org.drip.analytics.output

Class BondCouponMeasures

java.lang.Object

org.drip.analytics.output.BondCouponMeasures

public class BondCouponMeasures
extends java.lang.Object

This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures generated out of a full bond analytics run to a given work-out. These are: - DV01 - PV Measures (Coupon PV, Index Coupon PV, PV)

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BondCouponMeasures(double dblDV01, double dblIndexCouponPV, double dblCouponPV, double dblPV) BondCouponMeasures constructor

Method Summary

Modifier and Type	Method and Description
boolean	adjustForAccrual(double dblAccrued01, double dblCoupon, double dblIndex, boolean bDirtyFromClean) Adjust Measures for accrued
boolean	adjustForSettlement(double dblCashPayDF) Adjust the bond coupon measures by a cash settlement discount factor
double	couponPV() Retrieve the Coupon PV
double	dv01() Retrieve the DV01
double	indexCouponPV() Retrieve the Index Coupon PV
double	pv() Retrieve the PV
CaseInsensitiveTreeMap<java.lang.Double>	toMap(java.lang.String strPrefix) Return the state as a named measure map

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BondCouponMeasures

public BondCouponMeasures(double dblDV01,
                          double dblIndexCouponPV,
                          double dblCouponPV,
                          double dblPV)
                   throws java.lang.Exception

BondCouponMeasures constructor

Parameters:

dblDV01 - DV01

dblIndexCouponPV - Index Coupon PV

dblCouponPV - Coupon PV

dblPV - PV

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

adjustForSettlement

public boolean adjustForSettlement(double dblCashPayDF)

Adjust the bond coupon measures by a cash settlement discount factor

Parameters:

dblCashPayDF - Cash Pay discount factor

Returns:

TRUE - if the adjustment has been successfully applied

dv01

public double dv01()

Retrieve the DV01

Returns:

DV01

indexCouponPV

public double indexCouponPV()

Retrieve the Index Coupon PV

Returns:

Index Coupon PV

couponPV

public double couponPV()

Retrieve the Coupon PV

Returns:

Coupon PV

pv

public double pv()

Retrieve the PV

Returns:

PV

adjustForAccrual

public boolean adjustForAccrual(double dblAccrued01,
                                double dblCoupon,
                                double dblIndex,
                                boolean bDirtyFromClean)

Adjust Measures for accrued

Parameters:

dblAccrued01 - Accrued 01

dblCoupon - Coupon during the accrued phase

dblIndex - Index Rate during the accrued phase

bDirtyFromClean - True - Change measures from Clean to Dirty

Returns:

True - if the adjustment has been successfully applied

toMap

public CaseInsensitiveTreeMap<java.lang.Double> toMap(java.lang.String strPrefix)

Return the state as a named measure map

Parameters:

strPrefix - Measure name prefix

Returns:

Map of the measures