org.drip.analytics.output

Class BulletMetrics

java.lang.Object

org.drip.analytics.output.BulletMetrics

public class BulletMetrics
extends java.lang.Object

BulletMetrics holds the results of the Bullet Cash flow metrics estimate output.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BulletMetrics(int iTerminalDate, int iPayDate, double dblNotional, double dblSurvival, double dblDF, double dblFX, ConvexityAdjustment convAdj, CreditLabel creditLabel, FundingLabel fundingLabel, FXLabel fxLabel) BulletMetrics Constructor

Method Summary

Modifier and Type	Method and Description
double	annuity() Retrieve the Terminal Annuity in the Pay Currency
ConvexityAdjustment	convexityAdjustment() Retrieve the Terminal Convexity Adjustment
CreditLabel	creditLabel() Retrieve the Credit Label
double	df() Retrieve the Terminal DF
java.util.Map<java.lang.Integer,java.lang.Double>	discountFactorFundingLoading(FundingLabel fundingLabel) Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
FundingLabel	fundingLabel() Retrieve the Funding Label
double	fx() Retrieve the Terminal FX Rate
java.util.Map<java.lang.Integer,java.lang.Double>	fxFXLoading(FXLabel fxLabel) Retrieve the FX Loading Coefficient for the specified FX Latent State
FXLabel	fxLabel() Retrieve the FX Label
double	notional() Retrieve the Terminal Notional
int	payDate() Retrieve the Pay Date
double	survival() Retrieve the Terminal Survival Probability
java.util.Map<java.lang.Integer,java.lang.Double>	survivalProbabilityCreditLoading(CreditLabel creditLabel) Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
int	terminalDate() Retrieve the Terminal Date

Methods inherited from class java.lang.Object

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

Constructor Detail

BulletMetrics

public BulletMetrics(int iTerminalDate,
                     int iPayDate,
                     double dblNotional,
                     double dblSurvival,
                     double dblDF,
                     double dblFX,
                     ConvexityAdjustment convAdj,
                     CreditLabel creditLabel,
                     FundingLabel fundingLabel,
                     FXLabel fxLabel)
              throws java.lang.Exception

BulletMetrics Constructor

Parameters:

iTerminalDate - Terminal Date

iPayDate - Pay Date

dblNotional - Notional

dblSurvival - Terminal Survival

dblDF - Terminal Discount Factor

dblFX - Terminal FX Rate

convAdj - Terminal Convexity Adjustment

creditLabel - The Credit Label

fundingLabel - The Funding Label

fxLabel - The FX Label

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Detail

terminalDate

public int terminalDate()

Retrieve the Terminal Date

Returns:

The Terminal Date

payDate

public int payDate()

Retrieve the Pay Date

Returns:

The Pay Date

notional

public double notional()

Retrieve the Terminal Notional

Returns:

The Terminal Notional

survival

public double survival()

Retrieve the Terminal Survival Probability

Returns:

The Terminal Survival Probability

df

public double df()

Retrieve the Terminal DF

Returns:

The Terminal DF

fx

public double fx()

Retrieve the Terminal FX Rate

Returns:

The Terminal FX Rate

annuity

public double annuity()

Retrieve the Terminal Annuity in the Pay Currency

Returns:

The Terminal Annuity in the Pay Currency

convexityAdjustment

public ConvexityAdjustment convexityAdjustment()

Retrieve the Terminal Convexity Adjustment

Returns:

The Terminal Convexity Adjustment

survivalProbabilityCreditLoading

public java.util.Map<java.lang.Integer,java.lang.Double> survivalProbabilityCreditLoading(CreditLabel creditLabel)

Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State

Parameters:

creditLabel - The Credit Label

Returns:

The Terminal Survival Probability Loading Coefficient for the specified Credit Latent State

discountFactorFundingLoading

public java.util.Map<java.lang.Integer,java.lang.Double> discountFactorFundingLoading(FundingLabel fundingLabel)

Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State

Parameters:

fundingLabel - The Funding Label

Returns:

The Discount Factor Loading Coefficient for the specified Funding Latent State

fxFXLoading

public java.util.Map<java.lang.Integer,java.lang.Double> fxFXLoading(FXLabel fxLabel)

Retrieve the FX Loading Coefficient for the specified FX Latent State

Parameters:

fxLabel - The FX Label

Returns:

The FX Loading Coefficient for the specified FX Latent State

creditLabel

public CreditLabel creditLabel()

Retrieve the Credit Label

Returns:

The Credit Label

fundingLabel

public FundingLabel fundingLabel()

Retrieve the Funding Label

Returns:

The Funding Label

fxLabel

public FXLabel fxLabel()

Retrieve the FX Label

Returns:

The FX Label