Package org.drip.product.creator

Class StreamBuilder

java.lang.Object

org.drip.product.creator.StreamBuilder

public class StreamBuilder
extends java.lang.Object

StreamBuilder contains Utility Functions to construct Fixed, Floating, and Mixed Streams.

• 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
StreamBuilder()

Method Summary

Modifier and Type	Method	Description
static java.util.List<CompositePeriod>	FirstPenultimateDateFixedFloat(int iStreamStartDate, int iFixedStreamEndDate, int iFixedFirstCouponDate, int iFixedPenultimateCouponDate, int iFixedFreq, double dblFixedCoupon, java.lang.String strFixedCouponDC, java.lang.String strFixedAccrualDC, int iFloatStreamEndDate, int iFloatFirstCouponDate, int iFloatPenultimateCouponDate, int iFloatFreq, double dblFloatSpread, DateAdjustParams dapPay, DateAdjustParams dapStreamEnd, DateAdjustParams dapAccrualEnd, ForwardLabel forwardLabel, EntityCDSLabel creditLabel)	Generate Mixed Fixed-Float Stream off of the specified Parameters
static java.util.List<CompositePeriod>	FirstPenultimateDateFixedStream(int iStreamStartDate, int iStreamEndDate, int iFirstCouponDate, int iPenultimateCouponDate, int iFreq, double dblCoupon, java.lang.String strCouponDC, java.lang.String strAccrualDC, DateAdjustParams dapPay, DateAdjustParams dapStreamEnd, DateAdjustParams dapAccrualEnd, java.lang.String strCurrency, EntityCDSLabel creditLabel)	Generate the Fixed Stream Off of the specified Parameters
static java.util.List<CompositePeriod>	FirstPenultimateDateFloatStream(int iStreamStartDate, int iStreamEndDate, int iFirstCouponDate, int iPenultimateCouponDate, int iFreq, double dblSpread, DateAdjustParams dapPay, DateAdjustParams dapStreamEnd, DateAdjustParams dapAccrualEnd, FloaterLabel floaterLabel, EntityCDSLabel creditLabel)	Generate the Float Stream off of the specified Parameters

Methods inherited from class java.lang.Object

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

Constructor Details

StreamBuilder

public StreamBuilder()

Method Details

FirstPenultimateDateFixedStream

public static final java.util.List<CompositePeriod> FirstPenultimateDateFixedStream(int iStreamStartDate,
int iStreamEndDate,
int iFirstCouponDate,
int iPenultimateCouponDate,
int iFreq,
double dblCoupon,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
DateAdjustParams dapPay,
DateAdjustParams dapStreamEnd,
DateAdjustParams dapAccrualEnd,
java.lang.String strCurrency,
EntityCDSLabel creditLabel)

Generate the Fixed Stream Off of the specified Parameters

Parameters:

iStreamStartDate - The Stream Start Date

iStreamEndDate - The Stream End Date

iFirstCouponDate - The First Coupon Date

iPenultimateCouponDate - The Penultimate Coupon Date

iFreq - Coupon Frequency

dblCoupon - Coupon Rate

strCouponDC - Coupon Day Count

strAccrualDC - Accrual Day Count

dapPay - Pay Date Adjustment Parameters

dapStreamEnd - Stream End Date Adjustment Parameters

dapAccrualEnd - Accrual End Date Adjustment Parameters

strCurrency - Coupon/Pay Currency

creditLabel - The Stream Credit Label

Returns:

The Fixed Stream

FirstPenultimateDateFloatStream

public static final java.util.List<CompositePeriod> FirstPenultimateDateFloatStream(int iStreamStartDate,
int iStreamEndDate,
int iFirstCouponDate,
int iPenultimateCouponDate,
int iFreq,
double dblSpread,
DateAdjustParams dapPay,
DateAdjustParams dapStreamEnd,
DateAdjustParams dapAccrualEnd,
FloaterLabel floaterLabel,
EntityCDSLabel creditLabel)

Generate the Float Stream off of the specified Parameters

Parameters:

iStreamStartDate - The Stream Start Date

iStreamEndDate - The Stream End Date

iFirstCouponDate - The First Coupon Date

iPenultimateCouponDate - The Penultimate Coupon Date

iFreq - Coupon Frequency

dblSpread - The Spread

dapPay - Pay Date Adjustment Parameter

dapStreamEnd - Stream End Date Adjustment Parameter

dapAccrualEnd - Accrual End Date Adjustment Parameter

floaterLabel - Floater Label

creditLabel - Credit Label

Returns:

The Float Stream

FirstPenultimateDateFixedFloat

public static final java.util.List<CompositePeriod> FirstPenultimateDateFixedFloat(int iStreamStartDate,
int iFixedStreamEndDate,
int iFixedFirstCouponDate,
int iFixedPenultimateCouponDate,
int iFixedFreq,
double dblFixedCoupon,
java.lang.String strFixedCouponDC,
java.lang.String strFixedAccrualDC,
int iFloatStreamEndDate,
int iFloatFirstCouponDate,
int iFloatPenultimateCouponDate,
int iFloatFreq,
double dblFloatSpread,
DateAdjustParams dapPay,
DateAdjustParams dapStreamEnd,
DateAdjustParams dapAccrualEnd,
ForwardLabel forwardLabel,
EntityCDSLabel creditLabel)

Generate Mixed Fixed-Float Stream off of the specified Parameters

Parameters:

iStreamStartDate - The Stream Start Date

iFixedStreamEndDate - The Fixed Stream End Date

iFixedFirstCouponDate - The Fixed Stream First Coupon Date

iFixedPenultimateCouponDate - The Fixed Penultimate Coupon Date

iFixedFreq - Fixed Coupon Frequency

dblFixedCoupon - Fixed Coupon Rate

strFixedCouponDC - Fixed Coupon Day Count

strFixedAccrualDC - Fixed Accrual Day Count

iFloatStreamEndDate - The Float Stream End Date

iFloatFirstCouponDate - The Float First Coupon Date

iFloatPenultimateCouponDate - The Float Penultimate Coupon Date

iFloatFreq - Float Coupon Frequency

dblFloatSpread - The Float Spread

dapPay - Pay Date Adjustment Parameter

dapStreamEnd - Stream End Date Adjustment Parameter

dapAccrualEnd - Accrual End Date Adjustment Parameter

forwardLabel - Forward Label

creditLabel - Credit Label

Returns:

The Mixed Stream