org.drip.product.fx

Class ComponentPair

java.lang.Object

org.drip.product.definition.BasketProduct

org.drip.product.fx.ComponentPair

All Implemented Interfaces:

BasketMarketParamRef

public class ComponentPair
extends BasketProduct

ComponentPair contains the implementation of the dual cross currency components. It is composed of two different Rates Components - one each for each currency.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ComponentPair(java.lang.String strName, CalibratableComponent rcReference, CalibratableComponent rcDerived, FixingSetting fxFixingSetting) ComponentPair constructor

Method Summary

Modifier and Type	Method and Description
Component[]	components() Return the Components in the Basket
CalibratableComponent	derivedComponent() Retrieve the Derived Component
LatentStateSegmentSpec	derivedForwardSpec(ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double dblBasis, boolean bBasisOnDerivedComponent, boolean bBasisOnDerivedStream) Generate the Derived Forward Latent State Segment Specification
LatentStateSegmentSpec	derivedFundingForwardSpec(ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double dblReferenceComponentBasis, boolean bBasisOnDerivedLeg, double dblSwapRate) Generate the Derived Funding/Forward Merged Latent State Segment Specification
java.lang.String	fxCode() Retrieve the FX Code
FixingSetting	fxFixingSetting() Retrieve the FX Fixing Setting
FXLabel[]	fxLabel() Get the Array of the FX Latent State Identifier Labels
int	measureAggregationType(java.lang.String strMeasureName) Retrieve the Aggregation Type for the specified Measure
java.lang.String	name() Return the basket name
CalibratableComponent	referenceComponent() Retrieve the Reference Component
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

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

coupon, couponCurrency, couponPeriod, creditLabel, customScenarioMeasures, effective, firstCouponDate, forwardLabel, fundingLabel, initialNotional, maturity, measures, measureValue, notional, notional, payCurrency, principalCurrency, weights

Methods inherited from class java.lang.Object

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

Constructor Detail

ComponentPair

public ComponentPair(java.lang.String strName,
                     CalibratableComponent rcReference,
                     CalibratableComponent rcDerived,
                     FixingSetting fxFixingSetting)
              throws java.lang.Exception

ComponentPair constructor

Parameters:

strName - The ComponentPair Instance Name

rcReference - The Reference Component

rcDerived - The Derived Component

fxFixingSetting - FX Fixing Setting

Throws:

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

Method Detail

referenceComponent

public CalibratableComponent referenceComponent()

Retrieve the Reference Component

Returns:

The Reference Component

derivedComponent

public CalibratableComponent derivedComponent()

Retrieve the Derived Component

Returns:

The Derived Component

fxFixingSetting

public FixingSetting fxFixingSetting()

Retrieve the FX Fixing Setting

Returns:

The FX Fixing Setting

fxCode

public java.lang.String fxCode()

Retrieve the FX Code

Returns:

The FX Code

derivedForwardSpec

public LatentStateSegmentSpec derivedForwardSpec(ValuationParams valParams,
                                                 CurveSurfaceQuoteContainer mktParams,
                                                 double dblBasis,
                                                 boolean bBasisOnDerivedComponent,
                                                 boolean bBasisOnDerivedStream)

Generate the Derived Forward Latent State Segment Specification

Parameters:

valParams - Valuation Parameters

mktParams - Market Parameters

dblBasis - The Basis on either the Reference Component or the Derived Component

bBasisOnDerivedComponent - TRUE - Apply the Basis on the Derived Component

bBasisOnDerivedStream - TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)

Returns:

The Derived Forward Latent State Segment Specification

derivedFundingForwardSpec

public LatentStateSegmentSpec derivedFundingForwardSpec(ValuationParams valParams,
                                                        CurveSurfaceQuoteContainer mktParams,
                                                        double dblReferenceComponentBasis,
                                                        boolean bBasisOnDerivedLeg,
                                                        double dblSwapRate)

Generate the Derived Funding/Forward Merged Latent State Segment Specification

Parameters:

valParams - Valuation Parameters

mktParams - Market Parameters

dblReferenceComponentBasis - The Reference Component Basis

bBasisOnDerivedLeg - TRUE - Apply basis on the Derived Leg

dblSwapRate - The Swap Rate

Returns:

The Derived Forward/Funding Latent State Segment Specification

name

public java.lang.String name()

Description copied from class: BasketProduct

Return the basket name

Specified by:

name in interface BasketMarketParamRef

Specified by:

name in class BasketProduct

Returns:

Name of the basket product

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

Overrides:

fxLabel in class BasketProduct

Returns:

The Array of the FX Latent State Identifier Labels

components

public Component[] components()

Description copied from class: BasketProduct

Return the Components in the Basket

Specified by:

components in class BasketProduct

Returns:

Components in the Basket

measureAggregationType

public int measureAggregationType(java.lang.String strMeasureName)

Description copied from class: BasketProduct

Retrieve the Aggregation Type for the specified Measure

Specified by:

measureAggregationType in class BasketProduct

Parameters:

strMeasureName - The Specified Measure Name

Returns:

The Aggregation Type

value

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

Description copied from class: BasketProduct

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

Overrides:

value in class BasketProduct

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value