Package org.drip.product.params

Class CDXRefDataParams

java.lang.Object
org.drip.product.params.CDXRefDataParams
public class CDXRefDataParams
extends java.lang.Object
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a standard CDX. It consists of the following category and fields:

  • Descriptive - Index Label, Index Name, Curve Name, Index Class, Index Group Name, Index Short Group Name, Index Short Name, Short Name
  • Issuer ID - Curve ID, Red ID, Series, Version, Curvy Curve ID, Location, Bloomberg Ticker
  • Quote Details - Quote As CDS
  • Date - Issue Date, Maturity Date
  • Coupon Parameters - Coupon Rate, Currency, Day Count, Full First Stub, Frequency
  • Component Details - Original Count, Defaulted Count
  • Payoff Details - Knock-out on Default, Pay Accrued Amount, Recovery on Default
  • Other - Index Life Span, Index Factor


It also exports serialization into and de-serialization out of byte arrays.



Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    boolean _bFullFirstStub
    Index Full First Stub
    boolean _bKnockOutOnDefault
    Index Knock-out On Default
    boolean _bPayAccrued
    Index Pay Accrued
    boolean _bQuoteAsCDS
    Index Quote As CDS
    double _dblCoupon
    Index Coupon (bp)
    double _dblIndexFactor
    Index Factor
    double _dblRecovery
    Index Recovery
    JulianDate _dtIssue
    Index Issue Date
    JulianDate _dtMaturity
    Index Maturity Date
    int _iDefaultedComponentCount
    Index Defaulted Component Count
    int _iFrequency
    Index Frequency
    int _iIndexLifeSpan
    Index Life Span
    int _iIndexSeries
    Index Series
    int _iIndexVersion
    Index Version
    int _iOriginalComponentCount
    Index Original Component Count
    java.lang.String _strBBGTicker
    Index Bloomberg Ticker
    java.lang.String _strCurrency
    Index Currency
    java.lang.String _strCurveID
    Index Curve ID
    java.lang.String _strCurveName
    Index Curve Name
    java.lang.String _strCurvyCurveID
    Index Curvy Curve ID
    java.lang.String _strDayCount
    Index DayCount
    java.lang.String _strIndexClass
    Index Class
    java.lang.String _strIndexGroupName
    Index Group Name
    java.lang.String _strIndexLabel
    Index Label
    java.lang.String _strIndexName
    Index Name
    java.lang.String _strIndexShortGroupName
    Index Short Group Name
    java.lang.String _strIndexShortName
    Index Short Name
    java.lang.String _strLocation
    Index Location
    java.lang.String _strRedID
    Index Red ID
    java.lang.String _strShortName
    Index Short Name
    java.lang.String _strSPN
    Index Curve SPN

  • Constructor Summary

    Constructors
    Constructor Description
    CDXRefDataParams()
    Empty Default constructor

  • Method Summary

    Modifier and Type Method Description
    static CDXRefDataParams CreateCDXRefDataBuilder​(java.lang.String strCurveID, java.lang.String strSPN, java.lang.String strIndexLabel, java.lang.String strIndexName, java.lang.String strCurveName, int iIssueDate, int iMaturityDate, double dblCoupon, java.lang.String strCurrency, java.lang.String strDayCount, boolean bFullFirstStub, double dblRecovery, int iFrequency, java.lang.String strRedID, java.lang.String strIndexClass, int iIndexSeries, java.lang.String strIndexGroupName, java.lang.String strIndexShortName, java.lang.String strIndexShortGroupName, int iIndexVersion, int iIndexLifeSpan, java.lang.String strCurvyCurveID, double dblIndexFactor, int iOriginalComponentCount, int iDefaultedComponentCount, java.lang.String strLocation, boolean bPayAccrued, boolean bKnockOutOnDefault, boolean bQuoteAsCDS, java.lang.String strBBGTicker, java.lang.String strShortName)
    Create a CDXRefData instance from valid individual parameters (so no additional validation is performed).
    boolean setBBGTicker​(java.lang.String strBBGTicker)
    Set the Index BBG Ticker
    java.lang.String setConstructionString()
    Return the stringified set of parameters in a java call that can be statically used to re-construct the index.
    boolean setCoupon​(double dblCoupon)
    Set the Index Coupon
    boolean setCurrency​(java.lang.String strCurrency)
    Set the Index Currency
    boolean setCurveID​(java.lang.String strCurveID)
    Set the Index Curve ID
    boolean setCurveName​(java.lang.String strCurveName)
    Set the Index Curve Name
    boolean setCurvyCurveID​(java.lang.String strCurvyCurveID)
    Set the Index Composite Curve ID
    boolean setDayCount​(java.lang.String strDayCount)
    Set the Index Day Count
    boolean setDefaultedComponentCount​(int iDefaultedComponentCount)
    Set the Number of Defaulted Components in the Index
    boolean setFrequency​(int iFrequency)
    Set the Index Coupon Frequency
    boolean setFullFirstStub​(boolean bFullFirstStub)
    Set the flag indicating whether the Index has a Full First Stub
    boolean setIndexClass​(java.lang.String strIndexClass)
    Set the Index Class
    boolean setIndexFactor​(double dblIndexFactor)
    Set the Index Factor
    boolean setIndexGroupName​(java.lang.String strIndexGroupName)
    Set the Index Group Name
    boolean setIndexLabel​(java.lang.String strIndexLabel)
    Set the Index Label
    boolean setIndexLifeSpan​(int iIndexLifeSpan)
    Set the Index Life Span
    boolean setIndexName​(java.lang.String strIndexName)
    Set the Index Name
    boolean setIndexSeries​(int iIndexSeries)
    Set the Index Series
    boolean setIndexShortGroupName​(java.lang.String strIndexShortGroupName)
    Set the Index Short Group Name
    boolean setIndexShortName​(java.lang.String strIndexShortName)
    Set the Index Short Name
    boolean setIndexVersion​(int iIndexVersion)
    Set the Index Version
    boolean setIssueDate​(JulianDate dtIssue)
    Set the Index Issue Date
    boolean setKnockOutOnDefault​(boolean bKnockOutOnDefault)
    Set if the Index knocks out on Default
    boolean setLocation​(java.lang.String strLocation)
    Set the Index Location
    boolean setMaturityDate​(JulianDate dtMaturity)
    Set the Index Maturity Date
    boolean setOriginalComponentCount​(int iOriginalComponentCount)
    Set the Number of Original Components in the Index
    boolean setPayAccrued​(boolean bPayAccrued)
    Set if the Index pays accrued on termination
    boolean setQuoteAsCDS​(boolean bQuoteAsCDS)
    Set whether the quote is marked as a CDS
    boolean setRecovery​(double dblRecovery)
    Set the Index Recovery
    boolean setRedID​(java.lang.String strRedID)
    Set the Index Red ID
    boolean setShortName​(java.lang.String strShortName)
    Set the index short name
    boolean setSPN​(java.lang.String strSPN)
    Set the Index SPN
    boolean validate()
    Validate the CDXRefData instance

    Methods inherited from class java.lang.Object

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

  • Field Details

    • _strCurveID

      public java.lang.String _strCurveID
      Index Curve ID

    • _strSPN

      public java.lang.String _strSPN
      Index Curve SPN

    • _strIndexLabel

      public java.lang.String _strIndexLabel
      Index Label

    • _strIndexName

      public java.lang.String _strIndexName
      Index Name

    • _strCurveName

      public java.lang.String _strCurveName
      Index Curve Name

    • _dtIssue

      public JulianDate _dtIssue
      Index Issue Date

    • _dtMaturity

      public JulianDate _dtMaturity
      Index Maturity Date

    • _dblCoupon

      public double _dblCoupon
      Index Coupon (bp)

    • _strCurrency

      public java.lang.String _strCurrency
      Index Currency

    • _strDayCount

      public java.lang.String _strDayCount
      Index DayCount

    • _bFullFirstStub

      public boolean _bFullFirstStub
      Index Full First Stub

    • _dblRecovery

      public double _dblRecovery
      Index Recovery

    • _iFrequency

      public int _iFrequency
      Index Frequency

    • _strRedID

      public java.lang.String _strRedID
      Index Red ID

    • _strIndexClass

      public java.lang.String _strIndexClass
      Index Class

    • _iIndexSeries

      public int _iIndexSeries
      Index Series

    • _strIndexGroupName

      public java.lang.String _strIndexGroupName
      Index Group Name

    • _strIndexShortName

      public java.lang.String _strIndexShortName
      Index Short Name

    • _strIndexShortGroupName

      public java.lang.String _strIndexShortGroupName
      Index Short Group Name

    • _iIndexVersion

      public int _iIndexVersion
      Index Version

    • _iIndexLifeSpan

      public int _iIndexLifeSpan
      Index Life Span

    • _strCurvyCurveID

      public java.lang.String _strCurvyCurveID
      Index Curvy Curve ID

    • _dblIndexFactor

      public double _dblIndexFactor
      Index Factor

    • _iOriginalComponentCount

      public int _iOriginalComponentCount
      Index Original Component Count

    • _iDefaultedComponentCount

      public int _iDefaultedComponentCount
      Index Defaulted Component Count

    • _strLocation

      public java.lang.String _strLocation
      Index Location

    • _bPayAccrued

      public boolean _bPayAccrued
      Index Pay Accrued

    • _bKnockOutOnDefault

      public boolean _bKnockOutOnDefault
      Index Knock-out On Default

    • _bQuoteAsCDS

      public boolean _bQuoteAsCDS
      Index Quote As CDS

    • _strBBGTicker

      public java.lang.String _strBBGTicker
      Index Bloomberg Ticker

    • _strShortName

      public java.lang.String _strShortName
      Index Short Name

  • Constructor Details

    • CDXRefDataParams

      public CDXRefDataParams()
      Empty Default constructor

  • Method Details

    • CreateCDXRefDataBuilder

      public static final CDXRefDataParams CreateCDXRefDataBuilder​(java.lang.String strCurveID, java.lang.String strSPN, java.lang.String strIndexLabel, java.lang.String strIndexName, java.lang.String strCurveName, int iIssueDate, int iMaturityDate, double dblCoupon, java.lang.String strCurrency, java.lang.String strDayCount, boolean bFullFirstStub, double dblRecovery, int iFrequency, java.lang.String strRedID, java.lang.String strIndexClass, int iIndexSeries, java.lang.String strIndexGroupName, java.lang.String strIndexShortName, java.lang.String strIndexShortGroupName, int iIndexVersion, int iIndexLifeSpan, java.lang.String strCurvyCurveID, double dblIndexFactor, int iOriginalComponentCount, int iDefaultedComponentCount, java.lang.String strLocation, boolean bPayAccrued, boolean bKnockOutOnDefault, boolean bQuoteAsCDS, java.lang.String strBBGTicker, java.lang.String strShortName)
      Create a CDXRefData instance from valid individual parameters (so no additional validation is performed).
      Parameters:
      strCurveID - Index Curve ID
      strSPN - Index SPN
      strIndexLabel - Index Label
      strIndexName - Index Name
      strCurveName - Index Curve Name
      iIssueDate - Index Issue Date
      iMaturityDate - Index Maturity Date
      dblCoupon - Index Coupon
      strCurrency - Index Currency
      strDayCount - Index Day Count Convention
      bFullFirstStub - Index Flag indicating whether it is a full front stub
      dblRecovery - Index Recovery Rate
      iFrequency - Index Frequency
      strRedID - Index Reference Entity Database ID
      strIndexClass - Index Class
      iIndexSeries - Index Series
      strIndexGroupName - Index Group Name
      strIndexShortName - Index Short Name
      strIndexShortGroupName - Index SHort Group Name
      iIndexVersion - Index Version
      iIndexLifeSpan - Index Life Span
      strCurvyCurveID - Full Index Curve ID
      dblIndexFactor - Index Factor
      iOriginalComponentCount - Original Index Component Count
      iDefaultedComponentCount - Defaulted Component Count in the Index
      strLocation - Index Domicile Location
      bPayAccrued - Does Index Pay Accrued
      bKnockOutOnDefault - Does the Index Knock Out On Default
      bQuoteAsCDS - Is the Index Quoted as a CDS (i.e., spread/up-front)
      strBBGTicker - Index Bloomberg Ticker
      strShortName - Index Short Name
      Returns:
      The CDXRefData instance

    • setCurveID

      public boolean setCurveID​(java.lang.String strCurveID)
      Set the Index Curve ID
      Parameters:
      strCurveID - Index Curve ID
      Returns:
      TRUE if successful

    • setSPN

      public boolean setSPN​(java.lang.String strSPN)
      Set the Index SPN
      Parameters:
      strSPN - Index SPN
      Returns:
      TRUE if successful

    • setIndexLabel

      public boolean setIndexLabel​(java.lang.String strIndexLabel)
      Set the Index Label
      Parameters:
      strIndexLabel - Index Label
      Returns:
      TRUE if successful

    • setIndexName

      public boolean setIndexName​(java.lang.String strIndexName)
      Set the Index Name
      Parameters:
      strIndexName - Index Name
      Returns:
      TRUE if successful

    • setCurveName

      public boolean setCurveName​(java.lang.String strCurveName)
      Set the Index Curve Name
      Parameters:
      strCurveName - Index Curve Name
      Returns:
      TRUE if successful

    • setIssueDate

      public boolean setIssueDate​(JulianDate dtIssue)
      Set the Index Issue Date
      Parameters:
      dtIssue - Index Issue Date
      Returns:
      TRUE if successful

    • setMaturityDate

      public boolean setMaturityDate​(JulianDate dtMaturity)
      Set the Index Maturity Date
      Parameters:
      dtMaturity - Index Maturity Date
      Returns:
      TRUE if successful

    • setCoupon

      public boolean setCoupon​(double dblCoupon)
      Set the Index Coupon
      Parameters:
      dblCoupon - Index Coupon
      Returns:
      TRUE if successful

    • setCurrency

      public boolean setCurrency​(java.lang.String strCurrency)
      Set the Index Currency
      Parameters:
      strCurrency - Index Currency
      Returns:
      TRUE if successful

    • setDayCount

      public boolean setDayCount​(java.lang.String strDayCount)
      Set the Index Day Count
      Parameters:
      strDayCount - Index Day Count
      Returns:
      TRUE if successful

    • setFullFirstStub

      public boolean setFullFirstStub​(boolean bFullFirstStub)
      Set the flag indicating whether the Index has a Full First Stub
      Parameters:
      bFullFirstStub - Flag indicating whether the Index has a Full First Stub
      Returns:
      TRUE if successful

    • setRecovery

      public boolean setRecovery​(double dblRecovery)
      Set the Index Recovery
      Parameters:
      dblRecovery - Index Recovery
      Returns:
      TRUE if successful

    • setFrequency

      public boolean setFrequency​(int iFrequency)
      Set the Index Coupon Frequency
      Parameters:
      iFrequency - Index Coupon Frequency
      Returns:
      TRUE if successful

    • setRedID

      public boolean setRedID​(java.lang.String strRedID)
      Set the Index Red ID
      Parameters:
      strRedID - Index Red ID
      Returns:
      TRUE if successful

    • setIndexClass

      public boolean setIndexClass​(java.lang.String strIndexClass)
      Set the Index Class
      Parameters:
      strIndexClass - Index Class
      Returns:
      TRUE if successful

    • setIndexSeries

      public boolean setIndexSeries​(int iIndexSeries)
      Set the Index Series
      Parameters:
      iIndexSeries - Index Series
      Returns:
      TRUE if successful

    • setIndexGroupName

      public boolean setIndexGroupName​(java.lang.String strIndexGroupName)
      Set the Index Group Name
      Parameters:
      strIndexGroupName - Index Group Name
      Returns:
      TRUE if successful

    • setIndexShortName

      public boolean setIndexShortName​(java.lang.String strIndexShortName)
      Set the Index Short Name
      Parameters:
      strIndexShortName - Index Short Name
      Returns:
      TRUE if successful

    • setIndexShortGroupName

      public boolean setIndexShortGroupName​(java.lang.String strIndexShortGroupName)
      Set the Index Short Group Name
      Parameters:
      strIndexShortGroupName - Index Short Group Name
      Returns:
      TRUE if successful

    • setIndexVersion

      public boolean setIndexVersion​(int iIndexVersion)
      Set the Index Version
      Parameters:
      iIndexVersion - Index Version
      Returns:
      TRUE if successful

    • setIndexLifeSpan

      public boolean setIndexLifeSpan​(int iIndexLifeSpan)
      Set the Index Life Span
      Parameters:
      iIndexLifeSpan - Index Life Span
      Returns:
      TRUE if successful

    • setCurvyCurveID

      public boolean setCurvyCurveID​(java.lang.String strCurvyCurveID)
      Set the Index Composite Curve ID
      Parameters:
      strCurvyCurveID - Index Composite Curve ID
      Returns:
      TRUE if successful

    • setIndexFactor

      public boolean setIndexFactor​(double dblIndexFactor)
      Set the Index Factor
      Parameters:
      dblIndexFactor - Index Factor
      Returns:
      TRUE if successful

    • setOriginalComponentCount

      public boolean setOriginalComponentCount​(int iOriginalComponentCount)
      Set the Number of Original Components in the Index
      Parameters:
      iOriginalComponentCount - Number of Original Components in the Index
      Returns:
      TRUE if successful

    • setDefaultedComponentCount

      public boolean setDefaultedComponentCount​(int iDefaultedComponentCount)
      Set the Number of Defaulted Components in the Index
      Parameters:
      iDefaultedComponentCount - Number of Defaulted Components in the Index
      Returns:
      TRUE if successful

    • setLocation

      public boolean setLocation​(java.lang.String strLocation)
      Set the Index Location
      Parameters:
      strLocation - Index Location
      Returns:
      TRUE if successful

    • setPayAccrued

      public boolean setPayAccrued​(boolean bPayAccrued)
      Set if the Index pays accrued on termination
      Parameters:
      bPayAccrued - Flag indicating if the Index pays accrued on termination
      Returns:
      TRUE if successful

    • setKnockOutOnDefault

      public boolean setKnockOutOnDefault​(boolean bKnockOutOnDefault)
      Set if the Index knocks out on Default
      Parameters:
      bKnockOutOnDefault - Flag indicating if the Index knocks out on Default
      Returns:
      TRUE if successful

    • setQuoteAsCDS

      public boolean setQuoteAsCDS​(boolean bQuoteAsCDS)
      Set whether the quote is marked as a CDS
      Parameters:
      bQuoteAsCDS - Flag indicating whether the quote is marked as a CDS
      Returns:
      TRUE if successful

    • setBBGTicker

      public boolean setBBGTicker​(java.lang.String strBBGTicker)
      Set the Index BBG Ticker
      Parameters:
      strBBGTicker - Index BBG Ticker
      Returns:
      TRUE if successful

    • setShortName

      public boolean setShortName​(java.lang.String strShortName)
      Set the index short name
      Parameters:
      strShortName - Index Short Name
      Returns:
      TRUE if successful

    • validate

      public boolean validate()
      Validate the CDXRefData instance
      Returns:
      TRUE if successful

    • setConstructionString

      public java.lang.String setConstructionString()
      Return the stringified set of parameters in a java call that can be statically used to re-construct the index.
      Returns:
      Set of Stringified parameters as a java call.