CDSMarketSnap.java

  1. package org.drip.historical.attribution;

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

  80. /**
  81.  * <i>CDSMarketSnap</i> contains the Metrics Snapshot associated with the relevant Manifest Measures for the given
  82.  * Credit Default Swap Position.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/README.md">Historical State Processing Utilities</a></li>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/attribution/README.md">Position Market Change Components Attribution</a></li>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class CDSMarketSnap extends org.drip.historical.attribution.PositionMarketSnap {

  97.     /**
  98.      * CDSMarketSnap Constructor
  99.      * 
  100.      * @param dtSnap The Snapshot Date
  101.      * @param dblMarketValue The Snapshot Market Value
  102.      * 
  103.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  104.      */

  106.     public CDSMarketSnap (
  107.         final org.drip.analytics.date.JulianDate dtSnap,
  108.         final double dblMarketValue)
  109.         throws java.lang.Exception
  110.     {
  111.         super (dtSnap, dblMarketValue);
  112.     }

  114.     /**
  115.      * Set the Fair Premium and Position Sensitivity
  116.      * 
  117.      * @param dblFairPremium The Fair Premium
  118.      * @param dblFairPremiumSensitivity The Position Fair Premium Sensitivity
  119.      * @param dblFairPremiumRollDown The Position Fair Premium Roll Down
  120.      * 
  121.      * @return TRUE - The Fair Premium and the Position Sensitivity successfully set
  122.      */

  124.     public boolean setFairPremiumMarketFactor (
  125.         final double dblFairPremium,
  126.         final double dblFairPremiumSensitivity,
  127.         final double dblFairPremiumRollDown)
  128.     {
  129.         return addManifestMeasureSnap ("FairPremium", dblFairPremium, dblFairPremiumSensitivity,
  130.             dblFairPremiumRollDown);
  131.     }

  133.     /**
  134.      * Set the Effective Date
  135.      * 
  136.      * @param dtEffective The Effective Date
  137.      * 
  138.      * @return TRUE - The Effective Date successfully set
  139.      */

  141.     public boolean setEffectiveDate (
  142.         final org.drip.analytics.date.JulianDate dtEffective)
  143.     {
  144.         return setDate ("EffectiveDate", dtEffective);
  145.     }

  147.     /**
  148.      * Retrieve the Effective Date
  149.      * 
  150.      * @return The Effective Date
  151.      */

  153.     public org.drip.analytics.date.JulianDate effectiveDate()
  154.     {
  155.         return date ("EffectiveDate");
  156.     }

  158.     /**
  159.      * Set the Maturity Date
  160.      * 
  161.      * @param dtMaturity The Maturity Date
  162.      * 
  163.      * @return TRUE - The Maturity Date successfully set
  164.      */

  166.     public boolean setMaturityDate (
  167.         final org.drip.analytics.date.JulianDate dtMaturity)
  168.     {
  169.         return setDate ("MaturityDate", dtMaturity);
  170.     }

  172.     /**
  173.      * Retrieve the Maturity Date
  174.      * 
  175.      * @return The Maturity Date
  176.      */

  178.     public org.drip.analytics.date.JulianDate maturityDate()
  179.     {
  180.         return date ("MaturityDate");
  181.     }

  183.     /**
  184.      * Set the Initial Fair Premium
  185.      * 
  186.      * @param dblInitialFairPremium The Initial Fair Premium
  187.      * 
  188.      * @return TRUE - The Initial Fair Premium Successfully set
  189.      */

  191.     public boolean setInitialFairPremium (
  192.         final double dblInitialFairPremium)
  193.     {
  194.         return setR1 ("InitialFairPremium", dblInitialFairPremium);
  195.     }

  197.     /**
  198.      * Retrieve the Initial Fair Premium
  199.      * 
  200.      * @return The Initial Fair Premium
  201.      * 
  202.      * @throws java.lang.Exception Thrown if the Initial Fair Premium cannot be obtained
  203.      */

  205.     public double initialFairPremium()
  206.         throws java.lang.Exception
  207.     {
  208.         return r1 ("InitialFairPremium");
  209.     }

  211.     /**
  212.      * Set the Current Fair Premium
  213.      * 
  214.      * @param dblCurrentFairPremium The Current Fair Premium
  215.      * 
  216.      * @return TRUE - The Current Fair Premium Successfully Set
  217.      */

  219.     public boolean setCurrentFairPremium (
  220.         final double dblCurrentFairPremium)
  221.     {
  222.         return setR1 ("CurrentFairPremium", dblCurrentFairPremium);
  223.     }

  225.     /**
  226.      * Retrieve the Current Fair Premium
  227.      * 
  228.      * @return The Current Fair Premium
  229.      * 
  230.      * @throws java.lang.Exception Thrown if the Current Fair Premium cannot be obtained
  231.      */

  233.     public double currentFairPremium()
  234.         throws java.lang.Exception
  235.     {
  236.         return r1 ("CurrentFairPremium");
  237.     }

  239.     /**
  240.      * Set the Fixed Coupon
  241.      * 
  242.      * @param dblFixedCoupon The Fixed Coupon
  243.      * 
  244.      * @return TRUE - The Fixed Coupon Successfully Set
  245.      */

  247.     public boolean setFixedCoupon (
  248.         final double dblFixedCoupon)
  249.     {
  250.         return setR1 ("FixedCoupon", dblFixedCoupon);
  251.     }

  253.     /**
  254.      * Retrieve the Fixed Coupon
  255.      * 
  256.      * @return The Fixed Coupon
  257.      * 
  258.      * @throws java.lang.Exception Thrown if the Fixed Coupon cannot be obtained
  259.      */

  261.     public double fixedCoupon()
  262.         throws java.lang.Exception
  263.     {
  264.         return r1 ("FixedCoupon");
  265.     }

  267.     /**
  268.      * Set the Clean DV01
  269.      * 
  270.      * @param dblCleanDV01 The Clean DV01
  271.      * 
  272.      * @return TRUE - The Clean DV01 Successfully Set
  273.      */

  275.     public boolean setCleanDV01 (
  276.         final double dblCleanDV01)
  277.     {
  278.         return setR1 ("CleanDV01", dblCleanDV01);
  279.     }

  281.     /**
  282.      * Retrieve the Clean DV01
  283.      * 
  284.      * @return The Clean DV01
  285.      * 
  286.      * @throws java.lang.Exception Thrown if the Clean DV01 cannot be obtained
  287.      */

  289.     public double cleanDV01()
  290.         throws java.lang.Exception
  291.     {
  292.         return r1 ("CleanDV01");
  293.     }

  295.     /**
  296.      * Set the Roll Down Fair Premium
  297.      * 
  298.      * @param dblRollDownFairPremium The Roll Down Fair Premium
  299.      * 
  300.      * @return TRUE - The Roll Down Fair Premium Successfully Set
  301.      */

  303.     public boolean setRollDownFairPremium (
  304.         final double dblRollDownFairPremium)
  305.     {
  306.         return setR1 ("RollDownFairPremium", dblRollDownFairPremium);
  307.     }

  309.     /**
  310.      * Retrieve the Roll Down Fair Premium
  311.      * 
  312.      * @return The Roll Down Fair Premium
  313.      * 
  314.      * @throws java.lang.Exception Thrown if the Roll Down Fair Premium cannot be obtained
  315.      */

  317.     public double rollDownFairPremium()
  318.         throws java.lang.Exception
  319.     {
  320.         return r1 ("RollDownFairPremium");
  321.     }

  323.     /**
  324.      * Set the Accrued
  325.      * 
  326.      * @param dblAccrued The Accrued
  327.      * 
  328.      * @return TRUE - The Accrued successfully set
  329.      */

  331.     public boolean setAccrued (
  332.         final double dblAccrued)
  333.     {
  334.         return setR1 ("Accrued", dblAccrued);
  335.     }

  337.     /**
  338.      * Retrieve the Accrued
  339.      * 
  340.      * @return The Accrued
  341.      * 
  342.      * @throws java.lang.Exception Thrown if the Accrued cannot be obtained
  343.      */

  345.     public double accrued()
  346.         throws java.lang.Exception
  347.     {
  348.         return r1 ("Accrued");
  349.     }

  351.     /**
  352.      * Set the Cumulative Coupon Amount
  353.      * 
  354.      * @param dblCumulativeCouponAmount The Cumulative Coupon Amount
  355.      * 
  356.      * @return TRUE - The Cumulative Coupon Amount successfully set
  357.      */

  359.     public boolean setCumulativeCouponAmount (
  360.         final double dblCumulativeCouponAmount)
  361.     {
  362.         return setR1 ("CumulativeCouponAmount", dblCumulativeCouponAmount);
  363.     }

  365.     /**
  366.      * Retrieve the Cumulative Coupon Amount
  367.      * 
  368.      * @return The Cumulative Coupon Amount
  369.      * 
  370.      * @throws java.lang.Exception Thrown if the Cumulative Coupon Amount cannot be obtained
  371.      */

  373.     public double cumulativeCouponAmount()
  374.         throws java.lang.Exception
  375.     {
  376.         return r1 ("CumulativeCouponAmount");
  377.     }

  379.     /**
  380.      * Set the Credit Label
  381.      * 
  382.      * @param strCreditLabel Credit Label
  383.      * 
  384.      * @return TRUE - The Credit Label successfully set
  385.      */

  387.     public boolean setCreditLabel (
  388.         final java.lang.String strCreditLabel)
  389.     {
  390.         return setC1 ("CreditLabel", strCreditLabel);
  391.     }

  393.     /**
  394.      * Retrieve the Credit Label
  395.      * 
  396.      * @return The Credit Label
  397.      */

  399.     public java.lang.String creditLabel()
  400.     {
  401.         return c1 ("CreditLabel");
  402.     }

  404.     /**
  405.      * Set the Recovery Rate
  406.      * 
  407.      * @param dblRecoveryRate The Recovery Rate
  408.      * 
  409.      * @return TRUE - The Recovery Rate successfully set
  410.      */

  412.     public boolean setRecoveryRate (
  413.         final double dblRecoveryRate)
  414.     {
  415.         return setR1 ("RecoveryRate", dblRecoveryRate);
  416.     }

  418.     /**
  419.      * Retrieve the Recovery Rate
  420.      * 
  421.      * @return The Recovery Rate
  422.      * 
  423.      * @throws java.lang.Exception Thrown if the Recovery Rate cannot be obtained
  424.      */

  426.     public double recoveryRate()
  427.         throws java.lang.Exception
  428.     {
  429.         return r1 ("RecoveryRate");
  430.     }

  432.     /**
  433.      * Set the Coupon PV
  434.      * 
  435.      * @param dblCouponPV The Coupon PV
  436.      * 
  437.      * @return TRUE - The Coupon PV successfully set
  438.      */

  440.     public boolean setCouponPV (
  441.         final double dblCouponPV)
  442.     {
  443.         return setR1 ("CouponPV", dblCouponPV);
  444.     }

  446.     /**
  447.      * Retrieve the Coupon PV
  448.      * 
  449.      * @return The Coupon PV
  450.      * 
  451.      * @throws java.lang.Exception Thrown if the Coupon PV cannot be obtained
  452.      */

  454.     public double couponPV()
  455.         throws java.lang.Exception
  456.     {
  457.         return r1 ("CouponPV");
  458.     }

  460.     /**
  461.      * Set the Loss PV
  462.      * 
  463.      * @param dblLossPV The Loss PV
  464.      * 
  465.      * @return TRUE - The Loss PV successfully set
  466.      */

  468.     public boolean setLossPV (
  469.         final double dblLossPV)
  470.     {
  471.         return setR1 ("LossPV", dblLossPV);
  472.     }

  474.     /**
  475.      * Retrieve the Loss PV
  476.      * 
  477.      * @return The Loss PV
  478.      * 
  479.      * @throws java.lang.Exception Thrown if the Loss PV cannot be obtained
  480.      */

  482.     public double lossPV()
  483.         throws java.lang.Exception
  484.     {
  485.         return r1 ("LossPV");
  486.     }
  487. }
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