Package org.drip.service.product

Class FixFloatAPI

java.lang.Object
org.drip.service.product.FixFloatAPI
public class FixFloatAPI
extends java.lang.Object
FixFloatAPI contains the Functionality associated with the Horizon Analysis of the Fix Float Swap. It provides the following Functionality:
  • Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
  • Generate the Funding Curve Horizon Metrics #1
  • Generate the Funding Curve Horizon Metrics #2

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Product Horizon PnL Attribution Decomposition

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FixFloatAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] fundingDepositInstrumentTenorArray, double[][] fundingDepositInstrumentQuoteGrid, java.lang.String[] fundingFixFloatTenorArray, double[][] fundingFixFloatQuoteGrid, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
    Generate the Funding Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(JulianDate firstDiscountCurveDate, JulianDate secondDiscountCurveDate, java.lang.String[] fundingDepositInstrumentTenorArray, double[] firstFundingDepositInstrumentArray, double[] secondFundingDepositInstrumentArray, java.lang.String[] fundingFixFloatTenorArray, double[] firstFundingFixFloatArray, double[] secondFundingFixFloatArray, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
    Generate the Funding Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(MergedDiscountForwardCurve firstDiscountCurve, MergedDiscountForwardCurve secondDiscountCurve, CaseInsensitiveHashMap<MergedDiscountForwardCurve> rollDownDiscountCurveMap, java.lang.String maturityTenor)
    Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixFloatAPI

      public FixFloatAPI()

  • Method Details

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(MergedDiscountForwardCurve firstDiscountCurve, MergedDiscountForwardCurve secondDiscountCurve, CaseInsensitiveHashMap<MergedDiscountForwardCurve> rollDownDiscountCurveMap, java.lang.String maturityTenor)
      Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
      Parameters:
      firstDiscountCurve - First Day Discount Curve
      secondDiscountCurve - Second Date Discount Curve
      rollDownDiscountCurveMap - Map of the Roll Down Discount Curve
      maturityTenor - Fix Float Swap Maturity Tenor
      Returns:
      The Horizon Change Attribution Instance

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(JulianDate firstDiscountCurveDate, JulianDate secondDiscountCurveDate, java.lang.String[] fundingDepositInstrumentTenorArray, double[] firstFundingDepositInstrumentArray, double[] secondFundingDepositInstrumentArray, java.lang.String[] fundingFixFloatTenorArray, double[] firstFundingFixFloatArray, double[] secondFundingFixFloatArray, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      firstDiscountCurveDate - The First Date
      secondDiscountCurveDate - The Second Date
      fundingDepositInstrumentTenorArray - Array of Funding Curve Deposit Instrument Maturity Tenors
      firstFundingDepositInstrumentArray - Array of First Date Funding Curve Deposit Instrument Quotes
      secondFundingDepositInstrumentArray - Array of Second Date Funding Curve Deposit Instrument Quotes
      fundingFixFloatTenorArray - Array of Funding Curve Fix Float Instrument Maturity Tenors
      firstFundingFixFloatArray - Array of First Date Funding Curve Fix Float Swap Rates
      secondFundingFixFloatArray - Array of Second Date Funding Curve Fix Float Swap Rates
      currency - Funding Currency
      maturityTenor - Maturity Tenor
      rollDownHorizonTenorArray - Array of the Roll Down Horizon Tenors
      latentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] fundingDepositInstrumentTenorArray, double[][] fundingDepositInstrumentQuoteGrid, java.lang.String[] fundingFixFloatTenorArray, double[][] fundingFixFloatQuoteGrid, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      spotDateArray - Array of Spot
      horizonGap - The Horizon Gap
      fundingDepositInstrumentTenorArray - Array of Funding Curve Deposit Instrument Maturity Tenors
      fundingDepositInstrumentQuoteGrid - Array of Funding Curve Deposit Instrument Forward Rates
      fundingFixFloatTenorArray - Array of Funding Curve Fix Float Instrument Maturity Tenors
      fundingFixFloatQuoteGrid - Array of Funding Curve Fix Float Instrument Swap Rates
      currency - Funding Currency
      maturityTenor - Maturity Tenor
      rollDownHorizonTenorArray - Array of the Roll Down Horizon Tenors
      latentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics