org.drip.analytics.output

Class ConvexityAdjustment

java.lang.Object

org.drip.analytics.output.ConvexityAdjustment

public class ConvexityAdjustment
extends java.lang.Object

ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ConvexityAdjustment() Empty ConvexityAdjustment Constructor

Method Summary

Modifier and Type	Method and Description
double	collateralCredit() Retrieve the Collateral/Credit Convexity Adjustment
double	collateralForward() Retrieve the Collateral/Forward Convexity Adjustment
double	collateralFunding() Retrieve the Collateral/Funding Convexity Adjustment
double	collateralFX() Retrieve the Collateral/FX Convexity Adjustment
double	creditForward() Retrieve the Credit/Forward Convexity Adjustment
double	creditFunding() Retrieve the Credit/Funding Convexity Adjustment
double	creditFX() Retrieve the Credit/FX Convexity Adjustment
double	cumulative() Retrieve the Cumulative Convexity Correction
double	forwardFunding() Retrieve the Forward/Funding Convexity Adjustment
double	forwardFX() Retrieve the Forward/FX Convexity Adjustment
double	fundingFX() Retrieve the Funding/FX Convexity Adjustment
boolean	setCollateralCredit(double dblCollateralCredit) Set the Collateral/Credit Convexity Adjustment
boolean	setCollateralForward(double dblCollateralForward) Set the Collateral/Forward Convexity Adjustment
boolean	setCollateralFunding(double dblCollateralFunding) Set the Collateral/Funding Convexity Adjustment
boolean	setCollateralFX(double dblCollateralFX) Set the Collateral/FX Convexity Adjustment
boolean	setCreditForward(double dblCreditForward) Set the Credit/Forward Convexity Adjustment
boolean	setCreditFunding(double dblCreditFunding) Set the Credit/Funding Convexity Adjustment
boolean	setCreditFX(double dblCreditFX) Set the Credit/FX Convexity Adjustment
boolean	setForwardFunding(double dblForwardFunding) Set the Forward/Funding Convexity Adjustment
boolean	setForwardFX(double dblForwardFX) Set the Forward/FX Convexity Adjustment
boolean	setFundingFX(double dblFundingFX) Set the Funding/FX Convexity Adjustment

Methods inherited from class java.lang.Object

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

Constructor Detail

ConvexityAdjustment

public ConvexityAdjustment()

Empty ConvexityAdjustment Constructor

Method Detail

setCollateralCredit

public boolean setCollateralCredit(double dblCollateralCredit)

Set the Collateral/Credit Convexity Adjustment

Parameters:

dblCollateralCredit - The Collateral/Credit Convexity Adjustment

Returns:

TRUE - The Collateral/Credit Convexity Adjustment successfully set

collateralCredit

public double collateralCredit()

Retrieve the Collateral/Credit Convexity Adjustment

Returns:

The Collateral/Credit Convexity Adjustment

setCollateralForward

public boolean setCollateralForward(double dblCollateralForward)

Set the Collateral/Forward Convexity Adjustment

Parameters:

dblCollateralForward - The Collateral/Forward Convexity Adjustment

Returns:

TRUE - The Collateral/Forward Convexity Adjustment successfully set

collateralForward

public double collateralForward()

Retrieve the Collateral/Forward Convexity Adjustment

Returns:

The Collateral/Forward Convexity Adjustment

setCollateralFunding

public boolean setCollateralFunding(double dblCollateralFunding)

Set the Collateral/Funding Convexity Adjustment

Parameters:

dblCollateralFunding - The Collateral/Funding Convexity Adjustment

Returns:

TRUE - The Collateral/Funding Convexity Adjustment successfully set

collateralFunding

public double collateralFunding()

Retrieve the Collateral/Funding Convexity Adjustment

Returns:

The Collateral/Funding Convexity Adjustment

setCollateralFX

public boolean setCollateralFX(double dblCollateralFX)

Set the Collateral/FX Convexity Adjustment

Parameters:

dblCollateralFX - The Collateral/FX Convexity Adjustment

Returns:

TRUE - The Collateral/FX Convexity Adjustment successfully set

collateralFX

public double collateralFX()

Retrieve the Collateral/FX Convexity Adjustment

Returns:

The Collateral/FX Convexity Adjustment

setCreditForward

public boolean setCreditForward(double dblCreditForward)

Set the Credit/Forward Convexity Adjustment

Parameters:

dblCreditForward - The Credit/Forward Convexity Adjustment

Returns:

TRUE - The Credit/Forward Convexity Adjustment successfully set

creditForward

public double creditForward()

Retrieve the Credit/Forward Convexity Adjustment

Returns:

The Credit/Forward Convexity Adjustment

setCreditFunding

public boolean setCreditFunding(double dblCreditFunding)

Set the Credit/Funding Convexity Adjustment

Parameters:

dblCreditFunding - The Credit/Funding Convexity Adjustment

Returns:

TRUE - The Credit/Funding Convexity Adjustment successfully set

creditFunding

public double creditFunding()

Retrieve the Credit/Funding Convexity Adjustment

Returns:

The Credit/Funding Convexity Adjustment

setCreditFX

public boolean setCreditFX(double dblCreditFX)

Set the Credit/FX Convexity Adjustment

Parameters:

dblCreditFX - The Credit/FX Convexity Adjustment

Returns:

TRUE - The Credit/FX Convexity Adjustment successfully set

creditFX

public double creditFX()

Retrieve the Credit/FX Convexity Adjustment

Returns:

The Credit/FX Convexity Adjustment

setForwardFunding

public boolean setForwardFunding(double dblForwardFunding)

Set the Forward/Funding Convexity Adjustment

Parameters:

dblForwardFunding - The Forward/Funding Convexity Adjustment

Returns:

TRUE - The Forward/Funding Convexity Adjustment successfully set

forwardFunding

public double forwardFunding()

Retrieve the Forward/Funding Convexity Adjustment

Returns:

The Forward/Funding Convexity Adjustment

setForwardFX

public boolean setForwardFX(double dblForwardFX)

Set the Forward/FX Convexity Adjustment

Parameters:

dblForwardFX - The Forward/FX Convexity Adjustment

Returns:

TRUE - The Forward/FX Convexity Adjustment successfully set

forwardFX

public double forwardFX()

Retrieve the Forward/FX Convexity Adjustment

Returns:

The Forward/FX Convexity Adjustment

setFundingFX

public boolean setFundingFX(double dblFundingFX)

Set the Funding/FX Convexity Adjustment

Parameters:

dblFundingFX - The Funding/FX Convexity Adjustment

Returns:

TRUE - The Funding/FX Convexity Adjustment successfully set

fundingFX

public double fundingFX()

Retrieve the Funding/FX Convexity Adjustment

Returns:

The Funding/FX Convexity Adjustment

cumulative

public double cumulative()

Retrieve the Cumulative Convexity Correction

Returns:

The Cumulative Convexity Correction