org.drip.analytics.output

Class BasketMeasures

java.lang.Object

org.drip.analytics.output.ComponentMeasures

org.drip.analytics.output.BasketMeasures

public class BasketMeasures
extends ComponentMeasures

BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios. It contains the following scenario measure maps: - Unadjusted Base Measures - Flat delta/gamma bump measure maps for IR/credit/RR bump curves - Component/tenor bump double maps for IR/credit/RR curves - Flat/component recovery bumped measure maps for recovery bumped credit curves - Custom scenario measure map

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasketMeasures() Empty constructor - all members initialized to NaN or null

Method Summary

Modifier and Type	Method and Description
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentCreditDeltaMeasures() Retrieve the Component Credit Delta Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentCreditGammaMeasures() Retrieve the Component Credit Gamma Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentCustomMeasures() Retrieve the Component Custom Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentIRDeltaMeasures() Retrieve the Component IR Delta Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentIRGammaMeasures() Retrieve the Component IR Gamma Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentRRDeltaMeasures() Retrieve the Component RR Delta Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	componentRRGammaMeasures() Retrieve the Component RR Gamma Double Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>>	componentTenorCreditDeltaMeasures() Retrieve the Component/Tenor Credit Delta Triple Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>>	componentTenorCreditGammaMeasures() Retrieve the Component/Tenor Credit Gamma Triple Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>>	componentTenorIRDeltaMeasures() Retrieve the Component/Tenor IR Delta Triple Measure Map
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>>	componentTenorIRGammaMeasures() Retrieve the Component/Tenor IR Gamma Triple Measure Map
boolean	setComponentCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditDeltaMeasures) Set the Component Credit Delta Double Measures Map
boolean	setComponentCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditGammaMeasures) Set the Component Credit Gamma Double Measures Map
boolean	setComponentCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCustomMeasures) Set the Component Custom Double Measures Map
boolean	setComponentIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRDeltaMeasures) Set the Component IR Delta Double Measures Map
boolean	setComponentIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRGammaMeasures) Set the Component IR Gamma Double Measures Map
boolean	setComponentRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRDeltaMeasures) Set the Component RR Delta Double Measures Map
boolean	setComponentRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRGammaMeasures) Set the Component RR Gamma Double Measures Map
boolean	setComponentTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditDeltaMeasures) Set the Component/Tenor Credit Delta Triple Measures Map
boolean	setComponentTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditGammaMeasures) Set the Component/Tenor Credit Gamma Triple Measures Map
boolean	setComponentTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRDeltaMeasures) Set the Component/Tenor IR Delta Triple Measures Map
boolean	setComponentTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRGammaMeasures) Set the Component/Tenor IR Gamma Triple Measures Map

Methods inherited from class org.drip.analytics.output.ComponentMeasures

baseMeasures, calcTime, customMeasures, flatCreditDeltaMeasures, flatCreditGammaMeasures, flatIRDeltaMeasures, flatIRGammaMeasures, flatRRDeltaMeasures, flatRRGammaMeasures, setBaseMeasures, setCalcTime, setCustomMeasures, setFlatCreditDeltaMeasures, setFlatCreditGammaMeasures, setFlatIRDeltaMeasures, setFlatIRGammaMeasures, setFlatRRDeltaMeasures, setFlatRRGammaMeasures, setTenorCreditDeltaMeasures, setTenorCreditGammaMeasures, setTenorIRDeltaMeasures, setTenorIRGammaMeasures, setTenorRRDeltaMeasures, setTenorRRGammaMeasures, tenorCreditDeltaMeasures, tenorCreditGammaMeasures, tenorIRDeltaMeasures, tenorIRGammaMeasures, tenorRRDeltaMeasures, tenorRRGammaMeasures

Methods inherited from class java.lang.Object

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

Constructor Detail

BasketMeasures

public BasketMeasures()

Empty constructor - all members initialized to NaN or null

Method Detail

componentIRDeltaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentIRDeltaMeasures()

Retrieve the Component IR Delta Double Measure Map

Returns:

The Component IR Delta Double Measure Map

setComponentIRDeltaMeasures

public boolean setComponentIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRDeltaMeasures)

Set the Component IR Delta Double Measures Map

Parameters:

mmComponentIRDeltaMeasures - The Component IR Delta Double Measures Map

Returns:

TRUE - The Component IR Delta Double Measures Map Successfully Set

componentIRGammaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentIRGammaMeasures()

Retrieve the Component IR Gamma Double Measure Map

Returns:

The Component IR Gamma Double Measure Map

setComponentIRGammaMeasures

public boolean setComponentIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRGammaMeasures)

Set the Component IR Gamma Double Measures Map

Parameters:

mmComponentIRGammaMeasures - The Component IR Gamma Double Measures Map

Returns:

TRUE - The Component IR Gamma Double Measures Map Successfully Set

componentCreditDeltaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCreditDeltaMeasures()

Retrieve the Component Credit Delta Double Measure Map

Returns:

The ComponentCredit Delta Double Measure Map

setComponentCreditDeltaMeasures

public boolean setComponentCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditDeltaMeasures)

Set the Component Credit Delta Double Measures Map

Parameters:

mmComponentCreditDeltaMeasures - The Component Credit Delta Double Measures Map

Returns:

TRUE - The Component Credit Delta Double Measures Map Successfully Set

componentCreditGammaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCreditGammaMeasures()

Retrieve the Component Credit Gamma Double Measure Map

Returns:

The Component Credit Gamma Double Measure Map

setComponentCreditGammaMeasures

public boolean setComponentCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditGammaMeasures)

Set the Component Credit Gamma Double Measures Map

Parameters:

mmComponentCreditGammaMeasures - The Component Credit Gamma Double Measures Map

Returns:

TRUE - The Component Credit Gamma Double Measures Map Successfully Set

componentRRDeltaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentRRDeltaMeasures()

Retrieve the Component RR Delta Double Measure Map

Returns:

The Component RR Delta Double Measure Map

setComponentRRDeltaMeasures

public boolean setComponentRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRDeltaMeasures)

Set the Component RR Delta Double Measures Map

Parameters:

mmComponentRRDeltaMeasures - The RR Delta Double Measures Map

Returns:

TRUE - The Component RR Delta Double Measures Map Successfully Set

componentRRGammaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentRRGammaMeasures()

Retrieve the Component RR Gamma Double Measure Map

Returns:

The Component RR Gamma Double Measure Map

setComponentRRGammaMeasures

public boolean setComponentRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRGammaMeasures)

Set the Component RR Gamma Double Measures Map

Parameters:

mmComponentRRGammaMeasures - The RR Gamma Double Measures Map

Returns:

TRUE - The Component RR Gamma Double Measures Map Successfully Set

componentTenorIRDeltaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorIRDeltaMeasures()

Retrieve the Component/Tenor IR Delta Triple Measure Map

Returns:

The Component/Tenor IR Delta Triple Measure Map

setComponentTenorIRDeltaMeasures

public boolean setComponentTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRDeltaMeasures)

Set the Component/Tenor IR Delta Triple Measures Map

Parameters:

mmmComponentTenorIRDeltaMeasures - The Component/Tenor IR Delta Triple Measures Map

Returns:

TRUE - The Component/Tenor IR Delta Triple Measures Map Successfully Set

componentTenorIRGammaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorIRGammaMeasures()

Retrieve the Component/Tenor IR Gamma Triple Measure Map

Returns:

The Component/Tenor IR Gamma Triple Measure Map

setComponentTenorIRGammaMeasures

public boolean setComponentTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRGammaMeasures)

Set the Component/Tenor IR Gamma Triple Measures Map

Parameters:

mmmComponentTenorIRGammaMeasures - The Component/Tenor IR Gamma Triple Measures Map

Returns:

TRUE - The Component/Tenor IR Gamma Triple Measures Map Successfully Set

componentTenorCreditDeltaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorCreditDeltaMeasures()

Retrieve the Component/Tenor Credit Delta Triple Measure Map

Returns:

The Component/Tenor Credit Delta Triple Measure Map

setComponentTenorCreditDeltaMeasures

public boolean setComponentTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditDeltaMeasures)

Set the Component/Tenor Credit Delta Triple Measures Map

Parameters:

mmmComponentTenorCreditDeltaMeasures - The Component/Tenor Credit Delta Triple Measures Map

Returns:

TRUE - The Component/Tenor Credit Delta Triple Measures Map Successfully Set

componentTenorCreditGammaMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorCreditGammaMeasures()

Retrieve the Component/Tenor Credit Gamma Triple Measure Map

Returns:

The Component/Tenor Credit Gamma Triple Measure Map

setComponentTenorCreditGammaMeasures

public boolean setComponentTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditGammaMeasures)

Set the Component/Tenor Credit Gamma Triple Measures Map

Parameters:

mmmComponentTenorCreditGammaMeasures - The Component/Tenor Credit Gamma Triple Measures Map

Returns:

TRUE - The Component/Tenor Credit Gamma Triple Measures Map Successfully Set

componentCustomMeasures

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCustomMeasures()

Retrieve the Component Custom Double Measure Map

Returns:

The Component Custom Double Measure Map

setComponentCustomMeasures

public boolean setComponentCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCustomMeasures)

Set the Component Custom Double Measures Map

Parameters:

mmComponentCustomMeasures - The Component Custom Double Measures Map

Returns:

TRUE - The Component Custom Double Measures Map Successfully Set