org.drip.portfolioconstruction.alm

Class DiscountRate

java.lang.Object

org.drip.portfolioconstruction.alm.DiscountRate

public class DiscountRate
extends java.lang.Object

DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working Age Income, Pension Benefits, and Basic Consumption.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DiscountRate(double dblYield, double dblWorkingAgeIncomeSpread, double dblPensionBenefitsIncomeSpread, double dblBasicConsumptionSpread) DiscountRate Constructor

Method Summary

Modifier and Type	Method and Description
double	basicConsumptionDF(double dblHorizon) Retrieve the Basic Consumption Discount Factor
double	basicConsumptionRate() Retrieve the Basic Consumption Discount Rate
double	basicConsumptionSpread() Retrieve the Basic Consumption Spread
double	pensionBenefitsIncomeDF(double dblHorizon) Retrieve the Pension Benefits Income Discount Factor
double	pensionBenefitsIncomeRate() Retrieve the Pension Benefits Income Discount Rate
double	pensionBenefitsIncomeSpread() Retrieve the Pension Benefits Income Spread
double	workingAgeIncomeDF(double dblHorizon) Retrieve the Working Age Income Discount Factor
double	workingAgeIncomeRate() Retrieve the Working Age Income Discount Rate
double	workingAgeIncomeSpread() Retrieve the Working Age Income Spread
double	yield() Retrieve the Base Discounting Yield

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscountRate

public DiscountRate(double dblYield,
                    double dblWorkingAgeIncomeSpread,
                    double dblPensionBenefitsIncomeSpread,
                    double dblBasicConsumptionSpread)
             throws java.lang.Exception

DiscountRate Constructor

Parameters:

dblYield - The Base Discounting Yield

dblWorkingAgeIncomeSpread - The Working Age Income Spread

dblPensionBenefitsIncomeSpread - The Pension Benefits Income Spread

dblBasicConsumptionSpread - The Basic Consumption Spread

Throws:

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

Method Detail

yield

public double yield()

Retrieve the Base Discounting Yield

Returns:

The Base Discounting Yield

workingAgeIncomeSpread

public double workingAgeIncomeSpread()

Retrieve the Working Age Income Spread

Returns:

The Working Age Income Spread

workingAgeIncomeRate

public double workingAgeIncomeRate()

Retrieve the Working Age Income Discount Rate

Returns:

The Working Age Income Discount Rate

workingAgeIncomeDF

public double workingAgeIncomeDF(double dblHorizon)
                          throws java.lang.Exception

Retrieve the Working Age Income Discount Factor

Parameters:

dblHorizon - The Horizon to which the Discount Factor is to be computed

Returns:

The Working Age Income Discount Factor

Throws:

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

pensionBenefitsIncomeSpread

public double pensionBenefitsIncomeSpread()

Retrieve the Pension Benefits Income Spread

Returns:

The Pension Benefits Income Spread

pensionBenefitsIncomeRate

public double pensionBenefitsIncomeRate()

Retrieve the Pension Benefits Income Discount Rate

Returns:

The Pension Benefits Income Discount Rate

pensionBenefitsIncomeDF

public double pensionBenefitsIncomeDF(double dblHorizon)
                               throws java.lang.Exception

Retrieve the Pension Benefits Income Discount Factor

Parameters:

dblHorizon - The Horizon to which the Discount Factor is to be computed

Returns:

The Pension Benefits Income Discount Factor

Throws:

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

basicConsumptionSpread

public double basicConsumptionSpread()

Retrieve the Basic Consumption Spread

Returns:

The Basic Consumption Spread

basicConsumptionRate

public double basicConsumptionRate()

Retrieve the Basic Consumption Discount Rate

Returns:

The Basic Consumption Discount Rate

basicConsumptionDF

public double basicConsumptionDF(double dblHorizon)
                          throws java.lang.Exception

Retrieve the Basic Consumption Discount Factor

Parameters:

dblHorizon - The Horizon to which the Discount Factor is to be computed

Returns:

The Basic Consumption Discount Factor

Throws:

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