BondEOSMetrics.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
*
* 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>BondEOSMetrics</i> carries the Option Adjusted Metrics for a Bond with Embedded Options.
*
* <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 BondEOSMetrics {
private double[][] _aadblForwardPrice = null;
private double _dblOASTM = java.lang.Double.NaN;
private boolean[][] _aabExerciseIndicator = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseOAS = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExercisePrice = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseValue = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseOASGap = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseDuration = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseConvexity = null;
/**
* BondEOSMetrics Constructor
*
* @param dblOASTM The OAS To Maturity
* @param adblOptimalExercisePrice Array of Optimal Exercise Price
* @param adblOptimalExerciseValue Array of Optimal Exercise Value
* @param adblOptimalExerciseOAS Array of Optimal Exercise OAS
* @param adblOptimalExerciseOASGap Array of Optimal Exercise OAS Gap
* @param adblOptimalExerciseDuration Array of Optimal Exercise Duration
* @param adblOptimalExerciseConvexity Array of Optimal Exercise Convexity
* @param aadblForwardPrice Double Array of Path/Vertex Forward Prices
* @param aabExerciseIndicator Double Array of Path/Vertex Exercise Indicators
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public BondEOSMetrics (
final double dblOASTM,
final double[] adblOptimalExercisePrice,
final double[] adblOptimalExerciseValue,
final double[] adblOptimalExerciseOAS,
final double[] adblOptimalExerciseOASGap,
final double[] adblOptimalExerciseDuration,
final double[] adblOptimalExerciseConvexity,
final double[][] aadblForwardPrice,
final boolean[][] aabExerciseIndicator)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblOASTM = dblOASTM))
throw new java.lang.Exception ("BondEOSMetrics Constructor => Invalid Inputs");
_udtOptimalExercisePrice = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExercisePrice);
_udtOptimalExerciseValue = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExerciseValue);
_udtOptimalExerciseOAS = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExerciseOAS);
_udtOptimalExerciseOASGap = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExerciseOASGap);
_udtOptimalExerciseDuration = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExerciseDuration);
_udtOptimalExerciseConvexity = new org.drip.measure.statistics.UnivariateDiscreteThin
(adblOptimalExerciseConvexity);
_aadblForwardPrice = aadblForwardPrice;
_aabExerciseIndicator = aabExerciseIndicator;
}
/**
* Retrieve the Optimal Exercise Price UDT
*
* @return The Optimal Exercise Price UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExercisePrice()
{
return _udtOptimalExercisePrice;
}
/**
* Retrieve the Optimal Exercise Value UDT
*
* @return The Optimal Exercise Value UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseValue()
{
return _udtOptimalExerciseValue;
}
/**
* Retrieve the Optimal Exercise OAS UDT
*
* @return The Optimal Exercise OAS UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseOAS()
{
return _udtOptimalExerciseOAS;
}
/**
* Retrieve the Optimal Exercise OAS Gap UDT
*
* @return The Optimal Exercise OAS Gap UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseOASGap()
{
return _udtOptimalExerciseOASGap;
}
/**
* Retrieve the Optimal Exercise Duration UDT
*
* @return The Optimal Exercise Duration UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseDuration()
{
return _udtOptimalExerciseDuration;
}
/**
* Retrieve the Optimal Exercise Convexity UDT
*
* @return The Optimal Exercise Convexity UDT
*/
public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseConvexity()
{
return _udtOptimalExerciseConvexity;
}
/**
* Retrieve the Bond Option Adjusted Spread
*
* @return The Bond Option Adjusted Spread
*/
public double oas()
{
return _udtOptimalExerciseOAS.average();
}
/**
* Retrieve the Bond Option Adjusted Spread To Maturity
*
* @return The Bond Option Adjusted Spread To Maturity
*/
public double oasTM()
{
return _dblOASTM;
}
/**
* Retrieve the Bond Option Adjusted Spread Duration
*
* @return The Bond Option Adjusted Spread Duration
*/
public double oasDuration()
{
return _udtOptimalExerciseDuration.average();
}
/**
* Retrieve the Bond Option Adjusted Spread Convexity
*
* @return The Bond Option Adjusted Spread Convexity
*/
public double oasConvexity()
{
return _udtOptimalExerciseConvexity.average();
}
/**
* Retrieve the Path/Vertex Forward Price Double Array
*
* @return The Path/Vertex Forward Price Double Array
*/
public double[][] forwardPrice()
{
return _aadblForwardPrice;
}
/**
* Retrieve the Path/Vertex Exercise Indicator Double Array
*
* @return The Path/Vertex Exercise Indicator Double Array
*/
public boolean[][] exerciseIndicator()
{
return _aabExerciseIndicator;
}
}