Package org.drip.analytics.output

Class BondCouponMeasures

java.lang.Object
org.drip.analytics.output.BondCouponMeasures
public class BondCouponMeasures
extends java.lang.Object
BondCouponMeasures encapsulates the parsimonious but complete set of the cash-flow oriented coupon measures generated out of a full bond analytics run to a given work-out. These are:

  • DV01
  • PV Measures (Coupon PV, Index Coupon PV, PV)


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BondCouponMeasures​(double dblDV01, double dblIndexCouponPV, double dblCouponPV, double dblPV)
    BondCouponMeasures constructor

  • Method Summary

    Modifier and Type Method Description
    boolean adjustForAccrual​(double dblAccrued01, double dblCoupon, double dblIndex, boolean bDirtyFromClean)
    Adjust Measures for accrued
    boolean adjustForSettlement​(double dblCashPayDF)
    Adjust the bond coupon measures by a cash settlement discount factor
    double couponPV()
    Retrieve the Coupon PV
    double dv01()
    Retrieve the DV01
    double indexCouponPV()
    Retrieve the Index Coupon PV
    double pv()
    Retrieve the PV
    CaseInsensitiveTreeMap<java.lang.Double> toMap​(java.lang.String strPrefix)
    Return the state as a named measure map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BondCouponMeasures

      public BondCouponMeasures​(double dblDV01, double dblIndexCouponPV, double dblCouponPV, double dblPV) throws java.lang.Exception
      BondCouponMeasures constructor
      Parameters:
      dblDV01 - DV01
      dblIndexCouponPV - Index Coupon PV
      dblCouponPV - Coupon PV
      dblPV - PV
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • adjustForSettlement

      public boolean adjustForSettlement​(double dblCashPayDF)
      Adjust the bond coupon measures by a cash settlement discount factor
      Parameters:
      dblCashPayDF - Cash Pay discount factor
      Returns:
      TRUE - if the adjustment has been successfully applied

    • dv01

      public double dv01()
      Retrieve the DV01
      Returns:
      DV01

    • indexCouponPV

      public double indexCouponPV()
      Retrieve the Index Coupon PV
      Returns:
      Index Coupon PV

    • couponPV

      public double couponPV()
      Retrieve the Coupon PV
      Returns:
      Coupon PV

    • pv

      public double pv()
      Retrieve the PV
      Returns:
      PV

    • adjustForAccrual

      public boolean adjustForAccrual​(double dblAccrued01, double dblCoupon, double dblIndex, boolean bDirtyFromClean)
      Adjust Measures for accrued
      Parameters:
      dblAccrued01 - Accrued 01
      dblCoupon - Coupon during the accrued phase
      dblIndex - Index Rate during the accrued phase
      bDirtyFromClean - True - Change measures from Clean to Dirty
      Returns:
      True - if the adjustment has been successfully applied

    • toMap

      public CaseInsensitiveTreeMap<java.lang.Double> toMap​(java.lang.String strPrefix)
      Return the state as a named measure map
      Parameters:
      strPrefix - Measure name prefix
      Returns:
      Map of the measures