org.drip.product.option

Class CDSEuropeanOption

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.option.OptionComponent

org.drip.product.option.CDSEuropeanOption

All Implemented Interfaces:

ComponentMarketParamRef

public class CDSEuropeanOption
extends OptionComponent

CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CDSEuropeanOption(java.lang.String strName, CreditDefaultSwap cds, java.lang.String strManifestMeasure, boolean bIsReceiver, double dblStrike, LastTradingDateSetting ltds, FokkerPlanckGenerator fpg, CashSettleParams csp) CDSEuropeanOption constructor

Method Summary

Modifier and Type	Method and Description
ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS) Generate the Product Specific Calibration Quote Set
CaseInsensitiveTreeMap<java.lang.String>	couponCurrency() Get the Map of Coupon Currencies
java.util.Set<java.lang.String>	measureNames() Retrieve the ordered set of the measure names whose values will be calculated
java.lang.String	payCurrency() Get the Pay Currency
java.lang.String	principalCurrency() Get the Principal Currency
double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams) 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 csqc, ValuationCustomizationParams vcp, double dblIntegratedSurfaceVariance) Generate the Standard CDS European Option Measures from the Integrated Surface Variance
PredictorResponseWeightConstraint	volatilityPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams, 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, cashSettleParams, 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, primaryCode, 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

CDSEuropeanOption

public CDSEuropeanOption(java.lang.String strName,
                         CreditDefaultSwap cds,
                         java.lang.String strManifestMeasure,
                         boolean bIsReceiver,
                         double dblStrike,
                         LastTradingDateSetting ltds,
                         FokkerPlanckGenerator fpg,
                         CashSettleParams csp)
                  throws java.lang.Exception

CDSEuropeanOption constructor

Parameters:

strName - Name

cds - The Underlying CDS Component

strManifestMeasure - Measure of the Underlying Component

bIsReceiver - Is the Option a Receiver/Payer? TRUE - Receiver

dblStrike - Strike of the Underlying Component's Measure

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

valueFromSurfaceVariance

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

Generate the Standard CDS European Option Measures from the Integrated Surface Variance

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqc - The Market Parameters

vcp - The Valuation Customization Parameters

dblIntegratedSurfaceVariance - The Integrated Surface Variance

Returns:

The Standard CDS European Option Measures

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

couponCurrency

public CaseInsensitiveTreeMap<java.lang.String> couponCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Map of Coupon Currencies

Specified by:

couponCurrency in interface ComponentMarketParamRef

Overrides:

couponCurrency in class OptionComponent

Returns:

The Map of Coupon Currencies

payCurrency

public java.lang.String payCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Pay Currency

Specified by:

payCurrency in interface ComponentMarketParamRef

Overrides:

payCurrency in class OptionComponent

Returns:

The Pay Currency

principalCurrency

public java.lang.String principalCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Principal Currency

Specified by:

principalCurrency in interface ComponentMarketParamRef

Overrides:

principalCurrency in class OptionComponent

Returns:

The Principal Currency

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

pv

public double pv(ValuationParams valParams,
                 CreditPricerParams pricerParams,
                 CurveSurfaceQuoteContainer csqs,
                 ValuationCustomizationParams quotingParams)
          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

csqs - Market Parameters

quotingParams - Valuation Customization Parameters

Returns:

The PV

Throws:

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

calibQuoteSet

public ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)

Description copied from class: CalibratableComponent

Generate the Product Specific Calibration Quote Set

Overrides:

calibQuoteSet in class OptionComponent

Parameters:

aLSS - Array of Latent State Specification

Returns:

The Product Specific Calibration Quote Set

volatilityPRWC

public PredictorResponseWeightConstraint volatilityPRWC(ValuationParams valParams,
                                                        CreditPricerParams pricerParams,
                                                        CurveSurfaceQuoteContainer csqs,
                                                        ValuationCustomizationParams quotingParams,
                                                        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

quotingParams - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

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