Package org.drip.analytics.output

Class CompositePeriodCouponMetrics

java.lang.Object
org.drip.analytics.output.CompositePeriodCouponMetrics
Direct Known Subclasses:
CompositePeriodAccrualMetrics
public class CompositePeriodCouponMetrics
extends java.lang.Object
CompositePeriodCouponMetrics holds the results of the compounded Composed period Full Coupon Metrics Estimate Output.

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double collateralCredit()
    Retrieve the Collateral/Credit Convexity Adjustment
    double collateralForward()
    Retrieve the Collateral/Forward Convexity Adjustment
    double collateralFunding()
    Retrieve the Collateral/Funding Convexity Adjustment
    double collateralFX()
    Retrieve the Collateral/FX Convexity Adjustment
    double compounding()
    Retrieve the Compounding Convexity Correction
    static CompositePeriodCouponMetrics Create​(java.util.List<UnitPeriodMetrics> lsUPM)
    CompositePeriodCouponMetrics Instance from the list of the composite period metrics
    double creditForward()
    Retrieve the Credit/Forward Convexity Adjustment
    double creditFunding()
    Retrieve the Credit/Funding Convexity Adjustment
    double creditFX()
    Retrieve the Credit/FX Convexity Adjustment
    double cumulative()
    Retrieve the Cumulative Convexity Correction
    double dcf()
    Retrieve the Composite DCF
    double forwardFunding()
    Retrieve the Forward/Funding Convexity Adjustment
    double forwardFX()
    Retrieve the Forward/FX Convexity Adjustment
    double fundingFX()
    Retrieve the Funding/FX Convexity Adjustment
    double rate()
    Retrieve the Composite Rate
    java.util.List<UnitPeriodMetrics> unitMetrics()
    Retrieve the List of the Unit Period Metrics

    Methods inherited from class java.lang.Object

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

  • Method Details

    • Create

      public static final CompositePeriodCouponMetrics Create​(java.util.List<UnitPeriodMetrics> lsUPM)
      CompositePeriodCouponMetrics Instance from the list of the composite period metrics
      Parameters:
      lsUPM - List of Unit Period Metrics
      Returns:
      Instance of CompositePeriodCouponMetrics

    • dcf

      public double dcf()
      Retrieve the Composite DCF
      Returns:
      The Composite DCF

    • rate

      public double rate()
      Retrieve the Composite Rate
      Returns:
      The Composite Rate

    • collateralCredit

      public double collateralCredit()
      Retrieve the Collateral/Credit Convexity Adjustment
      Returns:
      The Collateral/Credit Convexity Adjustment

    • collateralForward

      public double collateralForward()
      Retrieve the Collateral/Forward Convexity Adjustment
      Returns:
      The Collateral/Forward Convexity Adjustment

    • collateralFunding

      public double collateralFunding()
      Retrieve the Collateral/Funding Convexity Adjustment
      Returns:
      The Collateral/Funding Convexity Adjustment

    • collateralFX

      public double collateralFX()
      Retrieve the Collateral/FX Convexity Adjustment
      Returns:
      The Collateral/FX Convexity Adjustment

    • creditForward

      public double creditForward()
      Retrieve the Credit/Forward Convexity Adjustment
      Returns:
      The Credit/Forward Convexity Adjustment

    • creditFunding

      public double creditFunding()
      Retrieve the Credit/Funding Convexity Adjustment
      Returns:
      The Credit/Funding Convexity Adjustment

    • creditFX

      public double creditFX()
      Retrieve the Credit/FX Convexity Adjustment
      Returns:
      The Credit/FX Convexity Adjustment

    • forwardFunding

      public double forwardFunding()
      Retrieve the Forward/Funding Convexity Adjustment
      Returns:
      The Forward/Funding Convexity Adjustment

    • forwardFX

      public double forwardFX()
      Retrieve the Forward/FX Convexity Adjustment
      Returns:
      The Forward/FX Convexity Adjustment

    • fundingFX

      public double fundingFX()
      Retrieve the Funding/FX Convexity Adjustment
      Returns:
      The Funding/FX Convexity Adjustment

    • compounding

      public double compounding()
      Retrieve the Compounding Convexity Correction
      Returns:
      The Compounding Convexity Correction

    • cumulative

      public double cumulative()
      Retrieve the Cumulative Convexity Correction
      Returns:
      The Cumulative Convexity Correction

    • unitMetrics

      public java.util.List<UnitPeriodMetrics> unitMetrics()
      Retrieve the List of the Unit Period Metrics
      Returns:
      The List of the Unit Period Metrics