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.



Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • OTCInstrumentBuilder

      public OTCInstrumentBuilder()

  • Method Details

    • FundingDeposit

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

    • ForwardRateDeposit

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

    • FRAStandard

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

    • FixFloatStandard

      public static final FixFloatComponent FixFloatStandard​(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strLocation, java.lang.String strMaturityTenor, java.lang.String strIndex, double dblCoupon)
      Construct an OTC Standard Fix Float Swap using the specified Input Parameters
      Parameters:
      dtSpot - The Spot Date
      strCurrency - The OTC Currency
      strLocation - Location
      strMaturityTenor - Maturity Tenor
      strIndex - Index
      dblCoupon - Coupon
      Returns:
      The OTC Standard Fix Float Swap constructed using the specified Input Parameters

    • FixFloatCustom

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

    • OISFixFloat

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

    • FloatFloat

      public static final FloatFloatComponent FloatFloat​(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblBasis)
      Construct an OTC Float-Float Swap Instance
      Parameters:
      dtSpot - Spot Date
      strCurrency - Currency
      strDerivedTenor - Tenor of the Derived Leg
      strMaturityTenor - Maturity Tenor of the Float-Float Swap
      dblBasis - The Float-Float Swap Basis
      Returns:
      The OTC Float-Float Swap Instance

    • CDS

      public static final CreditDefaultSwap CDS​(JulianDate dtSpot, java.lang.String strMaturityTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit)
      Create an Instance of the OTC CDS.
      Parameters:
      dtSpot - The Spot Date
      strMaturityTenor - Maturity Tenor
      dblCoupon - Coupon
      strCurrency - Currency
      strCredit - Credit Curve
      Returns:
      The OTC CDS Instance

    • FXForward

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

    • FundingDeposit

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

    • FundingDepositFutures

      public static final SingleStreamComponent[] FundingDepositFutures​(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, int iNumFutures)
      Construct an Array of OTC Funding Deposit and Futures Instruments
      Parameters:
      dtSpot - Spot Date
      strCurrency - Currency
      astrDepositMaturityTenor - Array of Deposit Maturity Tenors
      iNumFutures - 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 dtSpot, java.lang.String[] astrMaturityTenor, ForwardLabel forwardLabel)
      Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
      Parameters:
      dtSpot - Spot Date
      astrMaturityTenor - 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 dtSpot, java.lang.String strCurrency, java.lang.String[] astrMaturityTenor)
      Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
      Parameters:
      dtSpot - Spot Date
      strCurrency - Currency
      astrMaturityTenor - Array of Maturity Tenor
      Returns:
      Array of Overnight Deposit Instrument from their Maturity Tenors

    • FRAStandard

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

    • FixFloatStandard

      public static final FixFloatComponent[] FixFloatStandard​(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strLocation, java.lang.String[] astrMaturityTenor, java.lang.String strIndex, double dblCoupon)
      Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
      Parameters:
      dtSpot - The Spot Date
      strCurrency - The OTC Currency
      strLocation - Location
      astrMaturityTenor - Array of Maturity Tenors
      strIndex - Index
      dblCoupon - Coupon
      Returns:
      The Array of OTC Fix Float Swaps

    • FixFloatCustom

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

    • OISFixFloat

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

    • OISFixFloatFutures

      public static final FixFloatComponent[] OISFixFloatFutures​(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrEffectiveTenor, java.lang.String[] astrMaturityTenor, double[] adblCoupon, boolean bFund)
      Construct an Array of OTC OIS Fix-Float Futures
      Parameters:
      dtSpot - Spot Date
      strCurrency - Currency
      astrEffectiveTenor - Array of Effective Tenors
      astrMaturityTenor - Array of Maturity Tenors
      adblCoupon - Array of Coupons
      bFund - TRUE - Floater Based off of Fund
      Returns:
      Array of OIS Fix-Float Futures

    • FloatFloat

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

    • CDS

      public static final CreditDefaultSwap[] CDS​(JulianDate dtSpot, java.lang.String[] astrMaturityTenor, double[] adblCoupon, java.lang.String strCurrency, java.lang.String strCredit)
      Create an Array of the OTC CDS Instance.
      Parameters:
      dtSpot - Spot Date
      astrMaturityTenor - Array of Maturity Tenors
      adblCoupon - Array of Coupon
      strCurrency - Currency
      strCredit - Credit Curve
      Returns:
      Array of OTC CDS Instances

    • FXForward

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

    • CapFloor

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

    • CapFloor

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