org.drip.product.rates

Class Stream

java.lang.Object

org.drip.product.rates.Stream

Direct Known Subclasses:

BondStream

public class Stream
extends java.lang.Object

Stream implements the fixed and the floating streams.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
Stream(java.util.List<CompositePeriod> lsPeriod) Stream constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String	accrualDC() Retrieve the Accrual Day Count
boolean	accrualEOMAdjustment() Retrieve the Accrual EOM Adjustment
java.util.Set<java.lang.String>	availableMeasures() Retrieve the set of the implemented measures
double	basis() Retrieve the Stream Coupon Basis
java.lang.String	calendar() Retrieve the Calendar
ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS) Generate the Calibration Quote Set corresponding to the specified Latent State Array
java.util.Set<java.lang.String>	cashflowCurrencySet() Retrieve the Cash Flow Currency Set
java.util.List<CompositePeriod>	cashFlowPeriod() Retrieve the Coupon Period List
CompositePeriod	containingPeriod(int iDate) Retrieve the Period Instance enveloping the specified Date
CompositePeriodCouponMetrics	coupon(int iAccrualEndDate, ValuationParams valParams, CurveSurfaceQuoteContainer csqs) Get the Coupon Metrics for the period corresponding to the specified accrual end date
java.lang.String	couponCurrency() Retrieve the Coupon Currency
java.lang.String	couponDC() Retrieve the Coupon Day Count
boolean	couponEOMAdjustment() Retrieve the Coupon EOM Adjustment
CreditLabel	creditLabel() Retrieve the Credit Label
JulianDate	effective() Retrieve the Effective Date
JulianDate	firstCouponDate() Retrieve the First Coupon Pay Date
ForwardLabel	forwardLabel() Retrieve the Forward Label
PredictorResponseWeightConstraint	forwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the State Loading Constraints for the Forward Latent State
int	freq() Retrieve the Stream Frequency
PredictorResponseWeightConstraint	fundingForwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the State Loading Constraints for the Merged Forward/Funding Latent State
FundingLabel	fundingLabel() Retrieve the Funding Label
PredictorResponseWeightConstraint	fundingPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the State Loading Constraints for the Funding Latent State
FXLabel	fxLabel() Retrieve the FX Label
PredictorResponseWeightConstraint	fxPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
PredictorResponseWeightConstraint	govviePRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve Yield Latent State from the Component's Cash Flows.
double	initialNotional() Retrieve the Initial Notional
WengertJacobian	jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate the Jacobian of the Dirty PV to the Manifest Measure
WengertJacobian	manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate the micro-Jacobian of the Manifest Measure to the Discount Factor
JulianDate	maturity() Retrieve the Maturity Date
java.lang.String	name() Retrieve the Stream Name
double	notional(int iDate) Retrieve the Notional corresponding to the specified Date
double	notional(int iDate1, int iDate2) Retrieve the Notional aggregated over the Date Pairs
java.lang.String	payCurrency() Retrieve the Pay Currency
java.util.List<CompositePeriod>	periods() Retrieve a list of the component's coupon periods
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 Value Map for the Stream
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 Curve Volatility Latent State from the Component's Cash Flows.

Methods inherited from class java.lang.Object

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

Constructor Detail

Stream

public Stream(java.util.List<CompositePeriod> lsPeriod)
       throws java.lang.Exception

Stream constructor

Parameters:

lsPeriod - List of the Coupon Periods

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

periods

public java.util.List<CompositePeriod> periods()

Retrieve a list of the component's coupon periods

Returns:

List of Coupon Period

freq

public int freq()

Retrieve the Stream Frequency

Returns:

The Stream Frequency

couponDC

public java.lang.String couponDC()

Retrieve the Coupon Day Count

Returns:

The Coupon Day Count

couponEOMAdjustment

public boolean couponEOMAdjustment()

Retrieve the Coupon EOM Adjustment

Returns:

The Coupon EOM Adjustment

calendar

public java.lang.String calendar()

Retrieve the Calendar

Returns:

The Calendar

accrualDC

public java.lang.String accrualDC()

Retrieve the Accrual Day Count

Returns:

The Accrual Day Count

accrualEOMAdjustment

public boolean accrualEOMAdjustment()

Retrieve the Accrual EOM Adjustment

Returns:

The Accrual EOM Adjustment

creditLabel

public CreditLabel creditLabel()

Retrieve the Credit Label

Returns:

The Credit Label

forwardLabel

public ForwardLabel forwardLabel()

Retrieve the Forward Label

Returns:

The Forward Label

fundingLabel

public FundingLabel fundingLabel()

Retrieve the Funding Label

Returns:

The Funding Label

fxLabel

public FXLabel fxLabel()

Retrieve the FX Label

Returns:

The FX Label

cashFlowPeriod

public java.util.List<CompositePeriod> cashFlowPeriod()

Retrieve the Coupon Period List

Returns:

The Coupon Period List

containingPeriod

public CompositePeriod containingPeriod(int iDate)

Retrieve the Period Instance enveloping the specified Date

Parameters:

iDate - The Date

Returns:

The Period Instance enveloping the specified Date

initialNotional

public double initialNotional()

Retrieve the Initial Notional

Returns:

The Initial Notional

notional

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

Retrieve the Notional corresponding to the specified Date

Parameters:

iDate - The Date

Returns:

The Notional corresponding to the specified Date

Throws:

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

notional

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

Retrieve the Notional aggregated over the Date Pairs

Parameters:

iDate1 - The Date #1

iDate2 - The Date #2

Returns:

The Notional aggregated over the Date Pairs

Throws:

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

effective

public JulianDate effective()

Retrieve the Effective Date

Returns:

The Effective Date

maturity

public JulianDate maturity()

Retrieve the Maturity Date

Returns:

The Maturity Date

firstCouponDate

public JulianDate firstCouponDate()

Retrieve the First Coupon Pay Date

Returns:

The First Coupon Pay Date

couponCurrency

public java.lang.String couponCurrency()

Retrieve the Coupon Currency

Returns:

The Coupon Currency

payCurrency

public java.lang.String payCurrency()

Retrieve the Pay Currency

Returns:

The Pay Currency

cashflowCurrencySet

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

Retrieve the Cash Flow Currency Set

Returns:

The Cash Flow Currency Set

name

public java.lang.String name()

Retrieve the Stream Name

Returns:

The Stream Name

coupon

public CompositePeriodCouponMetrics coupon(int iAccrualEndDate,
                                           ValuationParams valParams,
                                           CurveSurfaceQuoteContainer csqs)

Get the Coupon Metrics for the period corresponding to the specified accrual end date

Parameters:

iAccrualEndDate - The Accrual End Date

valParams - Valuation parameters

csqs - Market Parameters

Returns:

The Coupon Metrics for the period corresponding to the specified accrual end date

calibQuoteSet

public ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)

Generate the Calibration Quote Set corresponding to the specified Latent State Array

Parameters:

aLSS - The Latent State Array

Returns:

The Calibration Quote Set corresponding to the specified Latent State Array

basis

public double basis()

Retrieve the Stream Coupon Basis

Returns:

The Stream Coupon Basis

value

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

Generate a Value Map for the Stream

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

Returns:

The Value Map for the Stream

availableMeasures

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

Retrieve the set of the implemented measures

Returns:

The set of the implemented measures

pv

public 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

forwardPRWC

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

Generate the State Loading Constraints for the Forward Latent State

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

pqs - The Product Calibration Quote Set

Returns:

The State Loading Constraints for the Forward Latent State

fundingPRWC

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

Generate the State Loading Constraints for the Funding Latent State

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

pqs - The Product Calibration Quote Set

Returns:

The State Loading Constraints for the Funding Latent State

fundingForwardPRWC

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

Generate the State Loading Constraints for the Merged Forward/Funding Latent State

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

pqs - The Product Calibration Quote Set

Returns:

The State Loading Constraints for the Merged Forward/Funding Latent State

fxPRWC

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

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

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 FX Forward)

govviePRWC

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

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve Yield Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

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 Yield)

volatilityPRWC

public 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 Curve Volatility Latent State from the Component's Cash Flows. The Constraints here typically correspond tovDate/Cash Flow pairs and the corresponding leading PV.

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 Volatility)

jackDDirtyPVDManifestMeasure

public WengertJacobian jackDDirtyPVDManifestMeasure(ValuationParams valParams,
                                                    CreditPricerParams pricerParams,
                                                    CurveSurfaceQuoteContainer csqs,
                                                    ValuationCustomizationParams vcp)

Generate the Jacobian of the Dirty PV to the Manifest Measure

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

Returns:

The Jacobian of the Dirty PV to the Manifest Measure

manifestMeasureDFMicroJack

public WengertJacobian manifestMeasureDFMicroJack(java.lang.String strManifestMeasure,
                                                  ValuationParams valParams,
                                                  CreditPricerParams pricerParams,
                                                  CurveSurfaceQuoteContainer csqs,
                                                  ValuationCustomizationParams vcp)

Generate the micro-Jacobian of the Manifest Measure to the Discount Factor

Parameters:

strManifestMeasure - The Manifest Measure

valParams - The Valuation Parameters

pricerParams - The Pricer parameters

csqs - The Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian of the Manifest Measure to the Discount Factor