Package org.drip.product.calib

Class FixFloatQuoteSet

java.lang.Object

org.drip.product.calib.ProductQuoteSet

org.drip.product.calib.FixFloatQuoteSet

public class FixFloatQuoteSet
extends ProductQuoteSet

FixFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fix-Float Swap Component. Currently it exposes the PV, the Reference Basis, and the Derived Basis Quote Fields.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Curve/Surface Calibration Quote Sets

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FixFloatQuoteSet(LatentStateSpecification[] aLSS)	FixFloatQuoteSet Constructor

Method Summary

Modifier and Type	Method	Description
boolean	containsDerivedParBasisSpread()	Indicate if the Derived Par Basis Spread Field exists
boolean	containsPV()	Indicate if the PV Field exists
boolean	containsRate()	Indicate if the Rate Field exists
boolean	containsReferenceParBasisSpread()	Indicate if the Reference Par Basis Spread Field exists
boolean	containsSwapRate()	Indicate if the Swap Rate Field exists
double	derivedParBasisSpread()	Retrieve the Derived Par Basis Spread
double	pv()	Retrieve the PV
double	rate()	Retrieve the Rate
double	referenceParBasisSpread()	Retrieve the Reference Par Basis Spread
boolean	setDerivedParBasisSpread(double dblDerivedParBasisSpread)	Set the Derived Par Basis Spread
boolean	setPV(double dblPV)	Set the PV
boolean	setRate(double dblRate)	Set the Rate
boolean	setReferenceParBasisSpread(double dblReferenceParBasisSpread)	Set the Reference Par Basis Spread
boolean	setSwapRate(double dblSwapRate)	Set the Swap Rate
double	swapRate()	Retrieve the Swap Rate

Methods inherited from class org.drip.product.calib.ProductQuoteSet

contains, contains, containsLatentStateQuantificationMetric, containsLatentStateType, fields, forwardLabel, fundingLabel, fxLabel, get, govvieLabel, lss, set, volatilityLabel

Methods inherited from class java.lang.Object

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

Constructor Details

FixFloatQuoteSet

public FixFloatQuoteSet(LatentStateSpecification[] aLSS)
                 throws java.lang.Exception

FixFloatQuoteSet Constructor

Parameters:

aLSS - Array of Latent State Specification

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Details

setPV

public boolean setPV(double dblPV)

Set the PV

Parameters:

dblPV - The PV

Returns:

TRUE - PV successfully set

containsPV

public boolean containsPV()

Indicate if the PV Field exists

Returns:

TRUE - PV Field Exists

pv

public double pv()
          throws java.lang.Exception

Retrieve the PV

Returns:

The PV

Throws:

java.lang.Exception - Thrown if the PV Field does not exist

setDerivedParBasisSpread

public boolean setDerivedParBasisSpread(double dblDerivedParBasisSpread)

Set the Derived Par Basis Spread

Parameters:

dblDerivedParBasisSpread - The Derived Par Basis Spread

Returns:

TRUE - The Derived Par Basis Spread successfully set

containsDerivedParBasisSpread

public boolean containsDerivedParBasisSpread()

Indicate if the Derived Par Basis Spread Field exists

Returns:

TRUE - The Derived Par Basis Spread Field Exists

derivedParBasisSpread

public double derivedParBasisSpread()
                             throws java.lang.Exception

Retrieve the Derived Par Basis Spread

Returns:

The Derived Par Basis Spread

Throws:

java.lang.Exception - Thrown if the Derived Par Basis Spread Field does not exist

setReferenceParBasisSpread

public boolean setReferenceParBasisSpread(double dblReferenceParBasisSpread)

Set the Reference Par Basis Spread

Parameters:

dblReferenceParBasisSpread - The Reference Par Basis Spread

Returns:

TRUE - The Reference Par Basis Spread successfully set

containsReferenceParBasisSpread

public boolean containsReferenceParBasisSpread()

Indicate if the Reference Par Basis Spread Field exists

Returns:

TRUE - The Reference Par Basis Spread Field Exists

referenceParBasisSpread

public double referenceParBasisSpread()
                               throws java.lang.Exception

Retrieve the Reference Par Basis Spread

Returns:

The Reference Par Basis Spread

Throws:

java.lang.Exception - Thrown if the Reference Par Basis Spread Field does not exist

setSwapRate

public boolean setSwapRate(double dblSwapRate)

Set the Swap Rate

Parameters:

dblSwapRate - The Swap Rate

Returns:

TRUE - The Swap Rate successfully set

containsSwapRate

public boolean containsSwapRate()

Indicate if the Swap Rate Field exists

Returns:

TRUE - The Swap Rate Field Exists

swapRate

public double swapRate()
                throws java.lang.Exception

Retrieve the Swap Rate

Returns:

The Swap Rate

Throws:

java.lang.Exception - Thrown if the Swap Rate Field does not exist

setRate

public boolean setRate(double dblRate)

Set the Rate

Parameters:

dblRate - The Rate

Returns:

TRUE - The Rate successfully set

containsRate

public boolean containsRate()

Indicate if the Rate Field exists

Returns:

TRUE - The Rate Field Exists

rate

public double rate()
            throws java.lang.Exception

Retrieve the Rate

Returns:

The Rate

Throws:

java.lang.Exception - Thrown if the Rate Field does not exist