CDSMarketSnap.java
package org.drip.historical.attribution;
/*
* -*- 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
* Copyright (C) 2016 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>CDSMarketSnap</i> contains the Metrics Snapshot associated with the relevant Manifest Measures for the given
* Credit Default Swap Position.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CDSMarketSnap extends org.drip.historical.attribution.PositionMarketSnap {
/**
* CDSMarketSnap Constructor
*
* @param dtSnap The Snapshot Date
* @param dblMarketValue The Snapshot Market Value
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public CDSMarketSnap (
final org.drip.analytics.date.JulianDate dtSnap,
final double dblMarketValue)
throws java.lang.Exception
{
super (dtSnap, dblMarketValue);
}
/**
* Set the Fair Premium and Position Sensitivity
*
* @param dblFairPremium The Fair Premium
* @param dblFairPremiumSensitivity The Position Fair Premium Sensitivity
* @param dblFairPremiumRollDown The Position Fair Premium Roll Down
*
* @return TRUE - The Fair Premium and the Position Sensitivity successfully set
*/
public boolean setFairPremiumMarketFactor (
final double dblFairPremium,
final double dblFairPremiumSensitivity,
final double dblFairPremiumRollDown)
{
return addManifestMeasureSnap ("FairPremium", dblFairPremium, dblFairPremiumSensitivity,
dblFairPremiumRollDown);
}
/**
* Set the Effective Date
*
* @param dtEffective The Effective Date
*
* @return TRUE - The Effective Date successfully set
*/
public boolean setEffectiveDate (
final org.drip.analytics.date.JulianDate dtEffective)
{
return setDate ("EffectiveDate", dtEffective);
}
/**
* Retrieve the Effective Date
*
* @return The Effective Date
*/
public org.drip.analytics.date.JulianDate effectiveDate()
{
return date ("EffectiveDate");
}
/**
* Set the Maturity Date
*
* @param dtMaturity The Maturity Date
*
* @return TRUE - The Maturity Date successfully set
*/
public boolean setMaturityDate (
final org.drip.analytics.date.JulianDate dtMaturity)
{
return setDate ("MaturityDate", dtMaturity);
}
/**
* Retrieve the Maturity Date
*
* @return The Maturity Date
*/
public org.drip.analytics.date.JulianDate maturityDate()
{
return date ("MaturityDate");
}
/**
* Set the Initial Fair Premium
*
* @param dblInitialFairPremium The Initial Fair Premium
*
* @return TRUE - The Initial Fair Premium Successfully set
*/
public boolean setInitialFairPremium (
final double dblInitialFairPremium)
{
return setR1 ("InitialFairPremium", dblInitialFairPremium);
}
/**
* Retrieve the Initial Fair Premium
*
* @return The Initial Fair Premium
*
* @throws java.lang.Exception Thrown if the Initial Fair Premium cannot be obtained
*/
public double initialFairPremium()
throws java.lang.Exception
{
return r1 ("InitialFairPremium");
}
/**
* Set the Current Fair Premium
*
* @param dblCurrentFairPremium The Current Fair Premium
*
* @return TRUE - The Current Fair Premium Successfully Set
*/
public boolean setCurrentFairPremium (
final double dblCurrentFairPremium)
{
return setR1 ("CurrentFairPremium", dblCurrentFairPremium);
}
/**
* Retrieve the Current Fair Premium
*
* @return The Current Fair Premium
*
* @throws java.lang.Exception Thrown if the Current Fair Premium cannot be obtained
*/
public double currentFairPremium()
throws java.lang.Exception
{
return r1 ("CurrentFairPremium");
}
/**
* Set the Fixed Coupon
*
* @param dblFixedCoupon The Fixed Coupon
*
* @return TRUE - The Fixed Coupon Successfully Set
*/
public boolean setFixedCoupon (
final double dblFixedCoupon)
{
return setR1 ("FixedCoupon", dblFixedCoupon);
}
/**
* Retrieve the Fixed Coupon
*
* @return The Fixed Coupon
*
* @throws java.lang.Exception Thrown if the Fixed Coupon cannot be obtained
*/
public double fixedCoupon()
throws java.lang.Exception
{
return r1 ("FixedCoupon");
}
/**
* Set the Clean DV01
*
* @param dblCleanDV01 The Clean DV01
*
* @return TRUE - The Clean DV01 Successfully Set
*/
public boolean setCleanDV01 (
final double dblCleanDV01)
{
return setR1 ("CleanDV01", dblCleanDV01);
}
/**
* Retrieve the Clean DV01
*
* @return The Clean DV01
*
* @throws java.lang.Exception Thrown if the Clean DV01 cannot be obtained
*/
public double cleanDV01()
throws java.lang.Exception
{
return r1 ("CleanDV01");
}
/**
* Set the Roll Down Fair Premium
*
* @param dblRollDownFairPremium The Roll Down Fair Premium
*
* @return TRUE - The Roll Down Fair Premium Successfully Set
*/
public boolean setRollDownFairPremium (
final double dblRollDownFairPremium)
{
return setR1 ("RollDownFairPremium", dblRollDownFairPremium);
}
/**
* Retrieve the Roll Down Fair Premium
*
* @return The Roll Down Fair Premium
*
* @throws java.lang.Exception Thrown if the Roll Down Fair Premium cannot be obtained
*/
public double rollDownFairPremium()
throws java.lang.Exception
{
return r1 ("RollDownFairPremium");
}
/**
* Set the Accrued
*
* @param dblAccrued The Accrued
*
* @return TRUE - The Accrued successfully set
*/
public boolean setAccrued (
final double dblAccrued)
{
return setR1 ("Accrued", dblAccrued);
}
/**
* Retrieve the Accrued
*
* @return The Accrued
*
* @throws java.lang.Exception Thrown if the Accrued cannot be obtained
*/
public double accrued()
throws java.lang.Exception
{
return r1 ("Accrued");
}
/**
* Set the Cumulative Coupon Amount
*
* @param dblCumulativeCouponAmount The Cumulative Coupon Amount
*
* @return TRUE - The Cumulative Coupon Amount successfully set
*/
public boolean setCumulativeCouponAmount (
final double dblCumulativeCouponAmount)
{
return setR1 ("CumulativeCouponAmount", dblCumulativeCouponAmount);
}
/**
* Retrieve the Cumulative Coupon Amount
*
* @return The Cumulative Coupon Amount
*
* @throws java.lang.Exception Thrown if the Cumulative Coupon Amount cannot be obtained
*/
public double cumulativeCouponAmount()
throws java.lang.Exception
{
return r1 ("CumulativeCouponAmount");
}
/**
* Set the Credit Label
*
* @param strCreditLabel Credit Label
*
* @return TRUE - The Credit Label successfully set
*/
public boolean setCreditLabel (
final java.lang.String strCreditLabel)
{
return setC1 ("CreditLabel", strCreditLabel);
}
/**
* Retrieve the Credit Label
*
* @return The Credit Label
*/
public java.lang.String creditLabel()
{
return c1 ("CreditLabel");
}
/**
* Set the Recovery Rate
*
* @param dblRecoveryRate The Recovery Rate
*
* @return TRUE - The Recovery Rate successfully set
*/
public boolean setRecoveryRate (
final double dblRecoveryRate)
{
return setR1 ("RecoveryRate", dblRecoveryRate);
}
/**
* Retrieve the Recovery Rate
*
* @return The Recovery Rate
*
* @throws java.lang.Exception Thrown if the Recovery Rate cannot be obtained
*/
public double recoveryRate()
throws java.lang.Exception
{
return r1 ("RecoveryRate");
}
/**
* Set the Coupon PV
*
* @param dblCouponPV The Coupon PV
*
* @return TRUE - The Coupon PV successfully set
*/
public boolean setCouponPV (
final double dblCouponPV)
{
return setR1 ("CouponPV", dblCouponPV);
}
/**
* Retrieve the Coupon PV
*
* @return The Coupon PV
*
* @throws java.lang.Exception Thrown if the Coupon PV cannot be obtained
*/
public double couponPV()
throws java.lang.Exception
{
return r1 ("CouponPV");
}
/**
* Set the Loss PV
*
* @param dblLossPV The Loss PV
*
* @return TRUE - The Loss PV successfully set
*/
public boolean setLossPV (
final double dblLossPV)
{
return setR1 ("LossPV", dblLossPV);
}
/**
* Retrieve the Loss PV
*
* @return The Loss PV
*
* @throws java.lang.Exception Thrown if the Loss PV cannot be obtained
*/
public double lossPV()
throws java.lang.Exception
{
return r1 ("LossPV");
}
}