Package org.drip.analytics.output

Class BulletMetrics

java.lang.Object
org.drip.analytics.output.BulletMetrics
public class BulletMetrics
extends java.lang.Object
BulletMetrics holds the results of the Bullet Cash flow metrics estimate output.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BulletMetrics​(int iTerminalDate, int iPayDate, double dblNotional, double dblSurvival, double dblDF, double dblFX, ConvexityAdjustment convAdj, EntityCDSLabel creditLabel, FundingLabel fundingLabel, FXLabel fxLabel)
    BulletMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    double annuity()
    Retrieve the Terminal Annuity in the Pay Currency
    ConvexityAdjustment convexityAdjustment()
    Retrieve the Terminal Convexity Adjustment
    EntityCDSLabel creditLabel()
    Retrieve the Credit Label
    double df()
    Retrieve the Terminal DF
    java.util.Map<java.lang.Integer,​java.lang.Double> discountFactorFundingLoading​(FundingLabel fundingLabel)
    Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
    FundingLabel fundingLabel()
    Retrieve the Funding Label
    double fx()
    Retrieve the Terminal FX Rate
    java.util.Map<java.lang.Integer,​java.lang.Double> fxFXLoading​(FXLabel fxLabel)
    Retrieve the FX Loading Coefficient for the specified FX Latent State
    FXLabel fxLabel()
    Retrieve the FX Label
    double notional()
    Retrieve the Terminal Notional
    int payDate()
    Retrieve the Pay Date
    double survival()
    Retrieve the Terminal Survival Probability
    java.util.Map<java.lang.Integer,​java.lang.Double> survivalProbabilityCreditLoading​(EntityCDSLabel creditLabel)
    Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
    int terminalDate()
    Retrieve the Terminal Date

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BulletMetrics

      public BulletMetrics​(int iTerminalDate, int iPayDate, double dblNotional, double dblSurvival, double dblDF, double dblFX, ConvexityAdjustment convAdj, EntityCDSLabel creditLabel, FundingLabel fundingLabel, FXLabel fxLabel) throws java.lang.Exception
      BulletMetrics Constructor
      Parameters:
      iTerminalDate - Terminal Date
      iPayDate - Pay Date
      dblNotional - Notional
      dblSurvival - Terminal Survival
      dblDF - Terminal Discount Factor
      dblFX - Terminal FX Rate
      convAdj - Terminal Convexity Adjustment
      creditLabel - The Credit Label
      fundingLabel - The Funding Label
      fxLabel - The FX Label
      Throws:
      java.lang.Exception - Thrown if Inputs are invalid

  • Method Details

    • terminalDate

      public int terminalDate()
      Retrieve the Terminal Date
      Returns:
      The Terminal Date

    • payDate

      public int payDate()
      Retrieve the Pay Date
      Returns:
      The Pay Date

    • notional

      public double notional()
      Retrieve the Terminal Notional
      Returns:
      The Terminal Notional

    • survival

      public double survival()
      Retrieve the Terminal Survival Probability
      Returns:
      The Terminal Survival Probability

    • df

      public double df()
      Retrieve the Terminal DF
      Returns:
      The Terminal DF

    • fx

      public double fx()
      Retrieve the Terminal FX Rate
      Returns:
      The Terminal FX Rate

    • annuity

      public double annuity()
      Retrieve the Terminal Annuity in the Pay Currency
      Returns:
      The Terminal Annuity in the Pay Currency

    • convexityAdjustment

      public ConvexityAdjustment convexityAdjustment()
      Retrieve the Terminal Convexity Adjustment
      Returns:
      The Terminal Convexity Adjustment

    • survivalProbabilityCreditLoading

      public java.util.Map<java.lang.Integer,​java.lang.Double> survivalProbabilityCreditLoading​(EntityCDSLabel creditLabel)
      Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
      Parameters:
      creditLabel - The Credit Label
      Returns:
      The Terminal Survival Probability Loading Coefficient for the specified Credit Latent State

    • discountFactorFundingLoading

      public java.util.Map<java.lang.Integer,​java.lang.Double> discountFactorFundingLoading​(FundingLabel fundingLabel)
      Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
      Parameters:
      fundingLabel - The Funding Label
      Returns:
      The Discount Factor Loading Coefficient for the specified Funding Latent State

    • fxFXLoading

      public java.util.Map<java.lang.Integer,​java.lang.Double> fxFXLoading​(FXLabel fxLabel)
      Retrieve the FX Loading Coefficient for the specified FX Latent State
      Parameters:
      fxLabel - The FX Label
      Returns:
      The FX Loading Coefficient for the specified FX Latent State

    • creditLabel

      public EntityCDSLabel creditLabel()
      Retrieve the Credit Label
      Returns:
      The Credit Label

    • fundingLabel

      public FundingLabel fundingLabel()
      Retrieve the Funding Label
      Returns:
      The Funding Label

    • fxLabel

      public FXLabel fxLabel()
      Retrieve the FX Label
      Returns:
      The FX Label