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.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FixFloatAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrFundingDepositInstrumentTenor, double[][] aadblFundingDepositInstrumentQuote, java.lang.String[] astrFundingFixFloatTenor, double[][] aadblFundingFixFloatQuote, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
    Generate the Funding Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrFundingDepositInstrumentTenor, double[] adblFirstFundingDepositInstrument, double[] adblSecondFundingDepositInstrument, java.lang.String[] astrFundingFixFloatTenor, double[] adblFirstFundingFixFloat, double[] adblSecondFundingFixFloat, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
    Generate the Funding Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor)
    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 dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor)
      Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
      Parameters:
      dcFirst - First Day Discount Curve
      dcSecond - Second Date Discount Curve
      mapRollDownDiscountCurve - Map of the Roll Down Discount Curve
      strMaturityTenor - Fix Float Swap Maturity Tenor
      Returns:
      The Horizon Change Attribution Instance

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrFundingDepositInstrumentTenor, double[] adblFirstFundingDepositInstrument, double[] adblSecondFundingDepositInstrument, java.lang.String[] astrFundingFixFloatTenor, double[] adblFirstFundingFixFloat, double[] adblSecondFundingFixFloat, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      dtFirst - The First Date
      dtSecond - The Second Date
      astrFundingDepositInstrumentTenor - Array of Funding Curve Deposit Instrument Maturity Tenors
      adblFirstFundingDepositInstrument - Array of First Date Funding Curve Deposit Instrument Quotes
      adblSecondFundingDepositInstrument - Array of Second Date Funding Curve Deposit Instrument Quotes
      astrFundingFixFloatTenor - Array of Funding Curve Fix Float Instrument Maturity Tenors
      adblFirstFundingFixFloat - Array of First Date Funding Curve Fix Float Swap Rates
      adblSecondFundingFixFloat - Array of Second Date Funding Curve Fix Float Swap Rates
      strCurrency - Funding Currency
      strMaturityTenor - Maturity Tenor
      astrRollDownHorizon - Array of the Roll Down Horizon Tenors
      iLatentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrFundingDepositInstrumentTenor, double[][] aadblFundingDepositInstrumentQuote, java.lang.String[] astrFundingFixFloatTenor, double[][] aadblFundingFixFloatQuote, java.lang.String strCurrency, java.lang.String strMaturityTenor, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      adtSpot - Array of Spot
      iHorizonGap - The Horizon Gap
      astrFundingDepositInstrumentTenor - Array of Funding Curve Deposit Instrument Maturity Tenors
      aadblFundingDepositInstrumentQuote - Array of Funding Curve Deposit Instrument Forward Rates
      astrFundingFixFloatTenor - Array of Funding Curve Fix Float Instrument Maturity Tenors
      aadblFundingFixFloatQuote - Array of Funding Curve Fix Float Instrument Swap Rates
      strCurrency - Funding Currency
      strMaturityTenor - Maturity Tenor
      astrRollDownHorizon - Array of the Roll Down Horizon Tenors
      iLatentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics