Package org.drip.analytics.output

Class ConvexityAdjustment

java.lang.Object
org.drip.analytics.output.ConvexityAdjustment
public class ConvexityAdjustment
extends java.lang.Object
ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ConvexityAdjustment()
    Empty ConvexityAdjustment Constructor

  • 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 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 forwardFunding()
    Retrieve the Forward/Funding Convexity Adjustment
    double forwardFX()
    Retrieve the Forward/FX Convexity Adjustment
    double fundingFX()
    Retrieve the Funding/FX Convexity Adjustment
    boolean setCollateralCredit​(double dblCollateralCredit)
    Set the Collateral/Credit Convexity Adjustment
    boolean setCollateralForward​(double dblCollateralForward)
    Set the Collateral/Forward Convexity Adjustment
    boolean setCollateralFunding​(double dblCollateralFunding)
    Set the Collateral/Funding Convexity Adjustment
    boolean setCollateralFX​(double dblCollateralFX)
    Set the Collateral/FX Convexity Adjustment
    boolean setCreditForward​(double dblCreditForward)
    Set the Credit/Forward Convexity Adjustment
    boolean setCreditFunding​(double dblCreditFunding)
    Set the Credit/Funding Convexity Adjustment
    boolean setCreditFX​(double dblCreditFX)
    Set the Credit/FX Convexity Adjustment
    boolean setForwardFunding​(double dblForwardFunding)
    Set the Forward/Funding Convexity Adjustment
    boolean setForwardFX​(double dblForwardFX)
    Set the Forward/FX Convexity Adjustment
    boolean setFundingFX​(double dblFundingFX)
    Set the Funding/FX Convexity Adjustment

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ConvexityAdjustment

      public ConvexityAdjustment()
      Empty ConvexityAdjustment Constructor

  • Method Details

    • setCollateralCredit

      public boolean setCollateralCredit​(double dblCollateralCredit)
      Set the Collateral/Credit Convexity Adjustment
      Parameters:
      dblCollateralCredit - The Collateral/Credit Convexity Adjustment
      Returns:
      TRUE - The Collateral/Credit Convexity Adjustment successfully set

    • collateralCredit

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

    • setCollateralForward

      public boolean setCollateralForward​(double dblCollateralForward)
      Set the Collateral/Forward Convexity Adjustment
      Parameters:
      dblCollateralForward - The Collateral/Forward Convexity Adjustment
      Returns:
      TRUE - The Collateral/Forward Convexity Adjustment successfully set

    • collateralForward

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

    • setCollateralFunding

      public boolean setCollateralFunding​(double dblCollateralFunding)
      Set the Collateral/Funding Convexity Adjustment
      Parameters:
      dblCollateralFunding - The Collateral/Funding Convexity Adjustment
      Returns:
      TRUE - The Collateral/Funding Convexity Adjustment successfully set

    • collateralFunding

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

    • setCollateralFX

      public boolean setCollateralFX​(double dblCollateralFX)
      Set the Collateral/FX Convexity Adjustment
      Parameters:
      dblCollateralFX - The Collateral/FX Convexity Adjustment
      Returns:
      TRUE - The Collateral/FX Convexity Adjustment successfully set

    • collateralFX

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

    • setCreditForward

      public boolean setCreditForward​(double dblCreditForward)
      Set the Credit/Forward Convexity Adjustment
      Parameters:
      dblCreditForward - The Credit/Forward Convexity Adjustment
      Returns:
      TRUE - The Credit/Forward Convexity Adjustment successfully set

    • creditForward

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

    • setCreditFunding

      public boolean setCreditFunding​(double dblCreditFunding)
      Set the Credit/Funding Convexity Adjustment
      Parameters:
      dblCreditFunding - The Credit/Funding Convexity Adjustment
      Returns:
      TRUE - The Credit/Funding Convexity Adjustment successfully set

    • creditFunding

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

    • setCreditFX

      public boolean setCreditFX​(double dblCreditFX)
      Set the Credit/FX Convexity Adjustment
      Parameters:
      dblCreditFX - The Credit/FX Convexity Adjustment
      Returns:
      TRUE - The Credit/FX Convexity Adjustment successfully set

    • creditFX

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

    • setForwardFunding

      public boolean setForwardFunding​(double dblForwardFunding)
      Set the Forward/Funding Convexity Adjustment
      Parameters:
      dblForwardFunding - The Forward/Funding Convexity Adjustment
      Returns:
      TRUE - The Forward/Funding Convexity Adjustment successfully set

    • forwardFunding

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

    • setForwardFX

      public boolean setForwardFX​(double dblForwardFX)
      Set the Forward/FX Convexity Adjustment
      Parameters:
      dblForwardFX - The Forward/FX Convexity Adjustment
      Returns:
      TRUE - The Forward/FX Convexity Adjustment successfully set

    • forwardFX

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

    • setFundingFX

      public boolean setFundingFX​(double dblFundingFX)
      Set the Funding/FX Convexity Adjustment
      Parameters:
      dblFundingFX - The Funding/FX Convexity Adjustment
      Returns:
      TRUE - The Funding/FX Convexity Adjustment successfully set

    • fundingFX

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

    • cumulative

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