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. It provides the following Functionality:
  • Compute the Horizon Change Attribution Details for the Specified Treasury Bond
  • Generate the Govvie Curve Horizon Metrics #1
  • Generate the Govvie Curve 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
    TreasuryAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[][] govvieTreasuryInstrumentQuoteGrid, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
    Generate the Govvie Curve Horizon Metrics #2
    static PositionChangeComponents HorizonChangeAttribution​(JulianDate day1GovvieCurveEpochDate, JulianDate secondCurveDate, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[] firstGovvieTreasuryInstrumentArray, double[] secondGovvieTreasuryInstrumentArray, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
    Generate the Govvie Curve Horizon Metrics #1
    static PositionChangeComponents HorizonChangeAttribution​(GovvieCurve day1GovvieCurve, GovvieCurve day2GovvieCurve, CaseInsensitiveHashMap<GovvieCurve> rollDownGovvieCurveMap, java.lang.String maturityTenor, java.lang.String treasuryCode)
    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 day1GovvieCurve, GovvieCurve day2GovvieCurve, CaseInsensitiveHashMap<GovvieCurve> rollDownGovvieCurveMap, java.lang.String maturityTenor, java.lang.String treasuryCode)
      Compute the Horizon Change Attribution Details for the Specified Treasury Bond
      Parameters:
      day1GovvieCurve - First Day Govvie Curve
      day2GovvieCurve - Second Date Govvie Curve
      rollDownGovvieCurveMap - Map of the Roll Down Govvie Curves
      maturityTenor - Treasury Bond Maturity Tenor
      treasuryCode - Treasury Bond Code
      Returns:
      The Horizon Change Attribution Instance

    • HorizonChangeAttribution

      public static final PositionChangeComponents HorizonChangeAttribution​(JulianDate day1GovvieCurveEpochDate, JulianDate secondCurveDate, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[] firstGovvieTreasuryInstrumentArray, double[] secondGovvieTreasuryInstrumentArray, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
      Generate the Govvie Curve Horizon Metrics #1
      Parameters:
      day1GovvieCurveEpochDate - The First Date
      secondCurveDate - The Second Date
      govvieTreasuryInstrumentTenorArray - Array of Govvie Curve Treasury Instrument Maturity Tenors
      firstGovvieTreasuryInstrumentArray - Array of First Date Govvie Curve Treasury Instrument Quotes
      secondGovvieTreasuryInstrumentArray - Array of Second Date Govvie Curve Treasury Instrument Quotes
      maturityTenor - Treasury Bond Maturity Tenor
      treasuryCode - Treasury Bond Code
      rollDownHorizonTenorArray - Array of the Roll Down Horizon Tenors
      latentStateType - Latent State Type
      Returns:
      The Govvie Curve Horizon Metrics

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[][] govvieTreasuryInstrumentQuoteGrid, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)
      Generate the Govvie Curve Horizon Metrics #2
      Parameters:
      spotDateArray - Array of the Spot Dates
      horizonGap - The Horizon Gap
      govvieTreasuryInstrumentTenorArray - Array of Govvie Curve Treasury Instrument Maturity Tenors
      govvieTreasuryInstrumentQuoteGrid - Array of Govvie Curve Treasury Instrument Quotes
      maturityTenor - Treasury Bond Maturity Tenor
      treasuryCode - Treasury Bond Code
      rollDownHorizonTenorArray - Array of the Roll Down Horizon Tenors
      latentStateType - Latent State Type
      Returns:
      The Govvie Curve Horizon Metrics