Package org.drip.service.template

Class ExchangeInstrumentBuilder

java.lang.Object

org.drip.service.template.ExchangeInstrumentBuilder

public class ExchangeInstrumentBuilder
extends java.lang.Object

ExchangeInstrumentBuilder contains static Helper API to facilitate Construction of Exchange-traded Instruments.

• Module = Computational Core Module
• Library = Computation Support
• Project = Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
• Package = Curve Construction Product Builder Templates

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ExchangeInstrumentBuilder()

Method Summary

Modifier and Type	Method	Description
static SingleStreamComponent	ForwardRateFutures(JulianDate dtSpot, java.lang.String strCurrency)	Generate a Forward Rate Futures Contract corresponding to the Spot Date
static SingleStreamComponent[]	ForwardRateFuturesPack(JulianDate dtSpot, int iNumContract, java.lang.String strCurrency)	Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts
static TreasuryFutures	TreasuryFutures(JulianDate dtSpot, java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor)	Generate the Treasury Futures Instance
static TreasuryFutures	TreasuryFutures(JulianDate dtSpot, java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, java.lang.String strFuturesComponentUnderlierSubtype, java.lang.String strFuturesReferenceMaturityTenor)	Generate the Treasury Futures Instance
static TreasuryFutures	TreasuryFutures(JulianDate dtSpot, java.lang.String strCode, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblConversionFactor, java.lang.String strUnderlierType, java.lang.String strUnderlierSubtype, java.lang.String strMaturityTenor)	Generate an Instance of Treasury Futures given the Inputs

Methods inherited from class java.lang.Object

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

Constructor Details

ExchangeInstrumentBuilder

public ExchangeInstrumentBuilder()

Method Details

ForwardRateFutures

public static SingleStreamComponent ForwardRateFutures(JulianDate dtSpot,
java.lang.String strCurrency)

Generate a Forward Rate Futures Contract corresponding to the Spot Date

Parameters:

dtSpot - Spot date specifying the contract issue

strCurrency - Contract Currency

Returns:

Forward Rate Futures Component

ForwardRateFuturesPack

public static SingleStreamComponent[] ForwardRateFuturesPack(JulianDate dtSpot,
int iNumContract,
java.lang.String strCurrency)

Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts

Parameters:

dtSpot - Spot date specifying the contract issue

iNumContract - Number of contracts

strCurrency - Contract currency

Returns:

Array containing the Forward Rate Futures Pack

TreasuryFutures

public static TreasuryFutures TreasuryFutures(JulianDate dtSpot,
java.lang.String strCode,
JulianDate[] adtEffective,
JulianDate[] adtMaturity,
double[] adblCoupon,
double[] adblConversionFactor,
java.lang.String strUnderlierType,
java.lang.String strUnderlierSubtype,
java.lang.String strMaturityTenor)

Generate an Instance of Treasury Futures given the Inputs

Parameters:

dtSpot - The Futures Spot Date

strCode - The Treasury Code

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblConversionFactor - The Bond Conversion Factor

strUnderlierType - The Underlier Type, e.g., TREASURY

strUnderlierSubtype - The Futures Underlier Sub-type, i.e., BONDS

strMaturityTenor - The Futures Maturity Tenor

Returns:

The Treasury Futures Instance

TreasuryFutures

public static final TreasuryFutures TreasuryFutures(JulianDate dtSpot,
java.lang.String strFuturesCode,
int[] aiFuturesComponentTreasuryEffectiveDate,
int[] aiFuturesComponentTreasuryMaturityDate,
double[] adblFuturesComponentTreasuryCoupon,
double[] adblFuturesComponentConversionFactor,
java.lang.String strFuturesComponentUnderlierSubtype,
java.lang.String strFuturesReferenceMaturityTenor)

Generate the Treasury Futures Instance

Parameters:

dtSpot - The Spot Date Instance

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

strFuturesComponentUnderlierSubtype - Treasury Futures Component Underlier SubType (BILL/BOND)

strFuturesReferenceMaturityTenor - Treasury Futures Component Reference Maturity Tenor

Returns:

The Treasury Futures Instance

TreasuryFutures

public static final TreasuryFutures TreasuryFutures(JulianDate dtSpot,
java.lang.String strFuturesCode,
int[] aiFuturesComponentTreasuryEffectiveDate,
int[] aiFuturesComponentTreasuryMaturityDate,
double[] adblFuturesComponentTreasuryCoupon,
double[] adblFuturesComponentConversionFactor)

Generate the Treasury Futures Instance

Parameters:

dtSpot - The Spot Date Instance

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

Returns:

The Treasury Futures Instance