org.drip.product.fra

Class FRAMarketComponent

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.rates.SingleStreamComponent

org.drip.product.fra.FRAStandardComponent

org.drip.product.fra.FRAMarketComponent

All Implemented Interfaces:

ComponentMarketParamRef

public class FRAMarketComponent
extends FRAStandardComponent

FRAMarketComponent contains the implementation of the Standard Multi-Curve FRA product whose payoff is dictated off of Market FRA Conventions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FRAMarketComponent(java.lang.String strName, Stream stream, double dblStrike, CashSettleParams csp) FRAMarketComponent constructor

Method Summary

Modifier and Type	Method and Description
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 org.drip.product.fra.FRAStandardComponent

calibQuoteSet, forwardPRWC, fundingPRWC, jackDDirtyPVDManifestMeasure, manifestMeasureDFMicroJack, measureNames, strike

Methods inherited from class org.drip.product.rates.SingleStreamComponent

calibMeasures, cashSettleParams, couponCurrency, couponMetrics, couponPeriods, creditLabel, effectiveDate, firstCouponDate, forwardLabel, freq, fundingForwardPRWC, fundingLabel, fxLabel, fxPRWC, govvieLabel, govviePRWC, initialNotional, maturityDate, name, notional, notional, payCurrency, primaryCode, principalCurrency, pv, setPrimaryCode, stream, volatilityLabel, volatilityPRWC

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

calibPRWC, secondaryCode

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

customScenarioMeasures, measures, measureValue, tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

FRAMarketComponent

public FRAMarketComponent(java.lang.String strName,
                          Stream stream,
                          double dblStrike,
                          CashSettleParams csp)
                   throws java.lang.Exception

FRAMarketComponent constructor

Parameters:

strName - Futures Component Name

stream - Futures Stream

dblStrike - Futures Strike

csp - Cash Settle Parameters Instance

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

value

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

Description copied from class: Component

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

Overrides:

value in class FRAStandardComponent

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value