org.drip.service.product

Class FixedBondAPI

java.lang.Object

org.drip.service.product.FixedBondAPI

public class FixedBondAPI
extends java.lang.Object

BondAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Generic Bond.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixedBondAPI()

Method Summary

Modifier and Type	Method and Description
static java.util.List<PositionChangeComponents>	HorizonChangeAttribution(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, JulianDate[] adtSpot, double[] adblCleanPrice) Returns Attribution for the Specified Bond Instance
static java.util.Map<java.lang.String,java.lang.Double>	KeyRateDuration(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double dblBondMarketCleanPrice) Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
static BondRVMeasures	RelativeValueMetrics(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, double dblBondMarketCleanPrice) Generate the Relative Value Metrics for the Specified Bond
static java.util.Map<java.lang.String,java.lang.Double>	ValuationMetrics(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, java.lang.String strBondMarketQuoteName, double dblBondMarketQuote) Generate a Full Map Invocation of the Bond Valuation Run

Methods inherited from class java.lang.Object

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

Constructor Detail

FixedBondAPI

public FixedBondAPI()

Method Detail

ValuationMetrics

public static final java.util.Map<java.lang.String,java.lang.Double> ValuationMetrics(java.lang.String strIssuerName,
                                                                                      int iBondEffectiveDate,
                                                                                      int iBondMaturityDate,
                                                                                      double dblBondCoupon,
                                                                                      int iBondCouponFrequency,
                                                                                      java.lang.String strBondCouponDayCount,
                                                                                      java.lang.String strBondCouponCurrency,
                                                                                      int iSpotDate,
                                                                                      java.lang.String[] astrFundingCurveDepositTenor,
                                                                                      double[] adblFundingCurveDepositQuote,
                                                                                      java.lang.String strFundingCurveDepositMeasure,
                                                                                      double[] adblFundingCurveFuturesQuote,
                                                                                      java.lang.String strFundingCurveFuturesMeasure,
                                                                                      java.lang.String[] astrFundingCurveFixFloatTenor,
                                                                                      double[] adblFundingCurveFixFloatQuote,
                                                                                      java.lang.String strFundingFixFloatMeasure,
                                                                                      java.lang.String strGovvieCode,
                                                                                      int[] aiGovvieCurveTreasuryEffectiveDate,
                                                                                      int[] aiGovvieCurveTreasuryMaturityDate,
                                                                                      double[] adblGovvieCurveTreasuryCoupon,
                                                                                      double[] adblGovvieCurveTreasuryYield,
                                                                                      java.lang.String strGovvieCurveTreasuryMeasure,
                                                                                      java.lang.String strCreditCurveName,
                                                                                      java.lang.String[] astrCreditCurveCDSTenor,
                                                                                      double[] adblCreditCurveCDSCoupon,
                                                                                      double[] adblCreditCurveCDSQuote,
                                                                                      java.lang.String strCreditCurveCDSMeasure,
                                                                                      java.lang.String strBondMarketQuoteName,
                                                                                      double dblBondMarketQuote)

Generate a Full Map Invocation of the Bond Valuation Run

Parameters:

strIssuerName - Bond Issuer Name

iBondEffectiveDate - Bond Effective Date

iBondMaturityDate - Bond Maturity Date

dblBondCoupon - Bond Coupon

iBondCouponFrequency - Bond Coupon Frequency

strBondCouponDayCount - Bond Coupon Day Count

strBondCouponCurrency - Bond Coupon Currency

iSpotDate - Spot Date

astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)

adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)

strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)

adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)

strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)

astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)

adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)

strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)

strGovvieCode - Govvie Bond Code (for Treasury Curve)

aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)

aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)

adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)

adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)

strCreditCurveName - Credit Curve Name (for Credit Curve)

astrCreditCurveCDSTenor - CDS Maturity Tenor (for Credit Curve)

adblCreditCurveCDSCoupon - Array of CDS Fixed Coupon (for Credit Curve)

adblCreditCurveCDSQuote - Array of CDS Market Quotes (for Credit Curve)

strCreditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)

strBondMarketQuoteName - Name of the Bond Market Quote

dblBondMarketQuote - Bond Market Quote Value

Returns:

The Output Measure Map

KeyRateDuration

public static final java.util.Map<java.lang.String,java.lang.Double> KeyRateDuration(java.lang.String strIssuerName,
                                                                                     int iBondEffectiveDate,
                                                                                     int iBondMaturityDate,
                                                                                     double dblBondCoupon,
                                                                                     int iBondCouponFrequency,
                                                                                     java.lang.String strBondCouponDayCount,
                                                                                     java.lang.String strBondCouponCurrency,
                                                                                     int iSpotDate,
                                                                                     java.lang.String strGovvieCode,
                                                                                     int[] aiGovvieCurveTreasuryEffectiveDate,
                                                                                     int[] aiGovvieCurveTreasuryMaturityDate,
                                                                                     double[] adblGovvieCurveTreasuryCoupon,
                                                                                     double[] adblGovvieCurveTreasuryYield,
                                                                                     java.lang.String strGovvieCurveTreasuryMeasure,
                                                                                     double dblBondMarketCleanPrice)

Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration

Parameters:

strIssuerName - Bond Issuer Name

iBondEffectiveDate - Bond Effective Date

iBondMaturityDate - Bond Maturity Date

dblBondCoupon - Bond Coupon

iBondCouponFrequency - Bond Coupon Frequency

strBondCouponDayCount - Bond Coupon Day Count

strBondCouponCurrency - Bond Coupon Currency

iSpotDate - Spot Date

strGovvieCode - Govvie Bond Code (for Treasury Curve)

aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)

aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)

adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)

adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)

dblBondMarketCleanPrice - Bond Market Clean Price

Returns:

The Treasury Curve Tenor Sensitivity/Duration

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(java.lang.String strIssuerName,
                                                                                      int iBondEffectiveDate,
                                                                                      int iBondMaturityDate,
                                                                                      double dblBondCoupon,
                                                                                      int iBondCouponFrequency,
                                                                                      java.lang.String strBondCouponDayCount,
                                                                                      java.lang.String strBondCouponCurrency,
                                                                                      JulianDate[] adtSpot,
                                                                                      double[] adblCleanPrice)

Returns Attribution for the Specified Bond Instance

Parameters:

strIssuerName - Bond Issuer Name

iBondEffectiveDate - Bond Effective Date

iBondMaturityDate - Bond Maturity Date

dblBondCoupon - Bond Coupon

iBondCouponFrequency - Bond Coupon Frequency

strBondCouponDayCount - Bond Coupon Day Count

strBondCouponCurrency - Bond Coupon Currency

adtSpot - Array of Spot Dates

adblCleanPrice - Array of Closing Clean Prices

Returns:

List of the Position Change Components

RelativeValueMetrics

public static final BondRVMeasures RelativeValueMetrics(java.lang.String strIssuerName,
                                                        int iBondEffectiveDate,
                                                        int iBondMaturityDate,
                                                        double dblBondCoupon,
                                                        int iBondCouponFrequency,
                                                        java.lang.String strBondCouponDayCount,
                                                        java.lang.String strBondCouponCurrency,
                                                        int iSpotDate,
                                                        java.lang.String[] astrFundingCurveDepositTenor,
                                                        double[] adblFundingCurveDepositQuote,
                                                        java.lang.String strFundingCurveDepositMeasure,
                                                        double[] adblFundingCurveFuturesQuote,
                                                        java.lang.String strFundingCurveFuturesMeasure,
                                                        java.lang.String[] astrFundingCurveFixFloatTenor,
                                                        double[] adblFundingCurveFixFloatQuote,
                                                        java.lang.String strFundingFixFloatMeasure,
                                                        java.lang.String strGovvieCode,
                                                        int[] aiGovvieCurveTreasuryEffectiveDate,
                                                        int[] aiGovvieCurveTreasuryMaturityDate,
                                                        double[] adblGovvieCurveTreasuryCoupon,
                                                        double[] adblGovvieCurveTreasuryYield,
                                                        java.lang.String strGovvieCurveTreasuryMeasure,
                                                        java.lang.String strCreditCurveName,
                                                        java.lang.String[] astrCreditCurveCDSTenor,
                                                        double[] adblCreditCurveCDSCoupon,
                                                        double[] adblCreditCurveCDSQuote,
                                                        java.lang.String strCreditCurveCDSMeasure,
                                                        double dblBondMarketCleanPrice)

Generate the Relative Value Metrics for the Specified Bond

Parameters:

strIssuerName - Bond Issuer Name

iBondEffectiveDate - Bond Effective Date

iBondMaturityDate - Bond Maturity Date

dblBondCoupon - Bond Coupon

iBondCouponFrequency - Bond Coupon Frequency

strBondCouponDayCount - Bond Coupon Day Count

strBondCouponCurrency - Bond Coupon Currency

iSpotDate - Spot Date

astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)

adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)

strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)

adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)

strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)

astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)

adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)

strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)

strGovvieCode - Govvie Bond Code (for Treasury Curve)

aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)

aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)

adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)

adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)

strCreditCurveName - Credit Curve Name (for Credit Curve)

astrCreditCurveCDSTenor - CDS Maturity Tenor (for Credit Curve)

adblCreditCurveCDSCoupon - Array of CDS Fixed Coupon (for Credit Curve)

adblCreditCurveCDSQuote - Array of CDS Market Quotes (for Credit Curve)

strCreditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)

dblBondMarketCleanPrice - Bond Market Clean Price

Returns:

The Relative Value Metrics