Package org.drip.service.product

Class FundingFuturesAPI

java.lang.Object
org.drip.service.product.FundingFuturesAPI
public class FundingFuturesAPI
extends java.lang.Object
FundingFuturesAPI contains the Functionality associated with the Horizon Analysis of the Funding Futures. It provides the following Functionality:
  • Generate the Funding Futures Horizon Metrics #1
  • Generate the Funding Futures 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
    FundingFuturesAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] closingDateArray, JulianDate[] expiryDateArray, double[] futuresQuoteArray, java.lang.String currency)
    Generate the Funding Futures Horizon Metrics
    static PositionChangeComponents HorizonMetrics​(JulianDate previousDate, JulianDate spotDate, JulianDate expiryDate, double previousQuote, double spotQuote, java.lang.String currency)
    Generate the Funding Futures Horizon Metrics

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FundingFuturesAPI

      public FundingFuturesAPI()

  • Method Details

    • HorizonMetrics

      public static final PositionChangeComponents HorizonMetrics​(JulianDate previousDate, JulianDate spotDate, JulianDate expiryDate, double previousQuote, double spotQuote, java.lang.String currency)
      Generate the Funding Futures Horizon Metrics
      Parameters:
      previousDate - Previous Date
      spotDate - Spot Date
      expiryDate - Expiry Date
      previousQuote - Previous Funding Futures Rates
      spotQuote - Spot Funding Futures Rates
      currency - Funding Currency
      Returns:
      The Funding Futures Horizon Metrics

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] closingDateArray, JulianDate[] expiryDateArray, double[] futuresQuoteArray, java.lang.String currency)
      Generate the Funding Futures Horizon Metrics
      Parameters:
      closingDateArray - Array of Closing Dates
      expiryDateArray - Array of Expiry Dates
      futuresQuoteArray - Array of Closing Futures Quotes
      currency - Funding Currency
      Returns:
      The Funding Futures Horizon Metrics