Package org.drip.historical.attribution

Class CDSMarketSnap

java.lang.Object

org.drip.historical.attribution.PositionMarketSnap

org.drip.historical.attribution.CDSMarketSnap

public class CDSMarketSnap
extends PositionMarketSnap

CDSMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given Credit Default Swap Position.

• Module = Computational Core Module
• Library = Computation Support
• Project = Historical State Processing Utilities
• Package = Position Market Change Components Attribution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CDSMarketSnap(JulianDate dtSnap, double dblMarketValue)	CDSMarketSnap Constructor

Method Summary

Modifier and Type	Method	Description
double	accrued()	Retrieve the Accrued
double	cleanDV01()	Retrieve the Clean DV01
double	couponPV()	Retrieve the Coupon PV
java.lang.String	creditLabel()	Retrieve the Credit Label
double	cumulativeCouponAmount()	Retrieve the Cumulative Coupon Amount
double	currentFairPremium()	Retrieve the Current Fair Premium
JulianDate	effectiveDate()	Retrieve the Effective Date
double	fixedCoupon()	Retrieve the Fixed Coupon
double	initialFairPremium()	Retrieve the Initial Fair Premium
double	lossPV()	Retrieve the Loss PV
JulianDate	maturityDate()	Retrieve the Maturity Date
double	recoveryRate()	Retrieve the Recovery Rate
double	rollDownFairPremium()	Retrieve the Roll Down Fair Premium
boolean	setAccrued(double dblAccrued)	Set the Accrued
boolean	setCleanDV01(double dblCleanDV01)	Set the Clean DV01
boolean	setCouponPV(double dblCouponPV)	Set the Coupon PV
boolean	setCreditLabel(java.lang.String strCreditLabel)	Set the Credit Label
boolean	setCumulativeCouponAmount(double dblCumulativeCouponAmount)	Set the Cumulative Coupon Amount
boolean	setCurrentFairPremium(double dblCurrentFairPremium)	Set the Current Fair Premium
boolean	setEffectiveDate(JulianDate dtEffective)	Set the Effective Date
boolean	setFairPremiumMarketFactor(double dblFairPremium, double dblFairPremiumSensitivity, double dblFairPremiumRollDown)	Set the Fair Premium and Position Sensitivity
boolean	setFixedCoupon(double dblFixedCoupon)	Set the Fixed Coupon
boolean	setInitialFairPremium(double dblInitialFairPremium)	Set the Initial Fair Premium
boolean	setLossPV(double dblLossPV)	Set the Loss PV
boolean	setMaturityDate(JulianDate dtMaturity)	Set the Maturity Date
boolean	setRecoveryRate(double dblRecoveryRate)	Set the Recovery Rate
boolean	setRollDownFairPremium(double dblRollDownFairPremium)	Set the Roll Down Fair Premium

Methods inherited from class org.drip.historical.attribution.PositionMarketSnap

addManifestMeasureSnap, c1, content, date, header, manifestMeasures, manifestMeasureSnap, marketMeasureName, marketMeasureValue, marketValue, r1, setC1, setDate, setMarketMeasureName, setMarketMeasureValue, setR1, setR1, snapDate

Methods inherited from class java.lang.Object

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

Constructor Details

CDSMarketSnap

public CDSMarketSnap(JulianDate dtSnap,
double dblMarketValue)
              throws java.lang.Exception

CDSMarketSnap Constructor

Parameters:

dtSnap - The Snapshot Date

dblMarketValue - The Snapshot Market Value

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

setFairPremiumMarketFactor

public boolean setFairPremiumMarketFactor(double dblFairPremium,
double dblFairPremiumSensitivity,
double dblFairPremiumRollDown)

Set the Fair Premium and Position Sensitivity

Parameters:

dblFairPremium - The Fair Premium

dblFairPremiumSensitivity - The Position Fair Premium Sensitivity

dblFairPremiumRollDown - The Position Fair Premium Roll Down

Returns:

TRUE - The Fair Premium and the Position Sensitivity successfully set

setEffectiveDate

public boolean setEffectiveDate(JulianDate dtEffective)

Set the Effective Date

Parameters:

dtEffective - The Effective Date

Returns:

TRUE - The Effective Date successfully set

effectiveDate

public JulianDate effectiveDate()

Retrieve the Effective Date

Returns:

The Effective Date

setMaturityDate

public boolean setMaturityDate(JulianDate dtMaturity)

Set the Maturity Date

Parameters:

dtMaturity - The Maturity Date

Returns:

TRUE - The Maturity Date successfully set

maturityDate

public JulianDate maturityDate()

Retrieve the Maturity Date

Returns:

The Maturity Date

setInitialFairPremium

public boolean setInitialFairPremium(double dblInitialFairPremium)

Set the Initial Fair Premium

Parameters:

dblInitialFairPremium - The Initial Fair Premium

Returns:

TRUE - The Initial Fair Premium Successfully set

initialFairPremium

public double initialFairPremium()
                          throws java.lang.Exception

Retrieve the Initial Fair Premium

Returns:

The Initial Fair Premium

Throws:

java.lang.Exception - Thrown if the Initial Fair Premium cannot be obtained

setCurrentFairPremium

public boolean setCurrentFairPremium(double dblCurrentFairPremium)

Set the Current Fair Premium

Parameters:

dblCurrentFairPremium - The Current Fair Premium

Returns:

TRUE - The Current Fair Premium Successfully Set

currentFairPremium

public double currentFairPremium()
                          throws java.lang.Exception

Retrieve the Current Fair Premium

Returns:

The Current Fair Premium

Throws:

java.lang.Exception - Thrown if the Current Fair Premium cannot be obtained

setFixedCoupon

public boolean setFixedCoupon(double dblFixedCoupon)

Set the Fixed Coupon

Parameters:

dblFixedCoupon - The Fixed Coupon

Returns:

TRUE - The Fixed Coupon Successfully Set

fixedCoupon

public double fixedCoupon()
                   throws java.lang.Exception

Retrieve the Fixed Coupon

Returns:

The Fixed Coupon

Throws:

java.lang.Exception - Thrown if the Fixed Coupon cannot be obtained

setCleanDV01

public boolean setCleanDV01(double dblCleanDV01)

Set the Clean DV01

Parameters:

dblCleanDV01 - The Clean DV01

Returns:

TRUE - The Clean DV01 Successfully Set

cleanDV01

public double cleanDV01()
                 throws java.lang.Exception

Retrieve the Clean DV01

Returns:

The Clean DV01

Throws:

java.lang.Exception - Thrown if the Clean DV01 cannot be obtained

setRollDownFairPremium

public boolean setRollDownFairPremium(double dblRollDownFairPremium)

Set the Roll Down Fair Premium

Parameters:

dblRollDownFairPremium - The Roll Down Fair Premium

Returns:

TRUE - The Roll Down Fair Premium Successfully Set

rollDownFairPremium

public double rollDownFairPremium()
                           throws java.lang.Exception

Retrieve the Roll Down Fair Premium

Returns:

The Roll Down Fair Premium

Throws:

java.lang.Exception - Thrown if the Roll Down Fair Premium cannot be obtained

setAccrued

public boolean setAccrued(double dblAccrued)

Set the Accrued

Parameters:

dblAccrued - The Accrued

Returns:

TRUE - The Accrued successfully set

accrued

public double accrued()
               throws java.lang.Exception

Retrieve the Accrued

Returns:

The Accrued

Throws:

java.lang.Exception - Thrown if the Accrued cannot be obtained

setCumulativeCouponAmount

public boolean setCumulativeCouponAmount(double dblCumulativeCouponAmount)

Set the Cumulative Coupon Amount

Overrides:

setCumulativeCouponAmount in class PositionMarketSnap

Parameters:

dblCumulativeCouponAmount - The Cumulative Coupon Amount

Returns:

TRUE - The Cumulative Coupon Amount successfully set

cumulativeCouponAmount

public double cumulativeCouponAmount()
                              throws java.lang.Exception

Retrieve the Cumulative Coupon Amount

Overrides:

cumulativeCouponAmount in class PositionMarketSnap

Returns:

The Cumulative Coupon Amount

Throws:

java.lang.Exception - Thrown if the Cumulative Coupon Amount cannot be obtained

setCreditLabel

public boolean setCreditLabel(java.lang.String strCreditLabel)

Set the Credit Label

Parameters:

strCreditLabel - Credit Label

Returns:

TRUE - The Credit Label successfully set

creditLabel

public java.lang.String creditLabel()

Retrieve the Credit Label

Returns:

The Credit Label

setRecoveryRate

public boolean setRecoveryRate(double dblRecoveryRate)

Set the Recovery Rate

Parameters:

dblRecoveryRate - The Recovery Rate

Returns:

TRUE - The Recovery Rate successfully set

recoveryRate

public double recoveryRate()
                    throws java.lang.Exception

Retrieve the Recovery Rate

Returns:

The Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery Rate cannot be obtained

setCouponPV

public boolean setCouponPV(double dblCouponPV)

Set the Coupon PV

Parameters:

dblCouponPV - The Coupon PV

Returns:

TRUE - The Coupon PV successfully set

couponPV

public double couponPV()
                throws java.lang.Exception

Retrieve the Coupon PV

Returns:

The Coupon PV

Throws:

java.lang.Exception - Thrown if the Coupon PV cannot be obtained

setLossPV

public boolean setLossPV(double dblLossPV)

Set the Loss PV

Parameters:

dblLossPV - The Loss PV

Returns:

TRUE - The Loss PV successfully set

lossPV

public double lossPV()
              throws java.lang.Exception

Retrieve the Loss PV

Returns:

The Loss PV

Throws:

java.lang.Exception - Thrown if the Loss PV cannot be obtained