Package org.drip.service.template

Class TreasuryBuilder

java.lang.Object

org.drip.service.template.TreasuryBuilder

public class TreasuryBuilder
extends java.lang.Object

TreasuryBuilder contains Static Helper API to facilitate Construction of the Sovereign Treasury Bonds.

• Module = Numerical Core Module
• Library = Algorithm Support Library
• Project = Service
• Package = Curve Construction Product Builder Templates

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TreasuryBuilder()

Method Summary

Modifier and Type	Method	Description
static TreasuryComponent	AGB(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Australian Treasury AUD AGB Bond
static TreasuryComponent	BTPS(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Italian Treasury EUR BTPS Bond
static TreasuryComponent	CAN(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Canadian Government CAD CAN Bond
static TreasuryComponent	DBR(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the German Treasury EUR DBR Bond
static TreasuryComponent[]	FromCode(java.lang.String strCode, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon)	Construct an Array of the Treasury Instances from the Code
static TreasuryComponent	FromCode(java.lang.String strCode, JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Treasury Bond From the Code
static TreasuryComponent	FRTR(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the French Treasury EUR FRTR Bond
static TreasuryComponent	GGB(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Greek Treasury EUR GGB Bond
static TreasuryComponent	GILT(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the UK Treasury GBP GILT Bond
static TreasuryComponent	JGB(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Japanese Treasury JPY JGB Bond
static TreasuryComponent	MBONO(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Mexican Treasury MXN MBONO Bond
static TreasuryComponent	SPGB(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the Spanish Treasury EUR SPGB Bond
static TreasuryComponent	UST(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon)	Construct an Instance of the US Treasury USD UST Bond

Methods inherited from class java.lang.Object

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

Constructor Details

TreasuryBuilder

public TreasuryBuilder()

Method Details

AGB

public static final TreasuryComponent AGB(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Australian Treasury AUD AGB Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Australian Treasury AUD AGB Bond

BTPS

public static final TreasuryComponent BTPS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Italian Treasury EUR BTPS Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Italian Treasury EUR BTPS Bond

CAN

public static final TreasuryComponent CAN(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Canadian Government CAD CAN Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Canadian Government CAD CAN Bond

DBR

public static final TreasuryComponent DBR(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the German Treasury EUR DBR Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the German Treasury EUR DBR Bond

FRTR

public static final TreasuryComponent FRTR(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the French Treasury EUR FRTR Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the French Treasury EUR FRTR Bond

GGB

public static final TreasuryComponent GGB(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Greek Treasury EUR GGB Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Greek Treasury EUR GGB Bond

GILT

public static final TreasuryComponent GILT(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the UK Treasury GBP GILT Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the UK Treasury GBP GILT Bond

JGB

public static final TreasuryComponent JGB(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Japanese Treasury JPY JGB Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Japanese Treasury JPY JGB Bond

MBONO

public static final TreasuryComponent MBONO(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Mexican Treasury MXN MBONO Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Mexican Treasury MXN MBONO Bond

SPGB

public static final TreasuryComponent SPGB(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Spanish Treasury EUR SPGB Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Spanish Treasury EUR SPGB Bond

UST

public static final TreasuryComponent UST(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the US Treasury USD UST Bond

Parameters:

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the US Treasury USD UST Bond

FromCode

public static final TreasuryComponent FromCode(java.lang.String strCode,
JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon)

Construct an Instance of the Treasury Bond From the Code

Parameters:

strCode - The Treasury Code

dtEffective - Effective Date

dtMaturity - Maturity Date

dblCoupon - Coupon

Returns:

Instance of the Treasury Bond From the Code

FromCode

public static final TreasuryComponent[] FromCode(java.lang.String strCode,
JulianDate[] adtEffective,
JulianDate[] adtMaturity,
double[] adblCoupon)

Construct an Array of the Treasury Instances from the Code

Parameters:

strCode - The Treasury Code

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

Returns:

Array of the Treasury Instances from the Code