Package org.drip.product.rates

Class RatesBasket

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.rates.RatesBasket

All Implemented Interfaces:

ComponentMarketParamRef

public class RatesBasket
extends CalibratableComponent

RatesBasket contains the implementation of the Basket of Rates Component legs. RatesBasket is made from zero/more fixed and floating streams. It exports the following functionality:

• Standard/Custom Constructor for the RatesBasket
• Dates: Effective, Maturity, Coupon dates and Product settlement Parameters
• Coupon/Notional Outstanding as well as schedules
• Retrieve the constituent fixed and floating streams
• Market Parameters: Discount, Forward, Credit, Treasury Curves
• Cash Flow Periods: Coupon flows and (Optionally) Loss Flows
• Valuation: Named Measure Generation
• Calibration: The codes and constraints generation
• Jacobians: Quote/DF and PV/DF micro-Jacobian generation
• Serialization into and de-serialization out of byte arrays

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Fixed Income Multi-Stream Components

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
RatesBasket(java.lang.String strName, Stream[] aCompFixedStream, Stream[] aCompFloatStream)	RatesBasket constructor

Method Summary

Modifier and Type	Method	Description
CaseInsensitiveTreeMap<java.lang.Double>	calibMeasures(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)	Generate a Map of the Calibration Measures
ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS)	Generate the Product Specific Calibration Quote Set
CashSettleParams	cashSettleParams()	Get the Product's cash settlement parameters
CaseInsensitiveTreeMap<java.lang.String>	couponCurrency()	Get the Map of Coupon Currencies
CompositePeriodCouponMetrics	couponMetrics(int iAccrualEndDate, ValuationParams valParams, CurveSurfaceQuoteContainer csqs)	Get the Product's coupon Metrics at the specified accrual date
java.util.List<CompositePeriod>	couponPeriods()	Get the Product's Cash Flow Periods
EntityCDSLabel	creditLabel()	Get the Credit Curve Latent State Identifier Label
JulianDate	effectiveDate()	Get the Effective Date
JulianDate	firstCouponDate()	Get the First Coupon Date
CaseInsensitiveTreeMap<ForwardLabel>	forwardLabel()	Get the Map of Forward Latent State Labels
PredictorResponseWeightConstraint	forwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
int	freq()	Retrieve the Coupon Frequency
PredictorResponseWeightConstraint	fundingForwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows.
FundingLabel	fundingLabel()	Get the Funding Curve Latent State Label
PredictorResponseWeightConstraint	fundingPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams, 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.
CaseInsensitiveTreeMap<FXLabel>	fxLabel()	Get the Map of FX Latent State Identifier Labels
PredictorResponseWeightConstraint	fxPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
Stream[]	getFixedStreamComponents()	Retrieve the array of the fixed stream components
Stream[]	getFloatStreamComponents()	Retrieve the array of the float stream components
GovvieLabel	govvieLabel()	Get the Govvie Curve Latent State Label
PredictorResponseWeightConstraint	govviePRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)	Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows.
double	initialNotional()	Get the Initial Notional for the Product
WengertJacobian	jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)	Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
WengertJacobian	manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)	Compute the micro-Jacobian of the given measure to the DF
JulianDate	maturityDate()	Get the Maturity Date
java.util.Set<java.lang.String>	measureNames()	Retrieve the ordered set of the measure names whose values will be calculated
java.lang.String	name()	Get the component name
double	notional(int iDate)	Get the Notional for the Product at the given date
double	notional(int iDate1, int iDate2)	Get the time-weighted Notional for the Product between 2 dates
CaseInsensitiveTreeMap<OTCFixFloatLabel>	otcFixFloatLabel()	Get the Map of OTC Fix Float Latent State Labels
java.lang.String	payCurrency()	Get the Pay Currency
java.lang.String	primaryCode()	Return the primary code
java.lang.String	principalCurrency()	Get the Principal Currency
double	pv(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp)	Compute the PV for the specified Market Parameters
void	setPrimaryCode(java.lang.String strCode)	Set the component's primary code
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)	Generate a full list of the Product measures for the full input set of market parameters
CaseInsensitiveTreeMap<VolatilityLabel>	volatilityLabel()	Get the Map of Volatility Latent State Identifier Labels
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.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

RatesBasket

public RatesBasket(java.lang.String strName,
Stream[] aCompFixedStream,
Stream[] aCompFloatStream)
            throws java.lang.Exception

RatesBasket constructor

Parameters:

strName - Basket Name

aCompFixedStream - Array of Fixed Stream Components

aCompFloatStream - Array of Float Stream Components

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Details

name

public java.lang.String name()

Description copied from interface: ComponentMarketParamRef

Get the component name

Returns:

The component name

primaryCode

public java.lang.String primaryCode()

Description copied from class: CalibratableComponent

Return the primary code

Specified by:

primaryCode in class CalibratableComponent

Returns:

Primary Code

getFixedStreamComponents

public Stream[] getFixedStreamComponents()

Retrieve the array of the fixed stream components

Returns:

The array of the fixed stream components

getFloatStreamComponents

public Stream[] getFloatStreamComponents()

Retrieve the array of the float stream components

Returns:

The array of the float stream components

couponCurrency

public CaseInsensitiveTreeMap<java.lang.String> couponCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Map of Coupon Currencies

Returns:

The Map of Coupon Currencies

payCurrency

public java.lang.String payCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Pay Currency

Returns:

The Pay Currency

principalCurrency

public java.lang.String principalCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Principal Currency

Returns:

The Principal Currency

creditLabel

public EntityCDSLabel creditLabel()

Description copied from interface: ComponentMarketParamRef

Get the Credit Curve Latent State Identifier Label

Returns:

The Credit Curve Latent State Identifier Label

forwardLabel

public CaseInsensitiveTreeMap<ForwardLabel> forwardLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Forward Latent State Labels

Returns:

The Map of the Forward Latent State Labels

otcFixFloatLabel

public CaseInsensitiveTreeMap<OTCFixFloatLabel> otcFixFloatLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of OTC Fix Float Latent State Labels

Returns:

The Map of the OTC Fix Float Latent State Labels

fundingLabel

public FundingLabel fundingLabel()

Description copied from interface: ComponentMarketParamRef

Get the Funding Curve Latent State Label

Returns:

Funding Curve Latent State Label

govvieLabel

public GovvieLabel govvieLabel()

Description copied from interface: ComponentMarketParamRef

Get the Govvie Curve Latent State Label

Returns:

Govvie Curve Latent State Label

fxLabel

public CaseInsensitiveTreeMap<FXLabel> fxLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of FX Latent State Identifier Labels

Returns:

The Map of FX Latent State Identifier Labels

volatilityLabel

public CaseInsensitiveTreeMap<VolatilityLabel> volatilityLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Volatility Latent State Identifier Labels

Returns:

The Map of Volatility Latent State Identifier Labels

setPrimaryCode

public void setPrimaryCode(java.lang.String strCode)

Description copied from class: CalibratableComponent

Set the component's primary code

Specified by:

setPrimaryCode in class CalibratableComponent

Parameters:

strCode - Primary Code

jackDDirtyPVDManifestMeasure

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

Description copied from class: CalibratableComponent

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

Specified by:

jackDDirtyPVDManifestMeasure in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

quotingParams - Valuation Customization Parameters

Returns:

The micro-Jacobian

manifestMeasureDFMicroJack

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

Description copied from class: CalibratableComponent

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

Specified by:

manifestMeasureDFMicroJack in class CalibratableComponent

Parameters:

strMainfestMeasure - Manifest Measure Name

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

quotingParams - 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

Specified by:

calibQuoteSet in class CalibratableComponent

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 quotingParams,
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.

Specified by:

fundingPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

quotingParams - 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 quotingParams,
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.

Specified by:

forwardPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

quotingParams - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

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

fundingForwardPRWC

public PredictorResponseWeightConstraint fundingForwardPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParams,
ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

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

Specified by:

fundingForwardPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

quotingParams - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

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

fxPRWC

public PredictorResponseWeightConstraint fxPRWC(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 FX Curve FX Forward 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:

fxPRWC 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 FX Forward)

govviePRWC

public PredictorResponseWeightConstraint govviePRWC(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 Govvie Curve FX Forward 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:

govviePRWC 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 Govvie Forward)

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)

initialNotional

public double initialNotional()
                       throws java.lang.Exception

Description copied from class: Component

Get the Initial Notional for the Product

Specified by:

initialNotional in class Component

Returns:

Initial Notional

Throws:

java.lang.Exception - Thrown if Initial Notional cannot be computed

notional

public double notional(int iDate)
                throws java.lang.Exception

Description copied from class: Component

Get the Notional for the Product at the given date

Specified by:

notional in class Component

Parameters:

iDate - Date

Returns:

Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

notional

public double notional(int iDate1,
int iDate2)
                throws java.lang.Exception

Description copied from class: Component

Get the time-weighted Notional for the Product between 2 dates

Specified by:

notional in class Component

Parameters:

iDate1 - Date #1

iDate2 - Date #2

Returns:

The Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

couponMetrics

public CompositePeriodCouponMetrics couponMetrics(int iAccrualEndDate,
ValuationParams valParams,
CurveSurfaceQuoteContainer csqs)

Description copied from class: Component

Get the Product's coupon Metrics at the specified accrual date

Specified by:

couponMetrics in class Component

Parameters:

iAccrualEndDate - Accrual End Date

valParams - The Valuation Parameters

csqs - Component Market Parameters

Returns:

The Product's coupon Nominal/Adjusted Coupon Measures

freq

public int freq()

Description copied from class: Component

Retrieve the Coupon Frequency

Specified by:

freq in class Component

Returns:

The Coupon Frequency

effectiveDate

public JulianDate effectiveDate()

Description copied from class: Component

Get the Effective Date

Specified by:

effectiveDate in class Component

Returns:

Effective Date

maturityDate

public JulianDate maturityDate()

Description copied from class: Component

Get the Maturity Date

Specified by:

maturityDate in class Component

Returns:

Maturity Date

firstCouponDate

public JulianDate firstCouponDate()

Description copied from class: Component

Get the First Coupon Date

Specified by:

firstCouponDate in class Component

Returns:

First Coupon Date

couponPeriods

public java.util.List<CompositePeriod> couponPeriods()

Description copied from class: Component

Get the Product's Cash Flow Periods

Specified by:

couponPeriods in class Component

Returns:

List of the Product's Cash Flow Periods

cashSettleParams

public CashSettleParams cashSettleParams()

Description copied from class: Component

Get the Product's cash settlement parameters

Specified by:

cashSettleParams in class Component

Returns:

Cash settlement Parameters

value

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

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

quotingParams - 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

calibMeasures

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

Description copied from class: CalibratableComponent

Generate a Map of the Calibration Measures

Specified by:

calibMeasures in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

quotingParams - Valuation Customization Parameters

Returns:

Map of the Calibration Measures