Package org.drip.service.product

Class TreasuryAPI

java.lang.Object
org.drip.service.product.TreasuryAPI
public class TreasuryAPI
extends java.lang.Object
TreasuryAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Bond.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[][] aadblGovvieTreasuryInstrumentQuote, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
    Generate the Govvie Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[] adblFirstGovvieTreasuryInstrument, double[] adblSecondGovvieTreasuryInstrument, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
    Generate the Govvie Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode)
    Compute the Horizon Change Attribution Details for the Specified Treasury Bond

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TreasuryAPI

      public TreasuryAPI()

  • Method Details

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode)
      Compute the Horizon Change Attribution Details for the Specified Treasury Bond
      Parameters:
      gcFirst - First Day Govvie Curve
      gcSecond - Second Date Govvie Curve
      mapRollDownGovvieCurve - Map of the Roll Down Govvie Curves
      strMaturityTenor - Treasury Bond Maturity Tenor
      strCode - Treasury Bond Code
      Returns:
      The Horizon Change Attribution Instance

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(JulianDate dtFirst, JulianDate dtSecond, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[] adblFirstGovvieTreasuryInstrument, double[] adblSecondGovvieTreasuryInstrument, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
      Generate the Govvie Curve Horizon Metrics
      Parameters:
      dtFirst - The First Date
      dtSecond - The Second Date
      astrGovvieTreasuryInstrumentTenor - Array of Govvie Curve Treasury Instrument Maturity Tenors
      adblFirstGovvieTreasuryInstrument - Array of First Date Govvie Curve Treasury Instrument Quotes
      adblSecondGovvieTreasuryInstrument - Array of Second Date Govvie Curve Treasury Instrument Quotes
      strMaturityTenor - Treasury Bond Maturity Tenor
      strCode - Treasury Bond Code
      astrRollDownHorizon - Array of the Roll Down Horizon Tenors
      iLatentStateType - Latent State Type
      Returns:
      The Govvie Curve Horizon Metrics

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrGovvieTreasuryInstrumentTenor, double[][] aadblGovvieTreasuryInstrumentQuote, java.lang.String strMaturityTenor, java.lang.String strCode, java.lang.String[] astrRollDownHorizon, int iLatentStateType)
      Generate the Govvie Curve Horizon Metrics
      Parameters:
      adtSpot - Array of the Spot Dates
      iHorizonGap - The Horizon Gap
      astrGovvieTreasuryInstrumentTenor - Array of Govvie Curve Treasury Instrument Maturity Tenors
      aadblGovvieTreasuryInstrumentQuote - Array of Govvie Curve Treasury Instrument Quotes
      strMaturityTenor - Treasury Bond Maturity Tenor
      strCode - Treasury Bond Code
      astrRollDownHorizon - Array of the Roll Down Horizon Tenors
      iLatentStateType - Latent State Type
      Returns:
      The Govvie Curve Horizon Metrics