org.drip.param.definition

Class ScenarioMarketParams

java.lang.Object

org.drip.param.definition.ScenarioMarketParams

Direct Known Subclasses:

CurveSurfaceScenarioContainer

public abstract class ScenarioMarketParams
extends java.lang.Object

ScenarioMarketParams is the place holder for the comprehensive suite of the market set of curves for the given date. It exports the following functionality: - add/remove/retrieve scenario discount curve - add/remove/retrieve scenario forward curve - add/remove/retrieve scenario zero curve - add/remove/retrieve scenario credit curve - add/remove/retrieve scenario recovery curve - add/remove/retrieve scenario FXForward curve - add/remove/retrieve scenario FXBasis curve - add/remove/retrieve scenario fixings - add/remove/retrieve Treasury/component quotes - retrieve scenario Market Parameters - retrieve map of flat rates/credit/recovery Market Parameters - retrieve double map of tenor rates/credit/recovery Market Parameters - retrieve rates/credit scenario generator

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioMarketParams()

Method Summary

Modifier and Type	Method and Description
abstract boolean	addComponentQuote(CaseInsensitiveTreeMap<ProductQuote> mapComponentQuote) Add the full map of component quotes
abstract boolean	addComponentQuote(java.lang.String strComponentID, ProductQuote cqComponent) Add the component quote
abstract boolean	addFixing(JulianDate dtFix, LatentStateLabel lsl, double dblFixing) Add the fixing for the given Latent State Label and the given date
abstract boolean	addScenarioCreditCurve(java.lang.String strName, CreditCurveScenarioContainer scc) Add the named scenario CC
abstract boolean	addScenarioDiscountCurve(java.lang.String strName, DiscountCurveScenarioContainer dcsc) Add the named scenario DC
abstract boolean	addScenarioMarketParams(java.lang.String strScenarioName, CurveSurfaceQuoteContainer csqs) Add the named scenario Market Parameters
abstract boolean	addTSYQuote(java.lang.String strBenchmark, ProductQuote pqTSY) Add the named Treasury Quote
abstract ProductQuote	componentQuote(java.lang.String strComponentID) Retrieve the quote for the given component
abstract CaseInsensitiveTreeMap<ProductQuote>	componentQuotes() Retrieve the full map of component quotes
abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	creditFlatBump(BasketProduct bp, boolean bBump) Get the Map of credit Flat Bumped Curves for the given Basket Product
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>>	creditTenorBump(BasketProduct bp, boolean bBump) Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	creditTenorMarketParams(Component comp, boolean bBumpUp) Get the map of tenor credit bumped Market Parameters corresponding to the component
abstract LatentStateFixingsContainer	fixings() Retrieve the Latent State Fixings Container
abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	fundingFlatBump(BasketProduct bp, boolean bBump) Get the Map of Funding Parallel Bumped Curves for the given Basket Product
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>>	fundingTenorBump(BasketProduct bp, boolean bBump) Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	fundingTenorMarketParams(Component comp, boolean bBumpUp) Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	recoveryFlatBump(BasketProduct bp, boolean bBump) Get the map of Recovery Flat Bumped Curves for the given Basket Product
abstract boolean	removeComponentQuote(java.lang.String strComponentID) Remove the component quote
abstract boolean	removeFixing(JulianDate dtFix, LatentStateLabel lsl) Remove the fixing corresponding to the given date and the Latent State Label
abstract boolean	removeScenarioCreditCurve(java.lang.String strName) Removes the named scenario CC
abstract boolean	removeScenarioDiscountCurve(java.lang.String strName) Remove the named scenario DC
abstract boolean	removeTSYQuote(java.lang.String strBenchmark) Remove the named Treasury Quote
abstract CaseInsensitiveTreeMap<CreditCurveScenarioContainer>	scenarioCreditCurveMap() Retrieve the Map of ScenarioCreditCurve Instances
abstract CaseInsensitiveTreeMap<DiscountCurveScenarioContainer>	scenarioDiscountCurveMap() Retrieve the Map of DiscountCurveScenarioContainer Instances
abstract CurveSurfaceQuoteContainer	scenarioMarketParams(BasketProduct bp, java.lang.String strScenario) Get the Market Parameters for the given basket product and the scenario
abstract CurveSurfaceQuoteContainer	scenarioMarketParams(Component comp, java.lang.String strScenario) Get the Market Parameters corresponding to the component and the scenario
abstract CurveSurfaceQuoteContainer	scenarioMarketParams(java.lang.String strScenarioName) Retrieve the Named Scenario Market Parameters
abstract boolean	setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote> mapCQTSY) Set the full set of named Treasury Quote Map
abstract ProductQuote	tsyQuote(java.lang.String strBenchmark) Get the named Treasury Quote Map corresponding to the desired benchmark
abstract CaseInsensitiveTreeMap<ProductQuote>	tsyQuotes() Get the full set of named Treasury Quote Map

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioMarketParams

public ScenarioMarketParams()

Method Detail

addScenarioDiscountCurve

public abstract boolean addScenarioDiscountCurve(java.lang.String strName,
                                                 DiscountCurveScenarioContainer dcsc)

Add the named scenario DC

Parameters:

strName - Name

dcsc - Corresponding DiscountCurveScenarioContainer instance

Returns:

Added successfully (true)

removeScenarioDiscountCurve

public abstract boolean removeScenarioDiscountCurve(java.lang.String strName)

Remove the named scenario DC

Parameters:

strName - Name

Returns:

Removed successfully (true)

addScenarioCreditCurve

public abstract boolean addScenarioCreditCurve(java.lang.String strName,
                                               CreditCurveScenarioContainer scc)

Add the named scenario CC

Parameters:

strName - Name

scc - ScenarioCreditCurve Instance

Returns:

Added successfully (true)

removeScenarioCreditCurve

public abstract boolean removeScenarioCreditCurve(java.lang.String strName)

Removes the named scenario CC

Parameters:

strName - Name

Returns:

Removed successfully (true)

addTSYQuote

public abstract boolean addTSYQuote(java.lang.String strBenchmark,
                                    ProductQuote pqTSY)

Add the named Treasury Quote

Parameters:

strBenchmark - Name

pqTSY - Treasury Quote

Returns:

Added successfully (true)

removeTSYQuote

public abstract boolean removeTSYQuote(java.lang.String strBenchmark)

Remove the named Treasury Quote

Parameters:

strBenchmark - Name

Returns:

Removed successfully (true)

setTSYQuotes

public abstract boolean setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote> mapCQTSY)

Set the full set of named Treasury Quote Map

Parameters:

mapCQTSY - Named Treasury Quote Map

Returns:

Set successfully (true)

tsyQuote

public abstract ProductQuote tsyQuote(java.lang.String strBenchmark)

Get the named Treasury Quote Map corresponding to the desired benchmark

Parameters:

strBenchmark - The treasury benchmark

Returns:

Treasury Quote

tsyQuotes

public abstract CaseInsensitiveTreeMap<ProductQuote> tsyQuotes()

Get the full set of named Treasury Quote Map

Returns:

Named Treasury Quote Map

addFixing

public abstract boolean addFixing(JulianDate dtFix,
                                  LatentStateLabel lsl,
                                  double dblFixing)

Add the fixing for the given Latent State Label and the given date

Parameters:

dtFix - The fixing date

lsl - The Latent State Label

dblFixing - The fixing

Returns:

Added successfully (true)

removeFixing

public abstract boolean removeFixing(JulianDate dtFix,
                                     LatentStateLabel lsl)

Remove the fixing corresponding to the given date and the Latent State Label

Parameters:

dtFix - Fixing date

lsl - The Latent State label

Returns:

Successfully removed (true)

fixings

public abstract LatentStateFixingsContainer fixings()

Retrieve the Latent State Fixings Container

Returns:

The Latent State Fixings Container

addComponentQuote

public abstract boolean addComponentQuote(java.lang.String strComponentID,
                                          ProductQuote cqComponent)

Add the component quote

Parameters:

strComponentID - Component ID

cqComponent - Component Quote

Returns:

Added successfully (true)

removeComponentQuote

public abstract boolean removeComponentQuote(java.lang.String strComponentID)

Remove the component quote

Parameters:

strComponentID - Component ID

Returns:

Removed successfully (true)

addComponentQuote

public abstract boolean addComponentQuote(CaseInsensitiveTreeMap<ProductQuote> mapComponentQuote)

Add the full map of component quotes

Parameters:

mapComponentQuote - Map of Component Quotes

Returns:

Added successfully (true)

componentQuote

public abstract ProductQuote componentQuote(java.lang.String strComponentID)

Retrieve the quote for the given component

Parameters:

strComponentID - Component ID

Returns:

ComponentQuote

componentQuotes

public abstract CaseInsensitiveTreeMap<ProductQuote> componentQuotes()

Retrieve the full map of component quotes

Returns:

The Map of Component Quotes

addScenarioMarketParams

public abstract boolean addScenarioMarketParams(java.lang.String strScenarioName,
                                                CurveSurfaceQuoteContainer csqs)

Add the named scenario Market Parameters

Parameters:

strScenarioName - Scenario Name

csqs - Market Parameters

Returns:

True - Added successfully

scenarioMarketParams

public abstract CurveSurfaceQuoteContainer scenarioMarketParams(java.lang.String strScenarioName)

Retrieve the Named Scenario Market Parameters

Parameters:

strScenarioName - Scenario Name

Returns:

Named Market Parameters

scenarioMarketParams

public abstract CurveSurfaceQuoteContainer scenarioMarketParams(Component comp,
                                                                java.lang.String strScenario)

Get the Market Parameters corresponding to the component and the scenario

Parameters:

comp - Component

strScenario - Scenario

Returns:

The Market Parameters

fundingTenorMarketParams

public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingTenorMarketParams(Component comp,
                                                                                            boolean bBumpUp)

Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component

Parameters:

comp - Component

bBumpUp - TRUE - Bump Up

Returns:

Map of the Funding Tenor Bumped Market Parameters

creditTenorMarketParams

public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditTenorMarketParams(Component comp,
                                                                                           boolean bBumpUp)

Get the map of tenor credit bumped Market Parameters corresponding to the component

Parameters:

comp - Component

bBumpUp - Bump up (True)

Returns:

Map of the tenor credit bumped Market Parameters

scenarioMarketParams

public abstract CurveSurfaceQuoteContainer scenarioMarketParams(BasketProduct bp,
                                                                java.lang.String strScenario)

Get the Market Parameters for the given basket product and the scenario

Parameters:

bp - BasketProduct

strScenario - Named Scenario

Returns:

Market Parameters Instance

fundingFlatBump

public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingFlatBump(BasketProduct bp,
                                                                                   boolean bBump)

Get the Map of Funding Parallel Bumped Curves for the given Basket Product

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Funding Parallel Bumped curves

creditFlatBump

public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditFlatBump(BasketProduct bp,
                                                                                  boolean bBump)

Get the Map of credit Flat Bumped Curves for the given Basket Product

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Credit Flat Bumped Curves

recoveryFlatBump

public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> recoveryFlatBump(BasketProduct bp,
                                                                                    boolean bBump)

Get the map of Recovery Flat Bumped Curves for the given Basket Product

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Recovery Flat Bumped Curves

fundingTenorBump

public abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> fundingTenorBump(BasketProduct bp,
                                                                                                            boolean bBump)

Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Double Map of the Funding Tenor Bumped Market Parameters

creditTenorBump

public abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> creditTenorBump(BasketProduct bp,
                                                                                                           boolean bBump)

Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Double Map of the credit Tenor bumped Market Parameters

scenarioDiscountCurveMap

public abstract CaseInsensitiveTreeMap<DiscountCurveScenarioContainer> scenarioDiscountCurveMap()

Retrieve the Map of DiscountCurveScenarioContainer Instances

Returns:

Map of DiscountCurveScenarioContainer Instances

scenarioCreditCurveMap

public abstract CaseInsensitiveTreeMap<CreditCurveScenarioContainer> scenarioCreditCurveMap()

Retrieve the Map of ScenarioCreditCurve Instances

Returns:

Map of ScenarioCreditCurve Instances