org.drip.product.fra

Class FRAStandardCapFloorlet

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.option.OptionComponent

org.drip.product.fra.FRAStandardCapFloorlet

All Implemented Interfaces:

ComponentMarketParamRef

public class FRAStandardCapFloorlet
extends OptionComponent

FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FRAStandardCapFloorlet(java.lang.String strName, FRAStandardComponent fra, java.lang.String strManifestMeasure, boolean bIsCaplet, double dblStrike, double dblNotional, LastTradingDateSetting ltds, FokkerPlanckGenerator fpg, CashSettleParams csp) FRAStandardCapFloorlet constructor

Method Summary

Modifier and Type	Method and Description
FRAStandardComponent	fra() Retrieve the Underlying FRA Instance
double	implyVolatility(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, java.lang.String strCalibMeasure, double dblCalibValue) Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure
boolean	isCaplet() Indicate whether this a Caplet/Floorlet
java.util.Set<java.lang.String>	measureNames() Retrieve the ordered set of the measure names whose values will be calculated
double	price(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblVolatility) Compute the Caplet/Floorlet Price from the Inputs
FokkerPlanckGenerator	pricer() Retrieve the Underlying Pricer Instance
double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp) Compute the PV for the specified Market Parameters
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
CaseInsensitiveTreeMap<java.lang.Double>	valueFromSurfaceVariance(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblIntegratedSurfaceVariance) Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance
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.option.OptionComponent

calibMeasures, calibQuoteSet, cashSettleParams, couponCurrency, couponMetrics, couponPeriods, creditLabel, effectiveDate, exerciseDate, firstCouponDate, forwardLabel, forwardPRWC, freq, fundingForwardPRWC, fundingLabel, fundingPRWC, fxLabel, fxPRWC, govvieLabel, govviePRWC, initialNotional, jackDDirtyPVDManifestMeasure, lastTradingDateSetting, manifestMeasure, manifestMeasureDFMicroJack, maturityDate, name, notional, notional, notional, payCurrency, primaryCode, principalCurrency, setPrimaryCode, strike, underlying, volatilityLabel

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

FRAStandardCapFloorlet

public FRAStandardCapFloorlet(java.lang.String strName,
                              FRAStandardComponent fra,
                              java.lang.String strManifestMeasure,
                              boolean bIsCaplet,
                              double dblStrike,
                              double dblNotional,
                              LastTradingDateSetting ltds,
                              FokkerPlanckGenerator fpg,
                              CashSettleParams csp)
                       throws java.lang.Exception

FRAStandardCapFloorlet constructor

Parameters:

strName - Name

fra - The Underlying FRA Standard Component

strManifestMeasure - Measure of the Underlying Component

bIsCaplet - Is the FRA Option a Caplet? TRUE - YES

dblStrike - Strike of the Underlying Component's Measure

dblNotional - Option Notional

ltds - Last Trading Date Setting

fpg - The Fokker Planck Pricer Instance

csp - Cash Settle Parameters

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

fra

public FRAStandardComponent fra()

Retrieve the Underlying FRA Instance

Returns:

The FRA Instance

isCaplet

public boolean isCaplet()

Indicate whether this a Caplet/Floorlet

Returns:

TRUE - This is a Caplet

pricer

public FokkerPlanckGenerator pricer()

Retrieve the Underlying Pricer Instance

Returns:

The Pricer Instance

valueFromSurfaceVariance

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

Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblIntegratedSurfaceVariance - The Integrated Surface Variance

Returns:

The Standard FRA Caplet/Floorlet Measures

price

public double price(ValuationParams valParams,
                    CreditPricerParams pricerParams,
                    CurveSurfaceQuoteContainer csqs,
                    ValuationCustomizationParams vcp,
                    double dblVolatility)
             throws java.lang.Exception

Compute the Caplet/Floorlet Price from the Inputs

Parameters:

valParams - The Valuation Parameters

pricerParams - Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblVolatility - The FRA Volatility

Returns:

The Caplet/Floorlet Price

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

implyVolatility

public double implyVolatility(ValuationParams valParams,
                              CreditPricerParams pricerParams,
                              CurveSurfaceQuoteContainer csqs,
                              ValuationCustomizationParams vcp,
                              java.lang.String strCalibMeasure,
                              double dblCalibValue)
                       throws java.lang.Exception

Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure

Parameters:

valParams - The Valuation Parameters

pricerParams - Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

strCalibMeasure - The Calibration Measure

dblCalibValue - The Calibration Value

Returns:

The Implied Caplet/Floorlet Volatility

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

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

Specified by:

value in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value

measureNames

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

Description copied from class: Component

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

Specified by:

measureNames in class Component

Returns:

Set of Measure Names

pv

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

Description copied from class: Component

Compute the PV for the specified Market Parameters

Specified by:

pv in class Component

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

volatilityPRWC

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

Description copied from class: CalibratableComponent

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.

Specified by:

volatilityPRWC in class CalibratableComponent

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)