Package org.drip.analytics.output

Class BondEOSMetrics

java.lang.Object

org.drip.analytics.output.BondEOSMetrics

public class BondEOSMetrics
extends java.lang.Object

BondEOSMetrics carries the Option Adjusted Metrics for a Bond with Embedded Options.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Period Product Targeted Valuation Measures

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BondEOSMetrics(double dblOASTM, double[] adblOptimalExercisePrice, double[] adblOptimalExerciseValue, double[] adblOptimalExerciseOAS, double[] adblOptimalExerciseOASGap, double[] adblOptimalExerciseDuration, double[] adblOptimalExerciseConvexity, double[][] aadblForwardPrice, boolean[][] aabExerciseIndicator)	BondEOSMetrics Constructor

Method Summary

Modifier and Type	Method	Description
boolean[][]	exerciseIndicator()	Retrieve the Path/Vertex Exercise Indicator Double Array
double[][]	forwardPrice()	Retrieve the Path/Vertex Forward Price Double Array
double	oas()	Retrieve the Bond Option Adjusted Spread
double	oasConvexity()	Retrieve the Bond Option Adjusted Spread Convexity
double	oasDuration()	Retrieve the Bond Option Adjusted Spread Duration
double	oasTM()	Retrieve the Bond Option Adjusted Spread To Maturity
UnivariateDiscreteThin	optimalExerciseConvexity()	Retrieve the Optimal Exercise Convexity UDT
UnivariateDiscreteThin	optimalExerciseDuration()	Retrieve the Optimal Exercise Duration UDT
UnivariateDiscreteThin	optimalExerciseOAS()	Retrieve the Optimal Exercise OAS UDT
UnivariateDiscreteThin	optimalExerciseOASGap()	Retrieve the Optimal Exercise OAS Gap UDT
UnivariateDiscreteThin	optimalExercisePrice()	Retrieve the Optimal Exercise Price UDT
UnivariateDiscreteThin	optimalExerciseValue()	Retrieve the Optimal Exercise Value UDT

Methods inherited from class java.lang.Object

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

Constructor Details

BondEOSMetrics

public BondEOSMetrics(double dblOASTM,
double[] adblOptimalExercisePrice,
double[] adblOptimalExerciseValue,
double[] adblOptimalExerciseOAS,
double[] adblOptimalExerciseOASGap,
double[] adblOptimalExerciseDuration,
double[] adblOptimalExerciseConvexity,
double[][] aadblForwardPrice,
boolean[][] aabExerciseIndicator)
               throws java.lang.Exception

BondEOSMetrics Constructor

Parameters:

dblOASTM - The OAS To Maturity

adblOptimalExercisePrice - Array of Optimal Exercise Price

adblOptimalExerciseValue - Array of Optimal Exercise Value

adblOptimalExerciseOAS - Array of Optimal Exercise OAS

adblOptimalExerciseOASGap - Array of Optimal Exercise OAS Gap

adblOptimalExerciseDuration - Array of Optimal Exercise Duration

adblOptimalExerciseConvexity - Array of Optimal Exercise Convexity

aadblForwardPrice - Double Array of Path/Vertex Forward Prices

aabExerciseIndicator - Double Array of Path/Vertex Exercise Indicators

Throws:

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

Method Details

optimalExercisePrice

public UnivariateDiscreteThin optimalExercisePrice()

Retrieve the Optimal Exercise Price UDT

Returns:

The Optimal Exercise Price UDT

optimalExerciseValue

public UnivariateDiscreteThin optimalExerciseValue()

Retrieve the Optimal Exercise Value UDT

Returns:

The Optimal Exercise Value UDT

optimalExerciseOAS

public UnivariateDiscreteThin optimalExerciseOAS()

Retrieve the Optimal Exercise OAS UDT

Returns:

The Optimal Exercise OAS UDT

optimalExerciseOASGap

public UnivariateDiscreteThin optimalExerciseOASGap()

Retrieve the Optimal Exercise OAS Gap UDT

Returns:

The Optimal Exercise OAS Gap UDT

optimalExerciseDuration

public UnivariateDiscreteThin optimalExerciseDuration()

Retrieve the Optimal Exercise Duration UDT

Returns:

The Optimal Exercise Duration UDT

optimalExerciseConvexity

public UnivariateDiscreteThin optimalExerciseConvexity()

Retrieve the Optimal Exercise Convexity UDT

Returns:

The Optimal Exercise Convexity UDT

oas

public double oas()

Retrieve the Bond Option Adjusted Spread

Returns:

The Bond Option Adjusted Spread

oasTM

public double oasTM()

Retrieve the Bond Option Adjusted Spread To Maturity

Returns:

The Bond Option Adjusted Spread To Maturity

oasDuration

public double oasDuration()

Retrieve the Bond Option Adjusted Spread Duration

Returns:

The Bond Option Adjusted Spread Duration

oasConvexity

public double oasConvexity()

Retrieve the Bond Option Adjusted Spread Convexity

Returns:

The Bond Option Adjusted Spread Convexity

forwardPrice

public double[][] forwardPrice()

Retrieve the Path/Vertex Forward Price Double Array

Returns:

The Path/Vertex Forward Price Double Array

exerciseIndicator

public boolean[][] exerciseIndicator()

Retrieve the Path/Vertex Exercise Indicator Double Array

Returns:

The Path/Vertex Exercise Indicator Double Array