Package org.drip.service.product

Class FixedBondAPI

java.lang.Object
org.drip.service.product.FixedBondAPI
public class FixedBondAPI
extends java.lang.Object
FixedBondAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Fixed Bond.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FixedBondAPI()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.List<PositionChangeComponents> HorizonChangeAttribution​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, JulianDate[] adtSpot, double[] adblCleanPrice)
    Returns Attribution for the Specified Bond Instance
    static java.util.Map<java.lang.String,​java.lang.Double> KeyRateDuration​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double dblBondMarketCleanPrice)
    Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
    static BondRVMeasures RelativeValueMetrics​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, double dblBondMarketCleanPrice)
    Generate the Relative Value Metrics for the Specified Bond
    static java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, java.lang.String strBondMarketQuoteName, double dblBondMarketQuote)
    Generate a Full Map Invocation of the Bond Valuation Run

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixedBondAPI

      public FixedBondAPI()

  • Method Details

    • ValuationMetrics

      public static final java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, java.lang.String strBondMarketQuoteName, double dblBondMarketQuote)
      Generate a Full Map Invocation of the Bond Valuation Run
      Parameters:
      strIssuerName - Bond Issuer Name
      iBondEffectiveDate - Bond Effective Date
      iBondMaturityDate - Bond Maturity Date
      dblBondCoupon - Bond Coupon
      iBondCouponFrequency - Bond Coupon Frequency
      strBondCouponDayCount - Bond Coupon Day Count
      strBondCouponCurrency - Bond Coupon Currency
      iSpotDate - Spot Date
      astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)
      adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)
      strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)
      adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)
      strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)
      astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)
      adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)
      strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)
      strGovvieCode - Govvie Bond Code (for Treasury Curve)
      aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)
      adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)
      strCreditCurveName - Credit Curve Name (for Credit Curve)
      astrCreditCurveCDSTenor - CDS Maturity Tenor (for Credit Curve)
      adblCreditCurveCDSCoupon - Array of CDS Fixed Coupon (for Credit Curve)
      adblCreditCurveCDSQuote - Array of CDS Market Quotes (for Credit Curve)
      strCreditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)
      strBondMarketQuoteName - Name of the Bond Market Quote
      dblBondMarketQuote - Bond Market Quote Value
      Returns:
      The Output Measure Map

    • KeyRateDuration

      public static final java.util.Map<java.lang.String,​java.lang.Double> KeyRateDuration​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double dblBondMarketCleanPrice)
      Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
      Parameters:
      strIssuerName - Bond Issuer Name
      iBondEffectiveDate - Bond Effective Date
      iBondMaturityDate - Bond Maturity Date
      dblBondCoupon - Bond Coupon
      iBondCouponFrequency - Bond Coupon Frequency
      strBondCouponDayCount - Bond Coupon Day Count
      strBondCouponCurrency - Bond Coupon Currency
      iSpotDate - Spot Date
      strGovvieCode - Govvie Bond Code (for Treasury Curve)
      aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)
      adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)
      dblBondMarketCleanPrice - Bond Market Clean Price
      Returns:
      The Treasury Curve Tenor Sensitivity/Duration

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, JulianDate[] adtSpot, double[] adblCleanPrice)
      Returns Attribution for the Specified Bond Instance
      Parameters:
      strIssuerName - Bond Issuer Name
      iBondEffectiveDate - Bond Effective Date
      iBondMaturityDate - Bond Maturity Date
      dblBondCoupon - Bond Coupon
      iBondCouponFrequency - Bond Coupon Frequency
      strBondCouponDayCount - Bond Coupon Day Count
      strBondCouponCurrency - Bond Coupon Currency
      adtSpot - Array of Spot Dates
      adblCleanPrice - Array of Closing Clean Prices
      Returns:
      List of the Position Change Components

    • RelativeValueMetrics

      public static final BondRVMeasures RelativeValueMetrics​(java.lang.String strIssuerName, int iBondEffectiveDate, int iBondMaturityDate, double dblBondCoupon, int iBondCouponFrequency, java.lang.String strBondCouponDayCount, java.lang.String strBondCouponCurrency, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, java.lang.String strGovvieCode, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, java.lang.String strCreditCurveName, java.lang.String[] astrCreditCurveCDSTenor, double[] adblCreditCurveCDSCoupon, double[] adblCreditCurveCDSQuote, java.lang.String strCreditCurveCDSMeasure, double dblBondMarketCleanPrice)
      Generate the Relative Value Metrics for the Specified Bond
      Parameters:
      strIssuerName - Bond Issuer Name
      iBondEffectiveDate - Bond Effective Date
      iBondMaturityDate - Bond Maturity Date
      dblBondCoupon - Bond Coupon
      iBondCouponFrequency - Bond Coupon Frequency
      strBondCouponDayCount - Bond Coupon Day Count
      strBondCouponCurrency - Bond Coupon Currency
      iSpotDate - Spot Date
      astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)
      adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)
      strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)
      adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)
      strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)
      astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)
      adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)
      strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)
      strGovvieCode - Govvie Bond Code (for Treasury Curve)
      aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)
      adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)
      strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)
      strCreditCurveName - Credit Curve Name (for Credit Curve)
      astrCreditCurveCDSTenor - CDS Maturity Tenor (for Credit Curve)
      adblCreditCurveCDSCoupon - Array of CDS Fixed Coupon (for Credit Curve)
      adblCreditCurveCDSQuote - Array of CDS Market Quotes (for Credit Curve)
      strCreditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)
      dblBondMarketCleanPrice - Bond Market Clean Price
      Returns:
      The Relative Value Metrics