org.drip.analytics.output

Class BondRVMeasures

java.lang.Object

org.drip.analytics.output.BondRVMeasures

public class BondRVMeasures
extends java.lang.Object

BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the appropriate exercise: - Workout Information - Price, Yield, and Yield01 - Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z - Basis Measures: Bond Basis, Credit Basis, Yield Basis - Duration Measures: Macaulay/Modified Duration, Convexity

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BondRVMeasures(double dblPrice, double dblBondBasis, double dblZSpread, double dblGSpread, double dblISpread, double dblOASpread, double dblTSYSpread, double dblDiscountMargin, double dblAssetSwapSpread, double dblCreditBasis, double dblPECS, double dblYield01, double dblModifiedDuration, double dblMacaulayDuration, double dblConvexity, WorkoutInfo wi) BondRVMeasures ctr

Method Summary

Modifier and Type	Method and Description
double	asw() Retrieve the Asset Swap Spread
double	bondBasis() Retrieve the Bond Basis
double	convexity() Retrieve the Convexity
double	creditBasis() Retrieve the Credit Basis
double	discountMargin() Retrieve the Discount Margin
double	gSpread() Retrieve the G Spread
double	iSpread() Retrieve the I Spread
double	macaulayDuration() Retrieve the Macaulay Duration
double	modifiedDuration() Retrieve the Modified Duration
double	oas() Retrieve the OAS
double	pecs() Retrieve the PECS
double	price() Retrieve the Price
CaseInsensitiveTreeMap<java.lang.Double>	toMap(java.lang.String strPrefix) Return the state as a measure map
double	tsySpread() Retrieve the TSY Spread
WorkoutInfo	wi() Retrieve the Work-out Info
double	yield01() Retrieve the Yield01
double	zSpread() Retrieve the Z Spread

Methods inherited from class java.lang.Object

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

Constructor Detail

BondRVMeasures

public BondRVMeasures(double dblPrice,
                      double dblBondBasis,
                      double dblZSpread,
                      double dblGSpread,
                      double dblISpread,
                      double dblOASpread,
                      double dblTSYSpread,
                      double dblDiscountMargin,
                      double dblAssetSwapSpread,
                      double dblCreditBasis,
                      double dblPECS,
                      double dblYield01,
                      double dblModifiedDuration,
                      double dblMacaulayDuration,
                      double dblConvexity,
                      WorkoutInfo wi)
               throws java.lang.Exception

BondRVMeasures ctr

Parameters:

dblPrice - BondRV Clean Price

dblBondBasis - BondRV Bond Basis

dblZSpread - BondRV Z Spread

dblGSpread - BondRV G Spread

dblISpread - BondRV I Spread

dblOASpread - BondRV OAS

dblTSYSpread - BondRV TSY Spread

dblDiscountMargin - BondRV Asset Swap Spread

dblAssetSwapSpread - BondRV Asset Swap Spread

dblCreditBasis - BondRV Credit Basis

dblPECS - BondRV PECS

dblYield01 - BondRV Yield01

dblModifiedDuration - BondRV Modified Duration

dblMacaulayDuration - BondRV Macaulay Duration

dblConvexity - BondRV Convexity

wi - BondRV work-out info

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

wi

public WorkoutInfo wi()

Retrieve the Work-out Info

Returns:

Work-out Info

pecs

public double pecs()

Retrieve the PECS

Returns:

PECS

price

public double price()

Retrieve the Price

Returns:

Price

gSpread

public double gSpread()

Retrieve the G Spread

Returns:

G Spread

iSpread

public double iSpread()

Retrieve the I Spread

Returns:

I Spread

yield01

public double yield01()

Retrieve the Yield01

Returns:

Yield01

zSpread

public double zSpread()

Retrieve the Z Spread

Returns:

Z Spread

oas

public double oas()

Retrieve the OAS

Returns:

OAS

bondBasis

public double bondBasis()

Retrieve the Bond Basis

Returns:

Bond Basis

convexity

public double convexity()

Retrieve the Convexity

Returns:

Convexity

tsySpread

public double tsySpread()

Retrieve the TSY Spread

Returns:

TSY Spread

creditBasis

public double creditBasis()

Retrieve the Credit Basis

Returns:

Credit Basis

discountMargin

public double discountMargin()

Retrieve the Discount Margin

Returns:

Discount Margin

asw

public double asw()

Retrieve the Asset Swap Spread

Returns:

Asset Swap Spread

macaulayDuration

public double macaulayDuration()

Retrieve the Macaulay Duration

Returns:

Macaulay Duration

modifiedDuration

public double modifiedDuration()

Retrieve the Modified Duration

Returns:

Modified Duration

toMap

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

Return the state as a measure map

Parameters:

strPrefix - RV Measure name prefix

Returns:

Map of the RV measures