Package org.drip.param.valuation

Class ValuationParams

java.lang.Object

org.drip.param.valuation.ValuationParams

public class ValuationParams
extends java.lang.Object

ValuationParams is the place-holder for the valuation parameters for a given product. It contains the valuation and the cash pay/settle dates, as well as the calendar. It also exposes a number of methods to construct standard valuation parameters.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ValuationParams(JulianDate dtValue, JulianDate dtCashPay, java.lang.String strCalendar)	Construct ValuationParams from the Valuation Date and the Cash Pay Date parameters

Method Summary

Modifier and Type	Method	Description
java.lang.String	calendar()	Retrieve the Calendar
int	cashPayDate()	Retrieve the Cash Pay Date
static ValuationParams	Spot(int iDate)	Create the spot valuation parameters for the given valuation date (uses the T+0 settle)
static ValuationParams	Spot(JulianDate dtValue, int iCashSettleLag, java.lang.String strCalendar, int iAdjustMode)	Create the valuation parameters object instance from the valuation date, the cash settle lag, and the settle calendar.
static ValuationParams	Standard(JulianDate dtValue, java.lang.String strCalendar)	Create the standard T+2B settle parameters for the given valuation date and calendar
int	valueDate()	Retrieve the Valuation Date

Methods inherited from class java.lang.Object

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

Constructor Details

ValuationParams

public ValuationParams(JulianDate dtValue,
JulianDate dtCashPay,
java.lang.String strCalendar)
                throws java.lang.Exception

Construct ValuationParams from the Valuation Date and the Cash Pay Date parameters

Parameters:

dtValue - Valuation Date

dtCashPay - Cash Pay Date

strCalendar - Calendar Set

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Details

Spot

public static final ValuationParams Spot(JulianDate dtValue,
int iCashSettleLag,
java.lang.String strCalendar,
int iAdjustMode)

Create the valuation parameters object instance from the valuation date, the cash settle lag, and the settle calendar.

Parameters:

dtValue - Valuation Date

iCashSettleLag - Cash settle lag

strCalendar - Calendar Set

iAdjustMode - The Adjustment Mode Flag

Returns:

Valuation Parameters instance

Spot

public static final ValuationParams Spot(int iDate)

Create the spot valuation parameters for the given valuation date (uses the T+0 settle)

Parameters:

iDate - Valuation Date

Returns:

Valuation Parameters instance

Standard

public static final ValuationParams Standard(JulianDate dtValue,
java.lang.String strCalendar)

Create the standard T+2B settle parameters for the given valuation date and calendar

Parameters:

dtValue - Valuation Date

strCalendar - Settle Calendar

Returns:

Valuation Parameters instance

valueDate

public int valueDate()

Retrieve the Valuation Date

Returns:

The Valuation Date

cashPayDate

public int cashPayDate()

Retrieve the Cash Pay Date

Returns:

The Cash Pay Date

calendar

public java.lang.String calendar()

Retrieve the Calendar

Returns:

The Calendar