Package org.drip.service.scenario

Class EOSMetricsReplicator

java.lang.Object

org.drip.service.scenario.EOSMetricsReplicator

public class EOSMetricsReplicator
extends java.lang.Object

EOSMetricsReplicator generates the EOS Metrics for Bonds with Embedded Option Schedules. It provides the following Functionality:

• Standard Static EOSMetricsReplicator Creator
• EOSMetricsReplicator Constructor
• Retrieve the Underlying Bond
• Retrieve the Valuation Parameters
• Retrieve the Market Parameters
• Retrieve the Price
• Retrieve the Diffusion Evolver
• Retrieve the Govvie Builder Settings
• Retrieve the Number of Simulation Paths
• Generate an Instance of a Replication Run

Module	Computational Core Module
Library	Computation Support
Project	Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package	Custom Scenario Service Metric Generator

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
EOSMetricsReplicator(BondComponent bondComponent, ValuationParams valuationParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, GovvieBuilderSettings govvieBuilderSettings, DiffusionEvolver diffusionEvolver, int pathCount, double price)	EOSMetricsReplicator Constructor

Method Summary

Modifier and Type	Method	Description
BondComponent	bond()	Retrieve the Underlying Bond
DiffusionEvolver	diffusionEvolver()	Retrieve the Diffusion Evolver
BondEOSMetrics	generateRun()	Generate an Instance of a Replication Run
GovvieBuilderSettings	govvieBuilderSetting()	Retrieve the Govvie Builder Settings
CurveSurfaceQuoteContainer	marketParameters()	Retrieve the Market Parameters
int	numPath()	Retrieve the Number of Simulation Paths
double	price()	Retrieve the Price
static EOSMetricsReplicator	Standard(BondComponent bondComponent, ValuationParams valuationParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, GovvieBuilderSettings govvieBuilderSettings, double logNormalVolatility, double price)	Standard Static EOSMetricsReplicator Creator
ValuationParams	valuationParameters()	Retrieve the Valuation Parameters

Methods inherited from class java.lang.Object

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

Constructor Details

EOSMetricsReplicator

public EOSMetricsReplicator(BondComponent bondComponent,
ValuationParams valuationParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
GovvieBuilderSettings govvieBuilderSettings,
DiffusionEvolver diffusionEvolver,
int pathCount,
double price)
                     throws java.lang.Exception

EOSMetricsReplicator Constructor

Parameters:

bondComponent - Bond Instance

valuationParams - Valuation Parameters

curveSurfaceQuoteContainer - Market Parameters

govvieBuilderSettings - Govvie Builder Settings

diffusionEvolver - Diffusion Evolver

pathCount - Number of Simulation Paths

price - Market Price

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid/Inconsistent

Method Details

Standard

public static final EOSMetricsReplicator Standard(BondComponent bondComponent,
ValuationParams valuationParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
GovvieBuilderSettings govvieBuilderSettings,
double logNormalVolatility,
double price)

Standard Static EOSMetricsReplicator Creator

Parameters:

bondComponent - Bond Instance

valuationParams - Valuation Parameters

curveSurfaceQuoteContainer - Market Parameters

govvieBuilderSettings - Govvie Builder Settings

logNormalVolatility - Long Normal Treasury Forward Volatility

price - Market Price

Returns:

EOSMetricsReplicator Instance

bond

public BondComponent bond()

Retrieve the Underlying Bond

Returns:

The Underlying Bond

valuationParameters

public ValuationParams valuationParameters()

Retrieve the Valuation Parameters

Returns:

The Valuation Parameters

marketParameters

public CurveSurfaceQuoteContainer marketParameters()

Retrieve the Market Parameters

Returns:

The Market Parameters

price

public double price()

Retrieve the Price

Returns:

The Price

diffusionEvolver

public DiffusionEvolver diffusionEvolver()

Retrieve the Diffusion Evolver

Returns:

The Diffusion Evolver

govvieBuilderSetting

public GovvieBuilderSettings govvieBuilderSetting()

Retrieve the Govvie Builder Settings

Returns:

The Govvie Builder Settings

numPath

public int numPath()

Retrieve the Number of Simulation Paths

Returns:

The Number of Simulation Paths

generateRun

public BondEOSMetrics generateRun()

Generate an Instance of a Replication Run

Returns:

Instance of a Replication Run