Returns:

The Day Count Convention

freq

public int freq()

Retrieve the Frequency

Returns:

The Frequency

eomAdj

public boolean eomAdj()

Retrieve the EOM Adjustment

Returns:

The EOM Adjustment

aap

public ActActDCParams aap()

Retrieve the Act/Act Day Count Parameters

Returns:

The Act/Act Day Count Parameters

calendar

public java.lang.String calendar()

Retrieve the Calendar

Returns:

The Calendar