Package org.drip.analytics.output

Class BondWorkoutMeasures

java.lang.Object
org.drip.analytics.output.BondWorkoutMeasures
public class BondWorkoutMeasures
extends java.lang.Object
BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond analytics run to a given work-out. It contains the following:

  • Credit Risky/Credit Riskless Clean/Dirty Coupon Measures
  • Credit Risky/Credit Riskless Par/Principal PV
  • Loss Measures such as expected Recovery, Loss on instantaneous default, and default exposure with/without recovery
  • Unit Coupon measures such as Accrued 01, first coupon/index rate


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • BondWorkoutMeasures

      public BondWorkoutMeasures​(BondCouponMeasures bcmCreditRiskyDirty, BondCouponMeasures bcmCreditRisklessDirty, double dblCreditRiskyParPV, double dblCreditRisklessParPV, double dblCreditRiskyPrincipalPV, double dblCreditRisklessPrincipalPV, double dblRecoveryPV, double dblExpectedRecovery, double dblDefaultExposure, double dblDefaultExposureNoRec, double dblLossOnInstantaneousDefault, double dblAccrued01, double dblFirstCouponRate, double dblFirstIndexRate, double dblCashPayDF) throws java.lang.Exception
      BondWorkoutMeasures constructor
      Parameters:
      bcmCreditRiskyDirty - Dirty credit risky BondMeasuresCoupon
      bcmCreditRisklessDirty - Dirty credit risk-less BondMeasuresCoupon
      dblCreditRiskyParPV - Credit risky Par PV
      dblCreditRisklessParPV - Credit risk-less par PV
      dblCreditRiskyPrincipalPV - Credit Risky Principal PV
      dblCreditRisklessPrincipalPV - Credit Risk-less Principal PV
      dblRecoveryPV - Recovery PV
      dblExpectedRecovery - Expected Recovery
      dblDefaultExposure - PV on instantaneous default
      dblDefaultExposureNoRec - PV on instantaneous default with zero recovery
      dblLossOnInstantaneousDefault - Loss On Instantaneous Default
      dblAccrued01 - Accrued01
      dblFirstCouponRate - First Coupon Rate
      dblFirstIndexRate - First Index Rate
      dblCashPayDF - Cash Pay Discount Factor
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • creditRiskyCleanbcm

      public BondCouponMeasures creditRiskyCleanbcm()
      Retrieve the Credit Risky Clean Bond Coupon Measures
      Returns:
      Credit Risky Clean Bond Coupon Measures

    • creditRisklessCleanbcm

      public BondCouponMeasures creditRisklessCleanbcm()
      Retrieve the Credit Risk-less Clean Bond Coupon Measures
      Returns:
      Credit Risk-less Clean Bond Coupon Measures

    • creditRiskyDirtybcm

      public BondCouponMeasures creditRiskyDirtybcm()
      Retrieve the Credit Risky Dirty Bond Coupon Measures
      Returns:
      Credit Risky Dirty Bond Coupon Measures

    • creditRisklessDirtybcm

      public BondCouponMeasures creditRisklessDirtybcm()
      Retrieve the Credit Risk-less Dirty Bond Coupon Measures
      Returns:
      Credit Risk-less Dirty Bond Coupon Measures

    • accrued01

      public double accrued01()
      Retrieve the Accrued01
      Returns:
      Accrued01

    • firstCouponRate

      public double firstCouponRate()
      Retrieve the First Coupon Rate
      Returns:
      First Coupon Rate

    • firstIndexRate

      public double firstIndexRate()
      Retrieve the First Index Rate
      Returns:
      First Index Rate

    • creditRiskyParPV

      public double creditRiskyParPV()
      Retrieve the Credit Risky Par PV
      Returns:
      The Credit Risky Par PV

    • creditRisklessParPV

      public double creditRisklessParPV()
      Retrieve the Credit Risk-less Par PV
      Returns:
      The Credit Risk-less Par PV

    • creditRiskyPrincipalPV

      public double creditRiskyPrincipalPV()
      Retrieve the Credit Risky Principal PV
      Returns:
      The Credit Risky Principal PV

    • creditRisklessPrincipalPV

      public double creditRisklessPrincipalPV()
      Retrieve the Credit Risk-less Principal PV
      Returns:
      The Credit Risk-less Principal PV

    • recoveryPV

      public double recoveryPV()
      Retrieve the Recovery PV
      Returns:
      The Recovery PV

    • expectedRecovery

      public double expectedRecovery()
      Retrieve the Expected Recovery
      Returns:
      The Expected Recovery

    • defaultExposure

      public double defaultExposure()
      Retrieve Default Exposure - Same as PV on instantaneous default
      Returns:
      The Default Exposure

    • defaultExposureNoRec

      public double defaultExposureNoRec()
      Retrieve the Default Exposure without recovery - Same as PV on instantaneous default without recovery
      Returns:
      The Default Exposure without recovery

    • lossOnInstantaneousDefault

      public double lossOnInstantaneousDefault()
      Retrieve the Loss On Instantaneous Default
      Returns:
      Loss On Instantaneous Default

    • toMap

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