Package org.drip.service.api

Class DiscountCurveInputInstrument

java.lang.Object
org.drip.service.api.DiscountCurveInputInstrument
public class DiscountCurveInputInstrument
extends java.lang.Object
DiscountCurveInputInstrument contains the input instruments and their quotes. It provides the following Functions:
  • DiscountCurveInputInstrument constructor
  • Retrieve the Curve Epoch Date
  • Retrieve the Array of Cash Quotes
  • Retrieve the Array of Cash Tenors
  • Retrieve the Array of Future Quotes
  • Retrieve the Array of Future Tenors
  • Retrieve the Array of Swap Quotes
  • Retrieve the Array of Swap Tenors

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Horizon Roll Attribution Service API
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DiscountCurveInputInstrument​(JulianDate epochDate, java.util.List<java.lang.String> cashTenorList, java.util.List<java.lang.Double> cashQuoteList, java.util.List<java.lang.String> futuresTenorList, java.util.List<java.lang.Double> futuresQuoteList, java.util.List<java.lang.String> swapTenorList, java.util.List<java.lang.Double> swapQuoteList)
    DiscountCurveInputInstrument Constructor

  • Method Summary

    Modifier and Type Method Description
    double[] cashQuote()
    Retrieve the Array of Cash Quotes
    java.lang.String[] cashTenor()
    Retrieve the Array of Cash Tenors
    JulianDate date()
    Retrieve the Curve Epoch Date
    double[] futureQuote()
    Retrieve the Array of Future Quotes
    java.lang.String[] futureTenor()
    Retrieve the Array of Future Tenors
    double[] swapQuote()
    Retrieve the Array of Swap Quotes
    java.lang.String[] swapTenor()
    Retrieve the Array of Swap Tenors

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • DiscountCurveInputInstrument

      public DiscountCurveInputInstrument​(JulianDate epochDate, java.util.List<java.lang.String> cashTenorList, java.util.List<java.lang.Double> cashQuoteList, java.util.List<java.lang.String> futuresTenorList, java.util.List<java.lang.Double> futuresQuoteList, java.util.List<java.lang.String> swapTenorList, java.util.List<java.lang.Double> swapQuoteList) throws java.lang.Exception
      DiscountCurveInputInstrument Constructor
      Parameters:
      epochDate - Curve Epoch Date
      cashTenorList - List of Cash Tenors
      cashQuoteList - List of Cash Quotes
      futuresTenorList - List of Future Tenors
      futuresQuoteList - List of Future Quotes
      swapTenorList - List of Swap Tenors
      swapQuoteList - List of Swap Quotes
      Throws:
      java.lang.Exception - Thrown if Inputs are invalid

  • Method Details

    • date

      public JulianDate date()
      Retrieve the Curve Epoch Date
      Returns:
      The Curve Epoch Date

    • cashQuote

      public double[] cashQuote()
      Retrieve the Array of Cash Quotes
      Returns:
      The Array of Cash Quotes

    • cashTenor

      public java.lang.String[] cashTenor()
      Retrieve the Array of Cash Tenors
      Returns:
      The Array of Cash Tenors

    • futureQuote

      public double[] futureQuote()
      Retrieve the Array of Future Quotes
      Returns:
      The Array of Future Quotes

    • futureTenor

      public java.lang.String[] futureTenor()
      Retrieve the Array of Future Tenors
      Returns:
      The Array of Future Tenors

    • swapQuote

      public double[] swapQuote()
      Retrieve the Array of Swap Quotes
      Returns:
      The Array of Swap Quotes

    • swapTenor

      public java.lang.String[] swapTenor()
      Retrieve the Array of Swap Tenors
      Returns:
      The Array of Swap Tenors