Package cdm.observable.asset.calculatedrate.functions

Class EvaluateCalculatedRate

java.lang.Object

cdm.observable.asset.calculatedrate.functions.EvaluateCalculatedRate

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

EvaluateCalculatedRate.EvaluateCalculatedRateDefault

public abstract class EvaluateCalculatedRate
extends Object
implements com.rosetta.model.lib.functions.RosettaFunction

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	EvaluateCalculatedRate.EvaluateCalculatedRateDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected ApplyAveragingFormula	applyAveragingFormula
protected ApplyCompoundingFormula	applyCompoundingFormula
protected GenerateObservationDatesAndWeights	generateObservationDatesAndWeights
protected IndexValueObservationMultiple	indexValueObservationMultiple
protected com.rosetta.model.lib.functions.ModelObjectValidator	objectValidator
protected ProcessObservations	processObservations
protected YearFractionForOneDay	yearFractionForOneDay

Constructor Summary

Constructors

Constructor	Description
EvaluateCalculatedRate()

Method Summary

Modifier and Type	Method	Description
protected abstract com.rosetta.model.lib.mapper.MapperS<CalculationMethodEnum>	calculationMethod(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculatedRateDetails>	calculationResults(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculatedRateObservationDatesAndWeights>	datesAndWeights(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract FloatingRateSettingDetails.FloatingRateSettingDetailsBuilder	doEvaluate(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
FloatingRateSettingDetails	evaluate(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends FloatingRateOption>	fro(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperS<Boolean>	isCompounding(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date>	observationDates(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal>	observations(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal>	processedObservations(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal>	weights(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	yearFraction(FloatingRateOption floatingRateOption, FloatingRateCalculationParameters calculationParameters, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod, DayCountFractionEnum dayCount)

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

objectValidator

@Inject
protected com.rosetta.model.lib.functions.ModelObjectValidator objectValidator

applyAveragingFormula

@Inject
protected ApplyAveragingFormula applyAveragingFormula

applyCompoundingFormula

@Inject
protected ApplyCompoundingFormula applyCompoundingFormula

generateObservationDatesAndWeights

@Inject
protected GenerateObservationDatesAndWeights generateObservationDatesAndWeights

indexValueObservationMultiple

@Inject
protected IndexValueObservationMultiple indexValueObservationMultiple

processObservations

@Inject
protected ProcessObservations processObservations

yearFractionForOneDay

@Inject
protected YearFractionForOneDay yearFractionForOneDay

Constructor Details

EvaluateCalculatedRate

public EvaluateCalculatedRate()

Method Details

evaluate

public FloatingRateSettingDetails evaluate(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

Parameters:

floatingRateOption - The base floating rate inde.

calculationParameters - Floating rate definition for the calculated rate.

resetDates - Reset structure (needed only for fallback rates, otherwise will be empty).

calculationPeriod - Calculation period for which we want to determine the rate.

priorCalculationPeriod - The prior calculation period (needed only for set in advance observation shift rate.

dayCount - The day count fraction in effect on the stream.

Returns:

results detailed results of the floating rate calculation.

doEvaluate

protected abstract FloatingRateSettingDetails.FloatingRateSettingDetailsBuilder doEvaluate(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

fro

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends FloatingRateOption> fro(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

datesAndWeights

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculatedRateObservationDatesAndWeights> datesAndWeights(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

observationDates

protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> observationDates(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

observations

protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal> observations(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

processedObservations

protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal> processedObservations(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

calculationMethod

protected abstract com.rosetta.model.lib.mapper.MapperS<CalculationMethodEnum> calculationMethod(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

isCompounding

protected abstract com.rosetta.model.lib.mapper.MapperS<Boolean> isCompounding(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

weights

protected abstract com.rosetta.model.lib.mapper.MapperC<BigDecimal> weights(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

yearFraction

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> yearFraction(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)

calculationResults

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculatedRateDetails> calculationResults(FloatingRateOption floatingRateOption,
 FloatingRateCalculationParameters calculationParameters,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod,
 DayCountFractionEnum dayCount)