Package | Description |
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org.drip.product.creator | |
org.drip.product.rates |
Modifier and Type | Method and Description |
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static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR)
Create a cash product from effective and maturity dates, and the IR curve
|
static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR)
Create the cash product from the effective date, tenor, and the IR curve name.
|
static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR,
java.lang.String strCode)
Create a cash product from effective date, tenor, IR curve name, and code.
|
static RatesComponent |
EDFutureBuilder.CreateEDF(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR)
Create an EDF product from the effective and maturity dates, and the IR curve
|
static RatesComponent |
EDFutureBuilder.CreateEDF(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR)
Create an EDF product from the effective date, the tenor, and the IR curve
|
static RatesComponent |
EDFutureBuilder.CreateEDF(java.lang.String strFullEDCode,
JulianDate dt,
java.lang.String strIR)
Create an EDF product from the effective date, the product code, and the IR curve
|
static RatesComponent |
RatesStreamBuilder.CreateFixedStream(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCalendar)
Create a Fixed Stream instance from effective/maturity dates, coupon, and IR curve name
|
static RatesComponent |
RatesStreamBuilder.CreateFloatingStream(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Create a Floating Stream instance from effective/maturity dates, coupon, IR curve name, and floater
index
|
static RatesComponent |
RatesStreamBuilder.CreateIRS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Create an IRS product from effective/maturity dates, coupon, and IR curve name/rate index
|
static RatesComponent |
RatesStreamBuilder.CreateIRS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Create an IRS product from effective date, tenor, coupon, and IR curve name/rate index
|
static RatesComponent |
RatesStreamBuilder.FixedStreamFromByteArray(byte[] ab)
Create a Fixed Stream Instance from the byte array
|
static RatesComponent |
RatesStreamBuilder.FloatingStreamFromByteArray(byte[] ab)
Create a Floating Stream Instance from the byte array
|
static RatesComponent |
EDFutureBuilder.FromByteArray(byte[] ab)
Create a EDFuture Instance from the byte array
|
static RatesComponent |
CashBuilder.FromByteArray(byte[] ab)
Create a Cash Instance from the byte array
|
static RatesComponent[] |
EDFutureBuilder.GenerateEDPack(JulianDate dt,
int iNumEDF,
java.lang.String strCurrency)
Generate a EDF pack with the specified number of contracts
|
static RatesComponent |
RatesStreamBuilder.IRSFromByteArray(byte[] ab)
Create a IRS Instance from the byte array
|
Modifier and Type | Class and Description |
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class |
CashComponent
CashComponent contains the implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
EDFComponent contains the implementation of the Euro-dollar future contract/valuation (EDF).
|
class |
FixedStream
FixedStream contains an implementation of the Fixed leg cash flow stream.
|
class |
FloatFloatComponent
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product
contract/valuation details.
|
class |
FloatingStream
FloatingStream contains an implementation of the Floating leg cash flow stream.
|
class |
IRSComponent
IRSComponent contains the implementation of the Interest Rate Swap product contract/valuation details.
|
Modifier and Type | Method and Description |
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RatesComponent |
IRSComponent.getFixedStream()
Retrieve the Fixed Stream
|
RatesComponent |
IRSComponent.getFloatStream()
Retrieve the Floating Stream
|
Constructor and Description |
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IRSComponent(RatesComponent fixStream,
RatesComponent floatStream)
Construct the IRSComponent from the fixed and the floating streams
|