Package org.drip.service.api

Horizon Roll Attribution Service API

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CDXCOB	CDXCOB contains the Name and the COB Price for a given CDX.
DateDiscountCurvePair	DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
DiscountCurveInputInstrument	DiscountCurveInputInstrument contains the input instruments and their quotes.
FixFloatFundingInstrument	FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction Purposes.
ForwardRates	ForwardRates contains the array of the forward rates.
InstrMetric	InstrMetric contains the fields that hold the result of the PnL metric calculations.
ProductDailyPnL	ProductDailyPnL contains the following daily measures computed: 1D Carry, Roll Down, Curve Shift, and Full Return PnL 3D Carry and Roll Down PnL 3M Carry and Roll Down PnL Current DV01 Module = Computational Core Module Library = Computation Support Project = Environment, Product/Definition Containers, and Scenario/State Manipulation APIs Package = Horizon Roll Attribution Service API