Package cdm.product.asset.floatingrate.functions

Class ApplyCapsAndFloors

java.lang.Object

cdm.product.asset.floatingrate.functions.ApplyCapsAndFloors

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

ApplyCapsAndFloors.ApplyCapsAndFloorsDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ApplyCapsAndFloors.ApplyCapsAndFloorsDefault

Constructor Summary

Constructors

Constructor	Description
ApplyCapsAndFloors()

Method Summary

Modifier and Type	Method	Description
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	cap(FloatingRateProcessingParameters processing, BigDecimal inputRate)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	cappedRate(FloatingRateProcessingParameters processing, BigDecimal inputRate)
protected abstract BigDecimal	doEvaluate(FloatingRateProcessingParameters processing, BigDecimal inputRate)
BigDecimal	evaluate(FloatingRateProcessingParameters processing, BigDecimal inputRate)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	floor(FloatingRateProcessingParameters processing, BigDecimal inputRate)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	flooredRate(FloatingRateProcessingParameters processing, BigDecimal inputRate)

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

Constructor Details

ApplyCapsAndFloors

public ApplyCapsAndFloors()

Method Details

evaluate

public BigDecimal evaluate(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)

Parameters:

processing -

inputRate - The floating rate prior to treatment, either a single term rate, or a calculated rate such as an OIS or lookback compounded rate.

Returns:

cappedAndFlooredRate The rate after application of cap and/or floor.

doEvaluate

protected abstract BigDecimal doEvaluate(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)

cap

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> cap(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)

floor

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> floor(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)

cappedRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> cappedRate(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)

flooredRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> flooredRate(FloatingRateProcessingParameters processing,
 BigDecimal inputRate)