Package org.drip.analytics.output

Period Product Targeted Valuation Measures
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BasketMeasures
    BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios.
    BondCouponMeasures
    BondCouponMeasures encapsulates the parsimonious but complete set of the cash-flow oriented coupon measures generated out of a full bond analytics run to a given work-out.
    BondEOSMetrics
    BondEOSMetrics carries the Option Adjusted Metrics for a Bond with Embedded Options.
    BondRVMeasures
    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

    Module = Product Core Module Library = Fixed Income Analytics Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities Package = Period Product Targeted Valuation Measures
    BondWorkoutMeasures
    BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond analytics run to a given work-out.
    BulletMetrics
    BulletMetrics holds the results of the Bullet Cash flow metrics estimate output.
    ComponentMeasures
    ComponentMeasures is the place holder for analytical single component output measures, optionally across scenarios.
    CompositePeriodAccrualMetrics
    CompositePeriodAccrualMetrics holds the results of the compounded Composed period Accrual Metrics Estimate Output.
    CompositePeriodCouponMetrics
    CompositePeriodCouponMetrics holds the results of the compounded Composed period Full Coupon Metrics Estimate Output.
    ConvexityAdjustment
    ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.
    ExerciseInfo
    ExerciseInfo is a place-holder for the set of exercise information.
    UnitPeriodConvexityMetrics
    UnitPeriodConvexityMetrics holds the results of a unit composable period convexity metrics estimate output.
    UnitPeriodMetrics
    UnitPeriodMetrics holds the results of a unit composable period metrics estimate output.