Package org.drip.product.fra

Class FRAStandardComponent

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.rates.SingleStreamComponent

org.drip.product.fra.FRAStandardComponent

All Implemented Interfaces:

ComponentMarketParamRef

Direct Known Subclasses:

FRAMarketComponent

public class FRAStandardComponent
extends SingleStreamComponent

FRAStandardComponent contains the implementation of the Standard Multi-Curve FRA Component.

• 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
FRAStandardComponent(java.lang.String strName, Stream stream, double dblStrike, CashSettleParams csp)	FRAStandardComponent constructor

Method Summary

Modifier and Type	Method	Description
ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS)	Generate the Product Specific Calibration Quote Set
PredictorResponseWeightConstraint	forwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
PredictorResponseWeightConstraint	fundingPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows.
WengertJacobian	jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)	Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
WengertJacobian	manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)	Compute the micro-Jacobian of the given measure to the DF
java.util.Set<java.lang.String>	measureNames()	Retrieve the ordered set of the measure names whose values will be calculated
double	strike()	Retrieve the FRA Strike
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

Methods inherited from class org.drip.product.rates.SingleStreamComponent

calibMeasures, cashSettleParams, couponCurrency, couponMetrics, couponPeriods, creditLabel, effectiveDate, firstCouponDate, forwardLabel, freq, fundingForwardPRWC, fundingLabel, fxLabel, fxPRWC, govvieLabel, govviePRWC, initialNotional, maturityDate, name, notional, notional, otcFixFloatLabel, payCurrency, primaryCode, principalCurrency, pv, setPrimaryCode, stream, volatilityLabel, volatilityPRWC

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

FRAStandardComponent

public FRAStandardComponent(java.lang.String strName,
Stream stream,
double dblStrike,
CashSettleParams csp)
                     throws java.lang.Exception

FRAStandardComponent constructor

Parameters:

strName - Futures Component Name

stream - Futures Stream

dblStrike - Futures Strike

csp - Cash Settle Parameters Instance

Throws:

java.lang.Exception - Thrown if 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

Overrides:

value in class SingleStreamComponent

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

Overrides:

measureNames in class SingleStreamComponent

Returns:

Set of Measure Names

jackDDirtyPVDManifestMeasure

public WengertJacobian jackDDirtyPVDManifestMeasure(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)

Description copied from class: CalibratableComponent

Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures

Overrides:

jackDDirtyPVDManifestMeasure in class SingleStreamComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

manifestMeasureDFMicroJack

public WengertJacobian manifestMeasureDFMicroJack(java.lang.String strManifestMeasure,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)

Description copied from class: CalibratableComponent

Compute the micro-Jacobian of the given measure to the DF

Overrides:

manifestMeasureDFMicroJack in class SingleStreamComponent

Parameters:

strManifestMeasure - Manifest Measure Name

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

calibQuoteSet

public ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)

Description copied from class: CalibratableComponent

Generate the Product Specific Calibration Quote Set

Overrides:

calibQuoteSet in class SingleStreamComponent

Parameters:

aLSS - Array of Latent State Specification

Returns:

The Product Specific Calibration Quote Set

fundingPRWC

public PredictorResponseWeightConstraint fundingPRWC(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 Funding Curve Discount Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Overrides:

fundingPRWC in class SingleStreamComponent

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)

forwardPRWC

public PredictorResponseWeightConstraint forwardPRWC(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 Forward Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Overrides:

forwardPRWC in class SingleStreamComponent

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)

strike

public double strike()

Retrieve the FRA Strike

Returns:

The FRA Strike