Package org.drip.analytics.cashflow

Class Bullet

java.lang.Object

org.drip.analytics.cashflow.Bullet

public class Bullet
extends java.lang.Object

Bullet is designed to hold the Point Realizations of the Latent States relevant to Terminal Valuation of a Bullet Cash Flow. Current it contains the Period Dates, Period Latent State Identifiers, and the "Extensive" Fields.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Unit and Composite Cash Flow Periods

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
Bullet(int iTerminalDate, int iPayDate, int iFXFixingDate, double dblBaseNotional, Array2D a2DNotionalSchedule, java.lang.String strPayCurrency, java.lang.String strCouponCurrency, EntityCDSLabel creditLabel)	Construct a Bullet Instance from the specified Parameters

Method Summary

Modifier and Type	Method	Description
double	baseNotional()	Get the Base Notional
CollateralLabel	collateralLabel()	Return the Collateral Label
java.lang.String	couponCurrency()	Retrieve the Coupon Currency
EntityCDSLabel	creditLabel()	Return the Credit Label
FundingLabel	fundingLabel()	Return the Funding Label
PredictorResponseWeightConstraint	fundingPRWC(int iValueDate, CurveSurfaceQuoteContainer csqc, ProductQuoteSet pqs)	Generate the Funding Predictor/Response Constraint
double	fx(CurveSurfaceQuoteContainer csqc)	Coupon Period FX
int	fxFixingDate()	Retrieve the Period FX Fixing Date
FXLabel	fxLabel()	Return the FX Label
boolean	isFXMTM()	Is the Cash Flow FX MTM?
BulletMetrics	metrics(int iValueDate, CurveSurfaceQuoteContainer csqc)	Compute the Metrics at the specified Valuation Date
double	notional(int iDate)	Notional corresponding to the specified Date
double	notional(int iDate1, int iDate2)	Notional Aggregated over the specified Dates
Array2D	notionalSchedule()	Get the Notional Schedule
java.lang.String	payCurrency()	Retrieve the Pay Currency
int	payDate()	Retrieve the Period Pay Date
int	terminalDate()	Retrieve the Terminal Date

Methods inherited from class java.lang.Object

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

Constructor Details

Bullet

public Bullet(int iTerminalDate,
int iPayDate,
int iFXFixingDate,
double dblBaseNotional,
Array2D a2DNotionalSchedule,
java.lang.String strPayCurrency,
java.lang.String strCouponCurrency,
EntityCDSLabel creditLabel)
       throws java.lang.Exception

Construct a Bullet Instance from the specified Parameters

Parameters:

iTerminalDate - Period End Date

iPayDate - Period Pay Date

iFXFixingDate - FX Fixing Date for non-MTM Cash-flow

dblBaseNotional - Coupon Period Base Notional

a2DNotionalSchedule - Coupon Period Notional Schedule

strPayCurrency - Pay Currency

strCouponCurrency - Coupon Currency

creditLabel - Credit Label

Throws:

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

Method Details

terminalDate

public int terminalDate()

Retrieve the Terminal Date

Returns:

Terminal Date

payDate

public int payDate()

Retrieve the Period Pay Date

Returns:

Period Pay Date

fxFixingDate

public int fxFixingDate()

Retrieve the Period FX Fixing Date

Returns:

Period FX Fixing Date

fx

public double fx(CurveSurfaceQuoteContainer csqc)
          throws java.lang.Exception

Coupon Period FX

Parameters:

csqc - Market Parameters

Returns:

Period FX

Throws:

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

isFXMTM

public boolean isFXMTM()

Is the Cash Flow FX MTM?

Returns:

true - FX MTM is on (i.e., FX is not driven by FX Fixing)

payCurrency

public java.lang.String payCurrency()

Retrieve the Pay Currency

Returns:

The Pay Currency

couponCurrency

public java.lang.String couponCurrency()

Retrieve the Coupon Currency

Returns:

The Coupon Currency

baseNotional

public double baseNotional()

Get the Base Notional

Returns:

Base Notional

notionalSchedule

public Array2D notionalSchedule()

Get the Notional Schedule

Returns:

Notional Schedule

notional

public double notional(int iDate)
                throws java.lang.Exception

Notional corresponding to the specified Date

Parameters:

iDate - The Specified Date

Returns:

The Corresponding to the specified Date

Throws:

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

notional

public double notional(int iDate1,
int iDate2)
                throws java.lang.Exception

Notional Aggregated over the specified Dates

Parameters:

iDate1 - The Date #1

iDate2 - The Date #2

Returns:

The Notional Aggregated over the specified Dates

Throws:

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

collateralLabel

public CollateralLabel collateralLabel()

Return the Collateral Label

Returns:

The Collateral Label

creditLabel

public EntityCDSLabel creditLabel()

Return the Credit Label

Returns:

The Credit Label

fundingLabel

public FundingLabel fundingLabel()

Return the Funding Label

Returns:

The Funding Label

fxLabel

public FXLabel fxLabel()

Return the FX Label

Returns:

The FX Label

metrics

public BulletMetrics metrics(int iValueDate,
CurveSurfaceQuoteContainer csqc)

Compute the Metrics at the specified Valuation Date

Parameters:

iValueDate - Valuation Date

csqc - The Market Curve Surface/Quote Set

Returns:

The Metrics at the specified Valuation Date

fundingPRWC

public PredictorResponseWeightConstraint fundingPRWC(int iValueDate,
CurveSurfaceQuoteContainer csqc,
ProductQuoteSet pqs)

Generate the Funding Predictor/Response Constraint

Parameters:

iValueDate - Valuation Date

csqc - Market Curve Surface/Quote Set

pqs - Calibration Product Quote Set

Returns:

The Funding Predictor/Response Constraint