Package org.drip.analytics.output

Class BasketMeasures

java.lang.Object
org.drip.analytics.output.ComponentMeasures
org.drip.analytics.output.BasketMeasures
public class BasketMeasures
extends ComponentMeasures
BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios. It contains the following scenario measure maps:

  • Unadjusted Base Measures
  • Flat delta/gamma bump measure maps for IR/credit/RR bump curves
  • Component/tenor bump double maps for IR/credit/RR curves
  • Flat/component recovery bumped measure maps for recovery bumped credit curves
  • Custom scenario measure map


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • BasketMeasures

      public BasketMeasures()
      Empty constructor - all members initialized to NaN or null

  • Method Details

    • componentIRDeltaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentIRDeltaMeasures()
      Retrieve the Component IR Delta Double Measure Map
      Returns:
      The Component IR Delta Double Measure Map

    • setComponentIRDeltaMeasures

      public boolean setComponentIRDeltaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRDeltaMeasures)
      Set the Component IR Delta Double Measures Map
      Parameters:
      mmComponentIRDeltaMeasures - The Component IR Delta Double Measures Map
      Returns:
      TRUE - The Component IR Delta Double Measures Map Successfully Set

    • componentIRGammaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentIRGammaMeasures()
      Retrieve the Component IR Gamma Double Measure Map
      Returns:
      The Component IR Gamma Double Measure Map

    • setComponentIRGammaMeasures

      public boolean setComponentIRGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentIRGammaMeasures)
      Set the Component IR Gamma Double Measures Map
      Parameters:
      mmComponentIRGammaMeasures - The Component IR Gamma Double Measures Map
      Returns:
      TRUE - The Component IR Gamma Double Measures Map Successfully Set

    • componentCreditDeltaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCreditDeltaMeasures()
      Retrieve the Component Credit Delta Double Measure Map
      Returns:
      The ComponentCredit Delta Double Measure Map

    • setComponentCreditDeltaMeasures

      public boolean setComponentCreditDeltaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditDeltaMeasures)
      Set the Component Credit Delta Double Measures Map
      Parameters:
      mmComponentCreditDeltaMeasures - The Component Credit Delta Double Measures Map
      Returns:
      TRUE - The Component Credit Delta Double Measures Map Successfully Set

    • componentCreditGammaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCreditGammaMeasures()
      Retrieve the Component Credit Gamma Double Measure Map
      Returns:
      The Component Credit Gamma Double Measure Map

    • setComponentCreditGammaMeasures

      public boolean setComponentCreditGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCreditGammaMeasures)
      Set the Component Credit Gamma Double Measures Map
      Parameters:
      mmComponentCreditGammaMeasures - The Component Credit Gamma Double Measures Map
      Returns:
      TRUE - The Component Credit Gamma Double Measures Map Successfully Set

    • componentRRDeltaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentRRDeltaMeasures()
      Retrieve the Component RR Delta Double Measure Map
      Returns:
      The Component RR Delta Double Measure Map

    • setComponentRRDeltaMeasures

      public boolean setComponentRRDeltaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRDeltaMeasures)
      Set the Component RR Delta Double Measures Map
      Parameters:
      mmComponentRRDeltaMeasures - The RR Delta Double Measures Map
      Returns:
      TRUE - The Component RR Delta Double Measures Map Successfully Set

    • componentRRGammaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentRRGammaMeasures()
      Retrieve the Component RR Gamma Double Measure Map
      Returns:
      The Component RR Gamma Double Measure Map

    • setComponentRRGammaMeasures

      public boolean setComponentRRGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentRRGammaMeasures)
      Set the Component RR Gamma Double Measures Map
      Parameters:
      mmComponentRRGammaMeasures - The RR Gamma Double Measures Map
      Returns:
      TRUE - The Component RR Gamma Double Measures Map Successfully Set

    • componentTenorIRDeltaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorIRDeltaMeasures()
      Retrieve the Component/Tenor IR Delta Triple Measure Map
      Returns:
      The Component/Tenor IR Delta Triple Measure Map

    • setComponentTenorIRDeltaMeasures

      public boolean setComponentTenorIRDeltaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRDeltaMeasures)
      Set the Component/Tenor IR Delta Triple Measures Map
      Parameters:
      mmmComponentTenorIRDeltaMeasures - The Component/Tenor IR Delta Triple Measures Map
      Returns:
      TRUE - The Component/Tenor IR Delta Triple Measures Map Successfully Set

    • componentTenorIRGammaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorIRGammaMeasures()
      Retrieve the Component/Tenor IR Gamma Triple Measure Map
      Returns:
      The Component/Tenor IR Gamma Triple Measure Map

    • setComponentTenorIRGammaMeasures

      public boolean setComponentTenorIRGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorIRGammaMeasures)
      Set the Component/Tenor IR Gamma Triple Measures Map
      Parameters:
      mmmComponentTenorIRGammaMeasures - The Component/Tenor IR Gamma Triple Measures Map
      Returns:
      TRUE - The Component/Tenor IR Gamma Triple Measures Map Successfully Set

    • componentTenorCreditDeltaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorCreditDeltaMeasures()
      Retrieve the Component/Tenor Credit Delta Triple Measure Map
      Returns:
      The Component/Tenor Credit Delta Triple Measure Map

    • setComponentTenorCreditDeltaMeasures

      public boolean setComponentTenorCreditDeltaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditDeltaMeasures)
      Set the Component/Tenor Credit Delta Triple Measures Map
      Parameters:
      mmmComponentTenorCreditDeltaMeasures - The Component/Tenor Credit Delta Triple Measures Map
      Returns:
      TRUE - The Component/Tenor Credit Delta Triple Measures Map Successfully Set

    • componentTenorCreditGammaMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> componentTenorCreditGammaMeasures()
      Retrieve the Component/Tenor Credit Gamma Triple Measure Map
      Returns:
      The Component/Tenor Credit Gamma Triple Measure Map

    • setComponentTenorCreditGammaMeasures

      public boolean setComponentTenorCreditGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> mmmComponentTenorCreditGammaMeasures)
      Set the Component/Tenor Credit Gamma Triple Measures Map
      Parameters:
      mmmComponentTenorCreditGammaMeasures - The Component/Tenor Credit Gamma Triple Measures Map
      Returns:
      TRUE - The Component/Tenor Credit Gamma Triple Measures Map Successfully Set

    • componentCustomMeasures

      public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> componentCustomMeasures()
      Retrieve the Component Custom Double Measure Map
      Returns:
      The Component Custom Double Measure Map

    • setComponentCustomMeasures

      public boolean setComponentCustomMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmComponentCustomMeasures)
      Set the Component Custom Double Measures Map
      Parameters:
      mmComponentCustomMeasures - The Component Custom Double Measures Map
      Returns:
      TRUE - The Component Custom Double Measures Map Successfully Set