Package org.drip.product.creator

Class BondBuilder

java.lang.Object
org.drip.product.creator.BondBuilder
public class BondBuilder
extends java.lang.Object
BondBuilder contains the suite of helper functions for creating simple fixed/floater bonds, user defined bonds, optionally with custom cash flows and embedded option schedules (European or American). It also constructs bonds by de-serializing the byte stream.



Author:
Lakshmi Krishnamurthy

  • Field Details

    • BOND_TYPE_SIMPLE_FIXED

      public static final int BOND_TYPE_SIMPLE_FIXED
      Custom Bond Type Simple Fixed
      See Also:
      Constant Field Values

    • BOND_TYPE_SIMPLE_FLOATER

      public static final int BOND_TYPE_SIMPLE_FLOATER
      Custom Bond Type Simple Floater
      See Also:
      Constant Field Values

    • BOND_TYPE_SIMPLE_FROM_CF

      public static final int BOND_TYPE_SIMPLE_FROM_CF
      Custom Bond Type Simple From Cash flows
      See Also:
      Constant Field Values

  • Constructor Details

    • BondBuilder

      public BondBuilder()

  • Method Details

    • CreateBondFromParams

      public static final BondComponent CreateBondFromParams​(TreasuryBenchmarks tsyParams, IdentifierSet idParams, CouponSetting cpnParams, FloaterSetting fltParams, QuoteConvention mktConv, CreditSetting crValParams, TerminationSetting cfteParams, BondStream periodParams, NotionalSetting notlParams)
      Create the full generic bond object from the complete set of parameters
      Parameters:
      tsyParams - Bond Treasury Parameters
      idParams - Bond Identifier Parameters
      cpnParams - Bond Coupon Parameters
      fltParams - Bond Floater Parameters
      mktConv - Bond Market Quote Convention
      crValParams - Bond Credit Valuation Parameters
      cfteParams - Bond Cash-flow Termination Event Parameters
      periodParams - Bond Period Generation Parameters
      notlParams - Bond Notional Parameters
      Returns:
      The Bond object

    • CreateSimpleFixed

      public static final BondComponent CreateSimpleFixed​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strCreditCurveName, double dblCoupon, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a simple fixed bond from parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strCreditCurveName - Credit Curve Name
      dblCoupon - Bond Fixed Coupon
      iFreq - Coupon Frequency
      strDayCount - Bond Coupon Day count convention
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      fsPrincipalOutstanding - Outstanding Principal schedule
      fsCoupon - Bond Coupon Schedule
      Returns:
      The Bond Object

    • CreateSimpleFixedFP

      public static final BondComponent CreateSimpleFixedFP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strCreditCurveName, double dblCoupon, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Fixed Coupon Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strCreditCurveName - Credit Curve Name
      dblCoupon - Bond Fixed Coupon
      iFreq - Coupon Frequency
      strDayCount - Bond Coupon Day count convention
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal schedule
      fsCoupon - Bond Coupon Schedule
      Returns:
      The Bond Object

    • CreateSimpleFixedF

      public static final BondComponent CreateSimpleFixedF​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strCreditCurveName, double dblCoupon, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Fixed Coupon Bond from the First Coupon Date and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strCreditCurveName - Credit Curve Name
      dblCoupon - Bond Fixed Coupon
      iFreq - Coupon Frequency
      strDayCount - Bond Coupon Day count convention
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal schedule
      fsCoupon - Bond Coupon Schedule
      Returns:
      The Bond Object

    • CreateSimpleFixedP

      public static final BondComponent CreateSimpleFixedP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strCreditCurveName, double dblCoupon, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Fixed Coupon Bond from the Penultimate Coupon Date and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strCreditCurveName - Credit Curve Name
      dblCoupon - Bond Fixed Coupon
      iFreq - Coupon Frequency
      strDayCount - Bond Coupon Day count convention
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal schedule
      fsCoupon - Bond Coupon Schedule
      Returns:
      The Bond Object

    • CreateSimpleFloater

      public static final BondComponent CreateSimpleFloater​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a simple floating rate bond
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Bond object

    • CreateSimpleFloaterFP

      public static final BondComponent CreateSimpleFloaterFP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance

    • CreateSimpleFloaterF

      public static final BondComponent CreateSimpleFloaterF​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance

    • CreateSimpleFloaterP

      public static final BondComponent CreateSimpleFloaterP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance

    • CreateBondFromCF

      public static final BondComponent CreateBondFromCF​(java.lang.String strName, JulianDate dtEffective, java.lang.String strCurrency, java.lang.String strCreditCurveName, java.lang.String strDayCount, double dblInitialNotional, double dblCouponRate, int iCouponFrequency, JulianDate[] adtPeriodEnd, double[] adblCouponAmount, double[] adblPrincipalAmount, boolean bIsPrincipalPayDown)
      Create a bond from custom/user-defined cash flows and coupon conventions
      Parameters:
      strName - Bond Name
      dtEffective - Effective Date
      strCurrency - Bond Currency
      strCreditCurveName - Credit Curve Name
      strDayCount - Coupon Day Count Convention
      dblInitialNotional - The Initial Notional
      dblCouponRate - The Coupon Rate
      iCouponFrequency - Coupon Frequency
      adtPeriodEnd - Array of Period End Dates
      adblCouponAmount - Matching Array of Coupon Amounts
      adblPrincipalAmount - Matching Array of Principal Amounts
      bIsPrincipalPayDown - Flag indicating whether principal is pay down or outstanding
      Returns:
      The Bond object

    • Treasury

      public static final TreasuryComponent Treasury​(java.lang.String strTreasuryCode, JulianDate dtEffective, JulianDate dtMaturity, java.lang.String strCurrency, double dblCoupon, int iFreq, java.lang.String strDayCount)
      Creates a Treasury Bond from the Parameters
      Parameters:
      strTreasuryCode - Treasury Code
      strCurrency - Bond Currency
      dblCoupon - Bond Fixed Coupon
      iFreq - Coupon Frequency
      strDayCount - Bond Coupon Day count convention
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      Returns:
      The Treasury Bond Instance

    • FixedFPToFloatFP

      public static final BondComponent FixedFPToFloatFP​(java.lang.String strName, java.lang.String strCreditCurveName, int iEffectiveDate, int iFixedStreamEndDate, int iFixedFirstCouponDate, int iFixedPenultimateCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iMaturityDate, int iFloatFirstCouponDate, int iFloatPenultimateCouponDate, int iFloatFreq, double dblFloatSpread, java.lang.String strFloatIndex, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart)
      Construct a Fixed To Float Bond Component
      Parameters:
      strName - Bond Name
      strCreditCurveName - Credit Curve Name
      iEffectiveDate - Effective Date
      iFixedStreamEndDate - Fixed Stream End Date
      iFixedFirstCouponDate - Fixed Stream First Coupon Date
      iFixedPenultimateCouponDate - Fixed Stream Penultimate Coupon Date
      iFixedFreq - Fixed Stream Coupon Frequency
      dblFixedCoupon - Fixed Stream Coupon Rate
      strFixedCouponDC - Fixed Stream Coupon Day Count
      strFixedAccrualDC - Fixed Stream Accrual Day Count
      iMaturityDate - Maturity Date
      iFloatFirstCouponDate - Float Stream First Coupon Date
      iFloatPenultimateCouponDate - Float Stream Penultimate Coupon Date
      iFloatFreq - Float Stream Coupon Frequency
      dblFloatSpread - Float Stream Spread
      strFloatIndex - Float Stream Rate Index
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      Returns:
      The Bond Component

    • FixedFToFloatF

      public static final BondComponent FixedFToFloatF​(java.lang.String strName, java.lang.String strCreditCurveName, int iEffectiveDate, int iFixedStreamEndDate, int iFixedFirstCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iMaturityDate, int iFloatFirstCouponDate, int iFloatFreq, double dblFloatSpread, java.lang.String strFloatIndex, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart)
      Construct a Fixed To Float Bond Component
      Parameters:
      strName - Bond Name
      strCreditCurveName - Credit Curve Name
      iEffectiveDate - Effective Date
      iFixedStreamEndDate - Fixed Stream End Date
      iFixedFirstCouponDate - Fixed Stream First Coupon Date
      iFixedFreq - Fixed Stream Coupon Frequency
      dblFixedCoupon - Fixed Stream Coupon Rate
      strFixedCouponDC - Fixed Stream Coupon Day Count
      strFixedAccrualDC - Fixed Stream Accrual Day Count
      iMaturityDate - Maturity Date
      iFloatFirstCouponDate - Float Stream First Coupon Date
      iFloatFreq - Float Stream Coupon Frequency
      dblFloatSpread - Float Stream Spread
      strFloatIndex - Float Stream Rate Index
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      Returns:
      The Bond Component

    • FixedFToFloatP

      public static final BondComponent FixedFToFloatP​(java.lang.String strName, java.lang.String strCreditCurveName, int iEffectiveDate, int iFixedStreamEndDate, int iFixedFirstCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iMaturityDate, int iFloatPenultimateCouponDate, int iFloatFreq, double dblFloatSpread, java.lang.String strFloatIndex, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart)
      Construct a Fixed To Float Bond Component
      Parameters:
      strName - Bond Name
      strCreditCurveName - Credit Curve Name
      iEffectiveDate - Effective Date
      iFixedStreamEndDate - Fixed Stream End Date
      iFixedFirstCouponDate - Fixed Stream First Coupon Date
      iFixedFreq - Fixed Stream Coupon Frequency
      dblFixedCoupon - Fixed Stream Coupon Rate
      strFixedCouponDC - Fixed Stream Coupon Day Count
      strFixedAccrualDC - Fixed Stream Accrual Day Count
      iMaturityDate - Maturity Date
      iFloatPenultimateCouponDate - Float Stream Penultimate Coupon Date
      iFloatFreq - Float Stream Coupon Frequency
      dblFloatSpread - Float Stream Spread
      strFloatIndex - Float Stream Rate Index
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      Returns:
      The Bond Component

    • FixedPToFloatF

      public static final BondComponent FixedPToFloatF​(java.lang.String strName, java.lang.String strCreditCurveName, int iEffectiveDate, int iFixedStreamEndDate, int iFixedPenultimateCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iMaturityDate, int iFloatFirstCouponDate, int iFloatFreq, double dblFloatSpread, java.lang.String strFloatIndex, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart)
      Construct a Fixed To Float Bond Component
      Parameters:
      strName - Bond Name
      strCreditCurveName - Credit Curve Name
      iEffectiveDate - Effective Date
      iFixedStreamEndDate - Fixed Stream End Date
      iFixedPenultimateCouponDate - Fixed Stream Penultimate Coupon Date
      iFixedFreq - Fixed Stream Coupon Frequency
      dblFixedCoupon - Fixed Stream Coupon Rate
      strFixedCouponDC - Fixed Stream Coupon Day Count
      strFixedAccrualDC - Fixed Stream Accrual Day Count
      iMaturityDate - Maturity Date
      iFloatFirstCouponDate - Float Stream First Coupon Date
      iFloatFreq - Float Stream Coupon Frequency
      dblFloatSpread - Float Stream Spread
      strFloatIndex - Float Stream Rate Index
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      Returns:
      The Bond Component

    • FixedPToFloatP

      public static final BondComponent FixedPToFloatP​(java.lang.String strName, java.lang.String strCreditCurveName, int iEffectiveDate, int iFixedStreamEndDate, int iFixedPenultimateCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iMaturityDate, int iFloatPenultimateCouponDate, int iFloatFreq, double dblFloatSpread, java.lang.String strFloatIndex, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart)
      Construct a Fixed To Float Bond Component
      Parameters:
      strName - Bond Name
      strCreditCurveName - Credit Curve Name
      iEffectiveDate - Effective Date
      iFixedStreamEndDate - Fixed Stream End Date
      iFixedPenultimateCouponDate - Fixed Stream Penultimate Coupon Date
      iFixedFreq - Fixed Stream Coupon Frequency
      dblFixedCoupon - Fixed Stream Coupon Rate
      strFixedCouponDC - Fixed Stream Coupon Day Count
      strFixedAccrualDC - Fixed Stream Accrual Day Count
      iMaturityDate - Maturity Date
      iFloatPenultimateCouponDate - Float Stream Penultimate Coupon Date
      iFloatFreq - Float Stream Coupon Frequency
      dblFloatSpread - Float Stream Spread
      strFloatIndex - Float Stream Rate Index
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      Returns:
      The Bond Component

    • CreateSimpleOTCIRSFloater

      public static final BondComponent CreateSimpleOTCIRSFloater​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a Simple OTF Fix Float Floating Rate Bond
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Bond object

    • CreateSimpleOTCIRSFloaterFP

      public static final BondComponent CreateSimpleOTCIRSFloaterFP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance

    • CreateSimpleOTCIRSFloaterF

      public static final BondComponent CreateSimpleOTCIRSFloaterF​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iFirstCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iFirstCouponDate - First Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance

    • CreateSimpleOTCIRSFloaterP

      public static final BondComponent CreateSimpleOTCIRSFloaterP​(java.lang.String strName, java.lang.String strCurrency, java.lang.String strRateIndex, java.lang.String strCreditCurveName, double dblSpread, int iFreq, java.lang.String strDayCount, JulianDate dtEffective, JulianDate dtMaturity, int iPenultimateCouponDate, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, Array2D fsPrincipalOutstanding, Array2D fsCoupon)
      Create a OTC Fix-Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
      Parameters:
      strName - Bond Name
      strCurrency - Bond Currency
      strRateIndex - Floating Rate Index
      strCreditCurveName - Credit Curve Name
      dblSpread - Bond Floater Spread
      iFreq - Coupon Frequency
      strDayCount - Coupon Day Count Convention
      dtEffective - Effective date
      dtMaturity - Maturity Date
      iPenultimateCouponDate - Penultimate Coupon Date
      dapPay - Pay Date Adjustment Parameters
      dapReset - Reset Date Adjustment Parameters
      dapMaturity - Maturity Date Adjustment Parameters
      dapEffective - Effective Date Adjustment Parameters
      dapPeriodEnd - Period End Date Adjustment Parameters
      dapAccrualEnd - Accrual Date Adjustment Parameters
      dapPeriodStart - Period Start Date Adjustment Parameters
      dapAccrualStart - Accrual Start Date Adjustment Parameters
      fsPrincipalOutstanding - Outstanding Principal Schedule
      fsCoupon - Coupon Schedule
      Returns:
      The Floating Rate Bond Instance