Package org.drip.service.template

Class OTCInstrumentBuilder

java.lang.Object
org.drip.service.template.OTCInstrumentBuilder
public class OTCInstrumentBuilder
extends java.lang.Object
OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments. It provides the following Functionality:
  • Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
  • Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
  • Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
  • Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
  • Construct an OTC Standard Fix Float Swap using the specified Input Parameters
  • Construct a Standard Fix Float Swap Instances
  • Construct an Instance of OTC OIS Fix Float Swap
  • Construct an OTC Float-Float Swap Instance
  • Create an Instance of the OTC CDS
  • Create an OTC FX Forward Component
  • Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
  • Construct an Array of OTC Funding Deposit and Futures Instruments
  • Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
  • Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
  • Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
  • Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
  • Construct an Array of Custom Fix Float Swap Instances
  • Construct an Array of OTC Fix Float OIS Instances
  • Construct an Array of OTC OIS Fix-Float Futures
  • Construct an Array of OTC Float-Float Swap Instances
  • Create an Array of the OTC CDS Instance
  • Create an Array of OTC FX Forward Components
  • Construct an Instance of the Standard OTC FRA Cap/Floor
  • Construct the Array of Standard OTC FRA Cap/Floors

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 Details

    • OTCInstrumentBuilder

      public OTCInstrumentBuilder()

  • Method Details

    • FundingDeposit

      public static final SingleStreamComponent FundingDeposit​(JulianDate spotDate, java.lang.String currency, java.lang.String maturityTenor)
      Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      maturityTenor - The Maturity Tenor
      Returns:
      Funding Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

    • ForwardRateDeposit

      public static final SingleStreamComponent ForwardRateDeposit​(JulianDate spotDate, java.lang.String maturityTenor, ForwardLabel forwardLabel)
      Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
      Parameters:
      spotDate - The Spot Date
      maturityTenor - The Maturity Tenor
      forwardLabel - The Forward Label
      Returns:
      Forward Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

    • OvernightDeposit

      public static final SingleStreamComponent OvernightDeposit​(JulianDate spotDate, java.lang.String currency, java.lang.String maturityTenor)
      Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      maturityTenor - The Maturity Tenor
      Returns:
      Overnight Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

    • FRAStandard

      public static final FRAStandardComponent FRAStandard​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String maturityTenor, double strike)
      Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
      Parameters:
      spotDate - Spot Date
      forwardLabel - The Forward Label
      maturityTenor - Maturity Tenor
      strike - Futures Strike
      Returns:
      The Standard FRA Instance

    • FixFloatStandard

      public static final FixFloatComponent FixFloatStandard​(JulianDate spotDate, java.lang.String currency, java.lang.String location, java.lang.String maturityTenor, java.lang.String index, double coupon)
      Construct an OTC Standard Fix Float Swap using the specified Input Parameters
      Parameters:
      spotDate - The Spot Date
      currency - The OTC Currency
      location - Location
      maturityTenor - Maturity Tenor
      index - Index
      coupon - Coupon
      Returns:
      The OTC Standard Fix Float Swap constructed using the specified Input Parameters

    • FixFloatCustom

      public static final FixFloatComponent FixFloatCustom​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String maturityTenor)
      Construct a Standard Fix Float Swap Instances
      Parameters:
      spotDate - The Spot Date
      forwardLabel - The Forward Label
      maturityTenor - Maturity Tenor
      Returns:
      A Standard Fix Float Swap Instances

    • OISFixFloat

      public static final FixFloatComponent OISFixFloat​(JulianDate spotDate, java.lang.String currency, java.lang.String maturityTenor, double coupon, boolean useFundingCurve)
      Construct an Instance of OTC OIS Fix Float Swap
      Parameters:
      spotDate - Spot Date
      currency - Currency
      maturityTenor - The OIS Maturity Tenor
      coupon - The Fixed Coupon Rate
      useFundingCurve - TRUE - Floater Based off of Fund
      Returns:
      Instance of OIS Fix Float Swap

    • FloatFloat

      public static final FloatFloatComponent FloatFloat​(JulianDate spotDate, java.lang.String currency, java.lang.String derivedTenor, java.lang.String maturityTenor, double basis)
      Construct an OTC Float-Float Swap Instance
      Parameters:
      spotDate - Spot Date
      currency - Currency
      derivedTenor - Tenor of the Derived Leg
      maturityTenor - Maturity Tenor of the Float-Float Swap
      basis - The Float-Float Swap Basis
      Returns:
      The OTC Float-Float Swap Instance

    • CDS

      public static final CreditDefaultSwap CDS​(JulianDate spotDate, java.lang.String maturityTenor, double coupon, java.lang.String currency, java.lang.String credit)
      Create an Instance of the OTC CDS
      Parameters:
      spotDate - The Spot Date
      maturityTenor - Maturity Tenor
      coupon - Coupon
      currency - Currency
      credit - Credit Curve
      Returns:
      The OTC CDS Instance

    • FXForward

      public static final FXForwardComponent FXForward​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String maturityTenor)
      Create an OTC FX Forward Component
      Parameters:
      spotDate - Spot Date
      currencyPair - Currency Pair
      maturityTenor - Maturity Tenor
      Returns:
      The OTC FX Forward Component Instance

    • FundingDeposit

      public static final SingleStreamComponent[] FundingDeposit​(JulianDate spotDate, java.lang.String currency, java.lang.String[] maturityTenorArray)
      Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
      Parameters:
      spotDate - Spot Date
      currency - Currency
      maturityTenorArray - Array of Maturity Tenors
      Returns:
      Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors

    • FundingDepositFutures

      public static final SingleStreamComponent[] FundingDepositFutures​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, int futuresCount)
      Construct an Array of OTC Funding Deposit and Futures Instruments
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      futuresCount - Number of Serial Futures to be included
      Returns:
      Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors

    • ForwardRateDeposit

      public static final SingleStreamComponent[] ForwardRateDeposit​(JulianDate spotDate, java.lang.String[] maturityTenorArray, ForwardLabel forwardLabel)
      Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
      Parameters:
      spotDate - Spot Date
      maturityTenorArray - Array of Maturity Tenors
      forwardLabel - The Forward Label
      Returns:
      Forward Deposit Instrument Instance from the corresponding Maturity Tenor

    • OvernightDeposit

      public static final SingleStreamComponent[] OvernightDeposit​(JulianDate spotDate, java.lang.String currency, java.lang.String[] maturityTenorArray)
      Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
      Parameters:
      spotDate - Spot Date
      currency - Currency
      maturityTenorArray - Array of Maturity Tenor
      Returns:
      Array of Overnight Deposit Instrument from their Maturity Tenors

    • FRAStandard

      public static final FRAStandardComponent[] FRAStandard​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] maturityTenorArray, double[] fraStrikeArray)
      Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
      Parameters:
      spotDate - Spot Date
      forwardLabel - The Forward Label
      maturityTenorArray - Array of Maturity Tenors
      fraStrikeArray - Array of FRA Strikes
      Returns:
      Array of Standard FRA Instances

    • FixFloatStandard

      public static final FixFloatComponent[] FixFloatStandard​(JulianDate spotDate, java.lang.String currency, java.lang.String location, java.lang.String[] maturityTenorArray, java.lang.String index, double coupon)
      Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
      Parameters:
      spotDate - The Spot Date
      currency - The OTC Currency
      location - Location
      maturityTenorArray - Array of Maturity Tenors
      index - Index
      coupon - Coupon
      Returns:
      The Array of OTC Fix Float Swaps

    • FixFloatCustom

      public static final FixFloatComponent[] FixFloatCustom​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] maturityTenorArray)
      Construct an Array of Custom Fix Float Swap Instances
      Parameters:
      spotDate - The Spot Date
      forwardLabel - The Forward Label
      maturityTenorArray - Array of Maturity Tenors
      Returns:
      Array of Custom Fix Float Swap Instances

    • OISFixFloat

      public static final FixFloatComponent[] OISFixFloat​(JulianDate spotDate, java.lang.String currency, java.lang.String[] maturityTenorArray, double[] couponArray, boolean useFundingCurve)
      Construct an Array of OTC Fix Float OIS Instances
      Parameters:
      spotDate - Spot Date
      currency - Currency
      maturityTenorArray - Array of OIS Maturity Tenors
      couponArray - OIS Fixed Rate Coupon
      useFundingCurve - TRUE - Floater Based off of Fund
      Returns:
      Array of Fix Float OIS Instances

    • OISFixFloatFutures

      public static final FixFloatComponent[] OISFixFloatFutures​(JulianDate spotDate, java.lang.String currency, java.lang.String[] effectiveTenorArray, java.lang.String[] maturityTenorArray, double[] couponArray, boolean useFundingCurve)
      Construct an Array of OTC OIS Fix-Float Futures
      Parameters:
      spotDate - Spot Date
      currency - Currency
      effectiveTenorArray - Array of Effective Tenors
      maturityTenorArray - Array of Maturity Tenors
      couponArray - Array of Coupons
      useFundingCurve - TRUE - Floater Based off of Fund
      Returns:
      Array of OIS Fix-Float Futures

    • FloatFloat

      public static final FloatFloatComponent[] FloatFloat​(JulianDate spotDate, java.lang.String currency, java.lang.String derivedTenor, java.lang.String[] maturityTenorArray, double basis)
      Construct an Array of OTC Float-Float Swap Instances
      Parameters:
      spotDate - Spot Date
      currency - Currency
      derivedTenor - Tenor of the Derived Leg
      maturityTenorArray - Array of the Float-Float Swap Maturity Tenors
      basis - The Float-Float Swap Basis
      Returns:
      Array of OTC Float-Float Swap Instances

    • CDS

      public static final CreditDefaultSwap[] CDS​(JulianDate spotDate, java.lang.String[] maturityTenorArray, double[] couponArray, java.lang.String currency, java.lang.String credit)
      Create an Array of the OTC CDS Instance
      Parameters:
      spotDate - Spot Date
      maturityTenorArray - Array of Maturity Tenors
      couponArray - Array of Coupon
      currency - Currency
      credit - Credit Curve
      Returns:
      Array of OTC CDS Instances

    • FXForward

      public static final FXForwardComponent[] FXForward​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray)
      Create an Array of OTC FX Forward Components
      Parameters:
      spotDate - Spot Date
      currencyPair - Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      Returns:
      Array of OTC FX Forward Component Instances

    • CapFloor

      public static final FRAStandardCapFloor CapFloor​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String maturityTenor, double strike, boolean isCap)
      Construct an Instance of the Standard OTC FRA Cap/Floor
      Parameters:
      spotDate - Spot Date
      forwardLabel - The Forward Label
      maturityTenor - Cap/Floor Maturity Tenor
      strike - Cap/Floor Strike
      isCap - TRUE - Contract is a Cap
      Returns:
      The Cap/Floor Instance

    • CapFloor

      public static final FRAStandardCapFloor[] CapFloor​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] maturityTenorArray, double[] strikeArray, boolean isCap)
      Construct the Array of Standard OTC FRA Cap/Floors
      Parameters:
      spotDate - Spot Date
      forwardLabel - The Forward Label
      maturityTenorArray - Array of Cap/Floor Maturity Tenors
      strikeArray - Array of Cap/Floor Strikes
      isCap - TRUE - Contract is a Cap
      Returns:
      The Cap/Floor Array