org.drip.historical.attribution

Class PositionChangeComponents

java.lang.Object

org.drip.historical.attribution.PositionChangeComponents

public class PositionChangeComponents
extends java.lang.Object

PositionChangeComponents contains the Decomposition of the Components of the Interval Change for a given Position.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PositionChangeComponents(boolean bChangeTypeReturn, PositionMarketSnap pmsFirst, PositionMarketSnap pmsSecond, double dblAccrualChange, CaseInsensitiveHashMap<java.lang.Double> mapDifferenceMetric) PositionChangeComponents Constructor

Method Summary

Modifier and Type	Method and Description
double	accrualChange() Retrieve the Accrual Interval Change
boolean	changeTypeReturn() Return the Position Change Type
java.lang.String	content() Retrieve the Row of Content Fields
CaseInsensitiveHashMap<java.lang.Double>	differenceMetric() Retrieve the Map of Difference Metrics
double	explainedChange() Retrieve the Explained Interval Change
JulianDate	firstDate() Retrieve the First Date
double	grossChange() Retrieve the Gross Interval Change
double	grossCleanChange() Retrieve the Gross Interval Clean Change
java.lang.String	header() Retrieve the Row of Header Fields
java.util.Set<java.lang.String>	manifestMeasures() Retrieve the Set of Manifest Measures
double	marketRealizationChange() Retrieve the Full Manifest Measure Realization Position Change
double	marketRollDownChange() Retrieve the Full Manifest Measure Roll-down Position Change
double	marketSensitivityChange() Retrieve the Full Manifest Measure Market Sensitivity Position Change
PositionMarketSnap	pmsFirst() Retrieve the First Position Market Snapshot Instance
PositionMarketSnap	pmsSecond() Retrieve the Second Position Market Snapshot Instance
JulianDate	secondDate() Retrieve the Second Date
double	specificMarketRealizationChange(java.lang.String strManifestMeasure) Retrieve the Specific Manifest Measure Market Realization Position Change
double	specificMarketRollDownChange(java.lang.String strManifestMeasure) Retrieve the Specific Manifest Measure Market Roll-down Position Change
double	specificMarketSensitivityChange(java.lang.String strManifestMeasure) Retrieve the Specific Manifest Measure Market Sensitivity Position Change
double	unexplainedChange() Retrieve the Unexplained Interval Change

Methods inherited from class java.lang.Object

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

Constructor Detail

PositionChangeComponents

public PositionChangeComponents(boolean bChangeTypeReturn,
                                PositionMarketSnap pmsFirst,
                                PositionMarketSnap pmsSecond,
                                double dblAccrualChange,
                                CaseInsensitiveHashMap<java.lang.Double> mapDifferenceMetric)
                         throws java.lang.Exception

PositionChangeComponents Constructor

Parameters:

bChangeTypeReturn - TRUE - Change Type is Return (Relative)

pmsFirst - The First Position Market Snapshot Instance

pmsSecond - The Second Position Market Snapshot Instance

dblAccrualChange - The Accrual Change Component of Interval Return/Change

mapDifferenceMetric - The Map of Difference Metrics

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

Method Detail

changeTypeReturn

public boolean changeTypeReturn()

Return the Position Change Type

Returns:

TRUE - Change Type is Return (Relative)

manifestMeasures

public java.util.Set<java.lang.String> manifestMeasures()

Retrieve the Set of Manifest Measures

Returns:

The Set of Manifest Measures

pmsFirst

public PositionMarketSnap pmsFirst()

Retrieve the First Position Market Snapshot Instance

Returns:

The First Position Market Snapshot Instance

pmsSecond

public PositionMarketSnap pmsSecond()

Retrieve the Second Position Market Snapshot Instance

Returns:

The Second Position Market Snapshot Instance

firstDate

public JulianDate firstDate()

Retrieve the First Date

Returns:

The First Date

secondDate

public JulianDate secondDate()

Retrieve the Second Date

Returns:

The Second Date

grossCleanChange

public double grossCleanChange()

Retrieve the Gross Interval Clean Change

Returns:

The Gross Interval Clean Change

grossChange

public double grossChange()

Retrieve the Gross Interval Change

Returns:

The Gross Interval Change

specificMarketRealizationChange

public double specificMarketRealizationChange(java.lang.String strManifestMeasure)
                                       throws java.lang.Exception

Retrieve the Specific Manifest Measure Market Realization Position Change

Parameters:

strManifestMeasure - The Manifest Measure

Returns:

The Specific Manifest Measure Market Realization Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

marketRealizationChange

public double marketRealizationChange()
                               throws java.lang.Exception

Retrieve the Full Manifest Measure Realization Position Change

Returns:

The Full Manifest Measure Realization Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

specificMarketSensitivityChange

public double specificMarketSensitivityChange(java.lang.String strManifestMeasure)
                                       throws java.lang.Exception

Retrieve the Specific Manifest Measure Market Sensitivity Position Change

Parameters:

strManifestMeasure - The Manifest Measure

Returns:

The Specific Manifest Measure Market Sensitivity Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

marketSensitivityChange

public double marketSensitivityChange()
                               throws java.lang.Exception

Retrieve the Full Manifest Measure Market Sensitivity Position Change

Returns:

The Full Manifest Measure Market Sensitivity Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

specificMarketRollDownChange

public double specificMarketRollDownChange(java.lang.String strManifestMeasure)
                                    throws java.lang.Exception

Retrieve the Specific Manifest Measure Market Roll-down Position Change

Parameters:

strManifestMeasure - The Manifest Measure

Returns:

The Specific Manifest Measure Market Roll-down Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

marketRollDownChange

public double marketRollDownChange()
                            throws java.lang.Exception

Retrieve the Full Manifest Measure Roll-down Position Change

Returns:

The Full Manifest Measure Roll-down Position Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

accrualChange

public double accrualChange()

Retrieve the Accrual Interval Change

Returns:

The Accrual Interval Change

explainedChange

public double explainedChange()
                       throws java.lang.Exception

Retrieve the Explained Interval Change

Returns:

The Explained Interval Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

unexplainedChange

public double unexplainedChange()
                         throws java.lang.Exception

Retrieve the Unexplained Interval Change

Returns:

The Unexplained Interval Change

Throws:

java.lang.Exception - Thrown if the Inputs are invalid

differenceMetric

public CaseInsensitiveHashMap<java.lang.Double> differenceMetric()

Retrieve the Map of Difference Metrics

Returns:

The Map of Difference Metrics

header

public java.lang.String header()

Retrieve the Row of Header Fields

Returns:

The Row of Header Fields

content

public java.lang.String content()

Retrieve the Row of Content Fields

Returns:

The Row of Content Fields