Package org.drip.analytics.output

Class BondRVMeasures

java.lang.Object
org.drip.analytics.output.BondRVMeasures
public class BondRVMeasures
extends java.lang.Object
BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the appropriate exercise:

  • Work-out Information
  • Price, Yield, and Yield01
  • Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
  • Basis Measures: Bond Basis, Credit Basis, Yield Basis
  • Duration Measures: Macaulay/Modified Duration, Convexity


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BondRVMeasures​(double dblPrice, double dblBondBasis, double dblZSpread, double dblGSpread, double dblISpread, double dblOASpread, double dblTSYSpread, double dblDiscountMargin, double dblAssetSwapSpread, double dblCreditBasis, double dblPECS, double dblYield01, double dblModifiedDuration, double dblMacaulayDuration, double dblConvexity, WorkoutInfo wi)
    BondRVMeasures ctr

  • Method Summary

    Modifier and Type Method Description
    double asw()
    Retrieve the Asset Swap Spread
    double bondBasis()
    Retrieve the Bond Basis
    double convexity()
    Retrieve the Convexity
    double creditBasis()
    Retrieve the Credit Basis
    double discountMargin()
    Retrieve the Discount Margin
    double gSpread()
    Retrieve the G Spread
    double iSpread()
    Retrieve the I Spread
    double macaulayDuration()
    Retrieve the Macaulay Duration
    double modifiedDuration()
    Retrieve the Modified Duration
    double oas()
    Retrieve the OAS
    double pecs()
    Retrieve the PECS
    double price()
    Retrieve the Price
    CaseInsensitiveTreeMap<java.lang.Double> toMap​(java.lang.String strPrefix)
    Return the state as a measure map
    double tsySpread()
    Retrieve the TSY Spread
    WorkoutInfo wi()
    Retrieve the Work-out Info
    double yield01()
    Retrieve the Yield01
    double zSpread()
    Retrieve the Z Spread

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BondRVMeasures

      public BondRVMeasures​(double dblPrice, double dblBondBasis, double dblZSpread, double dblGSpread, double dblISpread, double dblOASpread, double dblTSYSpread, double dblDiscountMargin, double dblAssetSwapSpread, double dblCreditBasis, double dblPECS, double dblYield01, double dblModifiedDuration, double dblMacaulayDuration, double dblConvexity, WorkoutInfo wi) throws java.lang.Exception
      BondRVMeasures ctr
      Parameters:
      dblPrice - BondRV Clean Price
      dblBondBasis - BondRV Bond Basis
      dblZSpread - BondRV Z Spread
      dblGSpread - BondRV G Spread
      dblISpread - BondRV I Spread
      dblOASpread - BondRV OAS
      dblTSYSpread - BondRV TSY Spread
      dblDiscountMargin - BondRV Asset Swap Spread
      dblAssetSwapSpread - BondRV Asset Swap Spread
      dblCreditBasis - BondRV Credit Basis
      dblPECS - BondRV PECS
      dblYield01 - BondRV Yield01
      dblModifiedDuration - BondRV Modified Duration
      dblMacaulayDuration - BondRV Macaulay Duration
      dblConvexity - BondRV Convexity
      wi - BondRV work-out info
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • wi

      public WorkoutInfo wi()
      Retrieve the Work-out Info
      Returns:
      Work-out Info

    • pecs

      public double pecs()
      Retrieve the PECS
      Returns:
      PECS

    • price

      public double price()
      Retrieve the Price
      Returns:
      Price

    • gSpread

      public double gSpread()
      Retrieve the G Spread
      Returns:
      G Spread

    • iSpread

      public double iSpread()
      Retrieve the I Spread
      Returns:
      I Spread

    • yield01

      public double yield01()
      Retrieve the Yield01
      Returns:
      Yield01

    • zSpread

      public double zSpread()
      Retrieve the Z Spread
      Returns:
      Z Spread

    • oas

      public double oas()
      Retrieve the OAS
      Returns:
      OAS

    • bondBasis

      public double bondBasis()
      Retrieve the Bond Basis
      Returns:
      Bond Basis

    • convexity

      public double convexity()
      Retrieve the Convexity
      Returns:
      Convexity

    • tsySpread

      public double tsySpread()
      Retrieve the TSY Spread
      Returns:
      TSY Spread

    • creditBasis

      public double creditBasis()
      Retrieve the Credit Basis
      Returns:
      Credit Basis

    • discountMargin

      public double discountMargin()
      Retrieve the Discount Margin
      Returns:
      Discount Margin

    • asw

      public double asw()
      Retrieve the Asset Swap Spread
      Returns:
      Asset Swap Spread

    • macaulayDuration

      public double macaulayDuration()
      Retrieve the Macaulay Duration
      Returns:
      Macaulay Duration

    • modifiedDuration

      public double modifiedDuration()
      Retrieve the Modified Duration
      Returns:
      Modified Duration

    • toMap

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