Package org.drip.param.valuation

Class ValuationCustomizationParams

java.lang.Object
org.drip.param.valuation.ValuationCustomizationParams
public class ValuationCustomizationParams
extends java.lang.Object
ValuationCustomizationParams holds the parameters needed to interpret the input quotes. It contains the quote day count, the quote frequency, the quote EOM Adjustment, the quote Act/Act parameters, the quote Calendar, the Core Collateralization Parameters, and the Switchable Alternate Collateralization Parameters. It also indicates if the native quote is spread based.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ValuationCustomizationParams​(java.lang.String strDC, int iFrequency, boolean bApplyEOMAdj, ActActDCParams aap, java.lang.String strCalendar, boolean bSpreadQuoted, boolean bApplyFlatForwardRate)
    Construct ValuationCustomizationParams from the Day Count and the Frequency parameters

  • Method Summary

    Modifier and Type Method Description
    boolean applyFlatForwardRate()
    Indicate if Forward Rate is to be Projected using its Current Value
    boolean applyYieldEOMAdj()
    Indicate if EOM Adjustment is to be made for the Yield Calculation
    static ValuationCustomizationParams BondEquivalent​(java.lang.String strCalendar)
    Construct the BondEquivalent Instance of ValuationCustomizationParams
    boolean spreadQuoted()
    Indicate if spread Quoted
    ActActDCParams yieldAAP()
    Retrieve the Yield Act Act Day Count Parameters
    java.lang.String yieldCalendar()
    Retrieve the Yield Calendar
    java.lang.String yieldDayCount()
    Retrieve the Yield Day Count
    int yieldFreq()
    Retrieve the Yield Frequency

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ValuationCustomizationParams

      public ValuationCustomizationParams​(java.lang.String strDC, int iFrequency, boolean bApplyEOMAdj, ActActDCParams aap, java.lang.String strCalendar, boolean bSpreadQuoted, boolean bApplyFlatForwardRate) throws java.lang.Exception
      Construct ValuationCustomizationParams from the Day Count and the Frequency parameters
      Parameters:
      strDC - Quoting Day Count
      iFrequency - Quoting Frequency
      bApplyEOMAdj - TRUE - Apply the EOM Adjustment
      aap - - Quoting Act/Act Parameters
      strCalendar - - Quoting Calendar
      bSpreadQuoted - - TRUE - Market Quotes are Spread Quoted
      bApplyFlatForwardRate - - TRUE - Apply Flat Forward Rate
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • BondEquivalent

      public static final ValuationCustomizationParams BondEquivalent​(java.lang.String strCalendar)
      Construct the BondEquivalent Instance of ValuationCustomizationParams
      Parameters:
      strCalendar - The Calendar
      Returns:
      The BondEquivalent Instance of ValuationCustomizationParams

    • yieldAAP

      public ActActDCParams yieldAAP()
      Retrieve the Yield Act Act Day Count Parameters
      Returns:
      The Yield Act Act Day Count Parameters

    • yieldDayCount

      public java.lang.String yieldDayCount()
      Retrieve the Yield Day Count
      Returns:
      The Yield Day Count

    • yieldFreq

      public int yieldFreq()
      Retrieve the Yield Frequency
      Returns:
      The Yield Frequency

    • spreadQuoted

      public boolean spreadQuoted()
      Indicate if spread Quoted
      Returns:
      TRUE - Spread Quoted

    • yieldCalendar

      public java.lang.String yieldCalendar()
      Retrieve the Yield Calendar
      Returns:
      The Yield Calendar

    • applyYieldEOMAdj

      public boolean applyYieldEOMAdj()
      Indicate if EOM Adjustment is to be made for the Yield Calculation
      Returns:
      TRUE - EOM Adjustment is to be made for the Yield Calculation

    • applyFlatForwardRate

      public boolean applyFlatForwardRate()
      Indicate if Forward Rate is to be Projected using its Current Value
      Returns:
      TRUE - Forward Rate is to be Projected using its Current Value