CurveSurfaceScenarioContainer.java

  1. package org.drip.param.market;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>CurveSurfaceScenarioContainer</i> extends MarketParams abstract class, and is the place holder for the
  87.  * comprehensive suite of the market set of curves for the given date. It exports the following
  88.  * functionality:
  89.  * 
  90.  * <br><br>
  91.  *  <ul>
  92.  *      <li>
  93.  *          Add/remove/retrieve scenario discount curve
  94.  *      </li>
  95.  *      <li>
  96.  *          Add/remove/retrieve scenario Forward curve
  97.  *      </li>
  98.  *      <li>
  99.  *          Add/remove/retrieve scenario zero curve
  100.  *      </li>
  101.  *      <li>
  102.  *          Add/remove/retrieve scenario credit curve
  103.  *      </li>
  104.  *      <li>
  105.  *          Add/remove/retrieve scenario recovery curve
  106.  *      </li>
  107.  *      <li>
  108.  *          Add/remove/retrieve scenario FXForward curve
  109.  *      </li>
  110.  *      <li>
  111.  *          Add/remove/retrieve scenario FXBasis curve
  112.  *      </li>
  113.  *      <li>
  114.  *          Add/remove/retrieve scenario fixings
  115.  *      </li>
  116.  *      <li>
  117.  *          Add/remove/retrieve Treasury/component quotes
  118.  *      </li>
  119.  *      <li>
  120.  *          Retrieve scenario Market Parameters
  121.  *      </li>
  122.  *      <li>
  123.  *          Retrieve map of flat rates/credit/recovery Market Parameters
  124.  *      </li>
  125.  *      <li>
  126.  *          Retrieve double map of tenor rates/credit/recovery Market Parameters
  127.  *      </li>
  128.  *      <li>
  129.  *          Retrieve rates/credit scenario generator
  130.  *      </li>
  131.  *  </ul>
  132.  *
  133.  *  <br><br>
  134.  *  <ul>
  135.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  136.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  137.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/README.md">Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters</a></li>
  138.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/param/market/README.md">Curves Surfaces Quotes Fixings Container</a></li>
  139.  *  </ul>
  140.  *
  141.  * @author Lakshmi Krishnamurthy
  142.  */

  144. public class CurveSurfaceScenarioContainer extends org.drip.param.definition.ScenarioMarketParams {
  145.     private static final int BASE = 0;
  146.     private static final int BUMP_UP = 1;
  147.     private static final int BUMP_DN = 2;
  148.     private static final int RR_BUMP_UP = 4;
  149.     private static final int RR_BUMP_DN = 8;

  151.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  152.         _mapTSYQuote = null;

  154.     private org.drip.param.market.LatentStateFixingsContainer _lsfc = new
  155.         org.drip.param.market.LatentStateFixingsContainer();

  157.     private
  158.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.DiscountCurveScenarioContainer>
  159.         _mapScenarioDiscountCurve = new
  160.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.DiscountCurveScenarioContainer>();

  162.     private
  163.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CreditCurveScenarioContainer>
  164.         _mapScenarioCreditCurve = new
  165.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CreditCurveScenarioContainer>();

  167.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  168.         _mapQuote = new
  169.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>();

  171.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  172.         _mapScenarioMarketParams = new
  173.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  175.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> dcSet (
  176.         final int iBumpType)
  177.     {
  178.         if (null == _mapScenarioDiscountCurve.entrySet()) return null;

  180.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> mapDC =
  181.             new org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  183.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.DiscountCurveScenarioContainer>
  184.             meSDC : _mapScenarioDiscountCurve.entrySet()) {
  185.             java.lang.String strKey = meSDC.getKey();

  187.             org.drip.param.market.DiscountCurveScenarioContainer sdc = meSDC.getValue();

  189.             if (null == strKey || strKey.isEmpty() || null == sdc) continue;

  191.             if (BASE == iBumpType)
  192.                 mapDC.put (strKey, sdc.base());
  193.             else if (BUMP_UP == iBumpType)
  194.                 mapDC.put (strKey, sdc.bumpUp());
  195.             else if (BUMP_DN == iBumpType)
  196.                 mapDC.put (strKey, sdc.bumpDown());
  197.             }

  199.         return mapDC;
  200.     }

  202.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  203.         ccSet (
  204.             final int iBumpType)
  205.     {
  206.         if (null == _mapScenarioCreditCurve.entrySet()) return null;

  208.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> mapCC =
  209.             new org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>();

  211.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CreditCurveScenarioContainer> meSCC
  212.             : _mapScenarioCreditCurve.entrySet()) {
  213.             java.lang.String strKey = meSCC.getKey();

  215.             org.drip.param.market.CreditCurveScenarioContainer scc = meSCC.getValue();

  217.             if (null == strKey || strKey.isEmpty() || null == scc) continue;

  219.             if (BASE == iBumpType)
  220.                 mapCC.put (strKey, scc.base());
  221.             else if (BUMP_UP == iBumpType)
  222.                 mapCC.put (strKey, scc.bumpUp());
  223.             else if (BUMP_DN == iBumpType)
  224.                 mapCC.put (strKey, scc.bumpDown());
  225.             }

  227.         return mapCC;
  228.     }

  230.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  231.         specificIRFlatBumpDCSet (
  232.             final java.lang.String strIRCurve,
  233.             final boolean bBumpUp)
  234.     {
  235.         if (null == strIRCurve || strIRCurve.isEmpty() || null == _mapScenarioDiscountCurve.get (strIRCurve))
  236.             return null;

  238.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> mapDC =
  239.             dcSet (BASE);

  241.         if (null == mapDC) return null;

  243.         org.drip.param.market.DiscountCurveScenarioContainer dcsc = _mapScenarioDiscountCurve.get (strIRCurve);

  245.         if (null == dcsc) return null;

  247.         mapDC.put (strIRCurve, bBumpUp ? dcsc.bumpUp() : dcsc.bumpDown());

  249.         return mapDC;
  250.     }

  252.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  253.         specificCreditFlatBumpCCSet (
  254.             final java.lang.String strCreditCurve,
  255.             final boolean bBumpUp)
  256.     {
  257.         if (null == strCreditCurve || strCreditCurve.isEmpty() || null == _mapScenarioCreditCurve.get
  258.             (strCreditCurve))
  259.             return null;

  261.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> mapCC =
  262.             ccSet (BASE);

  264.         if (null == mapCC) return null;

  266.         org.drip.param.market.CreditCurveScenarioContainer scc = _mapScenarioCreditCurve.get
  267.             (strCreditCurve);

  269.         if (null == scc) return null;

  271.         mapCC.put (strCreditCurve, bBumpUp ? scc.bumpUp() : scc.bumpDown());

  273.         return mapCC;
  274.     }

  276.     private org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  277.         specificCreditFlatBumpRRSet (
  278.             final java.lang.String strCreditCurve,
  279.             final boolean bBumpUp)
  280.     {
  281.         if (null == strCreditCurve || strCreditCurve.isEmpty() || null == _mapScenarioCreditCurve.get
  282.             (strCreditCurve))
  283.             return null;

  285.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> mapCC =
  286.             ccSet (BASE);

  288.         org.drip.param.market.CreditCurveScenarioContainer scc = _mapScenarioCreditCurve.get
  289.             (strCreditCurve);

  291.         if (null == scc) return null;

  293.         mapCC.put (strCreditCurve, bBumpUp ? scc.bumpRecoveryUp() : scc.bumpRecoveryDown());

  295.         return mapCC;
  296.     }

  298.     private org.drip.param.market.CurveSurfaceQuoteContainer customMarketParams (
  299.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  300.             mapDC,
  301.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.forward.ForwardCurve> mapFC,
  302.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  303.             mapCC)
  304.     {
  305.         org.drip.param.market.CurveSurfaceQuoteContainer csqs = new org.drip.param.market.CurveSurfaceQuoteContainer();

  307.         if (null != mapDC && 0 != mapDC.size()) {
  308.             for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  309.                 meDC : mapDC.entrySet()) {
  310.                 if (null == meDC) continue;

  312.                 org.drip.state.discount.MergedDiscountForwardCurve dcFunding = meDC.getValue();

  314.                 if (null != dcFunding && !csqs.setFundingState (dcFunding)) return null;
  315.             }
  316.         }

  318.         if (null != mapFC && 0 != mapFC.size()) {
  319.             for (java.util.Map.Entry<java.lang.String, org.drip.state.forward.ForwardCurve>
  320.                 meFC : mapFC.entrySet()) {
  321.                 if (null == meFC) continue;

  323.                 org.drip.state.forward.ForwardCurve fc = meFC.getValue();

  325.                 if (null != fc && !csqs.setForwardState (fc)) return null;
  326.             }
  327.         }

  329.         if (null != mapCC && 0 != mapCC.size()) {
  330.             for (java.util.Map.Entry<java.lang.String, org.drip.state.credit.CreditCurve>
  331.                 meCC : mapCC.entrySet()) {
  332.                 if (null == meCC) continue;

  334.                 org.drip.state.credit.CreditCurve cc = meCC.getValue();

  336.                 if (null != cc && !csqs.setCreditState (cc)) return null;
  337.             }
  338.         }

  340.         return csqs.setFixings (_lsfc) ? csqs : null;
  341.     }

  343.     /**
  344.      * Construct an empty MarketParamsContainer instance
  345.      */

  347.     public CurveSurfaceScenarioContainer()
  348.     {
  349.     }

  351.     @Override public boolean addScenarioDiscountCurve (
  352.         final java.lang.String strName,
  353.         final org.drip.param.market.DiscountCurveScenarioContainer sdc)
  354.     {
  355.         if (null != strName && !strName.isEmpty() && null != sdc) {
  356.             _mapScenarioDiscountCurve.put (strName, sdc);

  358.             return true;
  359.         }

  361.         return false;
  362.     }

  364.     @Override public boolean removeScenarioDiscountCurve (
  365.         final java.lang.String strName)
  366.     {
  367.         if (null != strName && !strName.isEmpty()) {
  368.             _mapScenarioDiscountCurve.remove (strName);

  370.             return true;
  371.         }

  373.         return false;
  374.     }

  376.     @Override public boolean addScenarioCreditCurve (
  377.         final java.lang.String strName,
  378.         final org.drip.param.market.CreditCurveScenarioContainer scc)
  379.     {
  380.         if (null != strName && !strName.isEmpty() && null != scc) {
  381.             _mapScenarioCreditCurve.put (strName, scc);

  383.             return true;
  384.         }

  386.         return false;
  387.     }

  389.     @Override public boolean removeScenarioCreditCurve (
  390.         final java.lang.String strName)
  391.     {
  392.         if (null != strName && !strName.isEmpty()) {
  393.             _mapScenarioCreditCurve.remove (strName);

  395.             return true;
  396.         }

  398.         return false;
  399.     }

  401.     @Override public boolean addTSYQuote (
  402.         final java.lang.String strBenchmark,
  403.         final org.drip.param.definition.ProductQuote pqTSY)
  404.     {
  405.         if (null == strBenchmark || strBenchmark.isEmpty() || null == pqTSY) return false;

  407.         if (null == _mapTSYQuote)
  408.             _mapTSYQuote = new
  409.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>();

  411.         _mapTSYQuote.put (strBenchmark, pqTSY);

  413.         return true;
  414.     }

  416.     @Override public boolean removeTSYQuote (
  417.         final java.lang.String strBenchmark)
  418.     {
  419.         if (null == strBenchmark || strBenchmark.isEmpty()) return false;

  421.         if (null == _mapTSYQuote) return true;

  423.         _mapTSYQuote.remove (strBenchmark);

  425.         return true;
  426.     }

  428.     @Override public boolean setTSYQuotes (
  429.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote> mapCQTSY)
  430.     {
  431.         _mapTSYQuote = mapCQTSY;
  432.         return true;
  433.     }

  435.     @Override public org.drip.param.definition.ProductQuote tsyQuote (
  436.         final java.lang.String strBenchmark)
  437.     {
  438.         if (null == _mapTSYQuote || null == strBenchmark || strBenchmark.isEmpty()) return null;

  440.         return _mapTSYQuote.get (strBenchmark);
  441.     }

  443.     @Override public
  444.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  445.             tsyQuotes()
  446.     {
  447.         return _mapTSYQuote;
  448.     }

  450.     @Override public boolean addFixing (
  451.         final org.drip.analytics.date.JulianDate dtFix,
  452.         final org.drip.state.identifier.LatentStateLabel lsl,
  453.         final double dblFixing)
  454.     {
  455.         return _lsfc.add (dtFix, lsl, dblFixing);
  456.     }

  458.     @Override public boolean removeFixing (
  459.         final org.drip.analytics.date.JulianDate dtFix,
  460.         final org.drip.state.identifier.LatentStateLabel lsl)
  461.     {
  462.         return _lsfc.remove (dtFix, lsl);
  463.     }

  465.     @Override public org.drip.param.market.LatentStateFixingsContainer fixings()
  466.     {
  467.         return _lsfc;
  468.     }

  470.     @Override public boolean addComponentQuote (
  471.         final java.lang.String strComponentID,
  472.         final org.drip.param.definition.ProductQuote cqComponent)
  473.     {
  474.         if (null == strComponentID || strComponentID.isEmpty() || null == cqComponent) return false;

  476.         if (null == _mapQuote)
  477.             _mapQuote = new
  478.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>();

  480.         _mapQuote.put (strComponentID, cqComponent);

  482.         return true;
  483.     }

  485.     @Override public boolean removeComponentQuote (
  486.         final java.lang.String strComponentID)
  487.     {
  488.         if (null == strComponentID || strComponentID.isEmpty()) return false;

  490.         if (null == _mapQuote) return true;

  492.         _mapQuote.remove (strComponentID);

  494.         return true;
  495.     }

  497.     @Override public boolean addComponentQuote (
  498.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  499.             mapComponentQuote)
  500.     {
  501.         _mapQuote = mapComponentQuote;
  502.         return true;
  503.     }

  505.     @Override public org.drip.param.definition.ProductQuote componentQuote (
  506.         final java.lang.String strComponentID)
  507.     {
  508.         if (null == _mapQuote || null == strComponentID || strComponentID.isEmpty()) return null;

  510.         return _mapQuote.get (strComponentID);
  511.     }

  513.     @Override public
  514.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.ProductQuote>
  515.             componentQuotes()
  516.     {
  517.         return _mapQuote;
  518.     }

  520.     @Override public boolean addScenarioMarketParams (
  521.         final java.lang.String strScenarioName,
  522.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  523.     {
  524.         if (null == strScenarioName || strScenarioName.isEmpty() || null == csqs) return false;

  526.         _mapScenarioMarketParams.put (strScenarioName, csqs);

  528.         return true;
  529.     }

  531.     @Override public org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  532.         final java.lang.String strScenarioName)
  533.     {
  534.         return null == strScenarioName || strScenarioName.isEmpty() ? null : _mapScenarioMarketParams.get
  535.             (strScenarioName);
  536.     }

  538.     @Override public org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  539.         final org.drip.product.definition.Component comp,
  540.         final java.lang.String strScenario)
  541.     {
  542.         if (null == comp || null == strScenario || strScenario.isEmpty()) return null;

  544.         org.drip.state.forward.ForwardCurve fc = null;
  545.         org.drip.state.discount.MergedDiscountForwardCurve dc = null;
  546.         org.drip.state.credit.CreditCurve cc = null;

  548.         java.lang.String strPayCurrency = comp.payCurrency();

  550.         org.drip.param.market.DiscountCurveScenarioContainer sdc = _mapScenarioDiscountCurve.get
  551.             (strPayCurrency);

  553.         if (null != sdc) {
  554.             dc = sdc.base();

  556.             if ("FlatIRBumpUp".equalsIgnoreCase (strScenario))
  557.                 dc = sdc.bumpUp();
  558.             else if ("FlatIRBumpDn".equalsIgnoreCase (strScenario))
  559.                 dc = sdc.bumpDown();
  560.         }

  562.         org.drip.state.identifier.EntityCDSLabel creditLabel = comp.creditLabel();

  564.         org.drip.param.market.CreditCurveScenarioContainer scc = null == creditLabel ? null :
  565.             _mapScenarioCreditCurve.get (creditLabel.fullyQualifiedName());

  567.         if (null != scc) {
  568.             if ("FlatCreditBumpUp".equalsIgnoreCase (strScenario))
  569.                 cc = scc.bumpUp();
  570.             else if ("FlatCreditBumpDn".equalsIgnoreCase (strScenario))
  571.                 cc = scc.bumpDown();
  572.             else
  573.                 cc = scc.base();
  574.         }

  576.         return org.drip.param.creator.MarketParamsBuilder.Create (dc, fc, null, cc, comp.name(),
  577.             _mapQuote.get (comp.name()), _mapTSYQuote, _lsfc);
  578.     }

  580.     @Override public
  581.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  582.             fundingTenorMarketParams (
  583.                 final org.drip.product.definition.Component comp,
  584.                 final boolean bBumpUp)
  585.     {
  586.         if (null == comp) return null;

  588.         java.lang.String strPayCurrency = comp.payCurrency();

  590.         org.drip.param.market.DiscountCurveScenarioContainer sdc = _mapScenarioDiscountCurve.get
  591.             (strPayCurrency);

  593.         if (null == sdc) return null;

  595.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve> mapDCBumpUp
  596.             = sdc.tenorBumpUp();

  598.         if (bBumpUp && (null == mapDCBumpUp || 0 == mapDCBumpUp.size())) return null;

  600.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  601.             mapDCBumpDown = sdc.tenorBumpDown();

  603.         if (!bBumpUp && (null == mapDCBumpDown || 0 == mapDCBumpDown.size())) return null;

  605.         org.drip.state.identifier.EntityCDSLabel creditLabel = comp.creditLabel();

  607.         org.drip.param.market.CreditCurveScenarioContainer scc = null == creditLabel ? null :
  608.             _mapScenarioCreditCurve.get (creditLabel.fullyQualifiedName());

  610.         org.drip.state.credit.CreditCurve cc = null == scc ? null : scc.base();

  612.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer> mapCSQS
  613.             = new
  614.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  616.         java.lang.String strComponentName = comp.name();

  618.         if (bBumpUp) {
  619.             for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve> meDC :
  620.                 mapDCBumpUp.entrySet()) {
  621.                 if (null == meDC) continue;

  623.                 java.lang.String strKey = meDC.getKey();

  625.                 org.drip.state.discount.MergedDiscountForwardCurve dc = meDC.getValue();

  627.                 if (null == dc || null == strKey || strKey.isEmpty()) continue;

  629.                 mapCSQS.put (strKey, org.drip.param.creator.MarketParamsBuilder.Create (dc, null, null, cc,
  630.                     strComponentName, _mapQuote.get (strComponentName), _mapTSYQuote, _lsfc));
  631.             }
  632.         } else {
  633.             for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve> meDC :
  634.                 mapDCBumpDown.entrySet()) {
  635.                 if (null == meDC) continue;

  637.                 java.lang.String strKey = meDC.getKey();

  639.                 org.drip.state.discount.MergedDiscountForwardCurve dc = meDC.getValue();

  641.                 if (null == dc || null == strKey || strKey.isEmpty()) continue;

  643.                 mapCSQS.put (strKey, org.drip.param.creator.MarketParamsBuilder.Create (dc, null, null, cc,
  644.                     strComponentName, _mapQuote.get (strComponentName), _mapTSYQuote, _lsfc));
  645.             }
  646.         }

  648.         return mapCSQS;
  649.     }

  651.     @Override public
  652.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  653.             creditTenorMarketParams (
  654.                 final org.drip.product.definition.Component comp,
  655.                 final boolean bBumpUp)
  656.     {
  657.         if (null == comp) return null;

  659.         org.drip.state.identifier.EntityCDSLabel creditLabel = comp.creditLabel();

  661.         if (null == creditLabel) return null;

  663.         org.drip.param.market.CreditCurveScenarioContainer scc = _mapScenarioCreditCurve.get
  664.             (creditLabel.fullyQualifiedName());

  666.         if (null == scc) return null;

  668.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  669.             mapCCBumpUp = scc.tenorBumpUp();

  671.         if (bBumpUp && (null == mapCCBumpUp || 0 == mapCCBumpUp.size())) return null;

  673.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  674.             mapCCBumpDown = scc.tenorBumpDown();

  676.         if (!bBumpUp && (null == mapCCBumpDown || 0 == mapCCBumpDown.size())) return null;

  678.         java.lang.String strPayCurrency = comp.payCurrency();

  680.         org.drip.param.market.DiscountCurveScenarioContainer sdc = _mapScenarioDiscountCurve.get
  681.             (strPayCurrency);

  683.         if (null == sdc) return null;

  685.         org.drip.state.discount.MergedDiscountForwardCurve dc = sdc.base();

  687.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  688.             mapCSQS = new
  689.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  691.         java.lang.String strComponentName = comp.name();

  693.         if (bBumpUp) {
  694.             for (java.util.Map.Entry<java.lang.String, org.drip.state.credit.CreditCurve> meCC :
  695.                 mapCCBumpUp.entrySet()) {
  696.                 if (null == meCC) continue;

  698.                 java.lang.String strKey = meCC.getKey();

  700.                 org.drip.state.credit.CreditCurve cc = meCC.getValue();

  702.                 if (null == strKey || strKey.isEmpty()) continue;

  704.                 mapCSQS.put (strKey, org.drip.param.creator.MarketParamsBuilder.Create (dc, null, null, cc,
  705.                     strComponentName, _mapQuote.get (strComponentName), _mapTSYQuote, _lsfc));
  706.             }
  707.         } else {
  708.             for (java.util.Map.Entry<java.lang.String, org.drip.state.credit.CreditCurve> meCC :
  709.                 mapCCBumpDown.entrySet()) {
  710.                 if (null == meCC) continue;

  712.                 java.lang.String strKey = meCC.getKey();

  714.                 org.drip.state.credit.CreditCurve cc = meCC.getValue();

  716.                 if (null == strKey || strKey.isEmpty()) continue;

  718.                 mapCSQS.put (strKey, org.drip.param.creator.MarketParamsBuilder.Create (dc, null, null, cc,
  719.                     strComponentName, _mapQuote.get (strComponentName), _mapTSYQuote, _lsfc));
  720.             }
  721.         }

  723.         return mapCSQS;
  724.     }

  726.     @Override public org.drip.param.market.CurveSurfaceQuoteContainer scenarioMarketParams (
  727.         final org.drip.product.definition.BasketProduct bp,
  728.         final java.lang.String strScenario)
  729.     {
  730.         if (null == strScenario || strScenario.isEmpty()) return null;

  732.         if ("Base".equalsIgnoreCase (strScenario))
  733.             return customMarketParams (dcSet (BASE), null, ccSet (BASE));

  735.         if ("FlatIRBumpUp".equalsIgnoreCase (strScenario))
  736.             return customMarketParams (dcSet (BUMP_UP), null, ccSet (BASE));

  738.         if ("FlatIRBumpDn".equalsIgnoreCase (strScenario))
  739.             return customMarketParams (dcSet (BUMP_DN), null, ccSet (BASE));

  741.         if ("FlatForwardBumpUp".equalsIgnoreCase (strScenario))
  742.             return customMarketParams (dcSet (BASE), null, ccSet (BASE));

  744.         if ("FlatForwardBumpDn".equalsIgnoreCase (strScenario))
  745.             return customMarketParams (dcSet (BASE), null, ccSet (BASE));

  747.         if ("FlatCreditBumpUp".equalsIgnoreCase (strScenario))
  748.             return customMarketParams (dcSet (BASE), null, ccSet (BUMP_UP));

  750.         if ("FlatCreditBumpDn".equalsIgnoreCase (strScenario))
  751.             return customMarketParams (dcSet (BASE), null, ccSet (BUMP_DN));

  753.         if ("FlatRRBumpUp".equalsIgnoreCase (strScenario))
  754.             return customMarketParams (dcSet (BASE), null, ccSet (RR_BUMP_UP));

  756.         if ("FlatRRBumpDn".equalsIgnoreCase (strScenario))
  757.             return customMarketParams (dcSet (BASE), null, ccSet (RR_BUMP_DN));

  759.         return null;
  760.     }

  762.     @Override public
  763.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  764.             fundingFlatBump (
  765.                 final org.drip.product.definition.BasketProduct bp,
  766.                 final boolean bBump)
  767.     {
  768.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  769.             mapCSQS = new
  770.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  772.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.DiscountCurveScenarioContainer>
  773.             meSDC : _mapScenarioDiscountCurve.entrySet()) {
  774.             if (null != meSDC) {
  775.                 java.lang.String strKey = meSDC.getKey();

  777.                 if (null != strKey && !strKey.isEmpty())
  778.                     mapCSQS.put (strKey, customMarketParams (specificIRFlatBumpDCSet (strKey, bBump), null,
  779.                         ccSet (BASE)));
  780.             }
  781.         }

  783.         return mapCSQS;
  784.     }

  786.     @Override public
  787.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  788.             creditFlatBump (
  789.                 final org.drip.product.definition.BasketProduct bp,
  790.                 final boolean bBump)
  791.     {
  792.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  793.             mapCSQS = new
  794.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  796.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CreditCurveScenarioContainer> meSCC
  797.             : _mapScenarioCreditCurve.entrySet()) {
  798.             if (null != meSCC) {
  799.                 java.lang.String strKey = meSCC.getKey();

  801.                 if (null != strKey && !strKey.isEmpty())
  802.                     mapCSQS.put (strKey, customMarketParams (dcSet (BASE), null, specificCreditFlatBumpCCSet
  803.                         (strKey, bBump)));
  804.             }
  805.         }

  807.         return mapCSQS;
  808.     }

  810.     @Override public
  811.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  812.             recoveryFlatBump (
  813.                 final org.drip.product.definition.BasketProduct bp,
  814.                 final boolean bBump)
  815.     {
  816.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  817.             mapCSQS = new
  818.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  820.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CreditCurveScenarioContainer> meSCC
  821.             : _mapScenarioCreditCurve.entrySet()) {
  822.             if (null != meSCC) {
  823.                 java.lang.String strKey = meSCC.getKey();

  825.                 if (null != strKey && !strKey.isEmpty())
  826.                     mapCSQS.put (strKey, customMarketParams (dcSet (BASE), null, specificCreditFlatBumpRRSet
  827.                         (strKey, bBump)));
  828.             }
  829.         }

  831.         return mapCSQS;
  832.     }

  834.     @Override public
  835.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  836.             fundingTenorBump (
  837.                 final org.drip.product.definition.BasketProduct bp,
  838.                 final boolean bBump)
  839.     {
  840.         if (null == bp) return null;

  842.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  843.             mmFundingTenorCSQS = new
  844.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>();

  846.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.DiscountCurveScenarioContainer>
  847.             meSDC : _mapScenarioDiscountCurve.entrySet()) {
  848.             if (null == meSDC) continue;

  850.             java.lang.String strOuterKey = meSDC.getKey();

  852.             org.drip.param.market.DiscountCurveScenarioContainer sdc = meSDC.getValue();

  854.             if (null == sdc || null == strOuterKey || strOuterKey.isEmpty()) continue;

  856.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  857.                 mapDCBumpUp = sdc.tenorBumpUp();

  859.             if (bBump && (null == mapDCBumpUp || 0 == mapDCBumpUp.size())) return null;

  861.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  862.                 mapDCBumpDown = sdc.tenorBumpDown();

  864.             if (!bBump && (null == mapDCBumpDown || 0 == mapDCBumpDown.size())) return null;

  866.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  867.                 mapTenorCSQS = new
  868.                     org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  870.             for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve> meDC : (bBump
  871.                 ? mapDCBumpUp.entrySet() : mapDCBumpDown.entrySet())) {
  872.                 if (null == meDC) continue;

  874.                 java.lang.String strInnerKey = meDC.getKey();

  876.                 org.drip.state.discount.MergedDiscountForwardCurve dc = meDC.getValue();

  878.                 if (null == dc || null == strInnerKey || strInnerKey.isEmpty()) continue;

  880.                 org.drip.param.market.CurveSurfaceQuoteContainer csqs = scenarioMarketParams (bp, "Base");

  882.                 if (null == csqs || !csqs.setFundingState (dc)) continue;

  884.                 mapTenorCSQS.put (strInnerKey, csqs);
  885.             }

  887.             mmFundingTenorCSQS.put (strOuterKey, mapTenorCSQS);
  888.         }

  890.         return mmFundingTenorCSQS;
  891.     }

  893.     @Override public
  894.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  895.             creditTenorBump (
  896.                 final org.drip.product.definition.BasketProduct bp,
  897.                 final boolean bBump)
  898.     {
  899.         if (null == bp) return null;

  901.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>
  902.             mmCreditTenorCSQS = new
  903.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>>();

  905.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CreditCurveScenarioContainer> meSCC
  906.             : _mapScenarioCreditCurve.entrySet()) {
  907.             if (null == meSCC) continue;

  909.             java.lang.String strOuterKey = meSCC.getKey();

  911.             org.drip.param.market.CreditCurveScenarioContainer scc = meSCC.getValue();

  913.             if (null == scc || null == strOuterKey || strOuterKey.isEmpty()) continue;

  915.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  916.                 mapCCBumpUp = scc.tenorBumpUp();

  918.             if (bBump && (null == mapCCBumpUp || 0 == mapCCBumpUp.size())) return null;

  920.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  921.                 mapCCBumpDown = scc.tenorBumpDown();

  923.             if (!bBump && (null == mapCCBumpDown || 0 == mapCCBumpDown.size())) return null;

  925.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  926.                 mapTenorCSQS = new
  927.                     org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  929.             for (java.util.Map.Entry<java.lang.String, org.drip.state.credit.CreditCurve> meCC :
  930.                 (bBump ? mapCCBumpUp.entrySet() : mapCCBumpDown.entrySet())) {
  931.                 if (null == meCC) continue;

  933.                 java.lang.String strInnerKey = meCC.getKey();

  935.                 org.drip.state.credit.CreditCurve cc = meCC.getValue();

  937.                 if (null == cc || null == strInnerKey || strInnerKey.isEmpty()) continue;

  939.                 org.drip.param.market.CurveSurfaceQuoteContainer csqs = scenarioMarketParams (bp, "Base");

  941.                 if (null == csqs || !csqs.setCreditState (cc)) continue;

  943.                 mapTenorCSQS.put (strInnerKey, csqs);
  944.             }

  946.             mmCreditTenorCSQS.put (strOuterKey, mapTenorCSQS);
  947.         }

  949.         return mmCreditTenorCSQS;
  950.     }

  952.     @Override public
  953.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.DiscountCurveScenarioContainer>
  954.             scenarioDiscountCurveMap()
  955.     {
  956.         return _mapScenarioDiscountCurve;
  957.     }

  959.     @Override public
  960.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CreditCurveScenarioContainer>
  961.             scenarioCreditCurveMap()
  962.     {
  963.         return _mapScenarioCreditCurve;
  964.     }
  965. }
Created with JaCoCo 0.7.9.201702052155