BondRVMeasures.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>BondRVMeasures</i> encapsulates the comprehensive set of RV measures calculated for the bond to the
  86.  * appropriate exercise:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Work-out Information
  92.  *      </li>
  93.  *      <li>
  94.  *          Price, Yield, and Yield01
  95.  *      </li>
  96.  *      <li>
  97.  *          Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
  98.  *      </li>
  99.  *      <li>
  100.  *          Basis Measures: Bond Basis, Credit Basis, Yield Basis
  101.  *      </li>
  102.  *      <li>
  103.  *          Duration Measures: Macaulay/Modified Duration, Convexity
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  *
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class BondRVMeasures {
  119.     private double _dblPECS = java.lang.Double.NaN;
  120.     private double _dblPrice = java.lang.Double.NaN;
  121.     private double _dblGSpread = java.lang.Double.NaN;
  122.     private double _dblISpread = java.lang.Double.NaN;
  123.     private double _dblYield01 = java.lang.Double.NaN;
  124.     private double _dblZSpread = java.lang.Double.NaN;
  125.     private double _dblOASpread = java.lang.Double.NaN;
  126.     private double _dblBondBasis = java.lang.Double.NaN;
  127.     private double _dblConvexity = java.lang.Double.NaN;
  128.     private double _dblTSYSpread = java.lang.Double.NaN;
  129.     private double _dblCreditBasis = java.lang.Double.NaN;
  130.     private org.drip.param.valuation.WorkoutInfo _wi = null;
  131.     private double _dblDiscountMargin = java.lang.Double.NaN;
  132.     private double _dblAssetSwapSpread = java.lang.Double.NaN;
  133.     private double _dblMacaulayDuration = java.lang.Double.NaN;
  134.     private double _dblModifiedDuration = java.lang.Double.NaN;

  136.     /**
  137.      * BondRVMeasures ctr
  138.      * 
  139.      * @param dblPrice BondRV Clean Price
  140.      * @param dblBondBasis BondRV Bond Basis
  141.      * @param dblZSpread BondRV Z Spread
  142.      * @param dblGSpread BondRV G Spread
  143.      * @param dblISpread BondRV I Spread
  144.      * @param dblOASpread BondRV OAS
  145.      * @param dblTSYSpread BondRV TSY Spread
  146.      * @param dblDiscountMargin BondRV Asset Swap Spread
  147.      * @param dblAssetSwapSpread BondRV Asset Swap Spread
  148.      * @param dblCreditBasis BondRV Credit Basis
  149.      * @param dblPECS BondRV PECS
  150.      * @param dblYield01 BondRV Yield01
  151.      * @param dblModifiedDuration BondRV Modified Duration
  152.      * @param dblMacaulayDuration BondRV Macaulay Duration
  153.      * @param dblConvexity BondRV Convexity
  154.      * @param wi BondRV work-out info
  155.      * 
  156.      * @throws java.lang.Exception Thrown if inputs are invalid
  157.      */

  159.     public BondRVMeasures (
  160.         final double dblPrice,
  161.         final double dblBondBasis,
  162.         final double dblZSpread,
  163.         final double dblGSpread,
  164.         final double dblISpread,
  165.         final double dblOASpread,
  166.         final double dblTSYSpread,
  167.         final double dblDiscountMargin,
  168.         final double dblAssetSwapSpread,
  169.         final double dblCreditBasis,
  170.         final double dblPECS,
  171.         final double dblYield01,
  172.         final double dblModifiedDuration,
  173.         final double dblMacaulayDuration,
  174.         final double dblConvexity,
  175.         final org.drip.param.valuation.WorkoutInfo wi)
  176.         throws java.lang.Exception
  177.     {
  178.         if (null == (_wi = wi)) throw new java.lang.Exception ("BondRVMeasures ctr: Invalid inputs!");

  180.         _dblPECS = dblPECS;
  181.         _dblPrice = dblPrice;
  182.         _dblGSpread = dblGSpread;
  183.         _dblISpread = dblISpread;
  184.         _dblYield01 = dblYield01;
  185.         _dblZSpread = dblZSpread;
  186.         _dblOASpread = dblOASpread;
  187.         _dblBondBasis = dblBondBasis;
  188.         _dblConvexity = dblConvexity;
  189.         _dblTSYSpread = dblTSYSpread;
  190.         _dblCreditBasis = dblCreditBasis;
  191.         _dblDiscountMargin = dblDiscountMargin;
  192.         _dblAssetSwapSpread = dblAssetSwapSpread;
  193.         _dblMacaulayDuration = dblMacaulayDuration;
  194.         _dblModifiedDuration = dblModifiedDuration;
  195.     }

  197.     /**
  198.      * Retrieve the Work-out Info
  199.      * 
  200.      * @return Work-out Info
  201.      */

  203.     public org.drip.param.valuation.WorkoutInfo wi()
  204.     {
  205.         return _wi;
  206.     }

  208.     /**
  209.      * Retrieve the PECS
  210.      * 
  211.      * @return PECS
  212.      */

  214.     public double pecs()
  215.     {
  216.         return _dblPECS;
  217.     }

  219.     /**
  220.      * Retrieve the Price
  221.      * 
  222.      * @return Price
  223.      */

  225.     public double price()
  226.     {
  227.         return _dblPrice;
  228.     }

  230.     /**
  231.      * Retrieve the G Spread
  232.      * 
  233.      * @return G Spread
  234.      */

  236.     public double gSpread()
  237.     {
  238.         return _dblGSpread;
  239.     }

  241.     /**
  242.      * Retrieve the I Spread
  243.      * 
  244.      * @return I Spread
  245.      */

  247.     public double iSpread()
  248.     {
  249.         return _dblISpread;
  250.     }

  252.     /**
  253.      * Retrieve the Yield01
  254.      * 
  255.      * @return Yield01
  256.      */

  258.     public double yield01()
  259.     {
  260.         return _dblYield01;
  261.     }

  263.     /**
  264.      * Retrieve the Z Spread
  265.      * 
  266.      * @return Z Spread
  267.      */

  269.     public double zSpread()
  270.     {
  271.         return _dblZSpread;
  272.     }

  274.     /**
  275.      * Retrieve the OAS
  276.      * 
  277.      * @return OAS
  278.      */

  280.     public double oas()
  281.     {
  282.         return _dblOASpread;
  283.     }

  285.     /**
  286.      * Retrieve the Bond Basis
  287.      * 
  288.      * @return Bond Basis
  289.      */

  291.     public double bondBasis()
  292.     {
  293.         return _dblBondBasis;
  294.     }

  296.     /**
  297.      * Retrieve the Convexity
  298.      * 
  299.      * @return Convexity
  300.      */

  302.     public double convexity()
  303.     {
  304.         return _dblConvexity;
  305.     }

  307.     /**
  308.      * Retrieve the TSY Spread
  309.      * 
  310.      * @return TSY Spread
  311.      */

  313.     public double tsySpread()
  314.     {
  315.         return _dblTSYSpread;
  316.     }

  318.     /**
  319.      * Retrieve the Credit Basis
  320.      * 
  321.      * @return Credit Basis
  322.      */

  324.     public double creditBasis()
  325.     {
  326.         return _dblCreditBasis;
  327.     }

  329.     /**
  330.      * Retrieve the Discount Margin
  331.      * 
  332.      * @return Discount Margin
  333.      */

  335.     public double discountMargin()
  336.     {
  337.         return _dblDiscountMargin;
  338.     }

  340.     /**
  341.      * Retrieve the Asset Swap Spread
  342.      * 
  343.      * @return Asset Swap Spread
  344.      */

  346.     public double asw()
  347.     {
  348.         return _dblAssetSwapSpread;
  349.     }

  351.     /**
  352.      * Retrieve the Macaulay Duration
  353.      * 
  354.      * @return Macaulay Duration
  355.      */

  357.     public double macaulayDuration()
  358.     {
  359.         return _dblMacaulayDuration;
  360.     }

  362.     /**
  363.      * Retrieve the Modified Duration
  364.      * 
  365.      * @return Modified Duration
  366.      */

  368.     public double modifiedDuration()
  369.     {
  370.         return _dblModifiedDuration;
  371.     }

  373.     /**
  374.      * Return the state as a measure map
  375.      * 
  376.      * @param strPrefix RV Measure name prefix
  377.      * 
  378.      * @return Map of the RV measures
  379.      */

  381.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> toMap (
  382.         final java.lang.String strPrefix)
  383.     {
  384.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapRVMeasures = new
  385.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  387.         mapRVMeasures.put (strPrefix + "AssetSwapSpread", _dblAssetSwapSpread);

  389.         mapRVMeasures.put (strPrefix + "ASW", _dblAssetSwapSpread);

  391.         mapRVMeasures.put (strPrefix + "BondBasis", _dblBondBasis);

  393.         mapRVMeasures.put (strPrefix + "Convexity", _dblConvexity);

  395.         mapRVMeasures.put (strPrefix + "CreditBasis", _dblCreditBasis);

  397.         mapRVMeasures.put (strPrefix + "DiscountMargin", _dblDiscountMargin);

  399.         mapRVMeasures.put (strPrefix + "Duration", _dblModifiedDuration);

  401.         mapRVMeasures.put (strPrefix + "GSpread", _dblGSpread);

  403.         mapRVMeasures.put (strPrefix + "ISpread", _dblISpread);

  405.         mapRVMeasures.put (strPrefix + "MacaulayDuration", _dblMacaulayDuration);

  407.         mapRVMeasures.put (strPrefix + "ModifiedDuration", _dblModifiedDuration);

  409.         mapRVMeasures.put (strPrefix + "OAS", _dblOASpread);

  411.         mapRVMeasures.put (strPrefix + "OASpread", _dblOASpread);

  413.         mapRVMeasures.put (strPrefix + "OptionAdjustedSpread", _dblOASpread);

  415.         mapRVMeasures.put (strPrefix + "PECS", _dblPECS);

  417.         mapRVMeasures.put (strPrefix + "Price", _dblPrice);

  419.         mapRVMeasures.put (strPrefix + "TSYSpread", _dblTSYSpread);

  421.         mapRVMeasures.put (strPrefix + "WorkoutDate", (double) _wi.date());

  423.         mapRVMeasures.put (strPrefix + "WorkoutFactor", _wi.factor());

  425.         mapRVMeasures.put (strPrefix + "WorkoutType", (double) _wi.type());

  427.         mapRVMeasures.put (strPrefix + "WorkoutYield", _wi.yield());

  429.         mapRVMeasures.put (strPrefix + "Yield", _wi.yield());

  431.         mapRVMeasures.put (strPrefix + "Yield01", _dblYield01);

  433.         mapRVMeasures.put (strPrefix + "YieldBasis", _dblBondBasis);

  435.         mapRVMeasures.put (strPrefix + "YieldSpread", _dblBondBasis);

  437.         mapRVMeasures.put (strPrefix + "ZSpread", _dblZSpread);

  439.         return mapRVMeasures;
  440.     }
  441. }
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