Package org.drip.product.fra

Class FRAStandardCapFloor

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.option.OptionComponent

org.drip.product.fra.FRAStandardCapFloor

All Implemented Interfaces:

ComponentMarketParamRef

public class FRAStandardCapFloor
extends OptionComponent

FRAStandardCapFloor implements the Caps and Floors on the Standard FRA.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Standard/Market FRAs - Caps/Floors

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FRAStandardCapFloor(java.lang.String strName, Stream stream, java.lang.String strManifestMeasure, boolean bIsCap, double dblStrike, LastTradingDateSetting ltds, CashSettleParams csp, FokkerPlanckGenerator fpg)	FRAStandardCapFloor constructor

Method Summary

Modifier and Type	Method	Description
double	atmPriceFromVolatility(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblFlatVolatility)	Compute the ATM Cap/Floor Price from the Flat Volatility
java.util.List<FRAStandardCapFloorlet>	capFloorlets()	Retrieve the List of the Underlying Caplets/Floorlets
double	flatVolatilityFromPrice(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblCalibPrice)	Imply the Flat Cap/Floor Volatility from the Calibration Price
boolean	isCap()	Indicate if this is a Cap or Floor
java.util.Set<java.lang.String>	measureNames()	Retrieve the ordered set of the measure names whose values will be calculated
double	priceFromFlatVolatility(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblFlatVolatility)	Compute the Cap/Floor Price from the Flat Volatility
double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp)	Compute the PV for the specified Market Parameters
Stream	stream()	Retrieve the Stream Instance Underlying the Cap
boolean	stripPiecewiseForwardVolatility(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblCapVolatility, java.util.Map<JulianDate,java.lang.Double> mapDateVol)	Strip the Piece-wise Constant Forward Rate Volatility of the Unmarked Segment of the Volatility Term Structure
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)	Generate a full list of the Product measures for the full input set of market parameters
double	volatilityFromATMPrice(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblCalibPrice)	Imply the Flat Cap/Floor Volatility from the Calibration ATM Price
PredictorResponseWeightConstraint	volatilityPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows.

Methods inherited from class org.drip.product.option.OptionComponent

calibMeasures, calibQuoteSet, cashSettleParams, couponCurrency, couponMetrics, couponPeriods, creditLabel, effectiveDate, exerciseDate, firstCouponDate, forwardLabel, forwardPRWC, freq, fundingForwardPRWC, fundingLabel, fundingPRWC, fxLabel, fxPRWC, govvieLabel, govviePRWC, initialNotional, jackDDirtyPVDManifestMeasure, lastTradingDateSetting, manifestMeasure, manifestMeasureDFMicroJack, maturityDate, name, notional, notional, notional, otcFixFloatLabel, payCurrency, primaryCode, principalCurrency, setPrimaryCode, strike, underlying, volatilityLabel

Methods inherited from class org.drip.product.definition.CalibratableComponent

calibPRWC, secondaryCode

Methods inherited from class org.drip.product.definition.Component

customScenarioMeasures, maturityPayDate, measures, measureValue, tenor

Methods inherited from class java.lang.Object

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

Constructor Details

FRAStandardCapFloor

public FRAStandardCapFloor(java.lang.String strName,
Stream stream,
java.lang.String strManifestMeasure,
boolean bIsCap,
double dblStrike,
LastTradingDateSetting ltds,
CashSettleParams csp,
FokkerPlanckGenerator fpg)
                    throws java.lang.Exception

FRAStandardCapFloor constructor

Parameters:

strName - Name of the Cap/Floor Instance

stream - The Underlying Stream

strManifestMeasure - Measure of the Underlying Component

bIsCap - Is the FRA Option a Cap? TRUE - YES

dblStrike - Strike of the Underlying Component's Measure

ltds - Last Trading Date Setting

csp - Cash Settle Parameters

fpg - The Fokker Planck Pricer Instance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)

Description copied from class: Component

Generate a full list of the Product measures for the full input set of market parameters

Specified by:

value in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value

measureNames

public java.util.Set<java.lang.String> measureNames()

Description copied from class: Component

Retrieve the ordered set of the measure names whose values will be calculated

Specified by:

measureNames in class Component

Returns:

Set of Measure Names

pv

public double pv(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp)
          throws java.lang.Exception

Description copied from class: Component

Compute the PV for the specified Market Parameters

Specified by:

pv in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqc - Market Parameters

vcp - Valuation Customization Parameters

Returns:

The PV

Throws:

java.lang.Exception - Thrown if the PV cannot be computed

stream

public Stream stream()

Retrieve the Stream Instance Underlying the Cap

Returns:

The Stream Instance Underlying the Cap

isCap

public boolean isCap()

Indicate if this is a Cap or Floor

Returns:

TRUE - The Product is a Cap

capFloorlets

public java.util.List<FRAStandardCapFloorlet> capFloorlets()

Retrieve the List of the Underlying Caplets/Floorlets

Returns:

The List of the Underlying Caplets/Floorlets

atmPriceFromVolatility

public double atmPriceFromVolatility(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblFlatVolatility)
                              throws java.lang.Exception

Compute the ATM Cap/Floor Price from the Flat Volatility

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblFlatVolatility - The Flat Volatility

Returns:

The Cap/Floor ATM Price

Throws:

java.lang.Exception - Thrown if the ATM Price cannot be calculated

volatilityFromATMPrice

public double volatilityFromATMPrice(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCalibPrice)
                              throws java.lang.Exception

Imply the Flat Cap/Floor Volatility from the Calibration ATM Price

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblCalibPrice - The Calibration Price

Returns:

The Cap/Floor Flat Volatility

Throws:

java.lang.Exception - Thrown if the Flat Volatility cannot be calculated

priceFromFlatVolatility

public double priceFromFlatVolatility(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblFlatVolatility)
                               throws java.lang.Exception

Compute the Cap/Floor Price from the Flat Volatility

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblFlatVolatility - The Flat Volatility

Returns:

The Cap/Floor Price

Throws:

java.lang.Exception - Thrown if the Price cannot be calculated

flatVolatilityFromPrice

public double flatVolatilityFromPrice(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCalibPrice)
                               throws java.lang.Exception

Imply the Flat Cap/Floor Volatility from the Calibration Price

Parameters:

valParams - The Valuation Parameters

pricerParams - The Pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblCalibPrice - The Calibration Price

Returns:

The Cap/Floor Flat Volatility

Throws:

java.lang.Exception - Thrown if the Price cannot be calculated

stripPiecewiseForwardVolatility

public boolean stripPiecewiseForwardVolatility(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCapVolatility,
java.util.Map<JulianDate,java.lang.Double> mapDateVol)

Strip the Piece-wise Constant Forward Rate Volatility of the Unmarked Segment of the Volatility Term Structure

Parameters:

valParams - The Valuation Parameters

pricerParams - The pricer Parameters

csqs - The Market Parameters

vcp - The Valuation Customization Parameters

dblCapVolatility - The Flat Cap Volatility

mapDateVol - The Date/Volatility Map

Returns:

TRUE - The Forward Rate Volatility of the Unmarked Segment of the Volatility Term Structure successfully implied

volatilityPRWC

public PredictorResponseWeightConstraint volatilityPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

volatilityPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)