public class FloatingStream extends RatesComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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FloatingStream(byte[] ab)
FloatingStream de-serialization from input byte array
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FloatingStream(double dblEffective,
double dblMaturity,
double dblSpread,
FloatingRateIndex fri,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
boolean bFullStub,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
java.lang.String strCalendar)
FloatingStream constructor
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Modifier and Type | Method and Description |
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WengertJacobian |
calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
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WengertJacobian |
calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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PredictorResponseWeightConstraint |
generateCalibPRLC(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
LatentStateMetricMeasure lsmm)
Generate the Calibratable Linearized Predictor/Response Constraints for the Component from the Market
Inputs.
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java.util.List<CashflowPeriod> |
getCashFlowPeriod()
Get the Component's Cash Flow Periods
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CashSettleParams |
getCashSettleParams()
Get the component cash settlement parameters
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java.lang.String |
getComponentName()
Get the component name
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double |
getCoupon(double dblValueDate,
ComponentMarketParams mktParams)
Get the component's coupon at the given date
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java.lang.String |
getCreditCurveName()
Get the credit curve name
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java.lang.String |
getEDSFCurveName()
Get the EDSF curve name
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JulianDate |
getEffectiveDate()
Get the Effective Date
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java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String
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JulianDate |
getFirstCouponDate()
Get the First Coupon Date
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java.lang.String |
getForwardCurveName()
Get the Forward Curve Name
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double |
getInitialNotional()
Get the Initial Notional for the Component
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java.lang.String |
getIRCurveName()
Get the IR curve name
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JulianDate |
getMaturityDate()
Get the Maturity Date
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java.util.Set<java.lang.String> |
getMeasureNames()
Retrieve the ordered set of the measure names whose values will be calculated
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double |
getNotional(double dblDate)
Get the Notional for the Component at the given date
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double |
getNotional(double dblDate1,
double dblDate2)
Get the time-weighted Notional for the Component between 2 dates
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java.lang.String |
getObjectTrailer()
Returns the Object Trailer String
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java.lang.String |
getPrimaryCode()
Return the primary code
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java.lang.String |
getTreasuryCurveName()
Get the treasury curve name
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static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()
Serialize into a byte array.
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boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Set the component's IR, treasury, and credit curve names
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void |
setPrimaryCode(java.lang.String strCode)
Set the component's primary code
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CaseInsensitiveTreeMap<java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generate a full list of the component measures for the full input set of market parameters
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getSecondaryCode, terminalDate
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, tenor
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter
public FloatingStream(double dblEffective, double dblMaturity, double dblSpread, FloatingRateIndex fri, int iFreq, java.lang.String strCouponDC, java.lang.String strAccrualDC, boolean bFullStub, DateAdjustParams dapEffective, DateAdjustParams dapMaturity, DateAdjustParams dapPeriodStart, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualStart, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPay, DateAdjustParams dapReset, FactorSchedule notlSchedule, double dblNotional, java.lang.String strIR, java.lang.String strCalendar) throws java.lang.Exception
dblEffective
- Effective DatedblMaturity
- Maturity DatedblSpread
- Spreadfri
- Floating Rate IndexiFreq
- FrequencystrCouponDC
- Coupon Day CountstrAccrualDC
- Accrual Day CountbFullStub
- TRUE => Generate full first-stubdapEffective
- Effective DAPdapMaturity
- Maturity DAPdapPeriodStart
- Period Start DAPdapPeriodEnd
- Period End DAPdapAccrualStart
- Accrual Start DAPdapAccrualEnd
- Accrual End DAPdapPay
- Pay DAPdapReset
- Reset DAPnotlSchedule
- Notional ScheduledblNotional
- Initial Notional AmountstrIR
- IR CurvestrCalendar
- Calendarjava.lang.Exception
- Thrown if inputs are invalidpublic FloatingStream(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if FloatingStream cannot be properly de-serializedpublic java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic java.lang.String getComponentName()
ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
public double getInitialNotional()
Component
getInitialNotional
in class Component
public double getNotional(double dblDate) throws java.lang.Exception
Component
getNotional
in class Component
dblDate
- Double date inputjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
Component
getNotional
in class Component
dblDate1
- Double date firstdblDate2
- Double date secondjava.lang.Exception
- Thrown if Notional cannot be computedpublic boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
Component
public double getCoupon(double dblValueDate, ComponentMarketParams mktParams) throws java.lang.Exception
Component
public java.lang.String getIRCurveName()
ComponentMarketParamRef
public java.lang.String getForwardCurveName()
ComponentMarketParamRef
public java.lang.String getCreditCurveName()
ComponentMarketParamRef
public JulianDate getEffectiveDate()
Component
getEffectiveDate
in class Component
public JulianDate getMaturityDate()
Component
getMaturityDate
in class Component
public JulianDate getFirstCouponDate()
Component
getFirstCouponDate
in class Component
public java.util.List<CashflowPeriod> getCashFlowPeriod()
Component
getCashFlowPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
Component
public java.util.Set<java.lang.String> getMeasureNames()
Component
getMeasureNames
in class Component
public WengertJacobian calcPVDFMicroJack(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcPVDFMicroJack
in class CalibratableComponent
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic WengertJacobian calcQuoteDFMicroJack(java.lang.String strQuote, ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcQuoteDFMicroJack
in class CalibratableComponent
strQuote
- Quote NamevalParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic PredictorResponseWeightConstraint generateCalibPRLC(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, LatentStateMetricMeasure lsmm)
CalibratableComponent
generateCalibPRLC
in class CalibratableComponent
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterslsmm
- The Latent State Metric and the Component Measurepublic java.lang.String getFieldDelimiter()
Serializer
getFieldDelimiter
in class Serializer
public java.lang.String getObjectTrailer()
Serializer
getObjectTrailer
in class Serializer
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static final void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception