Uses of Class
org.drip.historical.attribution.PositionChangeComponents

Packages that use PositionChangeComponents

Package	Description
org.drip.feed.metric	Feed Horizon - PnL Explain/Attribution
org.drip.historical.engine	Product Horizon Change Explain Engine
org.drip.service.product	Product Horizon PnL Attribution Decomposition

Uses of PositionChangeComponents in org.drip.feed.metric

Methods in org.drip.feed.metric that return types with arguments of type PositionChangeComponents

Modifier and Type	Method	Description
static java.util.List<PositionChangeComponents>	FixFloatPnLAttributor.TenorHorizonExplainComponents(java.lang.String strCurrency, java.lang.String strMaturityTenor, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor)	Generate the Explain Components for the specified Fix Float Product
static java.util.List<PositionChangeComponents>	TreasuryBondPnLAttributor.TenorHorizonExplainComponents(java.lang.String strMaturityTenor, java.lang.String strCode, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor)	Generate the Explain Components for the specified Treasury Bond

Uses of PositionChangeComponents in org.drip.historical.engine

Methods in org.drip.historical.engine that return PositionChangeComponents

Modifier and Type	Method	Description
static PositionChangeComponents	HorizonChangeExplainExecutor.GenerateAttribution(HorizonChangeExplainProcessor hcep)	Generate the Attribution for the Component's Horizon Change Explain Processor

Uses of PositionChangeComponents in org.drip.service.product

Methods in org.drip.service.product that return PositionChangeComponents

Modifier and Type	Method	Description
static PositionChangeComponents	CreditIndexAPI.HorizonChangeAttribution(DiscountCurve firstDiscountCurve, CreditCurve firstCreditCurve, DiscountCurve secondDiscountCurve, CreditCurve secondCreditCurve, java.lang.String fullCreditIndexName)	Generate the CDS Horizon Change Attribution
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(JulianDate firstDiscountCurveDate, JulianDate secondDiscountCurveDate, java.lang.String[] fundingDepositInstrumentTenorArray, double[] firstFundingDepositInstrumentArray, double[] secondFundingDepositInstrumentArray, java.lang.String[] fundingFixFloatTenorArray, double[] firstFundingFixFloatArray, double[] secondFundingFixFloatArray, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)	Generate the Funding Curve Horizon Metrics
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve firstDiscountCurve, MergedDiscountForwardCurve secondDiscountCurve, CaseInsensitiveHashMap<MergedDiscountForwardCurve> rollDownDiscountCurveMap, java.lang.String maturityTenor)	Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(JulianDate day1GovvieCurveEpochDate, JulianDate secondCurveDate, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[] firstGovvieTreasuryInstrumentArray, double[] secondGovvieTreasuryInstrumentArray, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)	Generate the Govvie Curve Horizon Metrics #1
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(GovvieCurve day1GovvieCurve, GovvieCurve day2GovvieCurve, CaseInsensitiveHashMap<GovvieCurve> rollDownGovvieCurveMap, java.lang.String maturityTenor, java.lang.String treasuryCode)	Compute the Horizon Change Attribution Details for the Specified Treasury Bond
static PositionChangeComponents	FundingFuturesAPI.HorizonMetrics(JulianDate previousDate, JulianDate spotDate, JulianDate expiryDate, double previousQuote, double spotQuote, java.lang.String currency)	Generate the Funding Futures Horizon Metrics

Methods in org.drip.service.product that return types with arguments of type PositionChangeComponents

Modifier and Type	Method	Description
static java.util.List<PositionChangeComponents>	CreditIndexAPI.HorizonChangeAttribution(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] fundingFixingMaturityTenorArray, double[][] fundingFixingQuoteGrid, java.lang.String[] fullCreditIndexNameArray, double[] creditIndexQuotedSpreadArray)	Generate the Funding/Credit Curve Horizon Metrics
static java.util.List<PositionChangeComponents>	FixedBondAPI.HorizonChangeAttribution(java.lang.String issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, JulianDate[] julianSpotDateArray, double[] cleanPriceArray)	Returns Attribution for the Specified Bond Instance
static java.util.List<PositionChangeComponents>	FixFloatAPI.HorizonChangeAttribution(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] fundingDepositInstrumentTenorArray, double[][] fundingDepositInstrumentQuoteGrid, java.lang.String[] fundingFixFloatTenorArray, double[][] fundingFixFloatQuoteGrid, java.lang.String currency, java.lang.String maturityTenor, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)	Generate the Funding Curve Horizon Metrics
static java.util.List<PositionChangeComponents>	FundingFuturesAPI.HorizonChangeAttribution(JulianDate[] closingDateArray, JulianDate[] expiryDateArray, double[] futuresQuoteArray, java.lang.String currency)	Generate the Funding Futures Horizon Metrics
static java.util.List<PositionChangeComponents>	TreasuryAPI.HorizonChangeAttribution(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] govvieTreasuryInstrumentTenorArray, double[][] govvieTreasuryInstrumentQuoteGrid, java.lang.String maturityTenor, java.lang.String treasuryCode, java.lang.String[] rollDownHorizonTenorArray, int latentStateType)	Generate the Govvie Curve Horizon Metrics #2
static java.util.List<PositionChangeComponents>	TreasuryFuturesAPI.HorizonChangeAttribution(java.lang.String treasuryCode, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, JulianDate[] expiryDateArray, JulianDate[] spotDateArray, double[] cleanPriceArray, double[] conversionFactorArray)	Return Attribution for the Treasury Futures