Package org.drip.service.product

Class TreasuryFuturesAPI

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



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryFuturesAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(java.lang.String strTreasuryCode, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, double[] adblConversionFactor)
    Returns Attribution for the Treasury Futures
    static java.util.List<TenorDurationNodeMetrics> HorizonKeyRateDuration​(java.lang.String strTreasuryType, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, java.lang.String[] astrBenchmarkTenor, double[][] aadblGovvieCurveTreasuryYield)
    Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration
    static java.util.Map<java.lang.String,​java.lang.Double> KeyRateDuration​(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice)
    Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
    static java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice)
    Generate a Full Map Invocation of the Treasury Futures Run Use Case

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TreasuryFuturesAPI

      public TreasuryFuturesAPI()

  • Method Details

    • ValuationMetrics

      public static final java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice)
      Generate a Full Map Invocation of the Treasury Futures Run Use Case
      Parameters:
      strFuturesCode - The Treasury Futures Code
      aiFuturesComponentTreasuryEffectiveDate - Array of the Treasury Futures Component Effective Date
      aiFuturesComponentTreasuryMaturityDate - Array of the Treasury Futures Component Maturity Date
      adblFuturesComponentTreasuryCoupon - Array of the Treasury Futures Component Coupon
      adblFuturesComponentConversionFactor - Array of the Treasury Futures Component Conversion Factor
      iSpotDate - Spot Date
      astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)
      adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)
      strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)
      adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)
      strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)
      astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)
      adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)
      strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)
      aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)
      adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)
      adblFuturesComponentTreasuryPrice - Array of the Treasury Futures Component Clean Prices
      Returns:
      The Output Measure Map

    • KeyRateDuration

      public static final java.util.Map<java.lang.String,​java.lang.Double> KeyRateDuration​(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice)
      Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
      Parameters:
      strFuturesCode - The Treasury Futures Code
      aiFuturesComponentTreasuryEffectiveDate - Array of the Treasury Futures Component Effective Date
      aiFuturesComponentTreasuryMaturityDate - Array of the Treasury Futures Component Maturity Date
      adblFuturesComponentTreasuryCoupon - Array of the Treasury Futures Component Coupon
      adblFuturesComponentConversionFactor - Array of the Treasury Futures Component Conversion Factor
      iSpotDate - Spot Date
      aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)
      adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)
      adblFuturesComponentTreasuryPrice - Array of the Treasury Futures Component Clean Prices
      Returns:
      The Treasury Curve Tenor Sensitivity/Duration

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(java.lang.String strTreasuryCode, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, double[] adblConversionFactor)
      Returns Attribution for the Treasury Futures
      Parameters:
      strTreasuryCode - The Treasury Code
      adtEffective - Array of Effective Dates
      adtMaturity - Array of Maturity Dates
      adblCoupon - Array of Coupons
      adtExpiry - Array of Futures Expiry Dates
      adtSpot - Array of Spot Dates
      adblCleanPrice - Array of Closing Clean Prices
      adblConversionFactor - Array of the Conversion Factor
      Returns:
      List of the Position Change Components

    • HorizonKeyRateDuration

      public static final java.util.List<TenorDurationNodeMetrics> HorizonKeyRateDuration​(java.lang.String strTreasuryType, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, java.lang.String[] astrBenchmarkTenor, double[][] aadblGovvieCurveTreasuryYield)
      Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration
      Parameters:
      strTreasuryType - The Treasury Type
      adtEffective - Array of Effective Dates
      adtMaturity - Array of Maturity Dates
      adblCoupon - Array of Coupons
      adtExpiry - Array of Futures Expiry Dates
      adtSpot - Array of Spot Dates
      adblCleanPrice - Array of Closing Clean Prices
      astrBenchmarkTenor - Array of Benchmark Tenors
      aadblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      Returns:
      The Treasury Curve Tenor Sensitivity/Duration