Package org.drip.product.fx

Class ComponentPair

java.lang.Object
org.drip.product.definition.BasketProduct
org.drip.product.fx.ComponentPair
All Implemented Interfaces:
BasketMarketParamRef
public class ComponentPair
extends BasketProduct
ComponentPair contains the implementation of the dual cross currency components. It is composed of two different Rates Components - one each for each currency.



Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • ComponentPair

      public ComponentPair​(java.lang.String strName, CalibratableComponent rcReference, CalibratableComponent rcDerived, FixingSetting fxFixingSetting) throws java.lang.Exception
      ComponentPair constructor
      Parameters:
      strName - The ComponentPair Instance Name
      rcReference - The Reference Component
      rcDerived - The Derived Component
      fxFixingSetting - FX Fixing Setting
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • referenceComponent

      public CalibratableComponent referenceComponent()
      Retrieve the Reference Component
      Returns:
      The Reference Component

    • derivedComponent

      public CalibratableComponent derivedComponent()
      Retrieve the Derived Component
      Returns:
      The Derived Component

    • fxFixingSetting

      public FixingSetting fxFixingSetting()
      Retrieve the FX Fixing Setting
      Returns:
      The FX Fixing Setting

    • fxCode

      public java.lang.String fxCode()
      Retrieve the FX Code
      Returns:
      The FX Code

    • derivedForwardSpec

      public LatentStateSegmentSpec derivedForwardSpec​(ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double dblBasis, boolean bBasisOnDerivedComponent, boolean bBasisOnDerivedStream)
      Generate the Derived Forward Latent State Segment Specification
      Parameters:
      valParams - Valuation Parameters
      mktParams - Market Parameters
      dblBasis - The Basis on either the Reference Component or the Derived Component
      bBasisOnDerivedComponent - TRUE - Apply the Basis on the Derived Component
      bBasisOnDerivedStream - TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)
      Returns:
      The Derived Forward Latent State Segment Specification

    • derivedFundingForwardSpec

      public LatentStateSegmentSpec derivedFundingForwardSpec​(ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double dblReferenceComponentBasis, boolean bBasisOnDerivedLeg, double dblSwapRate)
      Generate the Derived Funding/Forward Merged Latent State Segment Specification
      Parameters:
      valParams - Valuation Parameters
      mktParams - Market Parameters
      dblReferenceComponentBasis - The Reference Component Basis
      bBasisOnDerivedLeg - TRUE - Apply basis on the Derived Leg
      dblSwapRate - The Swap Rate
      Returns:
      The Derived Forward/Funding Latent State Segment Specification

    • name

      public java.lang.String name()
      Description copied from class: BasketProduct
      Return the basket name
      Specified by:
      name in interface BasketMarketParamRef
      Specified by:
      name in class BasketProduct
      Returns:
      Name of the basket product

    • fxLabel

      public FXLabel[] fxLabel()
      Description copied from interface: BasketMarketParamRef
      Get the Array of the FX Latent State Identifier Labels
      Specified by:
      fxLabel in interface BasketMarketParamRef
      Overrides:
      fxLabel in class BasketProduct
      Returns:
      The Array of the FX Latent State Identifier Labels

    • components

      public Component[] components()
      Description copied from class: BasketProduct
      Return the Components in the Basket
      Specified by:
      components in class BasketProduct
      Returns:
      Components in the Basket

    • measureAggregationType

      public int measureAggregationType​(java.lang.String strMeasureName)
      Description copied from class: BasketProduct
      Retrieve the Aggregation Type for the specified Measure
      Specified by:
      measureAggregationType in class BasketProduct
      Parameters:
      strMeasureName - The Specified Measure Name
      Returns:
      The Aggregation Type

    • value

      public CaseInsensitiveTreeMap<java.lang.Double> value​(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)
      Description copied from class: BasketProduct
      Generate a full list of the basket product measures for the full input set of market parameters
      Overrides:
      value in class BasketProduct
      Parameters:
      valParams - ValuationParams
      pricerParams - PricerParams
      csqs - Market Parameters
      vcp - Valuation Customization Parameters
      Returns:
      Map of measure name and value