Package org.drip.product.fra

Class FRAStandardCapFloorlet

java.lang.Object
org.drip.product.definition.Component
org.drip.product.definition.CalibratableComponent
org.drip.product.option.OptionComponent
org.drip.product.fra.FRAStandardCapFloorlet
All Implemented Interfaces:
ComponentMarketParamRef
public class FRAStandardCapFloorlet
extends OptionComponent
FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.



Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • FRAStandardCapFloorlet

      public FRAStandardCapFloorlet​(java.lang.String strName, FRAStandardComponent fra, java.lang.String strManifestMeasure, boolean bIsCaplet, double dblStrike, double dblNotional, LastTradingDateSetting ltds, FokkerPlanckGenerator fpg, CashSettleParams csp) throws java.lang.Exception
      FRAStandardCapFloorlet constructor
      Parameters:
      strName - Name
      fra - The Underlying FRA Standard Component
      strManifestMeasure - Measure of the Underlying Component
      bIsCaplet - Is the FRA Option a Caplet? TRUE - YES
      dblStrike - Strike of the Underlying Component's Measure
      dblNotional - Option Notional
      ltds - Last Trading Date Setting
      fpg - The Fokker Planck Pricer Instance
      csp - Cash Settle Parameters
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • fra

      public FRAStandardComponent fra()
      Retrieve the Underlying FRA Instance
      Returns:
      The FRA Instance

    • isCaplet

      public boolean isCaplet()
      Indicate whether this a Caplet/Floorlet
      Returns:
      TRUE - This is a Caplet

    • pricer

      public FokkerPlanckGenerator pricer()
      Retrieve the Underlying Pricer Instance
      Returns:
      The Pricer Instance

    • valueFromSurfaceVariance

      public CaseInsensitiveTreeMap<java.lang.Double> valueFromSurfaceVariance​(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblIntegratedSurfaceVariance)
      Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance
      Parameters:
      valParams - The Valuation Parameters
      pricerParams - The Pricer Parameters
      csqs - The Market Parameters
      vcp - The Valuation Customization Parameters
      dblIntegratedSurfaceVariance - The Integrated Surface Variance
      Returns:
      The Standard FRA Caplet/Floorlet Measures

    • price

      public double price​(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblVolatility) throws java.lang.Exception
      Compute the Caplet/Floorlet Price from the Inputs
      Parameters:
      valParams - The Valuation Parameters
      pricerParams - Pricer Parameters
      csqs - The Market Parameters
      vcp - The Valuation Customization Parameters
      dblVolatility - The FRA Volatility
      Returns:
      The Caplet/Floorlet Price
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • implyVolatility

      public double implyVolatility​(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, java.lang.String strCalibMeasure, double dblCalibValue) throws java.lang.Exception
      Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure
      Parameters:
      valParams - The Valuation Parameters
      pricerParams - Pricer Parameters
      csqs - The Market Parameters
      vcp - The Valuation Customization Parameters
      strCalibMeasure - The Calibration Measure
      dblCalibValue - The Calibration Value
      Returns:
      The Implied Caplet/Floorlet Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • 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

    • 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)