Package cdm.product.asset

Interface BoundedVariance

All Superinterfaces:

com.rosetta.model.lib.RosettaModelObject

All Known Subinterfaces:

BoundedVariance.BoundedVarianceBuilder

All Known Implementing Classes:

BoundedVariance.BoundedVarianceBuilderImpl, BoundedVariance.BoundedVarianceImpl

@RosettaDataType(value="BoundedVariance",
                 builder=BoundedVarianceBuilderImpl.class,
                 version="5.30.0")
@RuneDataType(value="BoundedVariance",
              model="cdm",
              builder=BoundedVarianceBuilderImpl.class,
              version="5.30.0")
public interface BoundedVariance
extends com.rosetta.model.lib.RosettaModelObject

Version:

5.30.0

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static interface	BoundedVariance.BoundedVarianceBuilder	Builder Interface
static class	BoundedVariance.BoundedVarianceBuilderImpl	Builder Implementation of BoundedVariance
static class	BoundedVariance.BoundedVarianceImpl	Immutable Implementation of BoundedVariance

Field Summary

Fields

Modifier and Type	Field	Description
static final BoundedVarianceMeta	metaData

Method Summary

Modifier and Type	Method	Description
BoundedVariance	build()	Build Methods
static BoundedVariance.BoundedVarianceBuilder	builder()
Boolean	getDaysInRangeAdjustment()	The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N.
BigDecimal	getLowerBarrier()	All observations below this price level will be excluded from the variance calculation.
RealisedVarianceMethodEnum	getRealisedVarianceMethod()	The contract specifies which price must satisfy the boundary condition.
default Class<? extends BoundedVariance>	getType()
BigDecimal	getUpperBarrier()	All observations above this price level will be excluded from the variance calculation.
default com.rosetta.model.lib.meta.RosettaMetaData<? extends BoundedVariance>	metaData()	Utility Methods
default void	process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
BoundedVariance.BoundedVarianceBuilder	toBuilder()

Methods inherited from interface com.rosetta.model.lib.RosettaModelObject

processRosetta, processRosetta

Field Details

metaData

static final BoundedVarianceMeta metaData

Method Details

getRealisedVarianceMethod

RealisedVarianceMethodEnum getRealisedVarianceMethod()

The contract specifies which price must satisfy the boundary condition.

getDaysInRangeAdjustment

Boolean getDaysInRangeAdjustment()

The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N. The number of Days in Ranges refers to the number of returns that contribute to the realized volatility.

getUpperBarrier

BigDecimal getUpperBarrier()

All observations above this price level will be excluded from the variance calculation.

getLowerBarrier

BigDecimal getLowerBarrier()

All observations below this price level will be excluded from the variance calculation.

build

BoundedVariance build()

Build Methods

Specified by:

build in interface com.rosetta.model.lib.RosettaModelObject

toBuilder

BoundedVariance.BoundedVarianceBuilder toBuilder()

Specified by:

toBuilder in interface com.rosetta.model.lib.RosettaModelObject

builder

static BoundedVariance.BoundedVarianceBuilder builder()

metaData

default com.rosetta.model.lib.meta.RosettaMetaData<? extends BoundedVariance> metaData()

Utility Methods

Specified by:

metaData in interface com.rosetta.model.lib.RosettaModelObject

getType

@RuneAttribute("@type")
default Class<? extends BoundedVariance> getType()

Specified by:

getType in interface com.rosetta.model.lib.RosettaModelObject

process

default void process(com.rosetta.model.lib.path.RosettaPath path,
 com.rosetta.model.lib.process.Processor processor)

Specified by:

process in interface com.rosetta.model.lib.RosettaModelObject