BondCouponMeasures.java

  1. package org.drip.analytics.output;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>BondCouponMeasures</i> encapsulates the parsimonious but complete set of the cash-flow oriented coupon
  86.  * measures generated out of a full bond analytics run to a given work-out. These are:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          DV01
  92.  *      </li>
  93.  *      <li>
  94.  *          PV Measures (Coupon PV, Index Coupon PV, PV)
  95.  *      </li>
  96.  *  </ul>
  97.  *
  98.  *  <br><br>
  99.  *  <ul>
  100.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  101.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  102.  *      <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>
  103.  *      <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>
  104.  *  </ul>
  105.  *
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class BondCouponMeasures {
  110.     private double _dblDV01 = java.lang.Double.NaN;
  111.     private double _dblIndexCouponPV = java.lang.Double.NaN;
  112.     private double _dblCouponPV = java.lang.Double.NaN;
  113.     private double _dblPV = java.lang.Double.NaN;

  115.     /**
  116.      * BondCouponMeasures constructor
  117.      * 
  118.      * @param dblDV01 DV01
  119.      * @param dblIndexCouponPV Index Coupon PV
  120.      * @param dblCouponPV Coupon PV
  121.      * @param dblPV PV
  122.      * 
  123.      * @throws java.lang.Exception Thrown if inputs are invalid
  124.      */

  126.     public BondCouponMeasures (
  127.         final double dblDV01,
  128.         final double dblIndexCouponPV,
  129.         final double dblCouponPV,
  130.         final double dblPV)
  131.         throws java.lang.Exception
  132.     {
  133.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblDV01 = dblDV01) ||
  134.             !org.drip.numerical.common.NumberUtil.IsValid (_dblCouponPV = dblCouponPV) ||
  135.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblPV = dblPV))
  136.             throw new java.lang.Exception ("BondCouponMeasures ctr: Invalid Inputs!");

  138.         _dblIndexCouponPV = dblIndexCouponPV;
  139.     }

  141.     /**
  142.      * Adjust the bond coupon measures by a cash settlement discount factor
  143.      * 
  144.      * @param dblCashPayDF Cash Pay discount factor
  145.      * 
  146.      * @return TRUE - if the adjustment has been successfully applied
  147.      */

  149.     public boolean adjustForSettlement (
  150.         final double dblCashPayDF)
  151.     {
  152.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblCashPayDF)) return false;

  154.         _dblDV01 /= dblCashPayDF;
  155.         _dblIndexCouponPV /= dblCashPayDF;
  156.         _dblCouponPV /= dblCashPayDF;
  157.         _dblPV /= dblCashPayDF;
  158.         return true;
  159.     }

  161.     /**
  162.      * Retrieve the DV01
  163.      * 
  164.      * @return DV01
  165.      */

  167.     public double dv01()
  168.     {
  169.         return _dblDV01;
  170.     }

  172.     /**
  173.      * Retrieve the Index Coupon PV
  174.      * 
  175.      * @return Index Coupon PV
  176.      */

  178.     public double indexCouponPV()
  179.     {
  180.         return _dblIndexCouponPV;
  181.     }

  183.     /**
  184.      * Retrieve the Coupon PV
  185.      * 
  186.      * @return Coupon PV
  187.      */

  189.     public double couponPV()
  190.     {
  191.         return _dblCouponPV;
  192.     }

  194.     /**
  195.      * Retrieve the PV
  196.      * 
  197.      * @return PV
  198.      */

  200.     public double pv()
  201.     {
  202.         return _dblPV;
  203.     }

  205.     /**
  206.      * Adjust Measures for accrued
  207.      * 
  208.      * @param dblAccrued01 Accrued 01
  209.      * @param dblCoupon Coupon during the accrued phase
  210.      * @param dblIndex Index Rate during the accrued phase
  211.      * @param bDirtyFromClean True - Change measures from Clean to Dirty
  212.      * 
  213.      * @return True - if the adjustment has been successfully applied
  214.      */

  216.     public boolean adjustForAccrual (
  217.         final double dblAccrued01,
  218.         final double dblCoupon,
  219.         final double dblIndex,
  220.         final boolean bDirtyFromClean)
  221.     {
  222.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblAccrued01) ||
  223.             !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  224.             return false;

  226.         if (bDirtyFromClean)
  227.             _dblDV01 -= dblAccrued01;
  228.         else
  229.             _dblDV01 += dblAccrued01;

  231.         if (bDirtyFromClean)
  232.             _dblIndexCouponPV -= dblAccrued01 * dblIndex;
  233.         else
  234.             _dblIndexCouponPV += dblAccrued01 * dblIndex;

  236.         if (bDirtyFromClean)
  237.             _dblCouponPV -= dblAccrued01 * dblCoupon;
  238.         else
  239.             _dblCouponPV += dblAccrued01 * dblCoupon;

  241.         if (bDirtyFromClean)
  242.             _dblPV -= dblAccrued01 * dblCoupon;
  243.         else
  244.             _dblPV += dblAccrued01 * dblCoupon;

  246.         return true;
  247.     }

  249.     /**
  250.      * Return the state as a named measure map
  251.      * 
  252.      * @param strPrefix Measure name prefix
  253.      * 
  254.      * @return Map of the measures
  255.      */

  257.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> toMap (
  258.         final java.lang.String strPrefix)
  259.     {
  260.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = new
  261.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  263.         mapMeasures.put (strPrefix + "DV01", _dblDV01);

  265.         mapMeasures.put (strPrefix + "IndexCouponPV", _dblIndexCouponPV);

  267.         mapMeasures.put (strPrefix + "CouponPV", _dblCouponPV);

  269.         mapMeasures.put (strPrefix + "PV", _dblPV);

  271.         return mapMeasures;
  272.     }
  273. }
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