Package cdm.product.asset.floatingrate.functions

Class ApplyFloatingRatePostSpreadProcessing

java.lang.Object

cdm.product.asset.floatingrate.functions.ApplyFloatingRatePostSpreadProcessing

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

ApplyFloatingRatePostSpreadProcessing.ApplyFloatingRatePostSpreadProcessingDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ApplyFloatingRatePostSpreadProcessing.ApplyFloatingRatePostSpreadProcessingDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected ApplyCapsAndFloors	applyCapsAndFloors
protected ApplyFinalRateRounding	applyFinalRateRounding

Constructor Summary

Constructors

Constructor	Description
ApplyFloatingRatePostSpreadProcessing()

Method Summary

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

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

applyCapsAndFloors

@Inject
protected ApplyCapsAndFloors applyCapsAndFloors

applyFinalRateRounding

@Inject
protected ApplyFinalRateRounding applyFinalRateRounding

Constructor Details

ApplyFloatingRatePostSpreadProcessing

public ApplyFloatingRatePostSpreadProcessing()

Method Details

evaluate

public BigDecimal evaluate(BigDecimal inputRate,
 FloatingRateProcessingParameters processing)

Parameters:

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

processing -

Returns:

processedRate rate after post-spread processing.

doEvaluate

protected abstract BigDecimal doEvaluate(BigDecimal inputRate,
 FloatingRateProcessingParameters processing)

cappedAndFlooredRate

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