Class DetermineWeightingDates
java.lang.Object
cdm.observable.asset.calculatedrate.functions.DetermineWeightingDates
- All Implemented Interfaces:
com.rosetta.model.lib.functions.RosettaFunction
- Direct Known Subclasses:
DetermineWeightingDates.DetermineWeightingDatesDefault
public abstract class DetermineWeightingDates
extends Object
implements com.rosetta.model.lib.functions.RosettaFunction
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Nested Class Summary
Nested ClassesModifier and TypeClassDescriptionstatic class -
Field Summary
FieldsModifier and TypeFieldDescriptionprotected AppendDateToListprotected GenerateObservationDatesprotected GetAllBusinessCenters -
Constructor Summary
Constructors -
Method Summary
Modifier and TypeMethodDescriptionprotected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> baseWeightingDates(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract com.rosetta.model.lib.mapper.MapperC<BusinessCenterEnum> businessCenters(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract List<com.rosetta.model.lib.records.Date> doEvaluate(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) List<com.rosetta.model.lib.records.Date> evaluate(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract com.rosetta.model.lib.mapper.MapperS<? extends OffsetCalculation> lookback(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract com.rosetta.model.lib.mapper.MapperS<? extends ObservationShiftCalculation> obsShift(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> weightingDatesAll(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase> wtPeriod(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitMethods inherited from interface com.rosetta.model.lib.functions.RosettaFunction
toBuilder, toBuilder, toBuilder
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Field Details
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appendDateToList
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generateObservationDates
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getAllBusinessCenters
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Constructor Details
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DetermineWeightingDates
public DetermineWeightingDates()
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Method Details
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evaluate
public List<com.rosetta.model.lib.records.Date> evaluate(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) - Parameters:
calculationParams- Floating rate definition for the calculated rate.observationDates-observationPeriod- The resulting observation period.adjustedCalculationPeriod- The calculation period for which the rate is being computed, after any adjustment.lockoutDays- The number of lockout day.- Returns:
- weightingDates
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doEvaluate
protected abstract List<com.rosetta.model.lib.records.Date> doEvaluate(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
obsShift
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends ObservationShiftCalculation> obsShift(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
lookback
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends OffsetCalculation> lookback(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
businessCenters
protected abstract com.rosetta.model.lib.mapper.MapperC<BusinessCenterEnum> businessCenters(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
baseWeightingDates
protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> baseWeightingDates(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
wtPeriod
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase> wtPeriod(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays) -
weightingDatesAll
protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> weightingDatesAll(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays)
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