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. It provides the following Functionality:
  • Generate a Forward Rate Futures Contract corresponding to the Spot Date
  • Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts
  • Generate an Instance of Treasury Futures given the Inputs
  • Generate the Treasury Futures Instance #1
  • Generate the Treasury Futures Instance #2

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 spotDate, java.lang.String currency)
    Generate a Forward Rate Futures Contract corresponding to the Spot Date
    static SingleStreamComponent[] ForwardRateFuturesPack​(JulianDate spotDate, int contractCount, 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 spotDate, java.lang.String futuresCode, int[] futuresComponentTreasuryEffectiveDateArray, int[] futuresComponentTreasuryMaturityDateArray, double[] futuresComponentTreasuryCouponArray, double[] futuresComponentConversionFactorArray)
    Generate the Treasury Futures Instance
    static TreasuryFutures TreasuryFutures​(JulianDate spotDate, java.lang.String futuresCode, int[] futuresComponentTreasuryEffectiveDateArray, int[] futuresComponentTreasuryMaturityDateArray, double[] futuresComponentTreasuryCouponArray, double[] futuresComponentConversionFactorArray, java.lang.String futuresComponentUnderlierSubtype, java.lang.String futuresReferenceMaturityTenor)
    Generate the Treasury Futures Instance
    static TreasuryFutures TreasuryFutures​(JulianDate spotDate, java.lang.String code, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] conversionFactorArray, java.lang.String underlierType, java.lang.String underlierSubtype, java.lang.String maturityTenor)
    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 spotDate, java.lang.String currency)
      Generate a Forward Rate Futures Contract corresponding to the Spot Date
      Parameters:
      spotDate - Spot date specifying the contract issue
      currency - Contract Currency
      Returns:
      Forward Rate Futures Component

    • ForwardRateFuturesPack

      public static SingleStreamComponent[] ForwardRateFuturesPack​(JulianDate spotDate, int contractCount, java.lang.String strCurrency)
      Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts
      Parameters:
      spotDate - Spot date specifying the contract issue
      contractCount - Number of contracts
      strCurrency - Contract currency
      Returns:
      Array containing the Forward Rate Futures Pack

    • TreasuryFutures

      public static TreasuryFutures TreasuryFutures​(JulianDate spotDate, java.lang.String code, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] conversionFactorArray, java.lang.String underlierType, java.lang.String underlierSubtype, java.lang.String maturityTenor)
      Generate an Instance of Treasury Futures given the Inputs
      Parameters:
      spotDate - The Futures Spot Date
      code - The Treasury Code
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      conversionFactorArray - The Bond Conversion Factor
      underlierType - The Underlier Type, e.g., TREASURY
      underlierSubtype - The Futures Underlier Sub-type, i.e., BONDS
      maturityTenor - The Futures Maturity Tenor
      Returns:
      The Treasury Futures Instance

    • TreasuryFutures

      public static final TreasuryFutures TreasuryFutures​(JulianDate spotDate, java.lang.String futuresCode, int[] futuresComponentTreasuryEffectiveDateArray, int[] futuresComponentTreasuryMaturityDateArray, double[] futuresComponentTreasuryCouponArray, double[] futuresComponentConversionFactorArray, java.lang.String futuresComponentUnderlierSubtype, java.lang.String futuresReferenceMaturityTenor)
      Generate the Treasury Futures Instance
      Parameters:
      spotDate - The Spot Date Instance
      futuresCode - The Treasury Futures Code
      futuresComponentTreasuryEffectiveDateArray - Array of Treasury Futures Component Effective Date
      futuresComponentTreasuryMaturityDateArray - Array of the Treasury Futures Component Maturity Date
      futuresComponentTreasuryCouponArray - Array of the Treasury Futures Component Coupon
      futuresComponentConversionFactorArray - Array of the Treasury Futures Component Conversion Factor
      futuresComponentUnderlierSubtype - Treasury Futures Component Underlier SubType (BILL/BOND)
      futuresReferenceMaturityTenor - Treasury Futures Component Reference Maturity Tenor
      Returns:
      The Treasury Futures Instance

    • TreasuryFutures

      public static final TreasuryFutures TreasuryFutures​(JulianDate spotDate, java.lang.String futuresCode, int[] futuresComponentTreasuryEffectiveDateArray, int[] futuresComponentTreasuryMaturityDateArray, double[] futuresComponentTreasuryCouponArray, double[] futuresComponentConversionFactorArray)
      Generate the Treasury Futures Instance
      Parameters:
      spotDate - The Spot Date Instance
      futuresCode - The Treasury Futures Code
      futuresComponentTreasuryEffectiveDateArray - Array of Treasury Futures Component Effective Date
      futuresComponentTreasuryMaturityDateArray - Array of Treasury Futures Component Maturity Date
      futuresComponentTreasuryCouponArray - Array of Treasury Futures Component Coupon
      futuresComponentConversionFactorArray - Array of Treasury Futures Component Conversion Factor
      Returns:
      The Treasury Futures Instance