Package org.drip.param.market

Class DiscountCurveScenarioContainer

java.lang.Object

org.drip.param.market.DiscountCurveScenarioContainer

public class DiscountCurveScenarioContainer
extends java.lang.Object

DiscountCurveScenarioContainer implements the RatesScenarioCurve abstract class that exposes the interface the constructs scenario discount curves. The following curve construction scenarios are supported:

• Base, flat/tenor up/down by arbitrary bumps
• Tenor bumped discount curve set - keyed using the tenor
• NTP-based custom scenario curves

• 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

Field Summary

Fields

Modifier and Type	Field	Description
static int	DC_BASE	Base Discount Curve
static int	DC_FLAT_DN	Discount Curve Parallel Bump Down
static int	DC_FLAT_UP	Discount Curve Parallel Bump Up
static int	DC_TENOR_DN	Discount Curve Tenor Bump Down
static int	DC_TENOR_UP	Discount Curve Tenor Bump Up

Constructor Summary

Constructors

Constructor	Description
DiscountCurveScenarioContainer(CalibratableComponent[] aCalibInst)	Constructs an DiscountCurveScenarioContainer instance from the corresponding DiscountCurveScenarioGenerator

Method Summary

Modifier and Type	Method	Description
MergedDiscountForwardCurve	base()	Return the base Discount Curve
MergedDiscountForwardCurve	bumpDown()	Return the Bump Down Discount Curve
MergedDiscountForwardCurve	bumpUp()	Return the Bump Up Discount Curve
boolean	cookScenarioDC(ValuationParams valParams, GovvieCurve gc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, int iDCMode)	Generate the set of discount curves from the scenario specified, and the instrument quotes
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	custom()	Return the Custom Discount curve map
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	tenorBumpDown()	Return the map of the tenor Bump Down Discount Curve
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	tenorBumpUp()	Return the map of the tenor Bump Up Discount Curve

Methods inherited from class java.lang.Object

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

Field Details

DC_BASE

public static final int DC_BASE

Base Discount Curve

See Also:

Constant Field Values

DC_FLAT_UP

public static final int DC_FLAT_UP

Discount Curve Parallel Bump Up

See Also:

Constant Field Values

DC_FLAT_DN

public static final int DC_FLAT_DN

Discount Curve Parallel Bump Down

See Also:

Constant Field Values

DC_TENOR_UP

public static final int DC_TENOR_UP

Discount Curve Tenor Bump Up

See Also:

Constant Field Values

DC_TENOR_DN

public static final int DC_TENOR_DN

Discount Curve Tenor Bump Down

See Also:

Constant Field Values

Constructor Details

DiscountCurveScenarioContainer

public DiscountCurveScenarioContainer(CalibratableComponent[] aCalibInst)
                               throws java.lang.Exception

Constructs an DiscountCurveScenarioContainer instance from the corresponding DiscountCurveScenarioGenerator

Parameters:

aCalibInst - Array of calibration instruments

Throws:

java.lang.Exception - Thrown if the IRCurveScenarioGenerator instance is invalid

Method Details

cookScenarioDC

public boolean cookScenarioDC(ValuationParams valParams,
GovvieCurve gc,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
double dblBump,
LatentStateFixingsContainer lsfc,
ValuationCustomizationParams vcp,
int iDCMode)

Generate the set of discount curves from the scenario specified, and the instrument quotes

Parameters:

valParams - Valuation Parameters

gc - The Govvie Curve

adblCalibQuote - Matched array of the calibration instrument quotes

astrCalibMeasure - Matched array of the calibration instrument measures

dblBump - Amount of bump to be applied

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

iDCMode - One of the values in the DC_ enum listed above.

Returns:

Success (true), failure (false)

base

public MergedDiscountForwardCurve base()

Return the base Discount Curve

Returns:

The base Discount Curve

bumpUp

public MergedDiscountForwardCurve bumpUp()

Return the Bump Up Discount Curve

Returns:

The Bump Up Discount Curve

bumpDown

public MergedDiscountForwardCurve bumpDown()

Return the Bump Down Discount Curve

Returns:

The Bump Down Discount Curve

tenorBumpUp

public CaseInsensitiveTreeMap<MergedDiscountForwardCurve> tenorBumpUp()

Return the map of the tenor Bump Up Discount Curve

Returns:

The map of the tenor Bump Up Discount Curve

tenorBumpDown

public CaseInsensitiveTreeMap<MergedDiscountForwardCurve> tenorBumpDown()

Return the map of the tenor Bump Down Discount Curve

Returns:

The map of the tenor Bump Down Discount Curve

custom

public CaseInsensitiveTreeMap<MergedDiscountForwardCurve> custom()

Return the Custom Discount curve map

Returns:

The Custom Discount curve Map