ComponentMeasures.java
package org.drip.analytics.output;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
* Copyright (C) 2011 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ComponentMeasures</i> is the place holder for analytical single component output measures, optionally
* across scenarios. It contains measure maps for the following scenarios:
*
* <br><br>
* <ul>
* <li>
* Unadjusted Base IR/credit curves
* </li>
* <li>
* Flat delta/gamma bump measure maps for IR/credit bump curves
* </li>
* <li>
* Tenor bump double maps for IR/credit curves
* </li>
* <li>
* Flat/recovery bumped measure maps for recovery bumped credit curves
* </li>
* <li>
* Measure Maps generated for Custom Scenarios
* </li>
* <li>
* Accessor Functions for the above fields
* </li>
* <li>
* Serialize into and de-serialize out of byte arrays
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/output/README.md">Period Product Targeted Valuation Measures</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ComponentMeasures {
private double _dblCalcTime = java.lang.Double.NaN;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapBaseMeasures = null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatIRDeltaMeasures =
null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatIRGammaMeasures =
null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatRRDeltaMeasures =
null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatRRGammaMeasures =
null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatCreditDeltaMeasures =
null;
private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapFlatCreditGammaMeasures =
null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorIRDeltaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorIRGammaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorCreditDeltaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorCreditGammaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorRRDeltaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmTenorRRGammaMeasures = null;
private
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
_mmCustomMeasures = null;
/**
* Empty constructor - all members initialized to NaN or null
*/
public ComponentMeasures()
{
}
/**
* Retrieve the Calculation Time
*
* @return The Calculation Time
*/
public double calcTime()
{
return _dblCalcTime;
}
/**
* Set the Calculation Time
*
* @param dblCalcTime The Calculation Time
*
* @return TRUE - The Calculation Time Successfully Set
*/
public boolean setCalcTime (
final double dblCalcTime)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblCalcTime)) return false;
_dblCalcTime = dblCalcTime;
return true;
}
/**
* Retrieve the Base Measure Map
*
* @return The Base Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> baseMeasures()
{
return _mapBaseMeasures;
}
/**
* Set the Base Measures Map
*
* @param mapBaseMeasures The Base Measures Map
*
* @return TRUE - The Base Measures Map Successfully Set
*/
public boolean setBaseMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
{
if (null == mapBaseMeasures || 0 == mapBaseMeasures.size()) return false;
_mapBaseMeasures = mapBaseMeasures;
return true;
}
/**
* Retrieve the Flat IR Delta Measure Map
*
* @return The Flat IR Delta Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatIRDeltaMeasures()
{
return _mapFlatIRDeltaMeasures;
}
/**
* Set the Flat IR Delta Measures Map
*
* @param mapFlatIRDeltaMeasures The Flat IR Delta Measures Map
*
* @return TRUE - The Flat IR Delta Measures Map Successfully Set
*/
public boolean setFlatIRDeltaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatIRDeltaMeasures)
{
if (null == mapFlatIRDeltaMeasures || 0 == mapFlatIRDeltaMeasures.size()) return false;
_mapFlatIRDeltaMeasures = mapFlatIRDeltaMeasures;
return true;
}
/**
* Retrieve the Flat IR Gamma Measure Map
*
* @return The Flat IR Gamma Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatIRGammaMeasures()
{
return _mapFlatIRGammaMeasures;
}
/**
* Set the Flat IR Gamma Measures Map
*
* @param mapFlatIRGammaMeasures The Flat IR Gamma Measures Map
*
* @return TRUE - The Flat IR Gamma Measures Map Successfully Set
*/
public boolean setFlatIRGammaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatIRGammaMeasures)
{
if (null == mapFlatIRGammaMeasures || 0 == mapFlatIRGammaMeasures.size()) return false;
_mapFlatIRGammaMeasures = mapFlatIRGammaMeasures;
return true;
}
/**
* Retrieve the Flat RR Delta Measure Map
*
* @return The Flat RR Delta Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatRRDeltaMeasures()
{
return _mapFlatRRDeltaMeasures;
}
/**
* Set the Flat RR Delta Measures Map
*
* @param mapFlatRRDeltaMeasures The Flat RR Delta Measures Map
*
* @return TRUE - The Flat RR Delta Measures Map Successfully Set
*/
public boolean setFlatRRDeltaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatRRDeltaMeasures)
{
if (null == mapFlatRRDeltaMeasures || 0 == mapFlatRRDeltaMeasures.size()) return false;
_mapFlatRRDeltaMeasures = mapFlatRRDeltaMeasures;
return true;
}
/**
* Retrieve the Flat RR Gamma Measure Map
*
* @return The Flat RR Gamma Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatRRGammaMeasures()
{
return _mapFlatRRGammaMeasures;
}
/**
* Set the Flat RR Gamma Measures Map
*
* @param mapFlatRRGammaMeasures The Flat RR Gamma Measures Map
*
* @return TRUE - The Flat RR Gamma Measures Map Successfully Set
*/
public boolean setFlatRRGammaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatRRGammaMeasures)
{
if (null == mapFlatRRGammaMeasures || 0 == mapFlatRRGammaMeasures.size()) return false;
_mapFlatRRGammaMeasures = mapFlatRRGammaMeasures;
return true;
}
/**
* Retrieve the Flat Credit Delta Measure Map
*
* @return The Flat Credit Delta Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatCreditDeltaMeasures()
{
return _mapFlatCreditDeltaMeasures;
}
/**
* Set the Flat Credit Delta Measures Map
*
* @param mapFlatCreditDeltaMeasures The Flat Credit Delta Measures Map
*
* @return TRUE - The Flat Credit Delta Measures Map Successfully Set
*/
public boolean setFlatCreditDeltaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatCreditDeltaMeasures)
{
if (null == mapFlatCreditDeltaMeasures || 0 == mapFlatCreditDeltaMeasures.size()) return false;
_mapFlatCreditDeltaMeasures = mapFlatCreditDeltaMeasures;
return true;
}
/**
* Retrieve the Flat Credit Gamma Measure Map
*
* @return The Flat Credit Gamma Measure Map
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> flatCreditGammaMeasures()
{
return _mapFlatCreditGammaMeasures;
}
/**
* Set the Flat Credit Gamma Measures Map
*
* @param mapFlatCreditGammaMeasures The Flat Credit Gamma Measures Map
*
* @return TRUE - The Flat Credit Gamma Measures Map Successfully Set
*/
public boolean setFlatCreditGammaMeasures (
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatCreditGammaMeasures)
{
if (null == mapFlatCreditGammaMeasures || 0 == mapFlatCreditGammaMeasures.size()) return false;
_mapFlatCreditGammaMeasures = mapFlatCreditGammaMeasures;
return true;
}
/**
* Retrieve the Tenor IR Delta Double Measure Map
*
* @return The Tenor IR Delta Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorIRDeltaMeasures()
{
return _mmTenorIRDeltaMeasures;
}
/**
* Set the Tenor IR Delta Double Measures Map
*
* @param mmTenorIRDeltaMeasures The Tenor IR Delta Double Measures Map
*
* @return TRUE - The Tenor IR Delta Double Measures Map Successfully Set
*/
public boolean setTenorIRDeltaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorIRDeltaMeasures)
{
if (null == mmTenorIRDeltaMeasures || 0 == mmTenorIRDeltaMeasures.size()) return false;
_mmTenorIRDeltaMeasures = mmTenorIRDeltaMeasures;
return true;
}
/**
* Retrieve the Tenor IR Gamma Double Measure Map
*
* @return The Tenor IR Gamma Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorIRGammaMeasures()
{
return _mmTenorIRGammaMeasures;
}
/**
* Set the Tenor IR Gamma Double Measures Map
*
* @param mmTenorIRGammaMeasures The Tenor IR Gamma Double Measures Map
*
* @return TRUE - The Tenor IR Gamma Double Measures Map Successfully Set
*/
public boolean setTenorIRGammaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorIRGammaMeasures)
{
if (null == mmTenorIRGammaMeasures || 0 == mmTenorIRGammaMeasures.size()) return false;
_mmTenorIRGammaMeasures = mmTenorIRGammaMeasures;
return true;
}
/**
* Retrieve the Tenor Credit Delta Double Measure Map
*
* @return The Tenor Credit Delta Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorCreditDeltaMeasures()
{
return _mmTenorCreditDeltaMeasures;
}
/**
* Set the Tenor Credit Delta Double Measures Map
*
* @param mmTenorCreditDeltaMeasures The Tenor Credit Delta Double Measures Map
*
* @return TRUE - The Tenor Credit Delta Double Measures Map Successfully Set
*/
public boolean setTenorCreditDeltaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorCreditDeltaMeasures)
{
if (null == mmTenorCreditDeltaMeasures || 0 == mmTenorCreditDeltaMeasures.size()) return false;
_mmTenorCreditDeltaMeasures = mmTenorCreditDeltaMeasures;
return true;
}
/**
* Retrieve the Tenor Credit Gamma Double Measure Map
*
* @return The Tenor Credit Gamma Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorCreditGammaMeasures()
{
return _mmTenorCreditGammaMeasures;
}
/**
* Set the Tenor Credit Gamma Double Measures Map
*
* @param mmTenorCreditGammaMeasures The Tenor Credit Gamma Double Measures Map
*
* @return TRUE - The Tenor Credit Gamma Double Measures Map Successfully Set
*/
public boolean setTenorCreditGammaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorCreditGammaMeasures)
{
if (null == mmTenorCreditGammaMeasures || 0 == mmTenorCreditGammaMeasures.size()) return false;
_mmTenorCreditGammaMeasures = mmTenorCreditGammaMeasures;
return true;
}
/**
* Retrieve the Tenor RR Delta Double Measure Map
*
* @return The Tenor RR Delta Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorRRDeltaMeasures()
{
return _mmTenorRRDeltaMeasures;
}
/**
* Set the Tenor RR Delta Double Measures Map
*
* @param mmTenorRRDeltaMeasures The Tenor RR Delta Double Measures Map
*
* @return TRUE - The Tenor RR Delta Double Measures Map Successfully Set
*/
public boolean setTenorRRDeltaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorRRDeltaMeasures)
{
if (null == mmTenorRRDeltaMeasures || 0 == mmTenorRRDeltaMeasures.size()) return false;
_mmTenorRRDeltaMeasures = mmTenorRRDeltaMeasures;
return true;
}
/**
* Retrieve the Tenor RR Gamma Double Measure Map
*
* @return The Tenor RR Gamma Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
tenorRRGammaMeasures()
{
return _mmTenorRRGammaMeasures;
}
/**
* Set the Tenor RR Gamma Double Measures Map
*
* @param mmTenorRRGammaMeasures The Tenor IR Gamma Double Measures Map
*
* @return TRUE - The Tenor RR Gamma Double Measures Map Successfully Set
*/
public boolean setTenorRRGammaMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmTenorRRGammaMeasures)
{
if (null == mmTenorRRGammaMeasures || 0 == mmTenorRRGammaMeasures.size()) return false;
_mmTenorRRGammaMeasures = mmTenorRRGammaMeasures;
return true;
}
/**
* Retrieve the Custom Double Measure Map
*
* @return The Custom Double Measure Map
*/
public
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
customMeasures()
{
return _mmCustomMeasures;
}
/**
* Set the Custom Double Measures Map
*
* @param mmCustomMeasures The Custom Double Measures Map
*
* @return TRUE - The Custom Double Measures Map Successfully Set
*/
public boolean setCustomMeasures (
final
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmCustomMeasures)
{
if (null == mmCustomMeasures || 0 == mmCustomMeasures.size()) return false;
_mmCustomMeasures = mmCustomMeasures;
return true;
}
}