Package cdm.observable.asset.calculatedrate.functions

Class GenerateObservationDatesAndWeights

java.lang.Object

cdm.observable.asset.calculatedrate.functions.GenerateObservationDatesAndWeights

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

GenerateObservationDatesAndWeights.GenerateObservationDatesAndWeightsDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	GenerateObservationDatesAndWeights.GenerateObservationDatesAndWeightsDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected ComputeCalculationPeriod	computeCalculationPeriod
protected DetermineObservationPeriod	determineObservationPeriod
protected GenerateObservationDates	generateObservationDates
protected GenerateWeightings	generateWeightings
protected GetAllBusinessCenters	getAllBusinessCenters
protected com.rosetta.model.lib.functions.ModelObjectValidator	objectValidator

Constructor Summary

Constructors

Constructor	Description
GenerateObservationDatesAndWeights()

Method Summary

Modifier and Type	Method	Description
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase>	adjustedCalculationPeriod(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperC<BusinessCenterEnum>	businessDays(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<ObservationPeriodDatesEnum>	calculateRelative(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract CalculatedRateObservationDatesAndWeights.CalculatedRateObservationDatesAndWeightsBuilder	doEvaluate(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
CalculatedRateObservationDatesAndWeights	evaluate(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends OffsetCalculation>	lockout(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<Integer>	lockoutDays(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date>	observationDates(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase>	observationPeriod(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends ObservationShiftCalculation>	obsShift(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<Integer>	specifiedLockout(FloatingRateCalculationParameters calculationParams, ResetDates resetDates, CalculationPeriodBase calculationPeriod, CalculationPeriodBase priorCalculationPeriod)

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

computeCalculationPeriod

@Inject
protected ComputeCalculationPeriod computeCalculationPeriod

determineObservationPeriod

@Inject
protected DetermineObservationPeriod determineObservationPeriod

generateObservationDates

@Inject
protected GenerateObservationDates generateObservationDates

generateWeightings

@Inject
protected GenerateWeightings generateWeightings

getAllBusinessCenters

@Inject
protected GetAllBusinessCenters getAllBusinessCenters

Constructor Details

GenerateObservationDatesAndWeights

public GenerateObservationDatesAndWeights()

Method Details

evaluate

public CalculatedRateObservationDatesAndWeights evaluate(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

Parameters:

calculationParams - 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.

Returns:

results observation dates and corresponding weight.

doEvaluate

protected abstract CalculatedRateObservationDatesAndWeights.CalculatedRateObservationDatesAndWeightsBuilder doEvaluate(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

obsShift

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends ObservationShiftCalculation> obsShift(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

lockout

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends OffsetCalculation> lockout(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

specifiedLockout

protected abstract com.rosetta.model.lib.mapper.MapperS<Integer> specifiedLockout(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

lockoutDays

protected abstract com.rosetta.model.lib.mapper.MapperS<Integer> lockoutDays(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

businessDays

protected abstract com.rosetta.model.lib.mapper.MapperC<BusinessCenterEnum> businessDays(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

calculateRelative

protected abstract com.rosetta.model.lib.mapper.MapperS<ObservationPeriodDatesEnum> calculateRelative(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

adjustedCalculationPeriod

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase> adjustedCalculationPeriod(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

observationPeriod

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends CalculationPeriodBase> observationPeriod(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)

observationDates

protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> observationDates(FloatingRateCalculationParameters calculationParams,
 ResetDates resetDates,
 CalculationPeriodBase calculationPeriod,
 CalculationPeriodBase priorCalculationPeriod)