Package org.drip.service.product

Class OvernightIndexSwapAPI

java.lang.Object
org.drip.service.product.OvernightIndexSwapAPI
public class OvernightIndexSwapAPI
extends java.lang.Object
OvernightIndexSwapAPI exposes the Pricing and the Scenario Runs for an Overnight Index Swap. It provides the following Functionality:
  • Generate Full Set of Metrics for the Specified OIS

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
    OvernightIndexSwapAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String oisCurrency, java.lang.String oisTenor, double oisCoupon, int spotDate, java.lang.String[] overnightCurveDepositTenorArray, double[] overnightCurveDepositQuoteArray, java.lang.String[] overnightCurveOISTenorArray, double[] overnightCurveOISQuoteArray, boolean floaterBasedOffOfFunding)
    Generate Full Set of Metrics for the Specified OIS

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OvernightIndexSwapAPI

      public OvernightIndexSwapAPI()

  • Method Details

    • ValuationMetrics

      public static final java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String oisCurrency, java.lang.String oisTenor, double oisCoupon, int spotDate, java.lang.String[] overnightCurveDepositTenorArray, double[] overnightCurveDepositQuoteArray, java.lang.String[] overnightCurveOISTenorArray, double[] overnightCurveOISQuoteArray, boolean floaterBasedOffOfFunding)
      Generate Full Set of Metrics for the Specified OIS
      Parameters:
      oisCurrency - OIS Currency
      oisTenor - OIS Tenor
      oisCoupon - OIS Coupon
      spotDate - Spot Date
      overnightCurveDepositTenorArray - Overnight Curve Calibration Deposit Tenor
      overnightCurveDepositQuoteArray - Overnight Tenor Calibration Deposit Quote
      overnightCurveOISTenorArray - Overnight Curve Calibration OIS Tenor
      overnightCurveOISQuoteArray - Overnight Curve Calibration OIS Quote
      floaterBasedOffOfFunding - TRUE - Floater Based off of Fund
      Returns:
      Map of Valuation Metrics