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

  79. /**
  80.  * <i>BondEOSMetrics</i> carries the Option Adjusted Metrics for a Bond with Embedded Options.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  86.  *      <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>
  87.  *      <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>
  88.  *  </ul>
  89.  *
  90.  * @author Lakshmi Krishnamurthy
  91.  */

  93. public class BondEOSMetrics {
  94.     private double[][] _aadblForwardPrice = null;
  95.     private double _dblOASTM = java.lang.Double.NaN;
  96.     private boolean[][] _aabExerciseIndicator = null;
  97.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseOAS = null;
  98.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExercisePrice = null;
  99.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseValue = null;
  100.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseOASGap = null;
  101.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseDuration = null;
  102.     private org.drip.measure.statistics.UnivariateDiscreteThin _udtOptimalExerciseConvexity = null;

  104.     /**
  105.      * BondEOSMetrics Constructor
  106.      * 
  107.      * @param dblOASTM The OAS To Maturity
  108.      * @param adblOptimalExercisePrice Array of Optimal Exercise Price
  109.      * @param adblOptimalExerciseValue Array of Optimal Exercise Value
  110.      * @param adblOptimalExerciseOAS Array of Optimal Exercise OAS
  111.      * @param adblOptimalExerciseOASGap Array of Optimal Exercise OAS Gap
  112.      * @param adblOptimalExerciseDuration Array of Optimal Exercise Duration
  113.      * @param adblOptimalExerciseConvexity Array of Optimal Exercise Convexity
  114.      * @param aadblForwardPrice Double Array of Path/Vertex Forward Prices
  115.      * @param aabExerciseIndicator Double Array of Path/Vertex Exercise Indicators
  116.      * 
  117.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  118.      */

  120.     public BondEOSMetrics (
  121.         final double dblOASTM,
  122.         final double[] adblOptimalExercisePrice,
  123.         final double[] adblOptimalExerciseValue,
  124.         final double[] adblOptimalExerciseOAS,
  125.         final double[] adblOptimalExerciseOASGap,
  126.         final double[] adblOptimalExerciseDuration,
  127.         final double[] adblOptimalExerciseConvexity,
  128.         final double[][] aadblForwardPrice,
  129.         final boolean[][] aabExerciseIndicator)
  130.         throws java.lang.Exception
  131.     {
  132.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblOASTM = dblOASTM))
  133.             throw new java.lang.Exception ("BondEOSMetrics Constructor => Invalid Inputs");

  135.         _udtOptimalExercisePrice = new org.drip.measure.statistics.UnivariateDiscreteThin
  136.             (adblOptimalExercisePrice);

  138.         _udtOptimalExerciseValue = new org.drip.measure.statistics.UnivariateDiscreteThin
  139.             (adblOptimalExerciseValue);

  141.         _udtOptimalExerciseOAS = new org.drip.measure.statistics.UnivariateDiscreteThin
  142.             (adblOptimalExerciseOAS);

  144.         _udtOptimalExerciseOASGap = new org.drip.measure.statistics.UnivariateDiscreteThin
  145.             (adblOptimalExerciseOASGap);

  147.         _udtOptimalExerciseDuration = new org.drip.measure.statistics.UnivariateDiscreteThin
  148.             (adblOptimalExerciseDuration);

  150.         _udtOptimalExerciseConvexity = new org.drip.measure.statistics.UnivariateDiscreteThin
  151.             (adblOptimalExerciseConvexity);

  153.         _aadblForwardPrice = aadblForwardPrice;
  154.         _aabExerciseIndicator = aabExerciseIndicator;
  155.     }

  157.     /**
  158.      * Retrieve the Optimal Exercise Price UDT
  159.      * 
  160.      * @return The Optimal Exercise Price UDT
  161.      */

  163.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExercisePrice()
  164.     {
  165.         return _udtOptimalExercisePrice;
  166.     }

  168.     /**
  169.      * Retrieve the Optimal Exercise Value UDT
  170.      * 
  171.      * @return The Optimal Exercise Value UDT
  172.      */

  174.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseValue()
  175.     {
  176.         return _udtOptimalExerciseValue;
  177.     }

  179.     /**
  180.      * Retrieve the Optimal Exercise OAS UDT
  181.      * 
  182.      * @return The Optimal Exercise OAS UDT
  183.      */

  185.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseOAS()
  186.     {
  187.         return _udtOptimalExerciseOAS;
  188.     }

  190.     /**
  191.      * Retrieve the Optimal Exercise OAS Gap UDT
  192.      * 
  193.      * @return The Optimal Exercise OAS Gap UDT
  194.      */

  196.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseOASGap()
  197.     {
  198.         return _udtOptimalExerciseOASGap;
  199.     }

  201.     /**
  202.      * Retrieve the Optimal Exercise Duration UDT
  203.      * 
  204.      * @return The Optimal Exercise Duration UDT
  205.      */

  207.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseDuration()
  208.     {
  209.         return _udtOptimalExerciseDuration;
  210.     }

  212.     /**
  213.      * Retrieve the Optimal Exercise Convexity UDT
  214.      * 
  215.      * @return The Optimal Exercise Convexity UDT
  216.      */

  218.     public org.drip.measure.statistics.UnivariateDiscreteThin optimalExerciseConvexity()
  219.     {
  220.         return _udtOptimalExerciseConvexity;
  221.     }

  223.     /**
  224.      * Retrieve the Bond Option Adjusted Spread
  225.      * 
  226.      * @return The Bond Option Adjusted Spread
  227.      */

  229.     public double oas()
  230.     {
  231.         return _udtOptimalExerciseOAS.average();
  232.     }

  234.     /**
  235.      * Retrieve the Bond Option Adjusted Spread To Maturity
  236.      * 
  237.      * @return The Bond Option Adjusted Spread To Maturity
  238.      */

  240.     public double oasTM()
  241.     {
  242.         return _dblOASTM;
  243.     }

  245.     /**
  246.      * Retrieve the Bond Option Adjusted Spread Duration
  247.      * 
  248.      * @return The Bond Option Adjusted Spread Duration
  249.      */

  251.     public double oasDuration()
  252.     {
  253.         return _udtOptimalExerciseDuration.average();
  254.     }

  256.     /**
  257.      * Retrieve the Bond Option Adjusted Spread Convexity
  258.      * 
  259.      * @return The Bond Option Adjusted Spread Convexity
  260.      */

  262.     public double oasConvexity()
  263.     {
  264.         return _udtOptimalExerciseConvexity.average();
  265.     }

  267.     /**
  268.      * Retrieve the Path/Vertex Forward Price Double Array
  269.      * 
  270.      * @return The Path/Vertex Forward Price Double Array
  271.      */

  273.     public double[][] forwardPrice()
  274.     {
  275.         return _aadblForwardPrice;
  276.     }

  278.     /**
  279.      * Retrieve the Path/Vertex Exercise Indicator Double Array
  280.      * 
  281.      * @return The Path/Vertex Exercise Indicator Double Array
  282.      */

  284.     public boolean[][] exerciseIndicator()
  285.     {
  286.         return _aabExerciseIndicator;
  287.     }
  288. }
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