Package cdm.product.asset.floatingrate.functions

Class ApplyFloatingRateProcessing

java.lang.Object

cdm.product.asset.floatingrate.functions.ApplyFloatingRateProcessing

All Implemented Interfaces:

com.rosetta.model.lib.functions.RosettaFunction

Direct Known Subclasses:

ApplyFloatingRateProcessing.ApplyFloatingRateProcessingDefault

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ApplyFloatingRateProcessing.ApplyFloatingRateProcessingDefault

Field Summary

Fields

Modifier and Type	Field	Description
protected ApplyFloatingRatePostSpreadProcessing	applyFloatingRatePostSpreadProcessing
protected ApplyUSRateTreatment	applyUSRateTreatment
protected Max	max
protected com.rosetta.model.lib.functions.ModelObjectValidator	objectValidator

Constructor Summary

Constructors

Constructor	Description
ApplyFloatingRateProcessing()

Method Summary

Modifier and Type	Method	Description
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	added(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract FloatingRateProcessingDetails.FloatingRateProcessingDetailsBuilder	doEvaluate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<Boolean>	doInitialRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
FloatingRateProcessingDetails	evaluate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	initialRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	initialRatePluSpread(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	initialRatePlusSpread(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	multiplied(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	multipliedRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	multiplier(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	negativeTreatedRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	negativeTreatedRatePlusSpread(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<NegativeInterestRateTreatmentEnum>	negativeTreatment(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	ratePlusSpread(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	spreadRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)
protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal>	treatedRate(FloatingRateProcessingParameters processing, BigDecimal rawRate, CalculationPeriodBase calculationPeriod, Boolean isInitialPeriod)

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

applyFloatingRatePostSpreadProcessing

@Inject
protected ApplyFloatingRatePostSpreadProcessing applyFloatingRatePostSpreadProcessing

applyUSRateTreatment

@Inject
protected ApplyUSRateTreatment applyUSRateTreatment

max

@Inject
protected Max max

Constructor Details

ApplyFloatingRateProcessing

public ApplyFloatingRateProcessing()

Method Details

evaluate

public FloatingRateProcessingDetails evaluate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

Parameters:

processing - THe parameters to be used for processing, such as multipliers, spreads, cap rates, etc.

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

calculationPeriod - The calculation period for with the processing need to be performed.

isInitialPeriod - Is this the initial calculation period of the payout?

Returns:

details Results are details of the rate treatment.

doEvaluate

protected abstract FloatingRateProcessingDetails.FloatingRateProcessingDetailsBuilder doEvaluate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

multiplier

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> multiplier(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

multiplied

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> multiplied(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

multipliedRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> multipliedRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

treatedRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> treatedRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

negativeTreatment

protected abstract com.rosetta.model.lib.mapper.MapperS<NegativeInterestRateTreatmentEnum> negativeTreatment(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

negativeTreatedRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> negativeTreatedRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

spreadRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> spreadRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

added

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> added(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

ratePlusSpread

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> ratePlusSpread(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

negativeTreatedRatePlusSpread

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> negativeTreatedRatePlusSpread(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

doInitialRate

protected abstract com.rosetta.model.lib.mapper.MapperS<Boolean> doInitialRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

initialRate

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> initialRate(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

initialRatePluSpread

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> initialRatePluSpread(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)

initialRatePlusSpread

protected abstract com.rosetta.model.lib.mapper.MapperS<BigDecimal> initialRatePlusSpread(FloatingRateProcessingParameters processing,
 BigDecimal rawRate,
 CalculationPeriodBase calculationPeriod,
 Boolean isInitialPeriod)