org.drip.product.definition

Class CalibratableComponent

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

All Implemented Interfaces:

ComponentMarketParamRef

Direct Known Subclasses:

CreditComponent, DualStreamComponent, FXForwardComponent, OptionComponent, RatesBasket, SingleStreamComponent

public abstract class CalibratableComponent
extends Component

CalibratableComponent abstract class provides implementation of Component's calibration interface. It exposes stubs for getting/setting the component’s calibration code, generate calibrated measure values from the market inputs, and compute micro-Jacobians (QuoteDF and PVDF micro-Jacks).

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CalibratableComponent()

Method Summary

Modifier and Type	Method and Description
abstract CaseInsensitiveTreeMap<java.lang.Double>	calibMeasures(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate a Map of the Calibration Measures
PredictorResponseWeightConstraint	calibPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the Market Inputs.
abstract ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS) Generate the Product Specific Calibration Quote Set
abstract PredictorResponseWeightConstraint	forwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
abstract PredictorResponseWeightConstraint	fundingForwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows.
abstract PredictorResponseWeightConstraint	fundingPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows.
abstract PredictorResponseWeightConstraint	fxPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
abstract PredictorResponseWeightConstraint	govviePRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows.
abstract WengertJacobian	jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
abstract WengertJacobian	manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the micro-Jacobian of the given measure to the DF
abstract java.lang.String	primaryCode() Return the primary code
java.lang.String[]	secondaryCode() Get the component's secondary codes
abstract void	setPrimaryCode(java.lang.String strCode) Set the component's primary code
abstract PredictorResponseWeightConstraint	volatilityPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows.

Methods inherited from class org.drip.product.definition.Component

cashSettleParams, couponMetrics, couponPeriods, customScenarioMeasures, effectiveDate, firstCouponDate, freq, initialNotional, maturityDate, measureNames, measures, measureValue, notional, notional, pv, tenor, value

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.product.definition.ComponentMarketParamRef

couponCurrency, creditLabel, forwardLabel, fundingLabel, fxLabel, govvieLabel, name, payCurrency, principalCurrency, volatilityLabel

Constructor Detail

CalibratableComponent

public CalibratableComponent()

Method Detail

primaryCode

public abstract java.lang.String primaryCode()

Return the primary code

Returns:

Primary Code

setPrimaryCode

public abstract void setPrimaryCode(java.lang.String strCode)

Set the component's primary code

Parameters:

strCode - Primary Code

secondaryCode

public java.lang.String[] secondaryCode()

Get the component's secondary codes

Returns:

Array of strings containing the secondary codes

calibQuoteSet

public abstract ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)

Generate the Product Specific Calibration Quote Set

Parameters:

aLSS - Array of Latent State Specification

Returns:

The Product Specific Calibration Quote Set

calibMeasures

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

Generate a Map of the Calibration Measures

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of the Calibration Measures

fundingPRWC

public abstract PredictorResponseWeightConstraint fundingPRWC(ValuationParams valParams,
                                                              CreditPricerParams pricerParams,
                                                              CurveSurfaceQuoteContainer csqs,
                                                              ValuationCustomizationParams vcp,
                                                              ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

forwardPRWC

public abstract PredictorResponseWeightConstraint forwardPRWC(ValuationParams valParams,
                                                              CreditPricerParams pricerParams,
                                                              CurveSurfaceQuoteContainer csqs,
                                                              ValuationCustomizationParams vcp,
                                                              ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

fundingForwardPRWC

public abstract PredictorResponseWeightConstraint fundingForwardPRWC(ValuationParams valParams,
                                                                     CreditPricerParams pricerParams,
                                                                     CurveSurfaceQuoteContainer csqs,
                                                                     ValuationCustomizationParams vcp,
                                                                     ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

fxPRWC

public abstract PredictorResponseWeightConstraint fxPRWC(ValuationParams valParams,
                                                         CreditPricerParams pricerParams,
                                                         CurveSurfaceQuoteContainer csqs,
                                                         ValuationCustomizationParams vcp,
                                                         ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding FX Forward)

govviePRWC

public abstract PredictorResponseWeightConstraint govviePRWC(ValuationParams valParams,
                                                             CreditPricerParams pricerParams,
                                                             CurveSurfaceQuoteContainer csqs,
                                                             ValuationCustomizationParams vcp,
                                                             ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding Govvie Forward)

volatilityPRWC

public abstract PredictorResponseWeightConstraint volatilityPRWC(ValuationParams valParams,
                                                                 CreditPricerParams pricerParams,
                                                                 CurveSurfaceQuoteContainer csqs,
                                                                 ValuationCustomizationParams vcp,
                                                                 ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

jackDDirtyPVDManifestMeasure

public abstract WengertJacobian jackDDirtyPVDManifestMeasure(ValuationParams valParams,
                                                             CreditPricerParams pricerParams,
                                                             CurveSurfaceQuoteContainer csqs,
                                                             ValuationCustomizationParams vcp)

Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

manifestMeasureDFMicroJack

public abstract WengertJacobian manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure,
                                                           ValuationParams valParams,
                                                           CreditPricerParams pricerParams,
                                                           CurveSurfaceQuoteContainer csqs,
                                                           ValuationCustomizationParams vcp)

Compute the micro-Jacobian of the given measure to the DF

Parameters:

strMainfestMeasure - Manifest Measure Name

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

calibPRWC

public PredictorResponseWeightConstraint calibPRWC(ValuationParams valParams,
                                                   CreditPricerParams pricerParams,
                                                   CurveSurfaceQuoteContainer csqs,
                                                   ValuationCustomizationParams vcp,
                                                   ProductQuoteSet pqs)

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the Market Inputs. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - The Product Calibration Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)