org.drip.analytics.cashflow

Class CompositePeriod

java.lang.Object

org.drip.analytics.cashflow.CompositePeriod

Direct Known Subclasses:

CompositeFixedPeriod, CompositeFloatingPeriod

public abstract class CompositePeriod
extends java.lang.Object

CompositePeriod implements the composite coupon period functionality.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
int	accrualCompoundingRule() Retrieve the Accrual Compounding Rule
double	accrualDCF(int iValueDate) Compute the Coupon Accrual DCF to the specified Accrual End Date
CompositePeriodAccrualMetrics	accrualMetrics(int iValueDate, CurveSurfaceQuoteContainer csqs) Compute the Coupon Accrual Measures to the specified Accrual End Date
double	baseNotional() Get the Period Base Notional
double	basis() Period Basis
abstract double	basisQuote(ProductQuoteSet pqs) Retrieve the Period Calibration Basis Quote from the specified product quote set
CollateralLabel	collateralLabel() Return the Collateral Label
boolean	contains(int iDate) Check whether the supplied Date is inside the Period specified
java.lang.String	couponCurrency() Retrieve the Coupon Currency
double	couponDCF() Compute the Full Coupon DCF
double	couponFactor(int iDate) Period Coupon Schedule Factor Corresponding to the specified Date
double	couponFactor(int iDate1, int iDate2) Period Coupon Schedule Factor Aggregated over the specified Dates
CompositePeriodCouponMetrics	couponMetrics(int iValueDate, CurveSurfaceQuoteContainer csqs) Compute the Full Period Coupon Measures
Array2D	couponSchedule() Get the period Coupon Schedule
CreditLabel	creditLabel() Return the Credit Label
double	df(CurveSurfaceQuoteContainer csqs) Coupon Period Discount Factor
ComposableUnitPeriod	enclosingCUP(int iDate) Return the Unit Period to which the Date belongs
int	endDate() Period End Date
PredictorResponseWeightConstraint	forwardFundingPRWC(int iValueDate, CurveSurfaceQuoteContainer csqs, ProductQuoteSet pqs) Generate the Merged Forward/Funding Predictor/Response Constraint
ForwardLabel	forwardLabel() Return the Forward Label
PredictorResponseWeightConstraint	forwardPRWC(int iValueDate, CurveSurfaceQuoteContainer csqs, ProductQuoteSet pqs) Generate the Forward Predictor/Response Constraint
int	freq() Retrieve the Coupon Frequency
FundingLabel	fundingLabel() Return the Funding Label
PredictorResponseWeightConstraint	fundingPRWC(int iValueDate, CurveSurfaceQuoteContainer csqs, ProductQuoteSet pqs) Generate the Funding Predictor/Response Constraint
double	fx(CurveSurfaceQuoteContainer csqs) Coupon Period FX
int	fxFixingDate() Return the Period FX Fixing Date
FXLabel	fxLabel() Return the FX Label
PredictorResponseWeightConstraint	fxPRWC(int iValueDate, CurveSurfaceQuoteContainer csqs, ProductQuoteSet pqs) Generate the FX Predictor/Response Constraint
boolean	isFXMTM() Is this Cash Flow FX MTM'ed?
java.util.List<LossQuadratureMetrics>	lossMetrics(CreditComponent comp, ValuationParams valParams, CreditPricerParams pricerParams, int iWorkoutDate, CurveSurfaceQuoteContainer csqs) Create a set of loss period measures
double	notional(int iDate) Coupon Period Notional Corresponding to the specified Date
double	notional(int iDate1, int iDate2) Coupon Period Notional Aggregated over the specified Dates
Array2D	notionalSchedule() Get the period Notional Schedule
java.lang.String	payCurrency() Retrieve the Pay Currency
int	payDate() Return the Period Pay Date
abstract CompositePeriodQuoteSet	periodQuoteSet(ProductQuoteSet pqs, CurveSurfaceQuoteContainer csqs) Retrieve the Period Calibration Quotes from the specified product quote set
java.util.List<ComposableUnitPeriod>	periods() Retrieve the List of Composable Periods
java.util.List<ConvexityAdjustment>	periodWiseConvexityAdjustment(int iValueDate, CurveSurfaceQuoteContainer csqs) Compute the Convexity Adjustment for the composable periods that use arithmetic compounding using the specified value date using the market data provided
int	startDate() Period Start Date
double	survival(CurveSurfaceQuoteContainer csqs) Coupon Period Survival Probability
java.lang.String	tenor() Convert the Coupon Frequency into a Tenor
ConvexityAdjustment	terminalConvexityAdjustment(int iValueDate, CurveSurfaceQuoteContainer csqs) Compute the Convexity Adjustment for the composable periods that use geometric compounding using the specified value date using the market data provided
java.util.List<UnitPeriodConvexityMetrics>	unitPeriodConvexityMetrics(int iValueDate, CurveSurfaceQuoteContainer csqs) Compute the Unit Period Convexity Measures
PredictorResponseWeightConstraint	volatilityPRWC(int iValueDate, CurveSurfaceQuoteContainer csqs, ProductQuoteSet pqs) Generate the Volatility Predictor/Response Constraint

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

periods

public java.util.List<ComposableUnitPeriod> periods()

Retrieve the List of Composable Periods

Returns:

The List of Composable Periods

startDate

public int startDate()

Period Start Date

Returns:

The Period Start Date

endDate

public int endDate()

Period End Date

Returns:

The Period End Date

contains

public boolean contains(int iDate)

Check whether the supplied Date is inside the Period specified

Parameters:

iDate - Date

Returns:

TRUE - The specified Date is inside the Period

enclosingCUP

public ComposableUnitPeriod enclosingCUP(int iDate)

Return the Unit Period to which the Date belongs

Parameters:

iDate - Date

Returns:

The Unit Period to which the Date belongs

accrualCompoundingRule

public int accrualCompoundingRule()

Retrieve the Accrual Compounding Rule

Returns:

The Accrual Compounding Rule

payDate

public int payDate()

Return the Period Pay Date

Returns:

Period Pay Date

fxFixingDate

public int fxFixingDate()
                 throws java.lang.Exception

Return the Period FX Fixing Date

Returns:

Period FX Fixing Date

Throws:

java.lang.Exception - Thrown if FX Fixing Date cannot be generated

isFXMTM

public boolean isFXMTM()

Is this Cash Flow FX MTM'ed?

Returns:

TRUE - FX MTM is on (i.e., FX is not driven by fixing)

fx

public double fx(CurveSurfaceQuoteContainer csqs)
          throws java.lang.Exception

Coupon Period FX

Parameters:

csqs - Market Parameters

Returns:

The Period FX

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

freq

public int freq()

Retrieve the Coupon Frequency

Returns:

The Coupon Frequency

tenor

public java.lang.String tenor()

Convert the Coupon Frequency into a Tenor

Returns:

The Coupon Frequency converted into a Tenor

payCurrency

public java.lang.String payCurrency()

Retrieve the Pay Currency

Returns:

The Pay Currency

couponCurrency

public java.lang.String couponCurrency()

Retrieve the Coupon Currency

Returns:

The Coupon Currency

basis

public double basis()

Period Basis

Returns:

The Period Basis

survival

public double survival(CurveSurfaceQuoteContainer csqs)
                throws java.lang.Exception

Coupon Period Survival Probability

Parameters:

csqs - Market Parameters

Returns:

The Period Survival Probability

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

df

public double df(CurveSurfaceQuoteContainer csqs)
          throws java.lang.Exception

Coupon Period Discount Factor

Parameters:

csqs - Market Parameters

Returns:

The Period Discount Factor

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

baseNotional

public double baseNotional()

Get the Period Base Notional

Returns:

Period Base Notional

notionalSchedule

public Array2D notionalSchedule()

Get the period Notional Schedule

Returns:

Period Notional Schedule

notional

public double notional(int iDate)
                throws java.lang.Exception

Coupon Period Notional Corresponding to the specified Date

Parameters:

iDate - The Specified Date

Returns:

The Period Notional Corresponding to the specified Date

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

notional

public double notional(int iDate1,
                       int iDate2)
                throws java.lang.Exception

Coupon Period Notional Aggregated over the specified Dates

Parameters:

iDate1 - The Date #1

iDate2 - The Date #2

Returns:

The Period Notional Aggregated over the specified Dates

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

couponSchedule

public Array2D couponSchedule()

Get the period Coupon Schedule

Returns:

Period Coupon Schedule

couponFactor

public double couponFactor(int iDate)
                    throws java.lang.Exception

Period Coupon Schedule Factor Corresponding to the specified Date

Parameters:

iDate - The Specified Date

Returns:

The Period Coupon Schedule Factor Corresponding to the specified Date

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

couponFactor

public double couponFactor(int iDate1,
                           int iDate2)
                    throws java.lang.Exception

Period Coupon Schedule Factor Aggregated over the specified Dates

Parameters:

iDate1 - The Date #1

iDate2 - The Date #2

Returns:

The Period Coupon Schedule Factor Aggregated over the specified Dates

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

collateralLabel

public CollateralLabel collateralLabel()

Return the Collateral Label

Returns:

The Collateral Label

creditLabel

public CreditLabel creditLabel()

Return the Credit Label

Returns:

The Credit Label

forwardLabel

public ForwardLabel forwardLabel()

Return the Forward Label

Returns:

The Forward Label

fundingLabel

public FundingLabel fundingLabel()

Return the Funding Label

Returns:

The Funding Label

fxLabel

public FXLabel fxLabel()

Return the FX Label

Returns:

The FX Label

periodWiseConvexityAdjustment

public java.util.List<ConvexityAdjustment> periodWiseConvexityAdjustment(int iValueDate,
                                                                         CurveSurfaceQuoteContainer csqs)

Compute the Convexity Adjustment for the composable periods that use arithmetic compounding using the specified value date using the market data provided

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curves/Surface

Returns:

The List of Convexity Adjustments

terminalConvexityAdjustment

public ConvexityAdjustment terminalConvexityAdjustment(int iValueDate,
                                                       CurveSurfaceQuoteContainer csqs)

Compute the Convexity Adjustment for the composable periods that use geometric compounding using the specified value date using the market data provided

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curves/Surface

Returns:

The Convexity Adjustment

unitPeriodConvexityMetrics

public java.util.List<UnitPeriodConvexityMetrics> unitPeriodConvexityMetrics(int iValueDate,
                                                                             CurveSurfaceQuoteContainer csqs)

Compute the Unit Period Convexity Measures

Parameters:

iValueDate - Valuation Date

csqs - The Market Curve Surface/Quote Set

Returns:

The Unit Period Convexity Measures

couponMetrics

public CompositePeriodCouponMetrics couponMetrics(int iValueDate,
                                                  CurveSurfaceQuoteContainer csqs)

Compute the Full Period Coupon Measures

Parameters:

iValueDate - Valuation Date

csqs - The Market Curve Surface/Quote Set

Returns:

The Full Period Coupon Measures

accrualDCF

public double accrualDCF(int iValueDate)
                  throws java.lang.Exception

Compute the Coupon Accrual DCF to the specified Accrual End Date

Parameters:

iValueDate - The Valuation Date

Returns:

The Coupon Accrual DCF to the specified Accrual End Date

Throws:

java.lang.Exception - Thrown if the Accrual DCF cannot be calculated

couponDCF

public double couponDCF()
                 throws java.lang.Exception

Compute the Full Coupon DCF

Returns:

The Full Coupon Accrual DCF

Throws:

java.lang.Exception - Thrown if the Full Coupon DCF cannot be calculated

accrualMetrics

public CompositePeriodAccrualMetrics accrualMetrics(int iValueDate,
                                                    CurveSurfaceQuoteContainer csqs)

Compute the Coupon Accrual Measures to the specified Accrual End Date

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

Returns:

The Coupon Accrual Measures to the specified Accrual End Date

lossMetrics

public java.util.List<LossQuadratureMetrics> lossMetrics(CreditComponent comp,
                                                         ValuationParams valParams,
                                                         CreditPricerParams pricerParams,
                                                         int iWorkoutDate,
                                                         CurveSurfaceQuoteContainer csqs)

Create a set of loss period measures

Parameters:

comp - Component for which the measures are to be generated

valParams - ValuationParams from which the periods are generated

pricerParams - PricerParams that control the generation characteristics

iWorkoutDate - Double JulianDate representing the absolute end of all the generated periods

csqs - Market Parameters

Returns:

The Generated Loss Quadrature Metrics

forwardPRWC

public PredictorResponseWeightConstraint forwardPRWC(int iValueDate,
                                                     CurveSurfaceQuoteContainer csqs,
                                                     ProductQuoteSet pqs)

Generate the Forward Predictor/Response Constraint

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

pqs - Product Quote Set

Returns:

The Forward Predictor/Response Constraint

fundingPRWC

public PredictorResponseWeightConstraint fundingPRWC(int iValueDate,
                                                     CurveSurfaceQuoteContainer csqs,
                                                     ProductQuoteSet pqs)

Generate the Funding Predictor/Response Constraint

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

pqs - Product Quote Set

Returns:

The Funding Predictor/Response Constraint

forwardFundingPRWC

public PredictorResponseWeightConstraint forwardFundingPRWC(int iValueDate,
                                                            CurveSurfaceQuoteContainer csqs,
                                                            ProductQuoteSet pqs)

Generate the Merged Forward/Funding Predictor/Response Constraint

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

pqs - Product Quote Set

Returns:

The Merged Forward/Funding Predictor/Response Constraint

fxPRWC

public PredictorResponseWeightConstraint fxPRWC(int iValueDate,
                                                CurveSurfaceQuoteContainer csqs,
                                                ProductQuoteSet pqs)

Generate the FX Predictor/Response Constraint

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

pqs - Product Quote Set

Returns:

The FX Predictor/Response Constraint

volatilityPRWC

public PredictorResponseWeightConstraint volatilityPRWC(int iValueDate,
                                                        CurveSurfaceQuoteContainer csqs,
                                                        ProductQuoteSet pqs)

Generate the Volatility Predictor/Response Constraint

Parameters:

iValueDate - The Valuation Date

csqs - The Market Curve Surface/Quote Set

pqs - Product Quote Set

Returns:

The Volatility Predictor/Response Constraint

periodQuoteSet

public abstract CompositePeriodQuoteSet periodQuoteSet(ProductQuoteSet pqs,
                                                       CurveSurfaceQuoteContainer csqs)

Retrieve the Period Calibration Quotes from the specified product quote set

Parameters:

pqs - The Product Quote Set

csqs - The Market Curve Surface/Quote Set

Returns:

The Composed Period Quote Set

basisQuote

public abstract double basisQuote(ProductQuoteSet pqs)

Retrieve the Period Calibration Basis Quote from the specified product quote set

Parameters:

pqs - The Product Quote Set

Returns:

The Period Calibration Basis Quote