Package cdm.observable.asset.calculatedrate.functions

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	DetermineWeightingDates.DetermineWeightingDatesDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected AppendDateToList	appendDateToList
protected GenerateObservationDates	generateObservationDates
protected GetAllBusinessCenters	getAllBusinessCenters

Constructor Summary

Constructors

Constructor	Description
DetermineWeightingDates()

Method Summary

Modifier and Type	Method	Description
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)
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, wait

Methods inherited from interface com.rosetta.model.lib.functions.RosettaFunction

toBuilder, toBuilder, toBuilder

Field Details

appendDateToList

@Inject
protected AppendDateToList appendDateToList

generateObservationDates

@Inject
protected GenerateObservationDates generateObservationDates

getAllBusinessCenters

@Inject
protected GetAllBusinessCenters getAllBusinessCenters

Constructor Details

DetermineWeightingDates

public DetermineWeightingDates()

Method Details

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

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)