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 daily measures computed. It provides the following Functions:
  • ProductDailyPnL constructor
  • Retrieve the 1D Clean PnL
  • Retrieve the 1D Dirty PnL
  • Retrieve the 1D Total PnL
  • Retrieve the 1D Clean PnL With Fixing
  • Retrieve the 1D Dirty PnL With Fixing
  • Retrieve the 1D Total PnL With Fixing
  • Retrieve the 1D Carry PnL
  • Retrieve the 1D Time Roll PnL
  • Retrieve the 1D Maturity Roll Down Swap Rate PnL
  • Retrieve the 1D Maturity Roll Up Swap Rate PnL
  • Retrieve the 1D Maturity Roll Up Fair Premium PnL
  • Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
  • Retrieve the 1D Curve Shift PnL
  • Retrieve the 1M Carry PnL
  • Retrieve the 1M Maturity Roll Down Swap Rate PnL
  • Retrieve the 3M Carry PnL
  • Retrieve the 3M Maturity Roll Down Swap Rate PnL
  • Retrieve the DV01
  • Retrieve the DV01 With Fixing
  • Retrieve the Clean Fixed DV01
  • Retrieve the Clean Float DV01
  • Retrieve the Clean Float DV01 With Fixing
  • Retrieve the Baseline Swap Rate
  • Retrieve the 1D Time Roll Swap Rate
  • Retrieve the 1D Maturity Roll Down Swap Rate
  • Retrieve the 1M Maturity Roll Down Swap Rate
  • Retrieve the 3M Maturity Roll Down Swap Rate
  • Retrieve the 1D Maturity Roll Up Swap Rate
  • Retrieve the 1D Maturity Roll Up Fair Premium
  • Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
  • Retrieve the 1D Curve Shift Swap Rate
  • Retrieve the Period Fixed Rate
  • Retrieve the Period Curve Floating Rate
  • Retrieve the Period Product Floating Rate
  • Retrieve the Period Floating Rate Used
  • Retrieve the 1D Fixed Accrual Period
  • Retrieve the 1D Floating Accrual Period
  • Retrieve the Period 1D Fixed DCF
  • Retrieve the Period 1D Floating DCF
  • Retrieve the Period 1M Fixed DCF
  • Retrieve the Period 1M Floating DCF
  • Retrieve the Period 3M Fixed DCF
  • Retrieve the Period 3M Floating DCF
  • Retrieve the Array of Metrics

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Horizon Roll Attribution Service API
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ProductDailyPnL​(double oneDayTotalPnL, double oneDayCleanPnL, double oneDayDirtyPnL, double oneDayTotalPnLWithFixing, double oneDayCleanPnLWithFixing, double oneDayDirtyPnLWithFixing, double oneDayCarryPnL, double oneDayTimeRollPnL, double oneDayMaturityRollDownSwapRatePnL, double oneDayMaturityRollUpSwapRatePnL, double oneDayMaturityRollUpFairPremiumPnL, double oneDayMaturityRollUpFairPremiumWithFixingPnL, double oneDayCurveShiftPnL, double oneMonthCarryPnL, double oneMonthMaturityRollDownSwapRatePnL, double threeMonthCarryPnL, double threeMonthMaturityRollDownSwapRatePnL, double dv01, double dv01WithFixing, double cleanFixedDV01, double cleanFloatDV01, double cleanFloatDV01WithFixing, double baselineSwapRate, double oneDayTimeRollSwapRate, double oneDayMaturityRollDownSwapRate, double oneMonthMaturityRollDownSwapRate, double threeMonthMaturityRollDownSwapRate, double oneDayMaturityRollUpSwapRate, double oneDayMaturityRollUpFairPremium, double oneDayMaturityRollUpFairPremiumWithFixing, double oneDayCurveShiftSwapRate, double periodFixedRate, double periodCurveFloatingRate, double periodProductFloatingRate, double periodFloatingRateUsed, int oneDayFixedAccrualDays, int oneDayFloatingAccrualDays, double oneDayFixedDCF, double oneDayFloatingDCF, double oneMonthFixedDCF, double oneMonthFloatingDCF, double threeMonthFixedDCF, double threeMonthFloatingDCF)
    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 oneDayTotalPnL, double oneDayCleanPnL, double oneDayDirtyPnL, double oneDayTotalPnLWithFixing, double oneDayCleanPnLWithFixing, double oneDayDirtyPnLWithFixing, double oneDayCarryPnL, double oneDayTimeRollPnL, double oneDayMaturityRollDownSwapRatePnL, double oneDayMaturityRollUpSwapRatePnL, double oneDayMaturityRollUpFairPremiumPnL, double oneDayMaturityRollUpFairPremiumWithFixingPnL, double oneDayCurveShiftPnL, double oneMonthCarryPnL, double oneMonthMaturityRollDownSwapRatePnL, double threeMonthCarryPnL, double threeMonthMaturityRollDownSwapRatePnL, double dv01, double dv01WithFixing, double cleanFixedDV01, double cleanFloatDV01, double cleanFloatDV01WithFixing, double baselineSwapRate, double oneDayTimeRollSwapRate, double oneDayMaturityRollDownSwapRate, double oneMonthMaturityRollDownSwapRate, double threeMonthMaturityRollDownSwapRate, double oneDayMaturityRollUpSwapRate, double oneDayMaturityRollUpFairPremium, double oneDayMaturityRollUpFairPremiumWithFixing, double oneDayCurveShiftSwapRate, double periodFixedRate, double periodCurveFloatingRate, double periodProductFloatingRate, double periodFloatingRateUsed, int oneDayFixedAccrualDays, int oneDayFloatingAccrualDays, double oneDayFixedDCF, double oneDayFloatingDCF, double oneMonthFixedDCF, double oneMonthFloatingDCF, double threeMonthFixedDCF, double threeMonthFloatingDCF) throws java.lang.Exception
      ProductDailyPnL constructor
      Parameters:
      oneDayTotalPnL - 1D Total PnL
      oneDayCleanPnL - 1D Clean PnL
      oneDayDirtyPnL - 1D Dirty PnL
      oneDayTotalPnLWithFixing - 1D Total PnL With Fixing
      oneDayCleanPnLWithFixing - 1D Clean PnL With Fixing
      oneDayDirtyPnLWithFixing - 1D Dirty PnL With Fixing
      oneDayCarryPnL - 1D Carry PnL
      oneDayTimeRollPnL - 1D Time Roll PnL
      oneDayMaturityRollDownSwapRatePnL - 1D Curve Maturity Roll Down implied Par Swap rate PnL
      oneDayMaturityRollUpSwapRatePnL - 1D Curve Maturity Roll Up implied Par Swap rate PnL
      oneDayMaturityRollUpFairPremiumPnL - 1D Curve Maturity Roll Up implied Fair Premium PnL
      oneDayMaturityRollUpFairPremiumWithFixingPnL - 1D Curve Maturity Roll Up implied Fair Premium with Fixing PnL
      oneDayCurveShiftPnL - 1D Curve Shift PnL
      oneMonthCarryPnL - 1M Carry PnL
      oneMonthMaturityRollDownSwapRatePnL - 1M Curve Maturity Roll Down implied Par Swap rate PnL
      threeMonthCarryPnL - 3M Carry PnL
      threeMonthMaturityRollDownSwapRatePnL - 3M Curve Maturity Roll Down implied Par Swap rate PnL
      dv01 - DV01
      dv01WithFixing - DV01 With Fixing
      cleanFixedDV01 - Clean Fixed DV01
      cleanFloatDV01 - Clean Float DV01
      cleanFloatDV01WithFixing - Clean Float DV01 With Fixing
      baselineSwapRate - Baseline Par Swap Rate
      oneDayTimeRollSwapRate - 1D Curve Time Roll implied Par Swap rate
      oneDayMaturityRollDownSwapRate - 1D Curve Maturity Roll Down Implied Par Swap rate
      oneMonthMaturityRollDownSwapRate - 1M Curve Maturity Roll Down implied Par Swap rate
      threeMonthMaturityRollDownSwapRate - 3M Curve Maturity Roll Down implied Par Swap rate
      oneDayMaturityRollUpSwapRate - 1D Curve Maturity Roll Up Implied Par Swap rate
      oneDayMaturityRollUpFairPremium - 1D Curve Maturity Roll Up Implied Fair Premium
      oneDayMaturityRollUpFairPremiumWithFixing - 1D Curve Maturity Roll Up Implied Fair Premium With Fixing
      oneDayCurveShiftSwapRate - 1D Day-to-Day Curve Shift implied Par Swap rate
      periodFixedRate - The Period Fixed Rate
      periodCurveFloatingRate - The Period Curve Floating Rate
      periodProductFloatingRate - The Period Product Floating Rate
      periodFloatingRateUsed - The Period Floating Rate Used
      oneDayFixedAccrualDays - 1D Fixed Accrual Days
      oneDayFloatingAccrualDays - 1D Floating Accrual Days
      oneDayFixedDCF - 1D Fixed Coupon DCF
      oneDayFloatingDCF - 1D Floating Coupon DCF
      oneMonthFixedDCF - 1M Fixed Coupon DCF
      oneMonthFloatingDCF - 1M Floating Coupon DCF
      threeMonthFixedDCF - 3M Fixed Coupon DCF
      threeMonthFloatingDCF - 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