Package cdm.observable.asset.calculatedrate.functions

Class GenerateWeightings

java.lang.Object

cdm.observable.asset.calculatedrate.functions.GenerateWeightings

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

GenerateWeightings.GenerateWeightingsDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	GenerateWeightings.GenerateWeightingsDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected DetermineWeightingDates	determineWeightingDates
protected GenerateWeights	generateWeights

Constructor Summary

Constructors

Constructor	Description
GenerateWeightings()

Method Summary

Modifier and Type	Method	Description
protected abstract List<BigDecimal>	doEvaluate(FloatingRateCalculationParameters calculationParams, List<com.rosetta.model.lib.records.Date> observationDates, CalculationPeriodBase observationPeriod, CalculationPeriodBase adjustedCalculationPeriod, Integer lockoutDays)
List<BigDecimal>	evaluate(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>	weightingDates(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

determineWeightingDates

@Inject
protected DetermineWeightingDates determineWeightingDates

generateWeights

@Inject
protected GenerateWeights generateWeights

Constructor Details

GenerateWeightings

public GenerateWeightings()

Method Details

evaluate

public List<BigDecimal> 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:

weights A vector of weights, typically numbers between 1 and 3.

doEvaluate

protected abstract List<BigDecimal> doEvaluate(FloatingRateCalculationParameters calculationParams,
 List<com.rosetta.model.lib.records.Date> observationDates,
 CalculationPeriodBase observationPeriod,
 CalculationPeriodBase adjustedCalculationPeriod,
 Integer lockoutDays)

weightingDates

protected abstract com.rosetta.model.lib.mapper.MapperC<com.rosetta.model.lib.records.Date> weightingDates(FloatingRateCalculationParameters calculationParams,
 List<com.rosetta.model.lib.records.Date> observationDates,
 CalculationPeriodBase observationPeriod,
 CalculationPeriodBase adjustedCalculationPeriod,
 Integer lockoutDays)