org.drip.product.definition

Class Component

java.lang.Object

org.drip.product.definition.Component

All Implemented Interfaces:

ComponentMarketParamRef

Direct Known Subclasses:

CalibratableComponent, TreasuryFutures

public abstract class Component
extends java.lang.Object
implements ComponentMarketParamRef

Component abstract class extends the ComponentMarketParamRef and provides the following methods: - Get the product's initial notional, notional, and coupon. - Get the Effective date, Maturity date, First Coupon Date. - List the coupon periods. - Set the market curves - discount, TSY, forward, and Credit curves. - Retrieve the product's settlement parameters. - Value the product's using standard/custom market parameters. - Retrieve the product's named measures and named measure values.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
Component()

Method Summary

Modifier and Type	Method and Description
abstract CashSettleParams	cashSettleParams() Get the Product's cash settlement parameters
abstract CompositePeriodCouponMetrics	couponMetrics(int iAccrualEndDate, ValuationParams valParams, CurveSurfaceQuoteContainer csqs) Get the Product's coupon Metrics at the specified accrual date
abstract java.util.List<CompositePeriod>	couponPeriods() Get the Product's Cash Flow Periods
CaseInsensitiveTreeMap<java.lang.Double>	customScenarioMeasures(ValuationParams valParams, CreditPricerParams pricerParams, ScenarioMarketParams mpc, java.lang.String strCustomScenName, ValuationCustomizationParams vcp, CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures) Generate a full list of custom measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams
abstract JulianDate	effectiveDate() Get the Effective Date
abstract JulianDate	firstCouponDate() Get the First Coupon Date
abstract int	freq() Retrieve the Coupon Frequency
abstract double	initialNotional() Get the Initial Notional for the Product
abstract JulianDate	maturityDate() Get the Maturity Date
abstract java.util.Set<java.lang.String>	measureNames() Retrieve the ordered set of the measure names whose values will be calculated
ComponentMeasures	measures(ValuationParams valParams, CreditPricerParams pricerParams, ScenarioMarketParams mpc, ValuationCustomizationParams vcp) Generate a full list of the Product's 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 Product's measure
abstract double	notional(int iDate) Get the Notional for the Product at the given date
abstract double	notional(int iDate1, int iDate2) Get the time-weighted Notional for the Product between 2 dates
abstract double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp) Compute the PV for the specified Market Parameters
java.lang.String	tenor() Retrieve the Instrument's Imputed Tenor
abstract CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate a full list of the Product measures for the full input set of market parameters

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

Component

public Component()

Method Detail

initialNotional

public abstract double initialNotional()
                                throws java.lang.Exception

Get the Initial Notional for the Product

Returns:

Initial Notional

Throws:

java.lang.Exception - Thrown if Initial Notional cannot be computed

notional

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

Get the Notional for the Product at the given date

Parameters:

iDate - Date

Returns:

Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

notional

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

Get the time-weighted Notional for the Product between 2 dates

Parameters:

iDate1 - Date #1

iDate2 - Date #2

Returns:

The Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

effectiveDate

public abstract JulianDate effectiveDate()

Get the Effective Date

Returns:

Effective Date

maturityDate

public abstract JulianDate maturityDate()

Get the Maturity Date

Returns:

Maturity Date

firstCouponDate

public abstract JulianDate firstCouponDate()

Get the First Coupon Date

Returns:

First Coupon Date

freq

public abstract int freq()

Retrieve the Coupon Frequency

Returns:

The Coupon Frequency

couponPeriods

public abstract java.util.List<CompositePeriod> couponPeriods()

Get the Product's Cash Flow Periods

Returns:

List of the Product's Cash Flow Periods

couponMetrics

public abstract CompositePeriodCouponMetrics couponMetrics(int iAccrualEndDate,
                                                           ValuationParams valParams,
                                                           CurveSurfaceQuoteContainer csqs)

Get the Product's coupon Metrics at the specified accrual date

Parameters:

iAccrualEndDate - Accrual End Date

valParams - The Valuation Parameters

csqs - Component Market Parameters

Returns:

The Product's coupon Nominal/Adjusted Coupon Measures

cashSettleParams

public abstract CashSettleParams cashSettleParams()

Get the Product's cash settlement parameters

Returns:

Cash settlement Parameters

value

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

Generate a full list of the 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

measureNames

public abstract java.util.Set<java.lang.String> measureNames()

Retrieve the ordered set of the measure names whose values will be calculated

Returns:

Set of Measure Names

pv

public abstract double pv(ValuationParams valParams,
                          CreditPricerParams pricerParams,
                          CurveSurfaceQuoteContainer csqc,
                          ValuationCustomizationParams vcp)
                   throws java.lang.Exception

Compute the PV for the specified Market Parameters

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqc - Market Parameters

vcp - Valuation Customization Parameters

Returns:

The PV

Throws:

java.lang.Exception - Thrown if the PV cannot be computed

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 Product's measure

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

strMeasure - Measure String

vcp - Valuation Customization Parameters

Returns:

Double measure value

Throws:

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

tenor

public java.lang.String tenor()

Retrieve the Instrument's Imputed Tenor

Returns:

The Instrument's Imputed Tenor

measures

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

Generate a full list of the Product's 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:

ComponentOutput object

customScenarioMeasures

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

Generate a full list of custom 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

strCustomScenName - Custom Scenario Name

vcp - Valuation Customization Parameters

mapBaseMeasures - Base Measures from used to calculate the desired delta measure. If null, the base measures will be generated.

Returns:

Custom Scenarios Measures output set