Package org.drip.portfolioconstruction.alm

Class DiscountRate

java.lang.Object
org.drip.portfolioconstruction.alm.DiscountRate
public class DiscountRate
extends java.lang.Object
DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working Age Income, Pension Benefits, and Basic Consumption.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DiscountRate​(double yield, double workingAgeIncomeSpread, double pensionBenefitsIncomeSpread, double basicConsumptionSpread)
    DiscountRate Constructor

  • Method Summary

    Modifier and Type Method Description
    double basicConsumptionDF​(double dblHorizon)
    Retrieve the Basic Consumption Discount Factor
    double basicConsumptionRate()
    Retrieve the Basic Consumption Discount Rate
    double basicConsumptionSpread()
    Retrieve the Basic Consumption Spread
    double pensionBenefitsIncomeDF​(double dblHorizon)
    Retrieve the Pension Benefits Income Discount Factor
    double pensionBenefitsIncomeRate()
    Retrieve the Pension Benefits Income Discount Rate
    double pensionBenefitsIncomeSpread()
    Retrieve the Pension Benefits Income Spread
    double workingAgeIncomeDF​(double dblHorizon)
    Retrieve the Working Age Income Discount Factor
    double workingAgeIncomeRate()
    Retrieve the Working Age Income Discount Rate
    double workingAgeIncomeSpread()
    Retrieve the Working Age Income Spread
    double yield()
    Retrieve the Base Discounting Yield

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • DiscountRate

      public DiscountRate​(double yield, double workingAgeIncomeSpread, double pensionBenefitsIncomeSpread, double basicConsumptionSpread) throws java.lang.Exception
      DiscountRate Constructor
      Parameters:
      yield - The Base Discounting Yield
      workingAgeIncomeSpread - The Working Age Income Spread
      pensionBenefitsIncomeSpread - The Pension Benefits Income Spread
      basicConsumptionSpread - The Basic Consumption Spread
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • yield

      public double yield()
      Retrieve the Base Discounting Yield
      Returns:
      The Base Discounting Yield

    • workingAgeIncomeSpread

      public double workingAgeIncomeSpread()
      Retrieve the Working Age Income Spread
      Returns:
      The Working Age Income Spread

    • workingAgeIncomeRate

      public double workingAgeIncomeRate()
      Retrieve the Working Age Income Discount Rate
      Returns:
      The Working Age Income Discount Rate

    • workingAgeIncomeDF

      public double workingAgeIncomeDF​(double dblHorizon) throws java.lang.Exception
      Retrieve the Working Age Income Discount Factor
      Parameters:
      dblHorizon - The Horizon to which the Discount Factor is to be computed
      Returns:
      The Working Age Income Discount Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • pensionBenefitsIncomeSpread

      public double pensionBenefitsIncomeSpread()
      Retrieve the Pension Benefits Income Spread
      Returns:
      The Pension Benefits Income Spread

    • pensionBenefitsIncomeRate

      public double pensionBenefitsIncomeRate()
      Retrieve the Pension Benefits Income Discount Rate
      Returns:
      The Pension Benefits Income Discount Rate

    • pensionBenefitsIncomeDF

      public double pensionBenefitsIncomeDF​(double dblHorizon) throws java.lang.Exception
      Retrieve the Pension Benefits Income Discount Factor
      Parameters:
      dblHorizon - The Horizon to which the Discount Factor is to be computed
      Returns:
      The Pension Benefits Income Discount Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • basicConsumptionSpread

      public double basicConsumptionSpread()
      Retrieve the Basic Consumption Spread
      Returns:
      The Basic Consumption Spread

    • basicConsumptionRate

      public double basicConsumptionRate()
      Retrieve the Basic Consumption Discount Rate
      Returns:
      The Basic Consumption Discount Rate

    • basicConsumptionDF

      public double basicConsumptionDF​(double dblHorizon) throws java.lang.Exception
      Retrieve the Basic Consumption Discount Factor
      Parameters:
      dblHorizon - The Horizon to which the Discount Factor is to be computed
      Returns:
      The Basic Consumption Discount Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid