BondCouponMeasures.java
package org.drip.analytics.output;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>BondCouponMeasures</i> encapsulates the parsimonious but complete set of the cash-flow oriented coupon
* measures generated out of a full bond analytics run to a given work-out. These are:
*
* <br><br>
* <ul>
* <li>
* DV01
* </li>
* <li>
* PV Measures (Coupon PV, Index Coupon PV, PV)
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/output/README.md">Period Product Targeted Valuation Measures</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class BondCouponMeasures {
private double _dblDV01 = java.lang.Double.NaN;
private double _dblIndexCouponPV = java.lang.Double.NaN;
private double _dblCouponPV = java.lang.Double.NaN;
private double _dblPV = java.lang.Double.NaN;
/**
* BondCouponMeasures constructor
*
* @param dblDV01 DV01
* @param dblIndexCouponPV Index Coupon PV
* @param dblCouponPV Coupon PV
* @param dblPV PV
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public BondCouponMeasures (
final double dblDV01,
final double dblIndexCouponPV,
final double dblCouponPV,
final double dblPV)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblDV01 = dblDV01) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblCouponPV = dblCouponPV) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblPV = dblPV))
throw new java.lang.Exception ("BondCouponMeasures ctr: Invalid Inputs!");
_dblIndexCouponPV = dblIndexCouponPV;
}
/**
* Adjust the bond coupon measures by a cash settlement discount factor
*
* @param dblCashPayDF Cash Pay discount factor
*
* @return TRUE - if the adjustment has been successfully applied
*/
public boolean adjustForSettlement (
final double dblCashPayDF)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblCashPayDF)) return false;
_dblDV01 /= dblCashPayDF;
_dblIndexCouponPV /= dblCashPayDF;
_dblCouponPV /= dblCashPayDF;
_dblPV /= dblCashPayDF;
return true;
}
/**
* Retrieve the DV01
*
* @return DV01
*/
public double dv01()
{
return _dblDV01;
}
/**
* Retrieve the Index Coupon PV
*
* @return Index Coupon PV
*/
public double indexCouponPV()
{
return _dblIndexCouponPV;
}
/**
* Retrieve the Coupon PV
*
* @return Coupon PV
*/
public double couponPV()
{
return _dblCouponPV;
}
/**
* Retrieve the PV
*
* @return PV
*/
public double pv()
{
return _dblPV;
}
/**
* Adjust Measures for accrued
*
* @param dblAccrued01 Accrued 01
* @param dblCoupon Coupon during the accrued phase
* @param dblIndex Index Rate during the accrued phase
* @param bDirtyFromClean True - Change measures from Clean to Dirty
*
* @return True - if the adjustment has been successfully applied
*/
public boolean adjustForAccrual (
final double dblAccrued01,
final double dblCoupon,
final double dblIndex,
final boolean bDirtyFromClean)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblAccrued01) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
return false;
if (bDirtyFromClean)
_dblDV01 -= dblAccrued01;
else
_dblDV01 += dblAccrued01;
if (bDirtyFromClean)
_dblIndexCouponPV -= dblAccrued01 * dblIndex;
else
_dblIndexCouponPV += dblAccrued01 * dblIndex;
if (bDirtyFromClean)
_dblCouponPV -= dblAccrued01 * dblCoupon;
else
_dblCouponPV += dblAccrued01 * dblCoupon;
if (bDirtyFromClean)
_dblPV -= dblAccrued01 * dblCoupon;
else
_dblPV += dblAccrued01 * dblCoupon;
return true;
}
/**
* Return the state as a named measure map
*
* @param strPrefix Measure name prefix
*
* @return Map of the measures
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> toMap (
final java.lang.String strPrefix)
{
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = new
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
mapMeasures.put (strPrefix + "DV01", _dblDV01);
mapMeasures.put (strPrefix + "IndexCouponPV", _dblIndexCouponPV);
mapMeasures.put (strPrefix + "CouponPV", _dblCouponPV);
mapMeasures.put (strPrefix + "PV", _dblPV);
return mapMeasures;
}
}