Package org.drip.historical.attribution

Class PositionChangeComponents

java.lang.Object
org.drip.historical.attribution.PositionChangeComponents
public class PositionChangeComponents
extends java.lang.Object
PositionChangeComponents contains the Decomposition of the Components of the Interval Change for a given Position.

Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • PositionChangeComponents

      public PositionChangeComponents​(boolean bChangeTypeReturn, PositionMarketSnap pmsFirst, PositionMarketSnap pmsSecond, double dblAccrualChange, CaseInsensitiveHashMap<java.lang.Double> mapDifferenceMetric) throws java.lang.Exception
      PositionChangeComponents Constructor
      Parameters:
      bChangeTypeReturn - TRUE - Change Type is Return (Relative)
      pmsFirst - The First Position Market Snapshot Instance
      pmsSecond - The Second Position Market Snapshot Instance
      dblAccrualChange - The Accrual Change Component of Interval Return/Change
      mapDifferenceMetric - The Map of Difference Metrics
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • changeTypeReturn

      public boolean changeTypeReturn()
      Return the Position Change Type
      Returns:
      TRUE - Change Type is Return (Relative)

    • manifestMeasures

      public java.util.Set<java.lang.String> manifestMeasures()
      Retrieve the Set of Manifest Measures
      Returns:
      The Set of Manifest Measures

    • pmsFirst

      public PositionMarketSnap pmsFirst()
      Retrieve the First Position Market Snapshot Instance
      Returns:
      The First Position Market Snapshot Instance

    • pmsSecond

      public PositionMarketSnap pmsSecond()
      Retrieve the Second Position Market Snapshot Instance
      Returns:
      The Second Position Market Snapshot Instance

    • firstDate

      public JulianDate firstDate()
      Retrieve the First Date
      Returns:
      The First Date

    • secondDate

      public JulianDate secondDate()
      Retrieve the Second Date
      Returns:
      The Second Date

    • grossCleanChange

      public double grossCleanChange()
      Retrieve the Gross Interval Clean Change
      Returns:
      The Gross Interval Clean Change

    • grossChange

      public double grossChange()
      Retrieve the Gross Interval Change
      Returns:
      The Gross Interval Change

    • specificMarketRealizationChange

      public double specificMarketRealizationChange​(java.lang.String strManifestMeasure) throws java.lang.Exception
      Retrieve the Specific Manifest Measure Market Realization Position Change
      Parameters:
      strManifestMeasure - The Manifest Measure
      Returns:
      The Specific Manifest Measure Market Realization Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • marketRealizationChange

      public double marketRealizationChange() throws java.lang.Exception
      Retrieve the Full Manifest Measure Realization Position Change
      Returns:
      The Full Manifest Measure Realization Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • specificMarketSensitivityChange

      public double specificMarketSensitivityChange​(java.lang.String strManifestMeasure) throws java.lang.Exception
      Retrieve the Specific Manifest Measure Market Sensitivity Position Change
      Parameters:
      strManifestMeasure - The Manifest Measure
      Returns:
      The Specific Manifest Measure Market Sensitivity Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • marketSensitivityChange

      public double marketSensitivityChange() throws java.lang.Exception
      Retrieve the Full Manifest Measure Market Sensitivity Position Change
      Returns:
      The Full Manifest Measure Market Sensitivity Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • specificMarketRollDownChange

      public double specificMarketRollDownChange​(java.lang.String strManifestMeasure) throws java.lang.Exception
      Retrieve the Specific Manifest Measure Market Roll-down Position Change
      Parameters:
      strManifestMeasure - The Manifest Measure
      Returns:
      The Specific Manifest Measure Market Roll-down Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • marketRollDownChange

      public double marketRollDownChange() throws java.lang.Exception
      Retrieve the Full Manifest Measure Roll-down Position Change
      Returns:
      The Full Manifest Measure Roll-down Position Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • accrualChange

      public double accrualChange()
      Retrieve the Accrual Interval Change
      Returns:
      The Accrual Interval Change

    • explainedChange

      public double explainedChange() throws java.lang.Exception
      Retrieve the Explained Interval Change
      Returns:
      The Explained Interval Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • unexplainedChange

      public double unexplainedChange() throws java.lang.Exception
      Retrieve the Unexplained Interval Change
      Returns:
      The Unexplained Interval Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • differenceMetric

      public CaseInsensitiveHashMap<java.lang.Double> differenceMetric()
      Retrieve the Map of Difference Metrics
      Returns:
      The Map of Difference Metrics

    • header

      public java.lang.String header()
      Retrieve the Row of Header Fields
      Returns:
      The Row of Header Fields

    • content

      public java.lang.String content()
      Retrieve the Row of Content Fields
      Returns:
      The Row of Content Fields