Package org.drip.param.market

Class CurveSurfaceScenarioContainer

java.lang.Object

org.drip.param.definition.ScenarioMarketParams

org.drip.param.market.CurveSurfaceScenarioContainer

public class CurveSurfaceScenarioContainer
extends ScenarioMarketParams

CurveSurfaceScenarioContainer extends MarketParams abstract class, and 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

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters
• Package = Curves Surfaces Quotes Fixings Container

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CurveSurfaceScenarioContainer()	Construct an empty MarketParamsContainer instance

Method Summary

Modifier and Type	Method	Description
boolean	addComponentQuote(java.lang.String strComponentID, ProductQuote cqComponent)	Add the component quote
boolean	addComponentQuote(CaseInsensitiveTreeMap<ProductQuote> mapComponentQuote)	Add the full map of component quotes
boolean	addFixing(JulianDate dtFix, LatentStateLabel lsl, double dblFixing)	Add the fixing for the given Latent State Label and the given date
boolean	addScenarioCreditCurve(java.lang.String strName, CreditCurveScenarioContainer scc)	Add the named scenario CC
boolean	addScenarioDiscountCurve(java.lang.String strName, DiscountCurveScenarioContainer sdc)	Add the named scenario DC
boolean	addScenarioMarketParams(java.lang.String strScenarioName, CurveSurfaceQuoteContainer csqs)	Add the named scenario Market Parameters
boolean	addTSYQuote(java.lang.String strBenchmark, ProductQuote pqTSY)	Add the named Treasury Quote
ProductQuote	componentQuote(java.lang.String strComponentID)	Retrieve the quote for the given component
CaseInsensitiveTreeMap<ProductQuote>	componentQuotes()	Retrieve the full map of component quotes
CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	creditFlatBump(BasketProduct bp, boolean bBump)	Get the Map of credit Flat Bumped Curves for the given Basket Product
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
CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	creditTenorMarketParams(Component comp, boolean bBumpUp)	Get the map of tenor credit bumped Market Parameters corresponding to the component
LatentStateFixingsContainer	fixings()	Retrieve the Latent State Fixings Container
CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	fundingFlatBump(BasketProduct bp, boolean bBump)	Get the Map of Funding Parallel Bumped Curves for the given Basket Product
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
CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	fundingTenorMarketParams(Component comp, boolean bBumpUp)	Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>	recoveryFlatBump(BasketProduct bp, boolean bBump)	Get the map of Recovery Flat Bumped Curves for the given Basket Product
boolean	removeComponentQuote(java.lang.String strComponentID)	Remove the component quote
boolean	removeFixing(JulianDate dtFix, LatentStateLabel lsl)	Remove the fixing corresponding to the given date and the Latent State Label
boolean	removeScenarioCreditCurve(java.lang.String strName)	Removes the named scenario CC
boolean	removeScenarioDiscountCurve(java.lang.String strName)	Remove the named scenario DC
boolean	removeTSYQuote(java.lang.String strBenchmark)	Remove the named Treasury Quote
CaseInsensitiveTreeMap<CreditCurveScenarioContainer>	scenarioCreditCurveMap()	Retrieve the Map of ScenarioCreditCurve Instances
CaseInsensitiveTreeMap<DiscountCurveScenarioContainer>	scenarioDiscountCurveMap()	Retrieve the Map of DiscountCurveScenarioContainer Instances
CurveSurfaceQuoteContainer	scenarioMarketParams(java.lang.String strScenarioName)	Retrieve the Named Scenario Market Parameters
CurveSurfaceQuoteContainer	scenarioMarketParams(BasketProduct bp, java.lang.String strScenario)	Get the Market Parameters for the given basket product and the scenario
CurveSurfaceQuoteContainer	scenarioMarketParams(Component comp, java.lang.String strScenario)	Get the Market Parameters corresponding to the component and the scenario
boolean	setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote> mapCQTSY)	Set the full set of named Treasury Quote Map
ProductQuote	tsyQuote(java.lang.String strBenchmark)	Get the named Treasury Quote Map corresponding to the desired benchmark
CaseInsensitiveTreeMap<ProductQuote>	tsyQuotes()	Get the full set of named Treasury Quote Map

Methods inherited from class java.lang.Object

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

Constructor Details

CurveSurfaceScenarioContainer

public CurveSurfaceScenarioContainer()

Construct an empty MarketParamsContainer instance

Method Details

addScenarioDiscountCurve

public boolean addScenarioDiscountCurve(java.lang.String strName,
DiscountCurveScenarioContainer sdc)

Description copied from class: ScenarioMarketParams

Add the named scenario DC

Specified by:

addScenarioDiscountCurve in class ScenarioMarketParams

Parameters:

strName - Name

sdc - Corresponding DiscountCurveScenarioContainer instance

Returns:

Added successfully (true)

removeScenarioDiscountCurve

public boolean removeScenarioDiscountCurve(java.lang.String strName)

Description copied from class: ScenarioMarketParams

Remove the named scenario DC

Specified by:

removeScenarioDiscountCurve in class ScenarioMarketParams

Parameters:

strName - Name

Returns:

Removed successfully (true)

addScenarioCreditCurve

public boolean addScenarioCreditCurve(java.lang.String strName,
CreditCurveScenarioContainer scc)

Description copied from class: ScenarioMarketParams

Add the named scenario CC

Specified by:

addScenarioCreditCurve in class ScenarioMarketParams

Parameters:

strName - Name

scc - ScenarioCreditCurve Instance

Returns:

Added successfully (true)

removeScenarioCreditCurve

public boolean removeScenarioCreditCurve(java.lang.String strName)

Description copied from class: ScenarioMarketParams

Removes the named scenario CC

Specified by:

removeScenarioCreditCurve in class ScenarioMarketParams

Parameters:

strName - Name

Returns:

Removed successfully (true)

addTSYQuote

public boolean addTSYQuote(java.lang.String strBenchmark,
ProductQuote pqTSY)

Description copied from class: ScenarioMarketParams

Add the named Treasury Quote

Specified by:

addTSYQuote in class ScenarioMarketParams

Parameters:

strBenchmark - Name

pqTSY - Treasury Quote

Returns:

Added successfully (true)

removeTSYQuote

public boolean removeTSYQuote(java.lang.String strBenchmark)

Description copied from class: ScenarioMarketParams

Remove the named Treasury Quote

Specified by:

removeTSYQuote in class ScenarioMarketParams

Parameters:

strBenchmark - Name

Returns:

Removed successfully (true)

setTSYQuotes

public boolean setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote> mapCQTSY)

Description copied from class: ScenarioMarketParams

Set the full set of named Treasury Quote Map

Specified by:

setTSYQuotes in class ScenarioMarketParams

Parameters:

mapCQTSY - Named Treasury Quote Map

Returns:

Set successfully (true)

tsyQuote

public ProductQuote tsyQuote(java.lang.String strBenchmark)

Description copied from class: ScenarioMarketParams

Get the named Treasury Quote Map corresponding to the desired benchmark

Specified by:

tsyQuote in class ScenarioMarketParams

Parameters:

strBenchmark - The treasury benchmark

Returns:

Treasury Quote

tsyQuotes

public CaseInsensitiveTreeMap<ProductQuote> tsyQuotes()

Description copied from class: ScenarioMarketParams

Get the full set of named Treasury Quote Map

Specified by:

tsyQuotes in class ScenarioMarketParams

Returns:

Named Treasury Quote Map

addFixing

public boolean addFixing(JulianDate dtFix,
LatentStateLabel lsl,
double dblFixing)

Description copied from class: ScenarioMarketParams

Add the fixing for the given Latent State Label and the given date

Specified by:

addFixing in class ScenarioMarketParams

Parameters:

dtFix - The fixing date

lsl - The Latent State Label

dblFixing - The fixing

Returns:

Added successfully (true)

removeFixing

public boolean removeFixing(JulianDate dtFix,
LatentStateLabel lsl)

Description copied from class: ScenarioMarketParams

Remove the fixing corresponding to the given date and the Latent State Label

Specified by:

removeFixing in class ScenarioMarketParams

Parameters:

dtFix - Fixing date

lsl - The Latent State label

Returns:

Successfully removed (true)

fixings

public LatentStateFixingsContainer fixings()

Description copied from class: ScenarioMarketParams

Retrieve the Latent State Fixings Container

Specified by:

fixings in class ScenarioMarketParams

Returns:

The Latent State Fixings Container

addComponentQuote

public boolean addComponentQuote(java.lang.String strComponentID,
ProductQuote cqComponent)

Description copied from class: ScenarioMarketParams

Add the component quote

Specified by:

addComponentQuote in class ScenarioMarketParams

Parameters:

strComponentID - Component ID

cqComponent - Component Quote

Returns:

Added successfully (true)

removeComponentQuote

public boolean removeComponentQuote(java.lang.String strComponentID)

Description copied from class: ScenarioMarketParams

Remove the component quote

Specified by:

removeComponentQuote in class ScenarioMarketParams

Parameters:

strComponentID - Component ID

Returns:

Removed successfully (true)

addComponentQuote

public boolean addComponentQuote(CaseInsensitiveTreeMap<ProductQuote> mapComponentQuote)

Description copied from class: ScenarioMarketParams

Add the full map of component quotes

Specified by:

addComponentQuote in class ScenarioMarketParams

Parameters:

mapComponentQuote - Map of Component Quotes

Returns:

Added successfully (true)

componentQuote

public ProductQuote componentQuote(java.lang.String strComponentID)

Description copied from class: ScenarioMarketParams

Retrieve the quote for the given component

Specified by:

componentQuote in class ScenarioMarketParams

Parameters:

strComponentID - Component ID

Returns:

ComponentQuote

componentQuotes

public CaseInsensitiveTreeMap<ProductQuote> componentQuotes()

Description copied from class: ScenarioMarketParams

Retrieve the full map of component quotes

Specified by:

componentQuotes in class ScenarioMarketParams

Returns:

The Map of Component Quotes

addScenarioMarketParams

public boolean addScenarioMarketParams(java.lang.String strScenarioName,
CurveSurfaceQuoteContainer csqs)

Description copied from class: ScenarioMarketParams

Add the named scenario Market Parameters

Specified by:

addScenarioMarketParams in class ScenarioMarketParams

Parameters:

strScenarioName - Scenario Name

csqs - Market Parameters

Returns:

True - Added successfully

scenarioMarketParams

public CurveSurfaceQuoteContainer scenarioMarketParams(java.lang.String strScenarioName)

Description copied from class: ScenarioMarketParams

Retrieve the Named Scenario Market Parameters

Specified by:

scenarioMarketParams in class ScenarioMarketParams

Parameters:

strScenarioName - Scenario Name

Returns:

Named Market Parameters

scenarioMarketParams

public CurveSurfaceQuoteContainer scenarioMarketParams(Component comp,
java.lang.String strScenario)

Description copied from class: ScenarioMarketParams

Get the Market Parameters corresponding to the component and the scenario

Specified by:

scenarioMarketParams in class ScenarioMarketParams

Parameters:

comp - Component

strScenario - Scenario

Returns:

The Market Parameters

fundingTenorMarketParams

public CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingTenorMarketParams(Component comp,
boolean bBumpUp)

Description copied from class: ScenarioMarketParams

Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component

Specified by:

fundingTenorMarketParams in class ScenarioMarketParams

Parameters:

comp - Component

bBumpUp - TRUE - Bump Up

Returns:

Map of the Funding Tenor Bumped Market Parameters

creditTenorMarketParams

public CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditTenorMarketParams(Component comp,
boolean bBumpUp)

Description copied from class: ScenarioMarketParams

Get the map of tenor credit bumped Market Parameters corresponding to the component

Specified by:

creditTenorMarketParams in class ScenarioMarketParams

Parameters:

comp - Component

bBumpUp - Bump up (True)

Returns:

Map of the tenor credit bumped Market Parameters

scenarioMarketParams

public CurveSurfaceQuoteContainer scenarioMarketParams(BasketProduct bp,
java.lang.String strScenario)

Description copied from class: ScenarioMarketParams

Get the Market Parameters for the given basket product and the scenario

Specified by:

scenarioMarketParams in class ScenarioMarketParams

Parameters:

bp - BasketProduct

strScenario - Named Scenario

Returns:

Market Parameters Instance

fundingFlatBump

public CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> fundingFlatBump(BasketProduct bp,
boolean bBump)

Description copied from class: ScenarioMarketParams

Get the Map of Funding Parallel Bumped Curves for the given Basket Product

Specified by:

fundingFlatBump in class ScenarioMarketParams

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Funding Parallel Bumped curves

creditFlatBump

public CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> creditFlatBump(BasketProduct bp,
boolean bBump)

Description copied from class: ScenarioMarketParams

Get the Map of credit Flat Bumped Curves for the given Basket Product

Specified by:

creditFlatBump in class ScenarioMarketParams

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Credit Flat Bumped Curves

recoveryFlatBump

public CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer> recoveryFlatBump(BasketProduct bp,
boolean bBump)

Description copied from class: ScenarioMarketParams

Get the map of Recovery Flat Bumped Curves for the given Basket Product

Specified by:

recoveryFlatBump in class ScenarioMarketParams

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Map of the Recovery Flat Bumped Curves

fundingTenorBump

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> fundingTenorBump(BasketProduct bp,
boolean bBump)

Description copied from class: ScenarioMarketParams

Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product

Specified by:

fundingTenorBump in class ScenarioMarketParams

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Double Map of the Funding Tenor Bumped Market Parameters

creditTenorBump

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CurveSurfaceQuoteContainer>> creditTenorBump(BasketProduct bp,
boolean bBump)

Description copied from class: ScenarioMarketParams

Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product

Specified by:

creditTenorBump in class ScenarioMarketParams

Parameters:

bp - BasketProduct

bBump - True (Bump Up), False (Bump Down)

Returns:

Double Map of the credit Tenor bumped Market Parameters

scenarioDiscountCurveMap

public CaseInsensitiveTreeMap<DiscountCurveScenarioContainer> scenarioDiscountCurveMap()

Description copied from class: ScenarioMarketParams

Retrieve the Map of DiscountCurveScenarioContainer Instances

Specified by:

scenarioDiscountCurveMap in class ScenarioMarketParams

Returns:

Map of DiscountCurveScenarioContainer Instances

scenarioCreditCurveMap

public CaseInsensitiveTreeMap<CreditCurveScenarioContainer> scenarioCreditCurveMap()

Description copied from class: ScenarioMarketParams

Retrieve the Map of ScenarioCreditCurve Instances

Specified by:

scenarioCreditCurveMap in class ScenarioMarketParams

Returns:

Map of ScenarioCreditCurve Instances