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.

• 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[] adt, JulianDate[] adtExpiry, double[] adblFuturesQuote, java.lang.String strCurrency)	Generate the Funding Futures Horizon Metrics
static PositionChangeComponents	HorizonMetrics(JulianDate dtPrevious, JulianDate dtSpot, JulianDate dtExpiry, double dblPreviousQuote, double dblSpotQuote, java.lang.String strCurrency)	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 dtPrevious,
JulianDate dtSpot,
JulianDate dtExpiry,
double dblPreviousQuote,
double dblSpotQuote,
java.lang.String strCurrency)

Generate the Funding Futures Horizon Metrics

Parameters:

dtPrevious - Previous Date

dtSpot - Spot Date

dtExpiry - Expiry Date

dblPreviousQuote - Previous Funding Futures Rates

dblSpotQuote - Spot Funding Futures Rates

strCurrency - Funding Currency

Returns:

The Funding Futures Horizon Metrics

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(JulianDate[] adt,
JulianDate[] adtExpiry,
double[] adblFuturesQuote,
java.lang.String strCurrency)

Generate the Funding Futures Horizon Metrics

Parameters:

adt - Array of Closing Dates

adtExpiry - Array of Expiry Dates

adblFuturesQuote - Array of Closing Futures Quotes

strCurrency - Funding Currency

Returns:

The Funding Futures Horizon Metrics