Package org.drip.param.definition

Class ScenarioMarketParams

java.lang.Object
org.drip.param.definition.ScenarioMarketParams
Direct Known Subclasses:
CurveSurfaceScenarioContainer
public abstract class ScenarioMarketParams
extends java.lang.Object
ScenarioMarketParams is the place holder for the comprehensive suite of the market set of curves for the given date. It exports the following functionality:

  • Add/remove/retrieve scenario discount curve
  • Add/remove/retrieve scenario forward curve
  • Add/remove/retrieve scenario zero curve
  • Add/remove/retrieve scenario credit curve
  • Add/remove/retrieve scenario recovery curve
  • Add/remove/retrieve scenario FXForward curve
  • Add/remove/retrieve scenario FXBasis curve
  • Add/remove/retrieve scenario fixings
  • Add/remove/retrieve Treasury/component quotes
  • Retrieve scenario Market Parameters
  • Retrieve map of flat rates/credit/recovery Market Parameters
  • Retrieve double map of tenor rates/credit/recovery Market Parameters
  • Retrieve rates/credit scenario generator


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • ScenarioMarketParams

      public ScenarioMarketParams()

  • Method Details

    • addScenarioDiscountCurve

      public abstract boolean addScenarioDiscountCurve​(java.lang.String strName, DiscountCurveScenarioContainer dcsc)
      Add the named scenario DC
      Parameters:
      strName - Name
      dcsc - Corresponding DiscountCurveScenarioContainer instance
      Returns:
      Added successfully (true)

    • removeScenarioDiscountCurve

      public abstract boolean removeScenarioDiscountCurve​(java.lang.String strName)
      Remove the named scenario DC
      Parameters:
      strName - Name
      Returns:
      Removed successfully (true)

    • addScenarioCreditCurve

      public abstract boolean addScenarioCreditCurve​(java.lang.String strName, CreditCurveScenarioContainer scc)
      Add the named scenario CC
      Parameters:
      strName - Name
      scc - ScenarioCreditCurve Instance
      Returns:
      Added successfully (true)

    • removeScenarioCreditCurve

      public abstract boolean removeScenarioCreditCurve​(java.lang.String strName)
      Removes the named scenario CC
      Parameters:
      strName - Name
      Returns:
      Removed successfully (true)

    • addTSYQuote

      public abstract boolean addTSYQuote​(java.lang.String strBenchmark, ProductQuote pqTSY)
      Add the named Treasury Quote
      Parameters:
      strBenchmark - Name
      pqTSY - Treasury Quote
      Returns:
      Added successfully (true)

    • removeTSYQuote

      public abstract boolean removeTSYQuote​(java.lang.String strBenchmark)
      Remove the named Treasury Quote
      Parameters:
      strBenchmark - Name
      Returns:
      Removed successfully (true)

    • setTSYQuotes

      public abstract boolean setTSYQuotes​(CaseInsensitiveTreeMap<ProductQuote> mapCQTSY)
      Set the full set of named Treasury Quote Map
      Parameters:
      mapCQTSY - Named Treasury Quote Map
      Returns:
      Set successfully (true)

    • tsyQuote

      public abstract ProductQuote tsyQuote​(java.lang.String strBenchmark)
      Get the named Treasury Quote Map corresponding to the desired benchmark
      Parameters:
      strBenchmark - The treasury benchmark
      Returns:
      Treasury Quote

    • tsyQuotes

      public abstract CaseInsensitiveTreeMap<ProductQuote> tsyQuotes()
      Get the full set of named Treasury Quote Map
      Returns:
      Named Treasury Quote Map

    • addFixing

      public abstract boolean addFixing​(JulianDate dtFix, LatentStateLabel lsl, double dblFixing)
      Add the fixing for the given Latent State Label and the given date
      Parameters:
      dtFix - The fixing date
      lsl - The Latent State Label
      dblFixing - The fixing
      Returns:
      Added successfully (true)

    • removeFixing

      public abstract boolean removeFixing​(JulianDate dtFix, LatentStateLabel lsl)
      Remove the fixing corresponding to the given date and the Latent State Label
      Parameters:
      dtFix - Fixing date
      lsl - The Latent State label
      Returns:
      Successfully removed (true)

    • fixings

      public abstract LatentStateFixingsContainer fixings()
      Retrieve the Latent State Fixings Container
      Returns:
      The Latent State Fixings Container

    • addComponentQuote

      public abstract boolean addComponentQuote​(java.lang.String strComponentID, ProductQuote cqComponent)
      Add the component quote
      Parameters:
      strComponentID - Component ID
      cqComponent - Component Quote
      Returns:
      Added successfully (true)

    • removeComponentQuote

      public abstract boolean removeComponentQuote​(java.lang.String strComponentID)
      Remove the component quote
      Parameters:
      strComponentID - Component ID
      Returns:
      Removed successfully (true)

    • addComponentQuote

      public abstract boolean addComponentQuote​(CaseInsensitiveTreeMap<ProductQuote> mapComponentQuote)
      Add the full map of component quotes
      Parameters:
      mapComponentQuote - Map of Component Quotes
      Returns:
      Added successfully (true)

    • componentQuote

      public abstract ProductQuote componentQuote​(java.lang.String strComponentID)
      Retrieve the quote for the given component
      Parameters:
      strComponentID - Component ID
      Returns:
      ComponentQuote

    • componentQuotes

      public abstract CaseInsensitiveTreeMap<ProductQuote> componentQuotes()
      Retrieve the full map of component quotes
      Returns:
      The Map of Component Quotes

    • addScenarioMarketParams

      public abstract boolean addScenarioMarketParams​(java.lang.String strScenarioName, CurveSurfaceQuoteContainer csqs)
      Add the named scenario Market Parameters
      Parameters:
      strScenarioName - Scenario Name
      csqs - Market Parameters
      Returns:
      True - Added successfully

    • scenarioMarketParams

      public abstract CurveSurfaceQuoteContainer scenarioMarketParams​(java.lang.String strScenarioName)
      Retrieve the Named Scenario Market Parameters
      Parameters:
      strScenarioName - Scenario Name
      Returns:
      Named Market Parameters

    • scenarioMarketParams

      public abstract CurveSurfaceQuoteContainer scenarioMarketParams​(Component comp, java.lang.String strScenario)
      Get the Market Parameters corresponding to the component and the scenario
      Parameters:
      comp - Component
      strScenario - Scenario
      Returns:
      The Market Parameters

    • fundingTenorMarketParams

      public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingTenorMarketParams​(Component comp, boolean bBumpUp)
      Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
      Parameters:
      comp - Component
      bBumpUp - TRUE - Bump Up
      Returns:
      Map of the Funding Tenor Bumped Market Parameters

    • creditTenorMarketParams

      public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditTenorMarketParams​(Component comp, boolean bBumpUp)
      Get the map of tenor credit bumped Market Parameters corresponding to the component
      Parameters:
      comp - Component
      bBumpUp - Bump up (True)
      Returns:
      Map of the tenor credit bumped Market Parameters

    • scenarioMarketParams

      public abstract CurveSurfaceQuoteContainer scenarioMarketParams​(BasketProduct bp, java.lang.String strScenario)
      Get the Market Parameters for the given basket product and the scenario
      Parameters:
      bp - BasketProduct
      strScenario - Named Scenario
      Returns:
      Market Parameters Instance

    • fundingFlatBump

      public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingFlatBump​(BasketProduct bp, boolean bBump)
      Get the Map of Funding Parallel Bumped Curves for the given Basket Product
      Parameters:
      bp - BasketProduct
      bBump - True (Bump Up), False (Bump Down)
      Returns:
      Map of the Funding Parallel Bumped curves

    • creditFlatBump

      public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditFlatBump​(BasketProduct bp, boolean bBump)
      Get the Map of credit Flat Bumped Curves for the given Basket Product
      Parameters:
      bp - BasketProduct
      bBump - True (Bump Up), False (Bump Down)
      Returns:
      Map of the Credit Flat Bumped Curves

    • recoveryFlatBump

      public abstract CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> recoveryFlatBump​(BasketProduct bp, boolean bBump)
      Get the map of Recovery Flat Bumped Curves for the given Basket Product
      Parameters:
      bp - BasketProduct
      bBump - True (Bump Up), False (Bump Down)
      Returns:
      Map of the Recovery Flat Bumped Curves

    • fundingTenorBump

      public abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> fundingTenorBump​(BasketProduct bp, boolean bBump)
      Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
      Parameters:
      bp - BasketProduct
      bBump - True (Bump Up), False (Bump Down)
      Returns:
      Double Map of the Funding Tenor Bumped Market Parameters

    • creditTenorBump

      public abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> creditTenorBump​(BasketProduct bp, boolean bBump)
      Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
      Parameters:
      bp - BasketProduct
      bBump - True (Bump Up), False (Bump Down)
      Returns:
      Double Map of the credit Tenor bumped Market Parameters

    • scenarioDiscountCurveMap

      public abstract CaseInsensitiveTreeMap<DiscountCurveScenarioContainer> scenarioDiscountCurveMap()
      Retrieve the Map of DiscountCurveScenarioContainer Instances
      Returns:
      Map of DiscountCurveScenarioContainer Instances

    • scenarioCreditCurveMap

      public abstract CaseInsensitiveTreeMap<CreditCurveScenarioContainer> scenarioCreditCurveMap()
      Retrieve the Map of ScenarioCreditCurve Instances
      Returns:
      Map of ScenarioCreditCurve Instances