Package org.drip.service.api

Class ProductDailyPnL

java.lang.Object
org.drip.service.api.ProductDailyPnL
public class ProductDailyPnL
extends java.lang.Object
ProductDailyPnL contains the following daily measures computed:

  • 1D Carry, Roll Down, Curve Shift, and Full Return PnL
  • 3D Carry and Roll Down PnL
  • 3M Carry and Roll Down PnL
  • Current DV01




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ProductDailyPnL​(double dbl1DTotalPnL, double dbl1DCleanPnL, double dbl1DDirtyPnL, double dbl1DTotalPnLWithFixing, double dbl1DCleanPnLWithFixing, double dbl1DDirtyPnLWithFixing, double dbl1DCarryPnL, double dbl1DTimeRollPnL, double dbl1DMaturityRollDownSwapRatePnL, double dbl1DMaturityRollUpSwapRatePnL, double dbl1DMaturityRollUpFairPremiumPnL, double dbl1DMaturityRollUpFairPremiumWithFixingPnL, double dbl1DCurveShiftPnL, double dbl1MCarryPnL, double dbl1MMaturityRollDownSwapRatePnL, double dbl3MCarryPnL, double dbl3MMaturityRollDownSwapRatePnL, double dblDV01, double dblDV01WithFixing, double dblCleanFixedDV01, double dblCleanFloatDV01, double dblCleanFloatDV01WithFixing, double dblBaselineSwapRate, double dbl1DTimeRollSwapRate, double dbl1DMaturityRollDownSwapRate, double dbl1MMaturityRollDownSwapRate, double dbl3MMaturityRollDownSwapRate, double dbl1DMaturityRollUpSwapRate, double dbl1DMaturityRollUpFairPremium, double dbl1DMaturityRollUpFairPremiumWithFixing, double dbl1DCurveShiftSwapRate, double dblPeriodFixedRate, double dblPeriodCurveFloatingRate, double dblPeriodProductFloatingRate, double dblPeriodFloatingRateUsed, int i1DFixedAccrualDays, int i1DFloatingAccrualDays, double dbl1DFixedDCF, double dbl1DFloatingDCF, double dbl1MFixedDCF, double dbl1MFloatingDCF, double dbl3MFixedDCF, double dbl3MFloatingDCF)
    ProductDailyPnL constructor

  • Method Summary

    Modifier and Type Method Description
    double baselineSwapRate()
    Retrieve the Baseline Swap Rate
    double carry1DPnL()
    Retrieve the 1D Carry PnL
    double carry1MPnL()
    Retrieve the 1M Carry PnL
    double carry3MPnL()
    Retrieve the 3M Carry PnL
    double clean1DPnL()
    Retrieve the 1D Clean PnL
    double clean1DPnLWithFixing()
    Retrieve the 1D Clean PnL With Fixing
    double cleanFixedDV01()
    Retrieve the Clean Fixed DV01
    double cleanFloatDV01()
    Retrieve the Clean Float DV01
    double cleanFloatDV01WithFixing()
    Retrieve the Clean Float DV01 With Fixing
    double curveShift1DPnL()
    Retrieve the 1D Curve Shift PnL
    double curveShiftSwapRate1D()
    Retrieve the 1D Curve Shift Swap Rate
    double dirty1DPnL()
    Retrieve the 1D Dirty PnL
    double dirty1DPnLWithFixing()
    Retrieve the 1D Dirty PnL With Fixing
    double DV01()
    Retrieve the DV01
    double DV01WithFixing()
    Retrieve the DV01 With Fixing
    int fixed1DAccrualDays()
    Retrieve the 1D Fixed Accrual Period
    double fixed1DDCF()
    Retrieve the Period 1D Fixed DCF
    double fixed1MDCF()
    Retrieve the Period 1M Fixed DCF
    double fixed3MDCF()
    Retrieve the Period 3M Fixed DCF
    int floating1DAccrualDays()
    Retrieve the 1D Floating Accrual Period
    double floating1DDCF()
    Retrieve the Period 1D Floating DCF
    double floating1MDCF()
    Retrieve the Period 1M Floating DCF
    double floating3MDCF()
    Retrieve the Period 3M Floating DCF
    double maturityRollDownSwapRate1D()
    Retrieve the 1D Maturity Roll Down Swap Rate
    double maturityRollDownSwapRate1DPnL()
    Retrieve the 1D Maturity Roll Down Swap Rate PnL
    double maturityRollDownSwapRate1M()
    Retrieve the 1M Maturity Roll Down Swap Rate
    double maturityRollDownSwapRate1MPnL()
    Retrieve the 1M Maturity Roll Down Swap Rate PnL
    double maturityRollDownSwapRate3M()
    Retrieve the 3M Maturity Roll Down Swap Rate
    double maturityRollDownSwapRate3MPnL()
    Retrieve the 3M Maturity Roll Down Swap Rate PnL
    double maturityRollUpFairPremium1D()
    Retrieve the 1D Maturity Roll Up Fair Premium
    double maturityRollUpFairPremium1DPnL()
    Retrieve the 1D Maturity Roll Up Fair Premium PnL
    double maturityRollUpFairPremiumWithFixing1D()
    Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
    double maturityRollUpFairPremiumWithFixing1DPnL()
    Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
    double maturityRollUpSwapRate1D()
    Retrieve the 1D Maturity Roll Up Swap Rate
    double maturityRollUpSwapRate1DPnL()
    Retrieve the 1D Maturity Roll Up Swap Rate PnL
    double periodCurveFloatingRate()
    Retrieve the Period Curve Floating Rate
    double periodFixedRate()
    Retrieve the Period Fixed Rate
    double periodFloatingRateUsed()
    Retrieve the Period Floating Rate Used
    double periodProductFloatingRate()
    Retrieve the Period Product Floating Rate
    double timeRoll1DPnL()
    Retrieve the 1D Time Roll PnL
    double timeRollSwapRate1D()
    Retrieve the 1D Time Roll Swap Rate
    double[] toArray()
    Retrieve the Array of Metrics
    java.lang.String toString()  
    double total1DPnL()
    Retrieve the 1D Total PnL
    double total1DPnLWithFixing()
    Retrieve the 1D Total PnL With Fixing

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ProductDailyPnL

      public ProductDailyPnL​(double dbl1DTotalPnL, double dbl1DCleanPnL, double dbl1DDirtyPnL, double dbl1DTotalPnLWithFixing, double dbl1DCleanPnLWithFixing, double dbl1DDirtyPnLWithFixing, double dbl1DCarryPnL, double dbl1DTimeRollPnL, double dbl1DMaturityRollDownSwapRatePnL, double dbl1DMaturityRollUpSwapRatePnL, double dbl1DMaturityRollUpFairPremiumPnL, double dbl1DMaturityRollUpFairPremiumWithFixingPnL, double dbl1DCurveShiftPnL, double dbl1MCarryPnL, double dbl1MMaturityRollDownSwapRatePnL, double dbl3MCarryPnL, double dbl3MMaturityRollDownSwapRatePnL, double dblDV01, double dblDV01WithFixing, double dblCleanFixedDV01, double dblCleanFloatDV01, double dblCleanFloatDV01WithFixing, double dblBaselineSwapRate, double dbl1DTimeRollSwapRate, double dbl1DMaturityRollDownSwapRate, double dbl1MMaturityRollDownSwapRate, double dbl3MMaturityRollDownSwapRate, double dbl1DMaturityRollUpSwapRate, double dbl1DMaturityRollUpFairPremium, double dbl1DMaturityRollUpFairPremiumWithFixing, double dbl1DCurveShiftSwapRate, double dblPeriodFixedRate, double dblPeriodCurveFloatingRate, double dblPeriodProductFloatingRate, double dblPeriodFloatingRateUsed, int i1DFixedAccrualDays, int i1DFloatingAccrualDays, double dbl1DFixedDCF, double dbl1DFloatingDCF, double dbl1MFixedDCF, double dbl1MFloatingDCF, double dbl3MFixedDCF, double dbl3MFloatingDCF) throws java.lang.Exception
      ProductDailyPnL constructor
      Parameters:
      dbl1DTotalPnL - 1D Total PnL
      dbl1DCleanPnL - 1D Clean PnL
      dbl1DDirtyPnL - 1D Dirty PnL
      dbl1DTotalPnLWithFixing - 1D Total PnL With Fixing
      dbl1DCleanPnLWithFixing - 1D Clean PnL With Fixing
      dbl1DDirtyPnLWithFixing - 1D Dirty PnL With Fixing
      dbl1DCarryPnL - 1D Carry PnL
      dbl1DTimeRollPnL - 1D Time Roll PnL
      dbl1DMaturityRollDownSwapRatePnL - 1D Curve Maturity Roll Down implied Par Swap rate PnL
      dbl1DMaturityRollUpSwapRatePnL - 1D Curve Maturity Roll Up implied Par Swap rate PnL
      dbl1DMaturityRollUpFairPremiumPnL - 1D Curve Maturity Roll Up implied Fair Premium PnL
      dbl1DMaturityRollUpFairPremiumWithFixingPnL - 1D Curve Maturity Roll Up implied Fair Premium With Fixing PnL
      dbl1DCurveShiftPnL - 1D Curve Shift PnL
      dbl1MCarryPnL - 1M Carry PnL
      dbl1MMaturityRollDownSwapRatePnL - 1M Curve Maturity Roll Down implied Par Swap rate PnL
      dbl3MCarryPnL - 3M Carry PnL
      dbl3MMaturityRollDownSwapRatePnL - 3M Curve Maturity Roll Down implied Par Swap rate PnL
      dblDV01 - DV01
      dblDV01WithFixing - DV01 With Fixing
      dblCleanFixedDV01 - Clean Fixed DV01
      dblCleanFloatDV01 - Clean Float DV01
      dblCleanFloatDV01WithFixing - Clean Float DV01 With Fixing
      dblBaselineSwapRate - Baseline Par Swap Rate
      dbl1DTimeRollSwapRate - 1D Curve Time Roll implied Par Swap rate
      dbl1DMaturityRollDownSwapRate - 1D Curve Maturity Roll Down Implied Par Swap rate
      dbl1MMaturityRollDownSwapRate - 1M Curve Maturity Roll Down implied Par Swap rate
      dbl3MMaturityRollDownSwapRate - 3M Curve Maturity Roll Down implied Par Swap rate
      dbl1DMaturityRollUpSwapRate - 1D Curve Maturity Roll Up Implied Par Swap rate
      dbl1DMaturityRollUpFairPremium - 1D Curve Maturity Roll Up Implied Fair Premium
      dbl1DMaturityRollUpFairPremiumWithFixing - 1D Curve Maturity Roll Up Implied Fair Premium With Fixing
      dbl1DCurveShiftSwapRate - 1D Day-to-Day Curve Shift implied Par Swap rate
      dblPeriodFixedRate - The Period Fixed Rate
      dblPeriodCurveFloatingRate - The Period Curve Floating Rate
      dblPeriodProductFloatingRate - The Period Product Floating Rate
      dblPeriodFloatingRateUsed - The Period Floating Rate Used
      i1DFixedAccrualDays - 1D Fixed Accrual Days
      i1DFloatingAccrualDays - 1D Floating Accrual Days
      dbl1DFixedDCF - 1D Fixed Coupon DCF
      dbl1DFloatingDCF - 1D Floating Coupon DCF
      dbl1MFixedDCF - 1M Fixed Coupon DCF
      dbl1MFloatingDCF - 1M Floating Coupon DCF
      dbl3MFixedDCF - 3M Fixed Coupon DCF
      dbl3MFloatingDCF - 3M Floating Coupon DCF
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • clean1DPnL

      public double clean1DPnL()
      Retrieve the 1D Clean PnL
      Returns:
      The 1D Clean PnL

    • dirty1DPnL

      public double dirty1DPnL()
      Retrieve the 1D Dirty PnL
      Returns:
      The 1D Dirty PnL

    • total1DPnL

      public double total1DPnL()
      Retrieve the 1D Total PnL
      Returns:
      The 1D Total PnL

    • clean1DPnLWithFixing

      public double clean1DPnLWithFixing()
      Retrieve the 1D Clean PnL With Fixing
      Returns:
      The 1D Clean PnL With Fixing

    • dirty1DPnLWithFixing

      public double dirty1DPnLWithFixing()
      Retrieve the 1D Dirty PnL With Fixing
      Returns:
      The 1D Dirty PnL With Fixing

    • total1DPnLWithFixing

      public double total1DPnLWithFixing()
      Retrieve the 1D Total PnL With Fixing
      Returns:
      The 1D Total PnL With Fixing

    • carry1DPnL

      public double carry1DPnL()
      Retrieve the 1D Carry PnL
      Returns:
      The 1D Carry PnL

    • timeRoll1DPnL

      public double timeRoll1DPnL()
      Retrieve the 1D Time Roll PnL
      Returns:
      The 1D Time Roll PnL

    • maturityRollDownSwapRate1DPnL

      public double maturityRollDownSwapRate1DPnL()
      Retrieve the 1D Maturity Roll Down Swap Rate PnL
      Returns:
      The 1D Maturity Roll Down Swap Rate PnL

    • maturityRollUpSwapRate1DPnL

      public double maturityRollUpSwapRate1DPnL()
      Retrieve the 1D Maturity Roll Up Swap Rate PnL
      Returns:
      The 1D Maturity Roll Up Swap Rate PnL

    • maturityRollUpFairPremium1DPnL

      public double maturityRollUpFairPremium1DPnL()
      Retrieve the 1D Maturity Roll Up Fair Premium PnL
      Returns:
      The 1D Maturity Roll Up Fair Premium PnL

    • maturityRollUpFairPremiumWithFixing1DPnL

      public double maturityRollUpFairPremiumWithFixing1DPnL()
      Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
      Returns:
      The 1D Maturity Roll Up Fair Premium With Fixing PnL

    • curveShift1DPnL

      public double curveShift1DPnL()
      Retrieve the 1D Curve Shift PnL
      Returns:
      The 1D Curve Shift PnL

    • carry1MPnL

      public double carry1MPnL()
      Retrieve the 1M Carry PnL
      Returns:
      The 1M Carry PnL

    • maturityRollDownSwapRate1MPnL

      public double maturityRollDownSwapRate1MPnL()
      Retrieve the 1M Maturity Roll Down Swap Rate PnL
      Returns:
      The 1M Maturity Roll Down Swap Rate PnL

    • carry3MPnL

      public double carry3MPnL()
      Retrieve the 3M Carry PnL
      Returns:
      The 3M Carry PnL

    • maturityRollDownSwapRate3MPnL

      public double maturityRollDownSwapRate3MPnL()
      Retrieve the 3M Maturity Roll Down Swap Rate PnL
      Returns:
      The 3M Maturity Roll Down Swap Rate PnL

    • DV01

      public double DV01()
      Retrieve the DV01
      Returns:
      The DV01

    • DV01WithFixing

      public double DV01WithFixing()
      Retrieve the DV01 With Fixing
      Returns:
      The DV01 With Fixing

    • cleanFixedDV01

      public double cleanFixedDV01()
      Retrieve the Clean Fixed DV01
      Returns:
      The Clean Fixed DV01

    • cleanFloatDV01

      public double cleanFloatDV01()
      Retrieve the Clean Float DV01
      Returns:
      The Clean Float DV01

    • cleanFloatDV01WithFixing

      public double cleanFloatDV01WithFixing()
      Retrieve the Clean Float DV01 With Fixing
      Returns:
      The Clean Float DV01 With Fixing

    • baselineSwapRate

      public double baselineSwapRate()
      Retrieve the Baseline Swap Rate
      Returns:
      The Baseline Swap Rate

    • timeRollSwapRate1D

      public double timeRollSwapRate1D()
      Retrieve the 1D Time Roll Swap Rate
      Returns:
      The 1D Time Roll Swap Rate

    • maturityRollDownSwapRate1D

      public double maturityRollDownSwapRate1D()
      Retrieve the 1D Maturity Roll Down Swap Rate
      Returns:
      The 1D Maturity Roll Down Swap Rate

    • maturityRollDownSwapRate1M

      public double maturityRollDownSwapRate1M()
      Retrieve the 1M Maturity Roll Down Swap Rate
      Returns:
      The 1M Maturity Roll Down Swap Rate

    • maturityRollDownSwapRate3M

      public double maturityRollDownSwapRate3M()
      Retrieve the 3M Maturity Roll Down Swap Rate
      Returns:
      The 3M Maturity Roll Down Swap Rate

    • maturityRollUpSwapRate1D

      public double maturityRollUpSwapRate1D()
      Retrieve the 1D Maturity Roll Up Swap Rate
      Returns:
      The 1D Maturity Roll Up Swap Rate

    • maturityRollUpFairPremium1D

      public double maturityRollUpFairPremium1D()
      Retrieve the 1D Maturity Roll Up Fair Premium
      Returns:
      The 1D Maturity Roll Up Fair Premium

    • maturityRollUpFairPremiumWithFixing1D

      public double maturityRollUpFairPremiumWithFixing1D()
      Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
      Returns:
      The 1D Maturity Roll Up Fair Premium With Fixing

    • curveShiftSwapRate1D

      public double curveShiftSwapRate1D()
      Retrieve the 1D Curve Shift Swap Rate
      Returns:
      The 1D Curve Shift Swap Rate

    • periodFixedRate

      public double periodFixedRate()
      Retrieve the Period Fixed Rate
      Returns:
      The Period Fixed Rate

    • periodCurveFloatingRate

      public double periodCurveFloatingRate()
      Retrieve the Period Curve Floating Rate
      Returns:
      The Period Curve Floating Rate

    • periodProductFloatingRate

      public double periodProductFloatingRate()
      Retrieve the Period Product Floating Rate
      Returns:
      The Period Product Floating Rate

    • periodFloatingRateUsed

      public double periodFloatingRateUsed()
      Retrieve the Period Floating Rate Used
      Returns:
      The Period Floating Rate Used

    • fixed1DAccrualDays

      public int fixed1DAccrualDays()
      Retrieve the 1D Fixed Accrual Period
      Returns:
      The 1D Fixed Accrual Period

    • floating1DAccrualDays

      public int floating1DAccrualDays()
      Retrieve the 1D Floating Accrual Period
      Returns:
      The 1D Floating Accrual Period

    • fixed1DDCF

      public double fixed1DDCF()
      Retrieve the Period 1D Fixed DCF
      Returns:
      The Period 1D Fixed DCF

    • floating1DDCF

      public double floating1DDCF()
      Retrieve the Period 1D Floating DCF
      Returns:
      The Period 1D Floating DCF

    • fixed1MDCF

      public double fixed1MDCF()
      Retrieve the Period 1M Fixed DCF
      Returns:
      The Period 1M Fixed DCF

    • floating1MDCF

      public double floating1MDCF()
      Retrieve the Period 1M Floating DCF
      Returns:
      The Period 1M Floating DCF

    • fixed3MDCF

      public double fixed3MDCF()
      Retrieve the Period 3M Fixed DCF
      Returns:
      The Period 3M Fixed DCF

    • floating3MDCF

      public double floating3MDCF()
      Retrieve the Period 3M Floating DCF
      Returns:
      The Period 3M Floating DCF

    • toArray

      public double[] toArray()
      Retrieve the Array of Metrics
      Returns:
      The Array of Metrics

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object