org.drip.product.definition

Class BasketProduct

java.lang.Object

org.drip.product.definition.BasketProduct

All Implemented Interfaces:

BasketMarketParamRef

Direct Known Subclasses:

BondBasket, CDSBasket, ComponentPair

public abstract class BasketProduct
extends java.lang.Object
implements BasketMarketParamRef

BasketProduct abstract class extends MarketParamRef. It provides methods for getting the basket’s components, notional, coupon, effective date, maturity date, coupon amount, and list of coupon periods.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasketProduct()

Method Summary

Modifier and Type	Method and Description
abstract Component[]	components() Return the Components in the Basket
double	coupon(int iDate, CurveSurfaceQuoteContainer csqs) Retrieve the basket product's coupon amount at the given date
java.lang.String[]	couponCurrency() Get the Coupon Currency
java.util.List<CompositePeriod>	couponPeriod() Get the basket product's coupon periods
CreditLabel[]	creditLabel() Get the Array of Credit Curve Latent State Identifier Labels
CaseInsensitiveTreeMap<java.lang.Double>	customScenarioMeasures(ValuationParams valParams, CreditPricerParams pricerParams, ScenarioMarketParams mpc, java.lang.String strCustomScenName, ValuationCustomizationParams vcp, CaseInsensitiveTreeMap<java.lang.Double> mapBase) Compute Basket's Custom Scenario Measures
JulianDate	effective() Returns the effective date of the basket product
JulianDate	firstCouponDate() Get the first coupon date
ForwardLabel[]	forwardLabel() Get the Array of Forward Curve Latent State Labels
FundingLabel[]	fundingLabel() Get the Array of Funding Curve Latent State Labels
FXLabel[]	fxLabel() Get the Array of the FX Latent State Identifier Labels
double	initialNotional() Return the initial notional of the basket product
JulianDate	maturity() Return the maturity date of the basket product
abstract int	measureAggregationType(java.lang.String strMeasureName) Retrieve the Aggregation Type for the specified Measure
BasketMeasures	measures(ValuationParams valParams, CreditPricerParams pricerParams, ScenarioMarketParams mpc, ValuationCustomizationParams vcp) Generate a full list of the basket product measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams
double	measureValue(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, java.lang.String strMeasure) Calculate the value of the given basket product measure
abstract java.lang.String	name() Return the basket name
double	notional(int iDate) Retrieve the notional at the given date
double	notional(int iDate1, int iDate2) Retrieve the time-weighted notional between 2 given dates
java.lang.String[]	payCurrency() Get the Pay Currency
java.lang.String[]	principalCurrency() Get the Principal Currency
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate a full list of the basket product measures for the full input set of market parameters
double[]	weights() Retrieve the component Weights

Methods inherited from class java.lang.Object

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

Constructor Detail

BasketProduct

public BasketProduct()

Method Detail

name

public abstract java.lang.String name()

Return the basket name

Specified by:

name in interface BasketMarketParamRef

Returns:

Name of the basket product

components

public abstract Component[] components()

Return the Components in the Basket

Returns:

Components in the Basket

measureAggregationType

public abstract int measureAggregationType(java.lang.String strMeasureName)

Retrieve the Aggregation Type for the specified Measure

Parameters:

strMeasureName - The Specified Measure Name

Returns:

The Aggregation Type

weights

public double[] weights()

Retrieve the component Weights

Returns:

Array Containing the Component Weights

couponCurrency

public java.lang.String[] couponCurrency()

Description copied from interface: BasketMarketParamRef

Get the Coupon Currency

Specified by:

couponCurrency in interface BasketMarketParamRef

Returns:

The Coupon Currency

payCurrency

public java.lang.String[] payCurrency()

Description copied from interface: BasketMarketParamRef

Get the Pay Currency

Specified by:

payCurrency in interface BasketMarketParamRef

Returns:

The Pay Currency

principalCurrency

public java.lang.String[] principalCurrency()

Description copied from interface: BasketMarketParamRef

Get the Principal Currency

Specified by:

principalCurrency in interface BasketMarketParamRef

Returns:

The Principal Currency

creditLabel

public CreditLabel[] creditLabel()

Description copied from interface: BasketMarketParamRef

Get the Array of Credit Curve Latent State Identifier Labels

Specified by:

creditLabel in interface BasketMarketParamRef

Returns:

The Array of Credit Curve Latent State Identifier Labels

forwardLabel

public ForwardLabel[] forwardLabel()

Description copied from interface: BasketMarketParamRef

Get the Array of Forward Curve Latent State Labels

Specified by:

forwardLabel in interface BasketMarketParamRef

Returns:

Array of the Forward Curve Latent State Labels

fundingLabel

public FundingLabel[] fundingLabel()

Description copied from interface: BasketMarketParamRef

Get the Array of Funding Curve Latent State Labels

Specified by:

fundingLabel in interface BasketMarketParamRef

Returns:

Array of the Funding Curve Latent State Labels

fxLabel

public FXLabel[] fxLabel()

Description copied from interface: BasketMarketParamRef

Get the Array of the FX Latent State Identifier Labels

Specified by:

fxLabel in interface BasketMarketParamRef

Returns:

The Array of the FX Latent State Identifier Labels

initialNotional

public double initialNotional()
                       throws java.lang.Exception

Return the initial notional of the basket product

Returns:

Initial notional of the basket product

Throws:

java.lang.Exception - Thrown if inputs are invalid

notional

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

Retrieve the notional at the given date

Parameters:

iDate - JulianDate

Returns:

Notional

Throws:

java.lang.Exception - Thrown if inputs are invalid

notional

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

Retrieve the time-weighted notional between 2 given dates

Parameters:

iDate1 - JulianDate first

iDate2 - JulianDate second

Returns:

Notional

Throws:

java.lang.Exception - Thrown if inputs are invalid

coupon

public double coupon(int iDate,
                     CurveSurfaceQuoteContainer csqs)
              throws java.lang.Exception

Retrieve the basket product's coupon amount at the given date

Parameters:

iDate - JulianDate

csqs - Market Parameters

Returns:

Coupon Amount

Throws:

java.lang.Exception - Thrown if coupon cannot be calculated

effective

public JulianDate effective()

Returns the effective date of the basket product

Returns:

Effective date of the basket product

maturity

public JulianDate maturity()

Return the maturity date of the basket product

Returns:

Maturity date of the basket product

couponPeriod

public java.util.List<CompositePeriod> couponPeriod()

Get the basket product's coupon periods

Returns:

List of CouponPeriods

firstCouponDate

public JulianDate firstCouponDate()

Get the first coupon date

Returns:

First Coupon Date

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
                                                      CreditPricerParams pricerParams,
                                                      CurveSurfaceQuoteContainer csqs,
                                                      ValuationCustomizationParams vcp)

Generate a full list of the basket product measures for the full input set of market parameters

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value

measureValue

public double measureValue(ValuationParams valParams,
                           CreditPricerParams pricerParams,
                           CurveSurfaceQuoteContainer csqs,
                           ValuationCustomizationParams vcp,
                           java.lang.String strMeasure)
                    throws java.lang.Exception

Calculate the value of the given basket product measure

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

strMeasure - Measure String

Returns:

Double measure value

Throws:

java.lang.Exception - Thrown if the measure cannot be calculated

measures

public BasketMeasures measures(ValuationParams valParams,
                               CreditPricerParams pricerParams,
                               ScenarioMarketParams mpc,
                               ValuationCustomizationParams vcp)

Generate a full list of the basket product measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

mpc - org.drip.param.definition.MarketParams

vcp - Valuation Customization Parameters

Returns:

BasketOutput object

customScenarioMeasures

public CaseInsensitiveTreeMap<java.lang.Double> customScenarioMeasures(ValuationParams valParams,
                                                                       CreditPricerParams pricerParams,
                                                                       ScenarioMarketParams mpc,
                                                                       java.lang.String strCustomScenName,
                                                                       ValuationCustomizationParams vcp,
                                                                       CaseInsensitiveTreeMap<java.lang.Double> mapBase)

Compute Basket's Custom Scenario Measures

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

mpc - Market Parameters Container

strCustomScenName - Custom Scenario Name

vcp - Valuation Customization Parameters

mapBase - Map of Base Measures

Returns:

Basket's Custom Scenario Measures