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. It provides the following Functionality:
  • Generate a Full Map Invocation of the Bond Valuation Run
  • Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
  • Return Attribution for the Specified Bond Instance
  • Generate the Relative Value Metrics for the Specified Bond

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Product Horizon PnL Attribution Decomposition

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 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.Map<java.lang.String,​java.lang.Double> KeyRateDuration​(java.lang.String issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, double bondMarketCleanPrice)
    Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
    static BondRVMeasures RelativeValueMetrics​(java.lang.String issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String[] fundingCurveDepositTenor, double[] fundingCurveDepositQuote, java.lang.String fundingCurveDepositMeasure, double[] fundingCurveFuturesQuote, java.lang.String fundingCurveFuturesMeasure, java.lang.String[] fundingCurveFixFloatTenor, double[] fundingCurveFixFloatQuote, java.lang.String fundingFixFloatMeasure, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, java.lang.String creditCurveName, java.lang.String[] creditCurveCDSTenorArray, double[] creditCurveCDSCouponArray, double[] creditCurveCDSQuoteArray, java.lang.String creditCurveCDSMeasure, double bondMarketCleanPrice)
    Generate the Relative Value Metrics for the Specified Bond
    static java.util.Map<java.lang.String,​java.lang.Double> ValuationMetrics​(java.lang.String issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String[] fundingCurveDepositTenor, double[] fundingCurveDepositQuote, java.lang.String fundingCurveDepositMeasure, double[] fundingCurveFuturesQuote, java.lang.String fundingCurveFuturesMeasure, java.lang.String[] fundingCurveFixFloatTenor, double[] fundingCurveFixFloatQuote, java.lang.String fundingFixFloatMeasure, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, java.lang.String creditCurveName, java.lang.String[] creditCurveCDSTenorArray, double[] creditCurveCDSCouponArray, double[] creditCurveCDSQuoteArray, java.lang.String creditCurveCDSMeasure, java.lang.String bondMarketQuoteName, double bondMarketQuote)
    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 issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String[] fundingCurveDepositTenor, double[] fundingCurveDepositQuote, java.lang.String fundingCurveDepositMeasure, double[] fundingCurveFuturesQuote, java.lang.String fundingCurveFuturesMeasure, java.lang.String[] fundingCurveFixFloatTenor, double[] fundingCurveFixFloatQuote, java.lang.String fundingFixFloatMeasure, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, java.lang.String creditCurveName, java.lang.String[] creditCurveCDSTenorArray, double[] creditCurveCDSCouponArray, double[] creditCurveCDSQuoteArray, java.lang.String creditCurveCDSMeasure, java.lang.String bondMarketQuoteName, double bondMarketQuote)
      Generate a Full Map Invocation of the Bond Valuation Run
      Parameters:
      issuerName - Bond Issuer Name
      bondEffectiveDate - Bond Effective Date
      bondMaturityDate - Bond Maturity Date
      bondCoupon - Bond Coupon
      bondCouponFrequency - Bond Coupon Frequency
      bondCouponDayCount - Bond Coupon Day Count
      bondCouponCurrency - Bond Coupon Currency
      spotDate - Spot Date
      fundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)
      fundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)
      fundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)
      fundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)
      fundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)
      fundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)
      fundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)
      fundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)
      govvieCode - Govvie Bond Code (for Treasury Curve)
      govvieCurveTreasuryEffectiveDateArray - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      govvieCurveTreasuryMaturityDateArray - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      govvieCurveTreasuryCouponArray - Array of the Treasury Instrument Coupon (for Treasury Curve)
      govvieCurveTreasuryYieldArray - Array of the Treasury Instrument Yield (for Treasury Curve)
      govvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)
      creditCurveName - Credit Curve Name (for Credit Curve)
      creditCurveCDSTenorArray - CDS Maturity Tenor (for Credit Curve)
      creditCurveCDSCouponArray - Array of CDS Fixed Coupon (for Credit Curve)
      creditCurveCDSQuoteArray - Array of CDS Market Quotes (for Credit Curve)
      creditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)
      bondMarketQuoteName - Name of the Bond Market Quote
      bondMarketQuote - 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 issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, double bondMarketCleanPrice)
      Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
      Parameters:
      issuerName - Bond Issuer Name
      bondEffectiveDate - Bond Effective Date
      bondMaturityDate - Bond Maturity Date
      bondCoupon - Bond Coupon
      bondCouponFrequency - Bond Coupon Frequency
      bondCouponDayCount - Bond Coupon Day Count
      bondCouponCurrency - Bond Coupon Currency
      spotDate - Spot Date
      govvieCode - Govvie Bond Code (for Treasury Curve)
      govvieCurveTreasuryEffectiveDateArray - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      govvieCurveTreasuryMaturityDateArray - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      govvieCurveTreasuryCouponArray - Array of the Treasury Instrument Coupon (for Treasury Curve)
      govvieCurveTreasuryYieldArray - Array of the Treasury Instrument Yield (for Treasury Curve)
      govvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)
      bondMarketCleanPrice - Bond Market Clean Price
      Returns:
      The Treasury Curve Tenor Sensitivity/Duration

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> 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
      Parameters:
      issuerName - Bond Issuer Name
      bondEffectiveDate - Bond Effective Date
      bondMaturityDate - Bond Maturity Date
      bondCoupon - Bond Coupon
      bondCouponFrequency - Bond Coupon Frequency
      bondCouponDayCount - Bond Coupon Day Count
      bondCouponCurrency - Bond Coupon Currency
      julianSpotDateArray - Array of Spot Dates
      cleanPriceArray - Array of Closing Clean Prices
      Returns:
      List of the Position Change Components

    • RelativeValueMetrics

      public static final BondRVMeasures RelativeValueMetrics​(java.lang.String issuerName, int bondEffectiveDate, int bondMaturityDate, double bondCoupon, int bondCouponFrequency, java.lang.String bondCouponDayCount, java.lang.String bondCouponCurrency, int spotDate, java.lang.String[] fundingCurveDepositTenor, double[] fundingCurveDepositQuote, java.lang.String fundingCurveDepositMeasure, double[] fundingCurveFuturesQuote, java.lang.String fundingCurveFuturesMeasure, java.lang.String[] fundingCurveFixFloatTenor, double[] fundingCurveFixFloatQuote, java.lang.String fundingFixFloatMeasure, java.lang.String govvieCode, int[] govvieCurveTreasuryEffectiveDateArray, int[] govvieCurveTreasuryMaturityDateArray, double[] govvieCurveTreasuryCouponArray, double[] govvieCurveTreasuryYieldArray, java.lang.String govvieCurveTreasuryMeasure, java.lang.String creditCurveName, java.lang.String[] creditCurveCDSTenorArray, double[] creditCurveCDSCouponArray, double[] creditCurveCDSQuoteArray, java.lang.String creditCurveCDSMeasure, double bondMarketCleanPrice)
      Generate the Relative Value Metrics for the Specified Bond
      Parameters:
      issuerName - Bond Issuer Name
      bondEffectiveDate - Bond Effective Date
      bondMaturityDate - Bond Maturity Date
      bondCoupon - Bond Coupon
      bondCouponFrequency - Bond Coupon Frequency
      bondCouponDayCount - Bond Coupon Day Count
      bondCouponCurrency - Bond Coupon Currency
      spotDate - Spot Date
      fundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)
      fundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)
      fundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)
      fundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)
      fundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)
      fundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)
      fundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)
      fundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)
      govvieCode - Govvie Bond Code (for Treasury Curve)
      govvieCurveTreasuryEffectiveDateArray - Array of the Treasury Instrument Effective Date (for Treasury Curve)
      govvieCurveTreasuryMaturityDateArray - Array of the Treasury Instrument Maturity Date (for Treasury Curve)
      govvieCurveTreasuryCouponArray - Array of the Treasury Instrument Coupon (for Treasury Curve)
      govvieCurveTreasuryYieldArray - Array of the Treasury Instrument Yield (for Treasury Curve)
      govvieCurveTreasuryMeasure - Treasury Instrument Measure (for Treasury Curve)
      creditCurveName - Credit Curve Name (for Credit Curve)
      creditCurveCDSTenorArray - CDS Maturity Tenor (for Credit Curve)
      creditCurveCDSCouponArray - Array of CDS Fixed Coupon (for Credit Curve)
      creditCurveCDSQuoteArray - Array of CDS Market Quotes (for Credit Curve)
      creditCurveCDSMeasure - CDS Calibration Measure (for Credit Curve)
      bondMarketCleanPrice - Bond Market Clean Price
      Returns:
      The Relative Value Metrics