ProductDailyPnL.java

  1. package org.drip.service.api;

  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.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>ProductDailyPnL</i> contains the following daily measures computed:
  85.  * 
  86.  * <br><br>
  87.  *  <ul>
  88.  *      <li>
  89.  *          1D Carry, Roll Down, Curve Shift, and Full Return PnL
  90.  *      </li>
  91.  *      <li>
  92.  *          3D Carry and Roll Down PnL
  93.  *      </li>
  94.  *      <li>
  95.  *          3M Carry and Roll Down PnL
  96.  *      </li>
  97.  *      <li>
  98.  *          Current DV01
  99.  *      </li>
  100.  *  </ul>
  101.  * 
  102.  * <br><br>
  103.  *  <ul>
  104.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  105.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  106.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
  107.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/api/README.md">Horizon Roll Attribution Service API</a></li>
  108.  *  </ul>
  109.  * <br><br>
  110.  * 
  111.  * @author Lakshmi Krishnamurthy
  112.  */

  114. public class ProductDailyPnL {
  115.     private int _i1DFixedAccrualDays = 0;
  116.     private int _i1DFloatingAccrualDays = 0;
  117.     private double _dblDV01 = java.lang.Double.NaN;
  118.     private double _dbl1DCarryPnL = java.lang.Double.NaN;
  119.     private double _dbl1MCarryPnL = java.lang.Double.NaN;
  120.     private double _dbl3MCarryPnL = java.lang.Double.NaN;
  121.     private double _dbl1DFixedDCF = java.lang.Double.NaN;
  122.     private double _dbl1MFixedDCF = java.lang.Double.NaN;
  123.     private double _dbl3MFixedDCF = java.lang.Double.NaN;
  124.     private double _dbl1DCleanPnL = java.lang.Double.NaN;
  125.     private double _dbl1DDirtyPnL = java.lang.Double.NaN;
  126.     private double _dbl1DTotalPnL = java.lang.Double.NaN;
  127.     private double _dbl1DTimeRollPnL = java.lang.Double.NaN;
  128.     private double _dbl1DFloatingDCF = java.lang.Double.NaN;
  129.     private double _dbl1MFloatingDCF = java.lang.Double.NaN;
  130.     private double _dbl3MFloatingDCF = java.lang.Double.NaN;
  131.     private double _dblCleanFixedDV01 = java.lang.Double.NaN;
  132.     private double _dblCleanFloatDV01 = java.lang.Double.NaN;
  133.     private double _dblDV01WithFixing = java.lang.Double.NaN;
  134.     private double _dbl1DCurveShiftPnL = java.lang.Double.NaN;
  135.     private double _dblPeriodFixedRate = java.lang.Double.NaN;
  136.     private double _dblBaselineSwapRate = java.lang.Double.NaN;
  137.     private double _dbl1DTimeRollSwapRate = java.lang.Double.NaN;
  138.     private double _dbl1DCleanPnLWithFixing = java.lang.Double.NaN;
  139.     private double _dbl1DDirtyPnLWithFixing = java.lang.Double.NaN;
  140.     private double _dbl1DTotalPnLWithFixing = java.lang.Double.NaN;
  141.     private double _dbl1DCurveShiftSwapRate = java.lang.Double.NaN;
  142.     private double _dblPeriodFloatingRateUsed = java.lang.Double.NaN;
  143.     private double _dblPeriodCurveFloatingRate = java.lang.Double.NaN;
  144.     private double _dbl1DMaturityRollUpSwapRate = java.lang.Double.NaN;
  145.     private double _dblCleanFloatDV01WithFixing = java.lang.Double.NaN;
  146.     private double _dblPeriodProductFloatingRate = java.lang.Double.NaN;
  147.     private double _dbl1DMaturityRollDownSwapRate = java.lang.Double.NaN;
  148.     private double _dbl1MMaturityRollDownSwapRate = java.lang.Double.NaN;
  149.     private double _dbl3MMaturityRollDownSwapRate = java.lang.Double.NaN;
  150.     private double _dbl1DMaturityRollUpSwapRatePnL = java.lang.Double.NaN;
  151.     private double _dbl1DMaturityRollUpFairPremium = java.lang.Double.NaN;
  152.     private double _dbl1DMaturityRollDownSwapRatePnL = java.lang.Double.NaN;
  153.     private double _dbl1MMaturityRollDownSwapRatePnL = java.lang.Double.NaN;
  154.     private double _dbl3MMaturityRollDownSwapRatePnL = java.lang.Double.NaN;
  155.     private double _dbl1DMaturityRollUpFairPremiumPnL = java.lang.Double.NaN;
  156.     private double _dbl1DMaturityRollUpFairPremiumWithFixing = java.lang.Double.NaN;
  157.     private double _dbl1DMaturityRollUpFairPremiumWithFixingPnL = java.lang.Double.NaN;

  159.     /**
  160.      * ProductDailyPnL constructor
  161.      * 
  162.      * @param dbl1DTotalPnL 1D Total PnL
  163.      * @param dbl1DCleanPnL 1D Clean PnL
  164.      * @param dbl1DDirtyPnL 1D Dirty PnL
  165.      * @param dbl1DTotalPnLWithFixing 1D Total PnL With Fixing
  166.      * @param dbl1DCleanPnLWithFixing 1D Clean PnL With Fixing
  167.      * @param dbl1DDirtyPnLWithFixing 1D Dirty PnL With Fixing
  168.      * @param dbl1DCarryPnL 1D Carry PnL
  169.      * @param dbl1DTimeRollPnL 1D Time Roll PnL
  170.      * @param dbl1DMaturityRollDownSwapRatePnL 1D Curve Maturity Roll Down implied Par Swap rate PnL
  171.      * @param dbl1DMaturityRollUpSwapRatePnL 1D Curve Maturity Roll Up implied Par Swap rate PnL
  172.      * @param dbl1DMaturityRollUpFairPremiumPnL 1D Curve Maturity Roll Up implied Fair Premium PnL
  173.      * @param dbl1DMaturityRollUpFairPremiumWithFixingPnL 1D Curve Maturity Roll Up implied Fair Premium With
  174.      *  Fixing PnL
  175.      * @param dbl1DCurveShiftPnL 1D Curve Shift PnL
  176.      * @param dbl1MCarryPnL 1M Carry PnL
  177.      * @param dbl1MMaturityRollDownSwapRatePnL 1M Curve Maturity Roll Down implied Par Swap rate PnL
  178.      * @param dbl3MCarryPnL 3M Carry PnL
  179.      * @param dbl3MMaturityRollDownSwapRatePnL 3M Curve Maturity Roll Down implied Par Swap rate PnL
  180.      * @param dblDV01 DV01
  181.      * @param dblDV01WithFixing DV01 With Fixing
  182.      * @param dblCleanFixedDV01 Clean Fixed DV01
  183.      * @param dblCleanFloatDV01 Clean Float DV01
  184.      * @param dblCleanFloatDV01WithFixing Clean Float DV01 With Fixing
  185.      * @param dblBaselineSwapRate Baseline Par Swap Rate
  186.      * @param dbl1DTimeRollSwapRate 1D Curve Time Roll implied Par Swap rate
  187.      * @param dbl1DMaturityRollDownSwapRate 1D Curve Maturity Roll Down Implied Par Swap rate
  188.      * @param dbl1MMaturityRollDownSwapRate 1M Curve Maturity Roll Down implied Par Swap rate
  189.      * @param dbl3MMaturityRollDownSwapRate 3M Curve Maturity Roll Down implied Par Swap rate
  190.      * @param dbl1DMaturityRollUpSwapRate 1D Curve Maturity Roll Up Implied Par Swap rate
  191.      * @param dbl1DMaturityRollUpFairPremium 1D Curve Maturity Roll Up Implied Fair Premium
  192.      * @param dbl1DMaturityRollUpFairPremiumWithFixing 1D Curve Maturity Roll Up Implied Fair Premium With
  193.      *  Fixing
  194.      * @param dbl1DCurveShiftSwapRate 1D Day-to-Day Curve Shift implied Par Swap rate
  195.      * @param dblPeriodFixedRate The Period Fixed Rate
  196.      * @param dblPeriodCurveFloatingRate The Period Curve Floating Rate
  197.      * @param dblPeriodProductFloatingRate The Period Product Floating Rate
  198.      * @param dblPeriodFloatingRateUsed The Period Floating Rate Used
  199.      * @param i1DFixedAccrualDays 1D Fixed Accrual Days
  200.      * @param i1DFloatingAccrualDays 1D Floating Accrual Days
  201.      * @param dbl1DFixedDCF 1D Fixed Coupon DCF
  202.      * @param dbl1DFloatingDCF 1D Floating Coupon DCF
  203.      * @param dbl1MFixedDCF 1M Fixed Coupon DCF
  204.      * @param dbl1MFloatingDCF 1M Floating Coupon DCF
  205.      * @param dbl3MFixedDCF 3M Fixed Coupon DCF
  206.      * @param dbl3MFloatingDCF 3M Floating Coupon DCF
  207.      * 
  208.      * @throws java.lang.Exception Thrown if inputs are invalid
  209.      */

  211.     public ProductDailyPnL (
  212.         final double dbl1DTotalPnL,
  213.         final double dbl1DCleanPnL,
  214.         final double dbl1DDirtyPnL,
  215.         final double dbl1DTotalPnLWithFixing,
  216.         final double dbl1DCleanPnLWithFixing,
  217.         final double dbl1DDirtyPnLWithFixing,
  218.         final double dbl1DCarryPnL,
  219.         final double dbl1DTimeRollPnL,
  220.         final double dbl1DMaturityRollDownSwapRatePnL,
  221.         final double dbl1DMaturityRollUpSwapRatePnL,
  222.         final double dbl1DMaturityRollUpFairPremiumPnL,
  223.         final double dbl1DMaturityRollUpFairPremiumWithFixingPnL,
  224.         final double dbl1DCurveShiftPnL,
  225.         final double dbl1MCarryPnL,
  226.         final double dbl1MMaturityRollDownSwapRatePnL,
  227.         final double dbl3MCarryPnL,
  228.         final double dbl3MMaturityRollDownSwapRatePnL,
  229.         final double dblDV01,
  230.         final double dblDV01WithFixing,
  231.         final double dblCleanFixedDV01,
  232.         final double dblCleanFloatDV01,
  233.         final double dblCleanFloatDV01WithFixing,
  234.         final double dblBaselineSwapRate,
  235.         final double dbl1DTimeRollSwapRate,
  236.         final double dbl1DMaturityRollDownSwapRate,
  237.         final double dbl1MMaturityRollDownSwapRate,
  238.         final double dbl3MMaturityRollDownSwapRate,
  239.         final double dbl1DMaturityRollUpSwapRate,
  240.         final double dbl1DMaturityRollUpFairPremium,
  241.         final double dbl1DMaturityRollUpFairPremiumWithFixing,
  242.         final double dbl1DCurveShiftSwapRate,
  243.         final double dblPeriodFixedRate,
  244.         final double dblPeriodCurveFloatingRate,
  245.         final double dblPeriodProductFloatingRate,
  246.         final double dblPeriodFloatingRateUsed,
  247.         final int i1DFixedAccrualDays,
  248.         final int i1DFloatingAccrualDays,
  249.         final double dbl1DFixedDCF,
  250.         final double dbl1DFloatingDCF,
  251.         final double dbl1MFixedDCF,
  252.         final double dbl1MFloatingDCF,
  253.         final double dbl3MFixedDCF,
  254.         final double dbl3MFloatingDCF)
  255.         throws java.lang.Exception
  256.     {
  257.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dbl1DTotalPnL = dbl1DTotalPnL) ||
  258.             !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DCleanPnL = dbl1DCleanPnL) ||
  259.                 !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DDirtyPnL = dbl1DDirtyPnL) ||
  260.                     !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DTotalPnLWithFixing =
  261.                         dbl1DTotalPnLWithFixing) || !org.drip.numerical.common.NumberUtil.IsValid
  262.                             (_dbl1DCleanPnLWithFixing = dbl1DCleanPnLWithFixing) ||
  263.                                 !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DDirtyPnLWithFixing =
  264.                                     dbl1DDirtyPnLWithFixing) || !org.drip.numerical.common.NumberUtil.IsValid
  265.                                         (_dbl1DCarryPnL = dbl1DCarryPnL) ||
  266.                                             !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DTimeRollPnL =
  267.                                                 dbl1DTimeRollPnL) ||
  268.                                                     !org.drip.numerical.common.NumberUtil.IsValid
  269.                                                         (_dbl1DMaturityRollDownSwapRatePnL =
  270.                                                             dbl1DMaturityRollDownSwapRatePnL) ||
  271.                                                                 !org.drip.numerical.common.NumberUtil.IsValid
  272.                                                                     (_dbl1DMaturityRollUpSwapRatePnL =
  273.                                                                         dbl1DMaturityRollUpSwapRatePnL) ||
  274.             !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DMaturityRollUpFairPremiumPnL =
  275.                 dbl1DMaturityRollUpFairPremiumPnL) || !org.drip.numerical.common.NumberUtil.IsValid
  276.                     (_dbl1DMaturityRollUpFairPremiumWithFixingPnL =
  277.                         dbl1DMaturityRollUpFairPremiumWithFixingPnL) ||
  278.                             !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DCurveShiftPnL =
  279.                                 dbl1DCurveShiftPnL) || !org.drip.numerical.common.NumberUtil.IsValid
  280.                                     (_dbl1MCarryPnL = dbl1MCarryPnL) ||
  281.                                         !org.drip.numerical.common.NumberUtil.IsValid
  282.                                             (_dbl1MMaturityRollDownSwapRatePnL =
  283.                                                 dbl1MMaturityRollDownSwapRatePnL) ||
  284.                                                     !org.drip.numerical.common.NumberUtil.IsValid (_dbl3MCarryPnL
  285.                                                         = dbl3MCarryPnL) ||
  286.                                                             !org.drip.numerical.common.NumberUtil.IsValid
  287.                                                                 (_dbl3MMaturityRollDownSwapRatePnL =
  288.                                                                     dbl3MMaturityRollDownSwapRatePnL) ||
  289.                                                                         !org.drip.numerical.common.NumberUtil.IsValid
  290.             (_dblDV01 = dblDV01) || !org.drip.numerical.common.NumberUtil.IsValid (_dblDV01WithFixing =
  291.                 dblDV01WithFixing) || !org.drip.numerical.common.NumberUtil.IsValid (_dblCleanFixedDV01 =
  292.                     dblCleanFixedDV01) || !org.drip.numerical.common.NumberUtil.IsValid (_dblCleanFloatDV01 =
  293.                         dblCleanFloatDV01) || !org.drip.numerical.common.NumberUtil.IsValid
  294.                             (_dblCleanFloatDV01WithFixing = dblCleanFloatDV01WithFixing) ||
  295.                                 !org.drip.numerical.common.NumberUtil.IsValid (_dblBaselineSwapRate =
  296.                                     dblBaselineSwapRate) || !org.drip.numerical.common.NumberUtil.IsValid
  297.                                         (_dbl1DTimeRollSwapRate = dbl1DTimeRollSwapRate) ||
  298.                                             !org.drip.numerical.common.NumberUtil.IsValid
  299.                                                 (_dbl1DMaturityRollDownSwapRate =
  300.                                                     dbl1DMaturityRollDownSwapRate) ||
  301.                                                         !org.drip.numerical.common.NumberUtil.IsValid
  302.                                                             (_dbl1MMaturityRollDownSwapRate =
  303.                                                                 dbl1MMaturityRollDownSwapRate) ||
  304.                                                                     !org.drip.numerical.common.NumberUtil.IsValid
  305.                                                                         (_dbl3MMaturityRollDownSwapRate =
  306.                                                                             dbl3MMaturityRollDownSwapRate) ||
  307.             !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DMaturityRollUpSwapRate =
  308.                 dbl1DMaturityRollUpSwapRate) || !org.drip.numerical.common.NumberUtil.IsValid
  309.                     (_dbl1DMaturityRollUpFairPremium = dbl1DMaturityRollUpFairPremium) ||
  310.                         !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DMaturityRollUpFairPremiumWithFixing
  311.                             = dbl1DMaturityRollUpFairPremiumWithFixing) ||
  312.                                 !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DCurveShiftSwapRate =
  313.                                     dbl1DCurveShiftSwapRate) || !org.drip.numerical.common.NumberUtil.IsValid
  314.                                         (_dblPeriodFixedRate = dblPeriodFixedRate) ||
  315.                                             !org.drip.numerical.common.NumberUtil.IsValid
  316.                                                 (_dblPeriodCurveFloatingRate = dblPeriodCurveFloatingRate) ||
  317.                                                     !org.drip.numerical.common.NumberUtil.IsValid
  318.                                                         (_dblPeriodProductFloatingRate =
  319.                                                             dblPeriodProductFloatingRate) ||
  320.                                                                 !org.drip.numerical.common.NumberUtil.IsValid
  321.                                                                     (_dblPeriodFloatingRateUsed =
  322.                                                                         dblPeriodFloatingRateUsed) ||
  323.                                                                             !org.drip.numerical.common.NumberUtil.IsValid
  324.             (_dbl1DFixedDCF = dbl1DFixedDCF) || !org.drip.numerical.common.NumberUtil.IsValid (_dbl1DFloatingDCF
  325.                 = dbl1DFloatingDCF) || !org.drip.numerical.common.NumberUtil.IsValid (_dbl1MFixedDCF =
  326.                     dbl1MFixedDCF) || !org.drip.numerical.common.NumberUtil.IsValid (_dbl1MFloatingDCF =
  327.                         dbl1MFloatingDCF) || !org.drip.numerical.common.NumberUtil.IsValid (_dbl3MFixedDCF =
  328.                             dbl3MFixedDCF) || !org.drip.numerical.common.NumberUtil.IsValid (_dbl3MFloatingDCF =
  329.                                 dbl3MFloatingDCF))
  330.             throw new java.lang.Exception ("ProductDailyPnL ctr: Invalid Inputs!");

  332.         _i1DFixedAccrualDays = i1DFixedAccrualDays;
  333.         _i1DFloatingAccrualDays = i1DFloatingAccrualDays;
  334.     }

  336.     /**
  337.      * Retrieve the 1D Clean PnL
  338.      * 
  339.      * @return The 1D Clean PnL
  340.      */

  342.     public double clean1DPnL()
  343.     {
  344.         return _dbl1DCleanPnL;
  345.     }

  347.     /**
  348.      * Retrieve the 1D Dirty PnL
  349.      * 
  350.      * @return The 1D Dirty PnL
  351.      */

  353.     public double dirty1DPnL()
  354.     {
  355.         return _dbl1DDirtyPnL;
  356.     }

  358.     /**
  359.      * Retrieve the 1D Total PnL
  360.      * 
  361.      * @return The 1D Total PnL
  362.      */

  364.     public double total1DPnL()
  365.     {
  366.         return _dbl1DTotalPnL;
  367.     }

  369.     /**
  370.      * Retrieve the 1D Clean PnL With Fixing
  371.      * 
  372.      * @return The 1D Clean PnL With Fixing
  373.      */

  375.     public double clean1DPnLWithFixing()
  376.     {
  377.         return _dbl1DCleanPnLWithFixing;
  378.     }

  380.     /**
  381.      * Retrieve the 1D Dirty PnL With Fixing
  382.      * 
  383.      * @return The 1D Dirty PnL With Fixing
  384.      */

  386.     public double dirty1DPnLWithFixing()
  387.     {
  388.         return _dbl1DDirtyPnLWithFixing;
  389.     }

  391.     /**
  392.      * Retrieve the 1D Total PnL With Fixing
  393.      * 
  394.      * @return The 1D Total PnL With Fixing
  395.      */

  397.     public double total1DPnLWithFixing()
  398.     {
  399.         return _dbl1DTotalPnLWithFixing;
  400.     }

  402.     /**
  403.      * Retrieve the 1D Carry PnL
  404.      * 
  405.      * @return The 1D Carry PnL
  406.      */

  408.     public double carry1DPnL()
  409.     {
  410.         return _dbl1DCarryPnL;
  411.     }

  413.     /**
  414.      * Retrieve the 1D Time Roll PnL
  415.      * 
  416.      * @return The 1D Time Roll PnL
  417.      */

  419.     public double timeRoll1DPnL()
  420.     {
  421.         return _dbl1DTimeRollPnL;
  422.     }

  424.     /**
  425.      * Retrieve the 1D Maturity Roll Down Swap Rate PnL
  426.      * 
  427.      * @return The 1D Maturity Roll Down Swap Rate PnL
  428.      */

  430.     public double maturityRollDownSwapRate1DPnL()
  431.     {
  432.         return _dbl1DMaturityRollDownSwapRatePnL;
  433.     }

  435.     /**
  436.      * Retrieve the 1D Maturity Roll Up Swap Rate PnL
  437.      * 
  438.      * @return The 1D Maturity Roll Up Swap Rate PnL
  439.      */

  441.     public double maturityRollUpSwapRate1DPnL()
  442.     {
  443.         return _dbl1DMaturityRollUpSwapRatePnL;
  444.     }

  446.     /**
  447.      * Retrieve the 1D Maturity Roll Up Fair Premium PnL
  448.      * 
  449.      * @return The 1D Maturity Roll Up Fair Premium PnL
  450.      */

  452.     public double maturityRollUpFairPremium1DPnL()
  453.     {
  454.         return _dbl1DMaturityRollUpFairPremiumPnL;
  455.     }

  457.     /**
  458.      * Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
  459.      * 
  460.      * @return The 1D Maturity Roll Up Fair Premium With Fixing PnL
  461.      */

  463.     public double maturityRollUpFairPremiumWithFixing1DPnL()
  464.     {
  465.         return _dbl1DMaturityRollUpFairPremiumWithFixingPnL;
  466.     }

  468.     /**
  469.      * Retrieve the 1D Curve Shift PnL
  470.      * 
  471.      * @return The 1D Curve Shift PnL
  472.      */

  474.     public double curveShift1DPnL()
  475.     {
  476.         return _dbl1DCurveShiftPnL;
  477.     }

  479.     /**
  480.      * Retrieve the 1M Carry PnL
  481.      * 
  482.      * @return The 1M Carry PnL
  483.      */

  485.     public double carry1MPnL()
  486.     {
  487.         return _dbl1MCarryPnL;
  488.     }

  490.     /**
  491.      * Retrieve the 1M Maturity Roll Down Swap Rate PnL
  492.      * 
  493.      * @return The 1M Maturity Roll Down Swap Rate PnL
  494.      */

  496.     public double maturityRollDownSwapRate1MPnL()
  497.     {
  498.         return _dbl1MMaturityRollDownSwapRatePnL;
  499.     }

  501.     /**
  502.      * Retrieve the 3M Carry PnL
  503.      * 
  504.      * @return The 3M Carry PnL
  505.      */

  507.     public double carry3MPnL()
  508.     {
  509.         return _dbl3MCarryPnL;
  510.     }

  512.     /**
  513.      * Retrieve the 3M Maturity Roll Down Swap Rate PnL
  514.      * 
  515.      * @return The 3M Maturity Roll Down Swap Rate PnL
  516.      */

  518.     public double maturityRollDownSwapRate3MPnL()
  519.     {
  520.         return _dbl3MMaturityRollDownSwapRatePnL;
  521.     }

  523.     /**
  524.      * Retrieve the DV01
  525.      * 
  526.      * @return The DV01
  527.      */

  529.     public double DV01()
  530.     {
  531.         return _dblDV01;
  532.     }

  534.     /**
  535.      * Retrieve the DV01 With Fixing
  536.      * 
  537.      * @return The DV01 With Fixing
  538.      */

  540.     public double DV01WithFixing()
  541.     {
  542.         return _dblDV01WithFixing;
  543.     }

  545.     /**
  546.      * Retrieve the Clean Fixed DV01
  547.      * 
  548.      * @return The Clean Fixed DV01
  549.      */

  551.     public double cleanFixedDV01()
  552.     {
  553.         return _dblCleanFixedDV01;
  554.     }

  556.     /**
  557.      * Retrieve the Clean Float DV01
  558.      * 
  559.      * @return The Clean Float DV01
  560.      */

  562.     public double cleanFloatDV01()
  563.     {
  564.         return _dblCleanFloatDV01;
  565.     }

  567.     /**
  568.      * Retrieve the Clean Float DV01 With Fixing
  569.      * 
  570.      * @return The Clean Float DV01 With Fixing
  571.      */

  573.     public double cleanFloatDV01WithFixing()
  574.     {
  575.         return _dblCleanFloatDV01WithFixing;
  576.     }

  578.     /**
  579.      * Retrieve the Baseline Swap Rate
  580.      * 
  581.      * @return The Baseline Swap Rate
  582.      */

  584.     public double baselineSwapRate()
  585.     {
  586.         return _dblBaselineSwapRate;
  587.     }

  589.     /**
  590.      * Retrieve the 1D Time Roll Swap Rate
  591.      * 
  592.      * @return The 1D Time Roll Swap Rate
  593.      */

  595.     public double timeRollSwapRate1D()
  596.     {
  597.         return _dbl1DTimeRollSwapRate;
  598.     }

  600.     /**
  601.      * Retrieve the 1D Maturity Roll Down Swap Rate
  602.      * 
  603.      * @return The 1D Maturity Roll Down Swap Rate
  604.      */

  606.     public double maturityRollDownSwapRate1D()
  607.     {
  608.         return _dbl1DMaturityRollDownSwapRate;
  609.     }

  611.     /**
  612.      * Retrieve the 1M Maturity Roll Down Swap Rate
  613.      * 
  614.      * @return The 1M Maturity Roll Down Swap Rate
  615.      */

  617.     public double maturityRollDownSwapRate1M()
  618.     {
  619.         return _dbl1MMaturityRollDownSwapRate;
  620.     }

  622.     /**
  623.      * Retrieve the 3M Maturity Roll Down Swap Rate
  624.      * 
  625.      * @return The 3M Maturity Roll Down Swap Rate
  626.      */

  628.     public double maturityRollDownSwapRate3M()
  629.     {
  630.         return _dbl3MMaturityRollDownSwapRate;
  631.     }

  633.     /**
  634.      * Retrieve the 1D Maturity Roll Up Swap Rate
  635.      * 
  636.      * @return The 1D Maturity Roll Up Swap Rate
  637.      */

  639.     public double maturityRollUpSwapRate1D()
  640.     {
  641.         return _dbl1DMaturityRollUpSwapRate;
  642.     }

  644.     /**
  645.      * Retrieve the 1D Maturity Roll Up Fair Premium
  646.      * 
  647.      * @return The 1D Maturity Roll Up Fair Premium
  648.      */

  650.     public double maturityRollUpFairPremium1D()
  651.     {
  652.         return _dbl1DMaturityRollUpFairPremium;
  653.     }

  655.     /**
  656.      * Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
  657.      * 
  658.      * @return The 1D Maturity Roll Up Fair Premium With Fixing
  659.      */

  661.     public double maturityRollUpFairPremiumWithFixing1D()
  662.     {
  663.         return _dbl1DMaturityRollUpFairPremiumWithFixing;
  664.     }

  666.     /**
  667.      * Retrieve the 1D Curve Shift Swap Rate
  668.      * 
  669.      * @return The 1D Curve Shift Swap Rate
  670.      */

  672.     public double curveShiftSwapRate1D()
  673.     {
  674.         return _dbl1DCurveShiftSwapRate;
  675.     }

  677.     /**
  678.      * Retrieve the Period Fixed Rate
  679.      * 
  680.      * @return The Period Fixed Rate
  681.      */

  683.     public double periodFixedRate()
  684.     {
  685.         return _dblPeriodFixedRate;
  686.     }

  688.     /**
  689.      * Retrieve the Period Curve Floating Rate
  690.      * 
  691.      * @return The Period Curve Floating Rate
  692.      */

  694.     public double periodCurveFloatingRate()
  695.     {
  696.         return _dblPeriodCurveFloatingRate;
  697.     }

  699.     /**
  700.      * Retrieve the Period Product Floating Rate
  701.      * 
  702.      * @return The Period Product Floating Rate
  703.      */

  705.     public double periodProductFloatingRate()
  706.     {
  707.         return _dblPeriodProductFloatingRate;
  708.     }

  710.     /**
  711.      * Retrieve the Period Floating Rate Used
  712.      * 
  713.      * @return The Period Floating Rate Used
  714.      */

  716.     public double periodFloatingRateUsed()
  717.     {
  718.         return _dblPeriodFloatingRateUsed;
  719.     }

  721.     /**
  722.      * Retrieve the 1D Fixed Accrual Period
  723.      * 
  724.      * @return The 1D Fixed Accrual Period
  725.      */

  727.     public int fixed1DAccrualDays()
  728.     {
  729.         return _i1DFixedAccrualDays;
  730.     }

  732.     /**
  733.      * Retrieve the 1D Floating Accrual Period
  734.      * 
  735.      * @return The 1D Floating Accrual Period
  736.      */

  738.     public int floating1DAccrualDays()
  739.     {
  740.         return _i1DFloatingAccrualDays;
  741.     }

  743.     /**
  744.      * Retrieve the Period 1D Fixed DCF
  745.      * 
  746.      * @return The Period 1D Fixed DCF
  747.      */

  749.     public double fixed1DDCF()
  750.     {
  751.         return _dbl1DFixedDCF;
  752.     }

  754.     /**
  755.      * Retrieve the Period 1D Floating DCF
  756.      * 
  757.      * @return The Period 1D Floating DCF
  758.      */

  760.     public double floating1DDCF()
  761.     {
  762.         return _dbl1DFloatingDCF;
  763.     }

  765.     /**
  766.      * Retrieve the Period 1M Fixed DCF
  767.      * 
  768.      * @return The Period 1M Fixed DCF
  769.      */

  771.     public double fixed1MDCF()
  772.     {
  773.         return _dbl1MFixedDCF;
  774.     }

  776.     /**
  777.      * Retrieve the Period 1M Floating DCF
  778.      * 
  779.      * @return The Period 1M Floating DCF
  780.      */

  782.     public double floating1MDCF()
  783.     {
  784.         return _dbl1MFloatingDCF;
  785.     }

  787.     /**
  788.      * Retrieve the Period 3M Fixed DCF
  789.      * 
  790.      * @return The Period 3M Fixed DCF
  791.      */

  793.     public double fixed3MDCF()
  794.     {
  795.         return _dbl3MFixedDCF;
  796.     }

  798.     /**
  799.      * Retrieve the Period 3M Floating DCF
  800.      * 
  801.      * @return The Period 3M Floating DCF
  802.      */

  804.     public double floating3MDCF()
  805.     {
  806.         return _dbl3MFloatingDCF;
  807.     }

  809.     /**
  810.      * Retrieve the Array of Metrics
  811.      * 
  812.      * @return The Array of Metrics
  813.      */

  815.     public double[] toArray()
  816.     {
  817.         java.util.List<java.lang.Double> lsPnLMetric = new java.util.ArrayList<java.lang.Double>();

  819.         lsPnLMetric.add (_dbl1DTotalPnL);

  821.         lsPnLMetric.add (_dbl1DCleanPnL);

  823.         lsPnLMetric.add (_dbl1DDirtyPnL);

  825.         lsPnLMetric.add (_dbl1DTotalPnLWithFixing);

  827.         lsPnLMetric.add (_dbl1DCleanPnLWithFixing);

  829.         lsPnLMetric.add (_dbl1DDirtyPnLWithFixing);

  831.         lsPnLMetric.add (_dbl1DCarryPnL);

  833.         lsPnLMetric.add (_dbl1DTimeRollPnL);

  835.         lsPnLMetric.add (_dbl1DMaturityRollDownSwapRatePnL);

  837.         lsPnLMetric.add (_dbl1DMaturityRollUpSwapRatePnL);

  839.         lsPnLMetric.add (_dbl1DMaturityRollUpFairPremiumPnL);

  841.         lsPnLMetric.add (_dbl1DMaturityRollUpFairPremiumWithFixingPnL);

  843.         lsPnLMetric.add (_dbl1DCurveShiftPnL);

  845.         lsPnLMetric.add (_dbl1MCarryPnL);

  847.         lsPnLMetric.add (_dbl1MMaturityRollDownSwapRatePnL);

  849.         lsPnLMetric.add (_dbl3MCarryPnL);

  851.         lsPnLMetric.add (_dbl3MMaturityRollDownSwapRatePnL);

  853.         lsPnLMetric.add (_dblDV01);

  855.         lsPnLMetric.add (_dblDV01WithFixing);

  857.         lsPnLMetric.add (_dblCleanFixedDV01);

  859.         lsPnLMetric.add (_dblCleanFloatDV01);

  861.         lsPnLMetric.add (_dblCleanFloatDV01WithFixing);

  863.         lsPnLMetric.add (_dblBaselineSwapRate);

  865.         lsPnLMetric.add (_dbl1DTimeRollSwapRate);

  867.         lsPnLMetric.add (_dbl1DMaturityRollDownSwapRate);

  869.         lsPnLMetric.add (_dbl1MMaturityRollDownSwapRate);

  871.         lsPnLMetric.add (_dbl3MMaturityRollDownSwapRate);

  873.         lsPnLMetric.add (_dbl1DMaturityRollUpSwapRate);

  875.         lsPnLMetric.add (_dbl1DMaturityRollUpFairPremium);

  877.         lsPnLMetric.add (_dbl1DMaturityRollUpFairPremiumWithFixing);

  879.         lsPnLMetric.add (_dbl1DCurveShiftSwapRate);

  881.         lsPnLMetric.add (_dblPeriodFixedRate);

  883.         lsPnLMetric.add (_dblPeriodCurveFloatingRate);

  885.         lsPnLMetric.add (_dblPeriodProductFloatingRate);

  887.         lsPnLMetric.add (_dblPeriodFloatingRateUsed);

  889.         lsPnLMetric.add ((double) _i1DFixedAccrualDays);

  891.         lsPnLMetric.add ((double) _i1DFloatingAccrualDays);

  893.         lsPnLMetric.add (_dbl1DFixedDCF);

  895.         lsPnLMetric.add (_dbl1DFloatingDCF);

  897.         lsPnLMetric.add (_dbl1MFixedDCF);

  899.         lsPnLMetric.add (_dbl1MFloatingDCF);

  901.         lsPnLMetric.add (_dbl3MFixedDCF);

  903.         lsPnLMetric.add (_dbl3MFloatingDCF);

  905.         int i = 0;

  907.         double[] adblSPCA = new double[lsPnLMetric.size()];

  909.         for (double dbl : lsPnLMetric)
  910.             adblSPCA[i++] = dbl;

  912.         return adblSPCA;
  913.     }

  915.     @Override public java.lang.String toString()
  916.     {
  917.         java.lang.StringBuffer sb = new java.lang.StringBuffer();

  919.         boolean bStart = true;

  921.         for (double dbl : toArray()) {
  922.             if (bStart)
  923.                 bStart = false;
  924.             else
  925.                 sb.append (",");

  927.             sb.append (dbl);
  928.         }

  930.         return sb.toString();
  931.     }
  932. }
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