Package org.drip.service.api

Class FixFloatFundingInstrument

java.lang.Object
org.drip.service.api.FixFloatFundingInstrument
public class FixFloatFundingInstrument
extends java.lang.Object
FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction Purposes. It provides the following Functions:
  • FixFloatFundingInstrument Constructor
  • Retrieve the Spot Date
  • Retrieve the Currency
  • Retrieve the Latent State Type
  • Retrieve the Array of the Maturity Tenors
  • Retrieve the Array of Quotes
  • Retrieve the Funding State

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
    FixFloatFundingInstrument​(JulianDate spotDate, java.lang.String currency, java.lang.String[] maturityTenorArray, double[] quoteArray, int latentStateType)
    FixFloatFundingInstrument Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String currency()
    Retrieve the Currency
    DiscountCurve fundingState()
    Retrieve the Funding State
    int latentStateType()
    Retrieve the Latent State Type
    java.lang.String[] maturityTenors()
    Retrieve the Array of the Maturity Tenors
    double[] quotes()
    Retrieve the Array of Quotes
    JulianDate spotDate()
    Retrieve the Spot Date

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixFloatFundingInstrument

      public FixFloatFundingInstrument​(JulianDate spotDate, java.lang.String currency, java.lang.String[] maturityTenorArray, double[] quoteArray, int latentStateType) throws java.lang.Exception
      FixFloatFundingInstrument Constructor
      Parameters:
      spotDate - Spot Date
      currency - Currency
      maturityTenorArray - Array of the Maturity Tenors
      quoteArray - Array of Quotes
      latentStateType - Latent State Type
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • spotDate

      public JulianDate spotDate()
      Retrieve the Spot Date
      Returns:
      The Spot Date

    • currency

      public java.lang.String currency()
      Retrieve the Currency
      Returns:
      The Currency

    • latentStateType

      public int latentStateType()
      Retrieve the Latent State Type
      Returns:
      The Latent State Type

    • maturityTenors

      public java.lang.String[] maturityTenors()
      Retrieve the Array of the Maturity Tenors
      Returns:
      Array of Maturity Tenors

    • quotes

      public double[] quotes()
      Retrieve the Array of Quotes
      Returns:
      Array of Quotes

    • fundingState

      public DiscountCurve fundingState()
      Retrieve the Funding State
      Returns:
      The Funding State Instance