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.

• 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 strOISCurrency, java.lang.String strOISTenor, double dblOISCoupon, int iSpotDate, java.lang.String[] astrOvernightCurveDepositTenor, double[] adblOvernightCurveDepositQuote, java.lang.String[] astrOvernightCurveOISTenor, double[] adblOvernightCurveOISQuote, boolean bFund)	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 strOISCurrency,
java.lang.String strOISTenor,
double dblOISCoupon,
int iSpotDate,
java.lang.String[] astrOvernightCurveDepositTenor,
double[] adblOvernightCurveDepositQuote,
java.lang.String[] astrOvernightCurveOISTenor,
double[] adblOvernightCurveOISQuote,
boolean bFund)

Generate Full Set of Metrics for the Specified OIS

Parameters:

strOISCurrency - OIS Currency

strOISTenor - OIS Tenor

dblOISCoupon - OIS Coupon

iSpotDate - Spot Date

astrOvernightCurveDepositTenor - Overnight Curve Calibration Deposit Tenor

adblOvernightCurveDepositQuote - Overnight Tenor Calibration Deposit Quote

astrOvernightCurveOISTenor - Overnight Curve Calibration OIS Tenor

adblOvernightCurveOISQuote - Overnight Curve Calibration OIS Quote

bFund - TRUE - Floater Based off of Fund

Returns:

Map of Valuation Metrics