Package cdm.product.asset.calculation.functions

Class CalculateFloatingCashFlow

java.lang.Object

cdm.product.asset.calculation.functions.CalculateFloatingCashFlow

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

CalculateFloatingCashFlow.CalculateFloatingCashFlowDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CalculateFloatingCashFlow.CalculateFloatingCashFlowDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected CalculateYearFraction	calculateYearFraction
protected com.rosetta.model.lib.functions.ModelObjectValidator	objectValidator

Constructor Summary

Constructors

Constructor	Description
CalculateFloatingCashFlow()

Method Summary

Modifier and Type	Method	Description
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	annualAccrual(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	appliedRate(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	cashflow(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<? extends FieldWithMetaDayCountFractionEnum>	dcf(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract FloatingAmountCalculationDetails.FloatingAmountCalculationDetailsBuilder	doEvaluate(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
FloatingAmountCalculationDetails	evaluate(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	notionalAccrual(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	spreadExclusiveCashflow(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	spreadExclusiveRate(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	yearFraction(InterestRatePayout interestRatePayout, CalculationPeriodBase calculationPeriod, BigDecimal notional, String currency, FloatingRateSettingDetails floatingRateSetting, FloatingRateProcessingDetails processedRateDetails)

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

calculateYearFraction

@Inject
protected CalculateYearFraction calculateYearFraction

Constructor Details

CalculateFloatingCashFlow

public CalculateFloatingCashFlow()

Method Details

evaluate

public FloatingAmountCalculationDetails evaluate(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

Parameters:

interestRatePayout - The interest rate stream for which the floating amount calculation is being done.

calculationPeriod - The calculation period for which the floating rate calculation is being done.

notional -

currency -

floatingRateSetting - Details of the rate observation/calculation corresponding to the supplied rate definition and calculation period.

processedRateDetails - Results are details of the rate treatment.

Returns:

result The details of the floating rate calculation, including raw rate, rate treatment details, notional, and calculated cashflow amount.

doEvaluate

protected abstract FloatingAmountCalculationDetails.FloatingAmountCalculationDetailsBuilder doEvaluate(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

appliedRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> appliedRate(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

spreadExclusiveRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> spreadExclusiveRate(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

dcf

protected abstract com.rosetta.model.lib.mapper.MapperS<? extends FieldWithMetaDayCountFractionEnum> dcf(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

yearFraction

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> yearFraction(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

annualAccrual

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> annualAccrual(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

notionalAccrual

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> notionalAccrual(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

cashflow

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> cashflow(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)

spreadExclusiveCashflow

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> spreadExclusiveCashflow(InterestRatePayout interestRatePayout,
 CalculationPeriodBase calculationPeriod,
 BigDecimal notional,
 String currency,
 FloatingRateSettingDetails floatingRateSetting,
 FloatingRateProcessingDetails processedRateDetails)