Package org.drip.product.params

Class BondStream

java.lang.Object

org.drip.product.rates.Stream

org.drip.product.params.BondStream

public class BondStream
extends Stream

BondStream is the place-holder for the bond period generation parameters. Contains the bond date adjustment parameters for period start/end, period accrual start/end, effective, maturity, pay and reset, first coupon date, and interest accrual start date. It exports serialization into and de-serialization out of byte arrays.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BondStream(java.util.List<CompositePeriod> lsCouponPeriod, int iFinalMaturityDate, java.lang.String strMaturityType)	Construct the BondStream instance from the list of coupon periods

Method Summary

Modifier and Type	Method	Description
static BondStream	Create(int iMaturityDate, int iEffectiveDate, int iFinalMaturityDate, int iFirstCouponDate, int iInterestAccrualStartDate, int iFreq, double dblCoupon, java.lang.String strCouponDC, java.lang.String strAccrualDC, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, java.lang.String strMaturityType, boolean bPeriodsFromForward, java.lang.String strCalendar, java.lang.String strCurrency, FloaterLabel floaterLabel, EntityCDSLabel creditLabel)	Construct and Instance of BondStream from the specified Parameters
int	finalMaturityDate()	Retrieve the Final Maturity Date
CompositePeriod	firstPeriod()	Return the first Coupon period
static BondStream	FromFirstPenultimateCouponDate(int iMaturityDate, int iEffectiveDate, int iFinalMaturityDate, int iFirstCouponDate, int iPenultimateCouponDate, int iFreq, double dblCoupon, java.lang.String strCouponDC, java.lang.String strAccrualDC, DateAdjustParams dapPay, DateAdjustParams dapReset, DateAdjustParams dapMaturity, DateAdjustParams dapEffective, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPeriodStart, DateAdjustParams dapAccrualStart, java.lang.String strMaturityType, boolean bPeriodsFromForward, java.lang.String strCalendar, java.lang.String strCurrency, FloaterLabel floaterLabel, EntityCDSLabel creditLabel)	Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters
CompositePeriod	lastPeriod()	Returns the final Coupon period
java.lang.String	maturityType()	Retrieve the Maturity Type
CompositePeriod	period(int iIndex)	Retrieve the period corresponding to the given index
int	periodIndex(int iDate)	Return the period index containing the specified date

Methods inherited from class org.drip.product.rates.Stream

accrualDC, accrualEOMAdjustment, availableMeasures, basis, calendar, calibQuoteSet, cashflowCurrencySet, cashFlowPeriod, containingPeriod, coupon, couponCurrency, couponDC, couponEOMAdjustment, creditLabel, effective, firstCouponDate, floaterLabel, forwardLabel, forwardPRWC, freq, fundingForwardPRWC, fundingLabel, fundingPRWC, fxLabel, fxPRWC, govviePRWC, initialNotional, jackDDirtyPVDManifestMeasure, manifestMeasureDFMicroJack, maturity, name, notional, notional, otcFixFloatLabel, payCurrency, periods, pv, value, volatilityPRWC

Methods inherited from class java.lang.Object

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

Constructor Details

BondStream

public BondStream(java.util.List<CompositePeriod> lsCouponPeriod,
int iFinalMaturityDate,
java.lang.String strMaturityType)
           throws java.lang.Exception

Construct the BondStream instance from the list of coupon periods

Parameters:

lsCouponPeriod - List of Coupon Period

iFinalMaturityDate - Final Maturity Date

strMaturityType - Maturity Type

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Details

FromFirstPenultimateCouponDate

public static final BondStream FromFirstPenultimateCouponDate(int iMaturityDate,
int iEffectiveDate,
int iFinalMaturityDate,
int iFirstCouponDate,
int iPenultimateCouponDate,
int iFreq,
double dblCoupon,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
DateAdjustParams dapMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapAccrualStart,
java.lang.String strMaturityType,
boolean bPeriodsFromForward,
java.lang.String strCalendar,
java.lang.String strCurrency,
FloaterLabel floaterLabel,
EntityCDSLabel creditLabel)

Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters

Parameters:

iMaturityDate - Maturity Date

iEffectiveDate - Effective Date

iFinalMaturityDate - Final Maturity Date

iFirstCouponDate - First Coupon Date

iPenultimateCouponDate - Penultimate Coupon Date

iFreq - Coupon Frequency

dblCoupon - Coupon Rate

strCouponDC - Coupon day count convention

strAccrualDC - Accrual day count convention

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

strMaturityType - Maturity Type

bPeriodsFromForward - Generate Periods forward (True) or Backward (False)

strCalendar - Optional Holiday Calendar for Accrual Calculations

strCurrency - Coupon Currency

floaterLabel - The Floater Label

creditLabel - The Credit Label

Returns:

The BondStream Instance

Create

public static final BondStream Create(int iMaturityDate,
int iEffectiveDate,
int iFinalMaturityDate,
int iFirstCouponDate,
int iInterestAccrualStartDate,
int iFreq,
double dblCoupon,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
DateAdjustParams dapMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapAccrualStart,
java.lang.String strMaturityType,
boolean bPeriodsFromForward,
java.lang.String strCalendar,
java.lang.String strCurrency,
FloaterLabel floaterLabel,
EntityCDSLabel creditLabel)

Construct and Instance of BondStream from the specified Parameters

Parameters:

iMaturityDate - Maturity Date

iEffectiveDate - Effective Date

iFinalMaturityDate - Final Maturity Date

iFirstCouponDate - First Coupon Date

iInterestAccrualStartDate - Interest Accrual Start Date

iFreq - Coupon Frequency

dblCoupon - Coupon Rate

strCouponDC - Coupon day count convention

strAccrualDC - Accrual day count convention

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

strMaturityType - Maturity Type

bPeriodsFromForward - Generate Periods forward (True) or Backward (False)

strCalendar - Optional Holiday Calendar for accrual calculations

strCurrency - Coupon Currency

floaterLabel - The Floater Label

creditLabel - The Credit Label

Returns:

The BondStream Instance

firstPeriod

public CompositePeriod firstPeriod()

Return the first Coupon period

Returns:

The first Coupon period

lastPeriod

public CompositePeriod lastPeriod()

Returns the final Coupon period

Returns:

The final Coupon period

periodIndex

public int periodIndex(int iDate)
                throws java.lang.Exception

Return the period index containing the specified date

Parameters:

iDate - Date input

Returns:

Period index containing the date

Throws:

java.lang.Exception - Thrown if the input date not in the period set range

period

public CompositePeriod period(int iIndex)

Retrieve the period corresponding to the given index

Parameters:

iIndex - Period index

Returns:

Period object corresponding to the input index

maturityType

public java.lang.String maturityType()

Retrieve the Maturity Type

Returns:

The Maturity Type

finalMaturityDate

public int finalMaturityDate()

Retrieve the Final Maturity Date

Returns:

The Final Maturity Date