Package org.drip.analytics.output

Class ComponentMeasures

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

  • Unadjusted Base IR/credit curves
  • Flat delta/gamma bump measure maps for IR/credit bump curves
  • Tenor bump double maps for IR/credit curves
  • Flat/recovery bumped measure maps for recovery bumped credit curves
  • Measure Maps generated for Custom Scenarios
  • Accessor Functions for the above fields
  • Serialize into and de-serialize out of byte arrays


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • ComponentMeasures

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

  • Method Details

    • calcTime

      public double calcTime()
      Retrieve the Calculation Time
      Returns:
      The Calculation Time

    • setCalcTime

      public boolean setCalcTime​(double dblCalcTime)
      Set the Calculation Time
      Parameters:
      dblCalcTime - The Calculation Time
      Returns:
      TRUE - The Calculation Time Successfully Set

    • baseMeasures

      public CaseInsensitiveTreeMap<java.lang.Double> baseMeasures()
      Retrieve the Base Measure Map
      Returns:
      The Base Measure Map

    • setBaseMeasures

      public boolean setBaseMeasures​(CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
      Set the Base Measures Map
      Parameters:
      mapBaseMeasures - The Base Measures Map
      Returns:
      TRUE - The Base Measures Map Successfully Set

    • flatIRDeltaMeasures

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

    • setFlatIRDeltaMeasures

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

    • flatIRGammaMeasures

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

    • setFlatIRGammaMeasures

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

    • flatRRDeltaMeasures

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

    • setFlatRRDeltaMeasures

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

    • flatRRGammaMeasures

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

    • setFlatRRGammaMeasures

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

    • flatCreditDeltaMeasures

      public CaseInsensitiveTreeMap<java.lang.Double> flatCreditDeltaMeasures()
      Retrieve the Flat Credit Delta Measure Map
      Returns:
      The Flat Credit Delta Measure Map

    • setFlatCreditDeltaMeasures

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

    • flatCreditGammaMeasures

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

    • setFlatCreditGammaMeasures

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

    • tenorIRDeltaMeasures

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

    • setTenorIRDeltaMeasures

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

    • tenorIRGammaMeasures

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

    • setTenorIRGammaMeasures

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

    • tenorCreditDeltaMeasures

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

    • setTenorCreditDeltaMeasures

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

    • tenorCreditGammaMeasures

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

    • setTenorCreditGammaMeasures

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

    • tenorRRDeltaMeasures

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

    • setTenorRRDeltaMeasures

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

    • tenorRRGammaMeasures

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

    • setTenorRRGammaMeasures

      public boolean setTenorRRGammaMeasures​(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mmTenorRRGammaMeasures)
      Set the Tenor RR Gamma Double Measures Map
      Parameters:
      mmTenorRRGammaMeasures - The Tenor IR Gamma Double Measures Map
      Returns:
      TRUE - The Tenor RR Gamma Double Measures Map Successfully Set

    • customMeasures

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

    • setCustomMeasures

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