Package org.drip.service.env

Class StandardCDXManager

java.lang.Object
org.drip.service.env.StandardCDXManager
public class StandardCDXManager
extends java.lang.Object
StandardCDXManager implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA standardized CDS indices. It exposes the following functionality:

  • Initialize the Standard CDX Series
  • Write the Index Details to a File
  • Create a standard CDX from the index code, the index series, and the tenor
  • Retrieve the on-the-run for the index and tenor corresponding to the specified date
  • Retrieve a set of all the pre-set CDX index names
  • Retrieve a set of all the pre-loaded CDX index names
  • Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
  • Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
  • Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
  • Return the full set of CDX series/first coupon date pairs for the given CDX
  • Retrieve the name/description map for all the pre-set CDS indices
  • Retrieve the name/description map for all the pre-loaded CDS indices
  • Retrieve the name/description map for all the CDS indices

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Library Module Loader Environment Manager

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    StandardCDXManager()  

  • Method Summary

    Modifier and Type Method Description
    static boolean DumpIndexDetails​(java.lang.String coverageFile)
    Write the Index Details to a File
    static CaseInsensitiveTreeMap<java.lang.String> GetIndexDescriptions()
    Retrieve the name/description map for all the CDS indices
    static java.util.Set<java.lang.String> GetIndexNames()
    Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
    static java.util.Map<JulianDate,​java.lang.Integer> GetIndexSeriesMap​(java.lang.String indexName)
    Return the full set of CDX series/first coupon date pairs for the given CDX
    static BasketProduct GetOnTheRun​(java.lang.String index, JulianDate date, java.lang.String tenor)
    Retrieve the on-the-run for the index and tenor corresponding to the specified date
    static java.util.Map<JulianDate,​java.lang.Integer> GetPreLoadedCDXSeriesMap​(java.lang.String indexName)
    Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
    static CaseInsensitiveTreeMap<java.lang.String> GetPreLoadedIndexDescriptions()
    Retrieve the name/description map for all the pre-loaded CDS indices
    static java.util.Set<java.lang.String> GetPreLoadedIndexNames()
    Retrieve a set of all the pre-loaded CDX index names
    static CaseInsensitiveTreeMap<java.lang.String> GetPresetIndexDescriptions()
    Retrieve the name/description map for all the pre-set CDS indices
    static java.util.Set<java.lang.String> GetPresetIndexNames()
    Retrieve a set of all the pre-set CDX index names
    static java.util.Map<JulianDate,​java.lang.Integer> GetPresetIndexSeriesMap​(java.lang.String indexName)
    Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
    static boolean InitializeSeries()
    Initialize the Standard CDX Series
    static BasketProduct MakeIndex​(java.lang.String index, int series, java.lang.String tenor)
    Create a standard CDX from the index code, the index series, and the tenor

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StandardCDXManager

      public StandardCDXManager()

  • Method Details

    • InitializeSeries

      public static final boolean InitializeSeries()
      Initialize the Standard CDX Series
      Returns:
      TRUE - Initialization Succeeded

    • DumpIndexDetails

      public static final boolean DumpIndexDetails​(java.lang.String coverageFile)
      Write the Index Details to a File
      Parameters:
      coverageFile - Coverage File
      Returns:
      TRUE - Index Details successfully written to a File

    • MakeIndex

      public static final BasketProduct MakeIndex​(java.lang.String index, int series, java.lang.String tenor)
      Create a standard CDX from the index code, the index series, and the tenor
      Parameters:
      index - The Index Code (CDX.NA.IG, CDX.NA.HY, etc)
      series - Index Series Number
      tenor - The specific tenor - typical common ones are 3Y, 5Y, 7Y, and 10Y
      Returns:
      The CDX Basket Product

    • GetOnTheRun

      public static final BasketProduct GetOnTheRun​(java.lang.String index, JulianDate date, java.lang.String tenor)
      Retrieve the on-the-run for the index and tenor corresponding to the specified date
      Parameters:
      index - CDX/ITRAXX index
      date - Specified date
      tenor - Tenor
      Returns:
      CDX/ITRAXX Basket Product

    • GetPresetIndexNames

      public static final java.util.Set<java.lang.String> GetPresetIndexNames()
      Retrieve a set of all the pre-set CDX index names
      Returns:
      Set of the pre-set CDX index names

    • GetPreLoadedIndexNames

      public static final java.util.Set<java.lang.String> GetPreLoadedIndexNames()
      Retrieve a set of all the pre-loaded CDX index names
      Returns:
      Set of the pre-loaded CDX index names

    • GetIndexNames

      public static final java.util.Set<java.lang.String> GetIndexNames()
      Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
      Returns:
      Set of the pre-set and the pre-loaded CDX index names

    • GetPresetIndexSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetPresetIndexSeriesMap​(java.lang.String indexName)
      Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
      Parameters:
      indexName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetPreLoadedCDXSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetPreLoadedCDXSeriesMap​(java.lang.String indexName)
      Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
      Parameters:
      indexName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetIndexSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetIndexSeriesMap​(java.lang.String indexName)
      Return the full set of CDX series/first coupon date pairs for the given CDX
      Parameters:
      indexName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetPresetIndexDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetPresetIndexDescriptions()
      Retrieve the name/description map for all the pre-set CDS indices
      Returns:
      Name/description map for all the pre-set CDS indices

    • GetPreLoadedIndexDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetPreLoadedIndexDescriptions()
      Retrieve the name/description map for all the pre-loaded CDS indices
      Returns:
      Name/description map for all the pre-loaded CDS indices

    • GetIndexDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetIndexDescriptions()
      Retrieve the name/description map for all the CDS indices
      Returns:
      Name/description map for all the CDS indices