BondWorkoutMeasures.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>BondWorkoutMeasures</i> encapsulates the parsimonius yet complete set of measures generated out of a
  86.  * full bond analytics run to a given work-out. It contains the following:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Credit Risky/Credit Riskless Clean/Dirty Coupon Measures
  92.  *      </li>
  93.  *      <li>
  94.  *          Credit Risky/Credit Riskless Par/Principal PV
  95.  *      </li>
  96.  *      <li>
  97.  *          Loss Measures such as expected Recovery, Loss on instantaneous default, and default exposure
  98.  *              with/without recovery
  99.  *      </li>
  100.  *      <li>
  101.  *          Unit Coupon measures such as Accrued 01, first coupon/index rate
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class BondWorkoutMeasures {
  117.     private double _dblAccrued01 = java.lang.Double.NaN;
  118.     private double _dblRecoveryPV = java.lang.Double.NaN;
  119.     private BondCouponMeasures _bcmCreditRiskyClean = null;
  120.     private BondCouponMeasures _bcmCreditRiskyDirty = null;
  121.     private double _dblFirstIndexRate = java.lang.Double.NaN;
  122.     private double _dblFirstCouponRate = java.lang.Double.NaN;
  123.     private BondCouponMeasures _bcmCreditRisklessClean = null;
  124.     private BondCouponMeasures _bcmCreditRisklessDirty = null;
  125.     private double _dblDefaultExposure = java.lang.Double.NaN;
  126.     private double _dblExpectedRecovery = java.lang.Double.NaN;
  127.     private double _dblCreditRiskyParPV = java.lang.Double.NaN;
  128.     private double _dblCreditRisklessParPV = java.lang.Double.NaN;
  129.     private double _dblDefaultExposureNoRec = java.lang.Double.NaN;
  130.     private double _dblCreditRiskyPrincipalPV = java.lang.Double.NaN;
  131.     private double _dblCreditRisklessPrincipalPV = java.lang.Double.NaN;
  132.     private double _dblLossOnInstantaneousDefault = java.lang.Double.NaN;

  134.     /**
  135.      * 
  136.      * BondWorkoutMeasures constructor
  137.      * 
  138.      * @param bcmCreditRiskyDirty Dirty credit risky BondMeasuresCoupon
  139.      * @param bcmCreditRisklessDirty Dirty credit risk-less BondMeasuresCoupon
  140.      * @param dblCreditRiskyParPV Credit risky Par PV
  141.      * @param dblCreditRisklessParPV Credit risk-less par PV
  142.      * @param dblCreditRiskyPrincipalPV Credit Risky Principal PV
  143.      * @param dblCreditRisklessPrincipalPV Credit Risk-less Principal PV
  144.      * @param dblRecoveryPV Recovery PV
  145.      * @param dblExpectedRecovery Expected Recovery
  146.      * @param dblDefaultExposure PV on instantaneous default
  147.      * @param dblDefaultExposureNoRec PV on instantaneous default with zero recovery
  148.      * @param dblLossOnInstantaneousDefault Loss On Instantaneous Default
  149.      * @param dblAccrued01 Accrued01
  150.      * @param dblFirstCouponRate First Coupon Rate
  151.      * @param dblFirstIndexRate First Index Rate
  152.      * @param dblCashPayDF Cash Pay Discount Factor
  153.      * 
  154.      * @throws java.lang.Exception Thrown if inputs are invalid
  155.      */

  157.     public BondWorkoutMeasures (
  158.         final BondCouponMeasures bcmCreditRiskyDirty,
  159.         final BondCouponMeasures bcmCreditRisklessDirty,
  160.         final double dblCreditRiskyParPV,
  161.         final double dblCreditRisklessParPV,
  162.         final double dblCreditRiskyPrincipalPV,
  163.         final double dblCreditRisklessPrincipalPV,
  164.         final double dblRecoveryPV,
  165.         final double dblExpectedRecovery,
  166.         final double dblDefaultExposure,
  167.         final double dblDefaultExposureNoRec,
  168.         final double dblLossOnInstantaneousDefault,
  169.         final double dblAccrued01,
  170.         final double dblFirstCouponRate,
  171.         final double dblFirstIndexRate,
  172.         final double dblCashPayDF)
  173.         throws java.lang.Exception
  174.     {
  175.         if (null == (_bcmCreditRisklessDirty = bcmCreditRisklessDirty) ||
  176.             !org.drip.numerical.common.NumberUtil.IsValid (_dblCreditRisklessParPV = dblCreditRisklessParPV) ||
  177.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblCreditRisklessPrincipalPV =
  178.                     dblCreditRisklessPrincipalPV) || !org.drip.numerical.common.NumberUtil.IsValid (_dblAccrued01
  179.                         = dblAccrued01) || !org.drip.numerical.common.NumberUtil.IsValid (_dblFirstCouponRate =
  180.                             dblFirstCouponRate))
  181.             throw new java.lang.Exception ("BondWorkoutMeasures ctr: Invalid Inputs!");

  183.         _dblRecoveryPV = dblRecoveryPV;
  184.         _dblFirstIndexRate = dblFirstIndexRate;
  185.         _dblDefaultExposure = dblDefaultExposure;
  186.         _dblExpectedRecovery = dblExpectedRecovery;
  187.         _bcmCreditRiskyDirty = bcmCreditRiskyDirty;
  188.         _dblCreditRiskyParPV = dblCreditRiskyParPV;
  189.         _dblDefaultExposureNoRec = dblDefaultExposureNoRec;
  190.         _dblCreditRiskyPrincipalPV = dblCreditRiskyPrincipalPV;
  191.         _dblLossOnInstantaneousDefault = dblLossOnInstantaneousDefault;

  193.         if (!(_bcmCreditRisklessClean = new org.drip.analytics.output.BondCouponMeasures
  194.             (_bcmCreditRisklessDirty.dv01(), _bcmCreditRisklessDirty.indexCouponPV(),
  195.                 _bcmCreditRisklessDirty.couponPV(), _bcmCreditRisklessDirty.pv())).adjustForSettlement
  196.                     (dblCashPayDF))
  197.             throw new java.lang.Exception
  198.                 ("BondWorkoutMeasures ctr: Cannot successfully set up BCM CreditRisklessClean");

  200.         if (!_bcmCreditRisklessClean.adjustForAccrual (_dblAccrued01, _dblFirstCouponRate, dblFirstIndexRate,
  201.             false))
  202.             throw new java.lang.Exception
  203.                 ("BondWorkoutMeasures ctr: Cannot successfully set up BCM CreditRisklessClean");

  205.         if (null != _bcmCreditRiskyDirty && ((!(_bcmCreditRiskyClean = new BondCouponMeasures
  206.             (_bcmCreditRiskyDirty.dv01(), _bcmCreditRiskyDirty.indexCouponPV(),
  207.                 _bcmCreditRiskyDirty.couponPV(), _bcmCreditRiskyDirty.pv())).adjustForSettlement
  208.                     (dblCashPayDF)) || !_bcmCreditRiskyClean.adjustForAccrual (_dblAccrued01,
  209.                         _dblFirstCouponRate, _dblFirstCouponRate, false)))
  210.             throw new java.lang.Exception
  211.                 ("BondWorkoutMeasures ctr: Cannot successfully set up BCM CreditRiskyClean");
  212.     }

  214.     /**
  215.      * Retrieve the Credit Risky Clean Bond Coupon Measures
  216.      * 
  217.      * @return Credit Risky Clean Bond Coupon Measures
  218.      */

  220.     public org.drip.analytics.output.BondCouponMeasures creditRiskyCleanbcm()
  221.     {
  222.         return _bcmCreditRiskyClean;
  223.     }

  225.     /**
  226.      * Retrieve the Credit Risk-less Clean Bond Coupon Measures
  227.      * 
  228.      * @return Credit Risk-less Clean Bond Coupon Measures
  229.      */

  231.     public org.drip.analytics.output.BondCouponMeasures creditRisklessCleanbcm()
  232.     {
  233.         return _bcmCreditRisklessClean;
  234.     }

  236.     /**
  237.      * Retrieve the Credit Risky Dirty Bond Coupon Measures
  238.      * 
  239.      * @return Credit Risky Dirty Bond Coupon Measures
  240.      */

  242.     public org.drip.analytics.output.BondCouponMeasures creditRiskyDirtybcm()
  243.     {
  244.         return _bcmCreditRiskyDirty;
  245.     }

  247.     /**
  248.      * Retrieve the Credit Risk-less Dirty Bond Coupon Measures
  249.      * 
  250.      * @return Credit Risk-less Dirty Bond Coupon Measures
  251.      */

  253.     public org.drip.analytics.output.BondCouponMeasures creditRisklessDirtybcm()
  254.     {
  255.         return _bcmCreditRisklessDirty;
  256.     }

  258.     /**
  259.      * Retrieve the Accrued01
  260.      * 
  261.      * @return Accrued01
  262.      */

  264.     public double accrued01()
  265.     {
  266.         return _dblAccrued01;
  267.     }

  269.     /**
  270.      * Retrieve the First Coupon Rate
  271.      * 
  272.      * @return First Coupon Rate
  273.      */

  275.     public double firstCouponRate()
  276.     {
  277.         return _dblFirstCouponRate;
  278.     }

  280.     /**
  281.      * Retrieve the First Index Rate
  282.      * 
  283.      * @return First Index Rate
  284.      */

  286.     public double firstIndexRate()
  287.     {
  288.         return _dblFirstIndexRate;
  289.     }

  291.     /**
  292.      * Retrieve the Credit Risky Par PV
  293.      * 
  294.      * @return The Credit Risky Par PV
  295.      */

  297.     public double creditRiskyParPV()
  298.     {
  299.         return _dblCreditRiskyParPV;
  300.     }

  302.     /**
  303.      * Retrieve the Credit Risk-less Par PV
  304.      * 
  305.      * @return The Credit Risk-less Par PV
  306.      */

  308.     public double creditRisklessParPV()
  309.     {
  310.         return _dblCreditRisklessParPV;
  311.     }

  313.     /**
  314.      * Retrieve the Credit Risky Principal PV
  315.      * 
  316.      * @return The Credit Risky Principal PV
  317.      */

  319.     public double creditRiskyPrincipalPV()
  320.     {
  321.         return _dblCreditRiskyPrincipalPV;
  322.     }

  324.     /**
  325.      * Retrieve the Credit Risk-less Principal PV
  326.      * 
  327.      * @return The Credit Risk-less Principal PV
  328.      */

  330.     public double creditRisklessPrincipalPV()
  331.     {
  332.         return _dblCreditRisklessPrincipalPV;
  333.     }

  335.     /**
  336.      * Retrieve the Recovery PV
  337.      * 
  338.      * @return The Recovery PV
  339.      */

  341.     public double recoveryPV()
  342.     {
  343.         return _dblRecoveryPV;
  344.     }

  346.     /**
  347.      * Retrieve the Expected Recovery
  348.      * 
  349.      * @return The Expected Recovery
  350.      */

  352.     public double expectedRecovery()
  353.     {
  354.         return _dblExpectedRecovery;
  355.     }

  357.     /**
  358.      * Retrieve Default Exposure - Same as PV on instantaneous default
  359.      * 
  360.      * @return The Default Exposure
  361.      */

  363.     public double defaultExposure()
  364.     {
  365.         return _dblDefaultExposure;
  366.     }

  368.     /**
  369.      * Retrieve the Default Exposure without recovery - Same as PV on instantaneous default without recovery
  370.      * 
  371.      * @return The Default Exposure without recovery
  372.      */

  374.     public double defaultExposureNoRec()
  375.     {
  376.         return _dblDefaultExposureNoRec;
  377.     }

  379.     /**
  380.      * Retrieve the Loss On Instantaneous Default
  381.      * 
  382.      * @return Loss On Instantaneous Default
  383.      */

  385.     public double lossOnInstantaneousDefault()
  386.     {
  387.         return _dblLossOnInstantaneousDefault;
  388.     }

  390.     /**
  391.      * Return the state as a measure map
  392.      * 
  393.      * @param strPrefix Measure name prefix
  394.      * 
  395.      * @return Map of the measures
  396.      */

  398.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> toMap (
  399.         final java.lang.String strPrefix)
  400.     {
  401.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = new
  402.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  404.         mapMeasures.put (strPrefix + "Accrued", _dblAccrued01 * _dblFirstCouponRate);

  406.         mapMeasures.put (strPrefix + "Accrued01", _dblAccrued01);

  408.         mapMeasures.put (strPrefix + "CleanCouponPV", _bcmCreditRisklessClean.couponPV());

  410.         mapMeasures.put (strPrefix + "CleanDV01", _bcmCreditRisklessClean.dv01());

  412.         mapMeasures.put (strPrefix + "CleanIndexCouponPV", _bcmCreditRisklessClean.indexCouponPV());

  414.         mapMeasures.put (strPrefix + "CleanPrice", _bcmCreditRisklessClean.pv());

  416.         mapMeasures.put (strPrefix + "CleanPV", _bcmCreditRisklessClean.pv());

  418.         mapMeasures.put (strPrefix + "CreditRisklessParPV", _dblCreditRisklessParPV);

  420.         mapMeasures.put (strPrefix + "CreditRisklessPrincipalPV", _dblCreditRisklessPrincipalPV);

  422.         mapMeasures.put (strPrefix + "CreditRiskyParPV", _dblCreditRiskyParPV);

  424.         mapMeasures.put (strPrefix + "CreditRiskyPrincipalPV", _dblCreditRiskyPrincipalPV);

  426.         mapMeasures.put (strPrefix + "DefaultExposure", _dblDefaultExposure);

  428.         mapMeasures.put (strPrefix + "DefaultExposureNoRec", _dblDefaultExposureNoRec);

  430.         mapMeasures.put (strPrefix + "DirtyCouponPV", _bcmCreditRisklessDirty.couponPV());

  432.         mapMeasures.put (strPrefix + "DirtyDV01", _bcmCreditRisklessDirty.dv01());

  434.         mapMeasures.put (strPrefix + "DirtyIndexCouponPV", _bcmCreditRisklessDirty.indexCouponPV());

  436.         mapMeasures.put (strPrefix + "DirtyPrice", _bcmCreditRisklessDirty.pv());

  438.         mapMeasures.put (strPrefix + "DirtyPV", _bcmCreditRisklessDirty.pv());

  440.         mapMeasures.put (strPrefix + "DV01", _bcmCreditRisklessClean.dv01());

  442.         mapMeasures.put (strPrefix + "ExpectedRecovery", _dblExpectedRecovery);

  444.         mapMeasures.put (strPrefix + "FirstCouponRate", _dblFirstCouponRate);

  446.         mapMeasures.put (strPrefix + "FirstIndexRate", _dblFirstIndexRate);

  448.         mapMeasures.put (strPrefix + "LossOnInstantaneousDefault", _dblLossOnInstantaneousDefault);

  450.         mapMeasures.put (strPrefix + "ParPV", _dblCreditRisklessParPV);

  452.         mapMeasures.put (strPrefix + "PrincipalPV", _dblCreditRisklessPrincipalPV);

  454.         mapMeasures.put (strPrefix + "PV", _bcmCreditRisklessClean.pv());

  456.         mapMeasures.put (strPrefix + "RecoveryPV", _dblRecoveryPV);

  458.         org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMeasures, _bcmCreditRisklessDirty.toMap
  459.             (strPrefix + "RisklessDirty"));

  461.         org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMeasures, _bcmCreditRisklessClean.toMap
  462.             (strPrefix + "RisklessClean"));

  464.         if (null != _bcmCreditRiskyDirty) {
  465.             mapMeasures.put (strPrefix + "CleanCouponPV", _bcmCreditRiskyClean.couponPV());

  467.             mapMeasures.put (strPrefix + "CleanDV01", _bcmCreditRiskyClean.dv01());

  469.             mapMeasures.put (strPrefix + "CleanIndexCouponPV", _bcmCreditRiskyClean.indexCouponPV());

  471.             mapMeasures.put (strPrefix + "CleanPrice", _bcmCreditRiskyClean.pv());

  473.             mapMeasures.put (strPrefix + "CleanPV", _bcmCreditRiskyClean.pv());

  475.             mapMeasures.put (strPrefix + "DirtyCouponPV", _bcmCreditRiskyDirty.couponPV());

  477.             mapMeasures.put (strPrefix + "DirtyDV01", _bcmCreditRiskyDirty.dv01());

  479.             mapMeasures.put (strPrefix + "DirtyIndexCouponPV", _bcmCreditRiskyDirty.indexCouponPV());

  481.             mapMeasures.put (strPrefix + "DirtyPrice", _bcmCreditRiskyDirty.pv());

  483.             mapMeasures.put (strPrefix + "DirtyPV", _bcmCreditRiskyDirty.pv());

  485.             mapMeasures.put (strPrefix + "DV01", _bcmCreditRiskyClean.dv01());

  487.             mapMeasures.put (strPrefix + "ParPV", _dblCreditRiskyParPV);

  489.             mapMeasures.put (strPrefix + "PrincipalPV", _dblCreditRiskyPrincipalPV);

  491.             mapMeasures.put (strPrefix + "PV", _bcmCreditRiskyClean.pv());

  493.             org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMeasures, _bcmCreditRiskyDirty.toMap
  494.                 (strPrefix + "RiskyDirty"));

  496.             org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMeasures, _bcmCreditRiskyClean.toMap
  497.                 (strPrefix + "RiskyClean"));
  498.         }

  500.         return mapMeasures;
  501.     }
  502. }
Created with JaCoCo 0.7.9.201702052155