Package org.drip.product.creator

Class ConstantPaymentBondBuilder

java.lang.Object

org.drip.product.creator.ConstantPaymentBondBuilder

public class ConstantPaymentBondBuilder
extends java.lang.Object

ConstantPaymentBondBuilder contains the Suite of Helper Functions for creating Constant Payments Based Bonds.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Streams and Products Construction Utilities

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ConstantPaymentBondBuilder()

Method Summary

Modifier and Type	Method	Description
static double	ConstantUniformPaymentAmount(double dblBondNotional, double dblCouponRate, int iTenorInYears)	Compute the Constant Uniform Payment Amount for the Parameters of the Specified Mortgage Bond
static BondComponent	Prepay(java.lang.String strName, JulianDate dtEffective, java.lang.String strCurrency, int iNumPayment, java.lang.String strDayCount, int iPayFrequency, double dblCouponRate, double dblFeeRate, double dblCPR, double dblConstantAmount, double dblInitialNotional)	Construct an Instance of the Constant Payment Bond with a Deterministic Pre-payment Rate
static BondComponent	Standard(java.lang.String strName, JulianDate dtEffective, java.lang.String strCurrency, int iNumPayment, java.lang.String strDayCount, int iPayFrequency, double dblCouponRate, double dblFeeRate, double dblConstantAmount, double dblInitialNotional)	Construct an Instance of the Constant Payment Bond

Methods inherited from class java.lang.Object

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

Constructor Details

ConstantPaymentBondBuilder

public ConstantPaymentBondBuilder()

Method Details

Standard

public static final BondComponent Standard(java.lang.String strName,
JulianDate dtEffective,
java.lang.String strCurrency,
int iNumPayment,
java.lang.String strDayCount,
int iPayFrequency,
double dblCouponRate,
double dblFeeRate,
double dblConstantAmount,
double dblInitialNotional)

Construct an Instance of the Constant Payment Bond

Parameters:

strName - Mortgage Bond Instance Name

dtEffective - Effective Date

strCurrency - Currency

iNumPayment - The (Maximum) Number of Payments

strDayCount - Coupon/Accrual Day Count

iPayFrequency - Pay Frequency

dblCouponRate - The Coupon Rate

dblFeeRate - The Fee Rate

dblConstantAmount - The Fixed Monthly Amount

dblInitialNotional - The Initial Bond Notional

Returns:

Instance of the Fixed Mortgage Product

Prepay

public static final BondComponent Prepay(java.lang.String strName,
JulianDate dtEffective,
java.lang.String strCurrency,
int iNumPayment,
java.lang.String strDayCount,
int iPayFrequency,
double dblCouponRate,
double dblFeeRate,
double dblCPR,
double dblConstantAmount,
double dblInitialNotional)

Construct an Instance of the Constant Payment Bond with a Deterministic Pre-payment Rate

Parameters:

strName - Mortgage Bond Instance Name

dtEffective - Effective Date

strCurrency - Currency

iNumPayment - The (Maximum) Number of Payments

strDayCount - Coupon/Accrual Day Count

iPayFrequency - Pay Frequency

dblCouponRate - The Coupon Rate

dblFeeRate - The Fee Rate

dblCPR - the Constant Pre-payment Rate

dblConstantAmount - The Fixed Monthly Amount

dblInitialNotional - The Initial Bond Notional

Returns:

Instance of the Fixed Mortgage Product

ConstantUniformPaymentAmount

public static final double ConstantUniformPaymentAmount(double dblBondNotional,
double dblCouponRate,
int iTenorInYears)
                                                 throws java.lang.Exception

Compute the Constant Uniform Payment Amount for the Parameters of the Specified Mortgage Bond

Parameters:

dblBondNotional - The Current Notional

dblCouponRate - The Coupon Rate

iTenorInYears - Tenor in Years

Returns:

The Constant Uniform Payment Amount

Throws:

java.lang.Exception - Thrown if the Constant Uniform Payment Amount cannot be computed