BasketProduct.java

  1. package org.drip.product.definition;

  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>BasketProduct</i> abstract class extends MarketParamRef. It provides methods for getting the basket’s
  87.  * components, notional, coupon, effective date, maturity date, coupon amount, and list of coupon periods.
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  93.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
  94.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/credit/README.md">Fixed Income Components/Baskets Definitions</a></li>
  95.  *  </ul>
  96.  * <br><br>
  97.  *  
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public abstract class BasketProduct implements org.drip.product.definition.BasketMarketParamRef {
  102.     protected static final int MEASURE_AGGREGATION_TYPE_CUMULATIVE = 1;
  103.     protected static final int MEASURE_AGGREGATION_TYPE_WEIGHTED_CUMULATIVE = 2;
  104.     protected static final int MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE = 4;
  105.     protected static final int MEASURE_AGGREGATION_TYPE_IGNORE = 4;

  107.     class ComponentCurve {
  108.         java.lang.String _strName = null;
  109.         org.drip.state.credit.CreditCurve _cc = null;

  111.         ComponentCurve (
  112.             final java.lang.String strName,
  113.             final org.drip.state.credit.CreditCurve cc)
  114.         {
  115.             _cc = cc;
  116.             _strName = strName;
  117.         }
  118.     }

  120.     class FlatDeltaGammaMeasureMap {
  121.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapDelta = null;
  122.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _mapGamma = null;

  124.         FlatDeltaGammaMeasureMap (
  125.             final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapDelta,
  126.             final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapGamma)
  127.         {
  128.             _mapDelta = mapDelta;
  129.             _mapGamma = mapGamma;
  130.         }
  131.     }

  133.     class TenorDeltaGammaMeasureMap {
  134.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  135.             _mmDelta = null;
  136.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  137.             _mmGamma = null;

  139.         TenorDeltaGammaMeasureMap (
  140.             final
  141.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  142.                     mmDelta,
  143.             final
  144.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  145.                     mmGamma)
  146.         {
  147.             _mmDelta = mmDelta;
  148.             _mmGamma = mmGamma;
  149.         }
  150.     }

  152.     class ComponentFactorTenorDeltaGammaMeasureMap {
  153.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  154.             _mmmDelta = null;
  155.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  156.             _mmmGamma = null;

  158.         ComponentFactorTenorDeltaGammaMeasureMap (
  159.             final
  160.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  161.                     mmmDelta,
  162.             final
  163.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  164.                     mmmGamma)
  165.         {
  166.             _mmmDelta = mmmDelta;
  167.             _mmmGamma = mmmGamma;
  168.         }
  169.     }

  171.     private FlatDeltaGammaMeasureMap accumulateDeltaGammaMeasures (
  172.         final org.drip.param.valuation.ValuationParams valParams,
  173.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  174.         final org.drip.param.market.CurveSurfaceQuoteContainer csqsUp,
  175.         final org.drip.param.market.CurveSurfaceQuoteContainer csqsDown,
  176.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  177.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
  178.     {
  179.         if (null == csqsUp) return null;

  181.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapUpMeasures = value (valParams,
  182.             pricerParams, csqsUp, vcp);

  184.         if (null == mapUpMeasures || 0 == mapUpMeasures.size()) return null;

  186.         java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapUpMeasuresES =
  187.             mapUpMeasures.entrySet();

  189.         if (null == mapUpMeasuresES) return null;

  191.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapDeltaMeasures = new
  192.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  194.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> meUp : mapUpMeasuresES) {
  195.             if (null == meUp) continue;

  197.             java.lang.String strKey = meUp.getKey();

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

  201.             java.lang.Double dblBase = mapBaseMeasures.get (strKey);

  203.             java.lang.Double dblUp = meUp.getValue();

  205.             mapDeltaMeasures.put (strKey, (null == dblUp ? 0. : dblUp) - (null == dblBase ? 0. : dblBase));
  206.         }

  208.         if (null == csqsDown) return new FlatDeltaGammaMeasureMap (mapDeltaMeasures, null);

  210.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapDownMeasures = value
  211.             (valParams, pricerParams, csqsDown, vcp);

  213.         if (null == mapDownMeasures || 0 == mapDownMeasures.size())
  214.             return new FlatDeltaGammaMeasureMap (mapDeltaMeasures, null);

  216.         java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapDownMeasuresES =
  217.             mapDownMeasures.entrySet();

  219.         if (null == mapDownMeasuresES) return new FlatDeltaGammaMeasureMap (mapDeltaMeasures, null);

  221.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapGammaMeasures = new
  222.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  224.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> meDown : mapDownMeasuresES) {
  225.             if (null == meDown) continue;

  227.             java.lang.String strKey = meDown.getKey();

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

  231.             java.lang.Double dblBase = mapBaseMeasures.get (strKey);

  233.             java.lang.Double dblUp = mapUpMeasures.get (strKey);

  235.             java.lang.Double dblDown = meDown.getValue();

  237.             mapGammaMeasures.put (strKey, (null == dblUp ? 0. : dblUp) + (null == dblDown ? 0. : dblDown) -
  238.                 (null == dblBase ? 0. : 2. * dblBase));
  239.         }

  241.         return new FlatDeltaGammaMeasureMap (mapDeltaMeasures, mapGammaMeasures);
  242.     }

  244.     private TenorDeltaGammaMeasureMap accumulateTenorDeltaGammaMeasures (
  245.         final org.drip.param.valuation.ValuationParams valParams,
  246.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  247.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  248.             mapTenorUpCSQS,
  249.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  250.             mapTenorDownCSQS,
  251.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  252.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures,
  253.         final ComponentCurve compCurve)
  254.     {
  255.         if (null == mapTenorUpCSQS || 0 == mapTenorUpCSQS.size()) return null;

  257.         java.util.Set<java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>>
  258.             mapESTenorUpCSQS = mapTenorUpCSQS.entrySet();

  260.         if (null == mapESTenorUpCSQS || 0 == mapESTenorUpCSQS.size()) return null;

  262.         org.drip.analytics.support.CaseInsensitiveTreeMap<FlatDeltaGammaMeasureMap> mapTenorDGMM = new
  263.             org.drip.analytics.support.CaseInsensitiveTreeMap<FlatDeltaGammaMeasureMap>();

  265.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer> meTenorUpCSQS
  266.             : mapESTenorUpCSQS) {
  267.             if (null == meTenorUpCSQS) continue;

  269.             java.lang.String strTenorKey = meTenorUpCSQS.getKey();

  271.             if (null == strTenorKey || strTenorKey.isEmpty()) continue;

  273.             org.drip.param.market.CurveSurfaceQuoteContainer csqsTenorUp = meTenorUpCSQS.getValue();

  275.             org.drip.param.market.CurveSurfaceQuoteContainer csqsTenorDown = mapTenorDownCSQS.get (strTenorKey);

  277.             org.drip.state.credit.CreditCurve ccVirginUp = null;
  278.             org.drip.state.credit.CreditCurve ccVirginDown = null;

  280.             if (null != csqsTenorUp && null != compCurve && null != compCurve._cc && null !=
  281.                 compCurve._strName && !compCurve._strName.isEmpty()) {
  282.                 ccVirginUp = csqsTenorUp.creditState (org.drip.state.identifier.EntityCDSLabel.Standard
  283.                     (compCurve._strName, couponCurrency()[0]));

  285.                 csqsTenorUp.setCreditState (compCurve._cc);

  287.                 if (null != csqsTenorDown) {
  288.                     ccVirginDown = csqsTenorDown.creditState (org.drip.state.identifier.EntityCDSLabel.Standard
  289.                         (compCurve._strName, couponCurrency()[0]));

  291.                     csqsTenorDown.setCreditState (compCurve._cc);
  292.                 }
  293.             }

  295.             mapTenorDGMM.put (strTenorKey, accumulateDeltaGammaMeasures (valParams, pricerParams,
  296.                 csqsTenorUp, csqsTenorDown, vcp, mapBaseMeasures));

  298.             if (null != csqsTenorUp && null != compCurve && null != compCurve._strName &&
  299.                 !compCurve._strName.isEmpty() && null != ccVirginUp)
  300.                 csqsTenorUp.setCreditState (ccVirginUp);

  302.             if (null != csqsTenorDown && null != compCurve && null != compCurve._strName &&
  303.                 !compCurve._strName.isEmpty() && null != ccVirginDown)
  304.                 csqsTenorDown.setCreditState (ccVirginDown);
  305.         }

  307.         if (0 == mapTenorDGMM.size()) return null;

  309.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  310.             mmDelta = new
  311.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  313.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  314.             mmGamma = new
  315.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  317.         for (java.util.Map.Entry<java.lang.String, FlatDeltaGammaMeasureMap> meTenorDGMM :
  318.             mapTenorDGMM.entrySet()) {
  319.             if (null == meTenorDGMM) continue;

  321.             FlatDeltaGammaMeasureMap dgmmTenorDelta = meTenorDGMM.getValue();

  323.             if (null != dgmmTenorDelta) {
  324.                 java.lang.String strKey = meTenorDGMM.getKey();

  326.                 mmDelta.put (strKey, dgmmTenorDelta._mapDelta);

  328.                 mmGamma.put (strKey, dgmmTenorDelta._mapGamma);
  329.             }
  330.         }

  332.         return new TenorDeltaGammaMeasureMap (mmDelta, mmGamma);
  333.     }

  335.     private ComponentFactorTenorDeltaGammaMeasureMap accumulateComponentWiseTenorDeltaGammaMeasures (
  336.         final org.drip.param.valuation.ValuationParams valParams,
  337.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  338.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  339.             mapCSQS,
  340.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  341.             mapTenorUpCSQS,
  342.         final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  343.             mapTenorDownCSQS,
  344.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  345.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
  346.     {
  347.         if (null == mapCSQS || 0 == mapCSQS.size()) return null;

  349.         java.util.Set<java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>>
  350.             mapESCSQS = mapCSQS.entrySet();

  352.         if (null == mapESCSQS || 0 == mapESCSQS.size()) return null;

  354.         org.drip.analytics.support.CaseInsensitiveTreeMap<TenorDeltaGammaMeasureMap> mapComponentTenorDGMM =
  355.             new org.drip.analytics.support.CaseInsensitiveTreeMap<TenorDeltaGammaMeasureMap>();

  357.         for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer> meCSQS :
  358.             mapESCSQS) {
  359.             if (null == meCSQS) continue;

  361.             java.lang.String strComponentName = meCSQS.getKey();

  363.             if (null == strComponentName || strComponentName.isEmpty()) continue;

  365.             org.drip.param.market.CurveSurfaceQuoteContainer csqs = meCSQS.getValue();

  367.             if (null != csqs)
  368.                 mapComponentTenorDGMM.put (strComponentName, accumulateTenorDeltaGammaMeasures (valParams,
  369.                     pricerParams, mapTenorUpCSQS, mapTenorDownCSQS, vcp, mapBaseMeasures, new ComponentCurve
  370.                         (strComponentName, csqs.creditState (org.drip.state.identifier.EntityCDSLabel.Standard
  371.                             (strComponentName, couponCurrency()[0])))));
  372.         }

  374.         if (0 == mapComponentTenorDGMM.size()) return null;

  376.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  377.             mmmCompRatesDelta = new
  378.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>();

  380.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
  381.             mmmCompRatesGamma = new
  382.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>();

  384.         for (java.util.Map.Entry<java.lang.String, TenorDeltaGammaMeasureMap> meCompTenorDGMM :
  385.             mapComponentTenorDGMM.entrySet()) {
  386.             if (null == meCompTenorDGMM) continue;

  388.             TenorDeltaGammaMeasureMap dgmmCompTenorDeltaGamma = meCompTenorDGMM.getValue();

  390.             if (null != dgmmCompTenorDeltaGamma) {
  391.                 java.lang.String strKey = meCompTenorDGMM.getKey();

  393.                 mmmCompRatesDelta.put (strKey, dgmmCompTenorDeltaGamma._mmDelta);

  395.                 mmmCompRatesGamma.put (strKey, dgmmCompTenorDeltaGamma._mmGamma);
  396.             }
  397.         }

  399.         return new ComponentFactorTenorDeltaGammaMeasureMap (mmmCompRatesDelta, mmmCompRatesGamma);
  400.     }

  402.     protected double measureValue (
  403.         final java.lang.String strMeasure,
  404.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCalc)
  405.         throws java.lang.Exception
  406.     {
  407.         if (null == strMeasure || strMeasure.isEmpty() || null == mapCalc || null == mapCalc.entrySet())
  408.             throw new java.lang.Exception ("BasketProduct::measureValue => Invalid Params");

  410.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapCalc.entrySet()) {
  411.             if (null != me && null != me.getKey() && me.getKey().equalsIgnoreCase (strMeasure))
  412.                 return me.getValue();
  413.         }

  415.         throw new java.lang.Exception ("BasketProduct::getMeasure => " + strMeasure +
  416.             " is an invalid measure!");
  417.     }

  419.     /**
  420.      * Return the basket name
  421.      * 
  422.      * @return Name of the basket product
  423.      */

  425.     public abstract java.lang.String name();

  427.     /**
  428.      * Return the Components in the Basket
  429.      * 
  430.      * @return Components in the Basket
  431.      */

  433.     public abstract org.drip.product.definition.Component[] components();

  435.     /**
  436.      * Retrieve the Aggregation Type for the specified Measure
  437.      * 
  438.      * @param strMeasureName The Specified Measure Name
  439.      * 
  440.      * @return The Aggregation Type
  441.      */

  443.     public abstract int measureAggregationType (
  444.         final java.lang.String strMeasureName);

  446.     /**
  447.      * Retrieve the component Weights
  448.      * 
  449.      * @return Array Containing the Component Weights
  450.      */

  452.     public double[] weights()
  453.     {
  454.         org.drip.product.definition.Component[] aComp = components();

  456.         double dblTotalWeight = 0.;
  457.         int iNumComp = aComp.length;
  458.         double[] adblWeight = new double[iNumComp];

  460.         for (int i = 0; i < iNumComp; ++i) {
  461.             try {
  462.                 dblTotalWeight += (adblWeight[i] = aComp[i].initialNotional());
  463.             } catch (java.lang.Exception e) {
  464.                 e.printStackTrace();

  466.                 return null;
  467.             }
  468.         }

  470.         if (0. == dblTotalWeight) return null;

  472.         for (int i = 0; i < iNumComp; ++i)
  473.             adblWeight[i] /= dblTotalWeight;

  475.         return adblWeight;
  476.     }

  478.     @Override public java.lang.String[] couponCurrency()
  479.     {
  480.         org.drip.product.definition.Component[] aComp = components();

  482.         if (null == aComp) return null;

  484.         int iNumComp = aComp.length;

  486.         if (0 == iNumComp) return null;

  488.         java.util.Set<java.lang.String> setCouponCurrency = new java.util.HashSet<java.lang.String>();

  490.         for (int i = 0; i < iNumComp; ++i) {
  491.             if (null == aComp[i]) return null;

  493.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapComponentCouponCurrency =
  494.                 aComp[i].couponCurrency();

  496.             if (null != mapComponentCouponCurrency && 0 != mapComponentCouponCurrency.size()) {
  497.                 for (java.util.Map.Entry<java.lang.String, java.lang.String> meCouponCurrency :
  498.                     mapComponentCouponCurrency.entrySet())
  499.                     setCouponCurrency.add (meCouponCurrency.getValue());
  500.             }
  501.         }

  503.         int iNumCouponCurrency = setCouponCurrency.size();

  505.         if (0 == iNumCouponCurrency) return null;

  507.         int i = 0;
  508.         java.lang.String[] astrCouponCurrency = new java.lang.String[iNumCouponCurrency];

  510.         for (java.lang.String strCouponCurrency : astrCouponCurrency)
  511.             astrCouponCurrency[i++] = strCouponCurrency;

  513.         return astrCouponCurrency;
  514.     }

  516.     @Override public java.lang.String[] payCurrency()
  517.     {
  518.         org.drip.product.definition.Component[] aComp = components();

  520.         if (null == aComp) return null;

  522.         int iNumComp = aComp.length;

  524.         if (0 == iNumComp) return null;

  526.         java.util.Set<java.lang.String> setPayCurrency = new java.util.HashSet<java.lang.String>();

  528.         for (int i = 0; i < iNumComp; ++i) {
  529.             if (null == aComp[i]) return null;

  531.             setPayCurrency.add (aComp[i].payCurrency());
  532.         }

  534.         int iNumPayCurrency = setPayCurrency.size();

  536.         if (0 == iNumPayCurrency) return null;

  538.         int i = 0;
  539.         java.lang.String[] astrPayCurrency = new java.lang.String[iNumPayCurrency];

  541.         for (java.lang.String strPayCurrency : astrPayCurrency)
  542.             astrPayCurrency[i++] = strPayCurrency;

  544.         return astrPayCurrency;
  545.     }

  547.     @Override public java.lang.String[] principalCurrency()
  548.     {
  549.         org.drip.product.definition.Component[] aComp = components();

  551.         if (null == aComp) return null;

  553.         int iNumComp = aComp.length;

  555.         if (0 == iNumComp) return null;

  557.         java.util.Set<java.lang.String> setPrincipalCurrency = new java.util.HashSet<java.lang.String>();

  559.         for (int i = 0; i < iNumComp; ++i) {
  560.             if (null == aComp[i]) return null;

  562.             setPrincipalCurrency.add (aComp[i].principalCurrency());
  563.         }

  565.         int iNumPrincipalCurrency = setPrincipalCurrency.size();

  567.         if (0 == iNumPrincipalCurrency) return null;

  569.         int i = 0;
  570.         java.lang.String[] astrPrincipalCurrency = new java.lang.String[iNumPrincipalCurrency];

  572.         for (java.lang.String strPrincipalCurrency : astrPrincipalCurrency)
  573.             astrPrincipalCurrency[i++] = strPrincipalCurrency;

  575.         return astrPrincipalCurrency;
  576.     }

  578.     @Override public org.drip.state.identifier.EntityCDSLabel[] creditLabel()
  579.     {
  580.         org.drip.product.definition.Component[] aComp = components();

  582.         if (null == aComp) return null;

  584.         int iNumComp = aComp.length;

  586.         if (0 == iNumComp) return null;

  588.         java.util.Set<org.drip.state.identifier.EntityCDSLabel> sLSLCredit = new
  589.             java.util.HashSet<org.drip.state.identifier.EntityCDSLabel>();

  591.         for (int i = 0; i < iNumComp; ++i) {
  592.             if (null == aComp[i]) return null;

  594.             org.drip.state.identifier.EntityCDSLabel lslCredit = aComp[i].creditLabel();

  596.             if (null != lslCredit) sLSLCredit.add (lslCredit);
  597.         }

  599.         int iNumCreditCurve = sLSLCredit.size();

  601.         if (0 == iNumCreditCurve) return null;

  603.         int i = 0;
  604.         org.drip.state.identifier.EntityCDSLabel[] aLSLCredit = new
  605.             org.drip.state.identifier.EntityCDSLabel[iNumCreditCurve];

  607.         for (org.drip.state.identifier.EntityCDSLabel lslCredit : sLSLCredit)
  608.             aLSLCredit[i++] = lslCredit;

  610.         return aLSLCredit;
  611.     }

  613.     @Override public org.drip.state.identifier.ForwardLabel[] forwardLabel()
  614.     {
  615.         org.drip.product.definition.Component[] aComp = components();

  617.         if (null == aComp) return null;

  619.         int iNumComp = aComp.length;

  621.         if (0 == iNumComp) return null;

  623.         java.util.Set<org.drip.state.identifier.ForwardLabel> setLSLForward = new
  624.             java.util.HashSet<org.drip.state.identifier.ForwardLabel>();

  626.         for (int i = 0; i < iNumComp; ++i) {
  627.             if (null == aComp[i]) return null;

  629.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  630.                 aLSLForward = aComp[i].forwardLabel();

  632.             if (null == aLSLForward) continue;

  634.             int iNumForwardCurve = aLSLForward.size();

  636.             if (0 == iNumForwardCurve) continue;

  638.             java.util.Set<java.lang.String> forwardLabelSet = aLSLForward.keySet();

  640.             for (java.lang.String forwardLabelKey : forwardLabelSet) {
  641.                 org.drip.state.identifier.ForwardLabel lslForward = aLSLForward.get (forwardLabelKey);

  643.                 if (null != lslForward) setLSLForward.add (lslForward);
  644.             }
  645.         }

  647.         int iNumForward = setLSLForward.size();

  649.         if (0 == iNumForward) return null;

  651.         int i = 0;
  652.         org.drip.state.identifier.ForwardLabel[] aLSLForward = new
  653.             org.drip.state.identifier.ForwardLabel[iNumForward];

  655.         for (org.drip.state.identifier.ForwardLabel lslForward : setLSLForward)
  656.             aLSLForward[i++] = lslForward;

  658.         return aLSLForward;
  659.     }

  661.     @Override public org.drip.state.identifier.FundingLabel[] fundingLabel()
  662.     {
  663.         org.drip.product.definition.Component[] aComp = components();

  665.         if (null == aComp) return null;

  667.         int iNumComp = aComp.length;

  669.         if (0 == iNumComp) return null;

  671.         java.util.Set<org.drip.state.identifier.FundingLabel> sLSLFunding = new
  672.             java.util.HashSet<org.drip.state.identifier.FundingLabel>();

  674.         for (int i = 0; i < iNumComp; ++i) {
  675.             if (null == aComp[i]) return null;

  677.             org.drip.state.identifier.FundingLabel lslFunding = aComp[i].fundingLabel();

  679.             if (null == lslFunding) continue;

  681.             sLSLFunding.add (lslFunding);
  682.         }

  684.         int iNumFundingCurve = sLSLFunding.size();

  686.         if (0 == iNumFundingCurve) return null;

  688.         int i = 0;
  689.         org.drip.state.identifier.FundingLabel[] aLSLFunding = new
  690.             org.drip.state.identifier.FundingLabel[iNumFundingCurve];

  692.         for (org.drip.state.identifier.FundingLabel lslFunding : sLSLFunding)
  693.             aLSLFunding[i++] = lslFunding;

  695.         return aLSLFunding;
  696.     }

  698.     @Override public org.drip.state.identifier.FXLabel[] fxLabel()
  699.     {
  700.         org.drip.product.definition.Component[] aComp = components();

  702.         if (null == aComp) return null;

  704.         int iNumComp = aComp.length;

  706.         if (0 == iNumComp) return null;

  708.         java.util.Set<org.drip.state.identifier.FXLabel> setLabel = new
  709.             java.util.HashSet<org.drip.state.identifier.FXLabel>();

  711.         for (int i = 0; i < iNumComp; ++i) {
  712.             if (null == aComp[i]) return null;

  714.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel> aLabel =
  715.                 aComp[i].fxLabel();

  717.             if (null == aLabel) continue;

  719.             int iNumLabel = aLabel.size();

  721.             if (0 == iNumLabel) continue;

  723.             java.util.Set<java.lang.String> fxLabelSet = aLabel.keySet();

  725.             for (java.lang.String fxLabelKey : fxLabelSet) {
  726.                 org.drip.state.identifier.FXLabel label = aLabel.get (fxLabelKey);

  728.                 if (null != label) setLabel.add (label);
  729.             }
  730.         }

  732.         int iNumLabel = setLabel.size();

  734.         if (0 == iNumLabel) return null;

  736.         int i = 0;
  737.         org.drip.state.identifier.FXLabel[] aLabel = new org.drip.state.identifier.FXLabel[iNumLabel];

  739.         for (org.drip.state.identifier.FXLabel label : setLabel)
  740.             aLabel[i++] = label;

  742.         return aLabel;
  743.     }

  745.     /**
  746.      * Return the initial notional of the basket product
  747.      * 
  748.      * @return Initial notional of the basket product
  749.      * 
  750.      * @throws java.lang.Exception Thrown if inputs are invalid
  751.      */

  753.     public double initialNotional()
  754.         throws java.lang.Exception
  755.     {
  756.         org.drip.product.definition.Component[] aComp = components();

  758.         int iNumComp = aComp.length;
  759.         double dblInitialNotional = 0.;

  761.         for (int i = 0; i < iNumComp; ++i)
  762.             dblInitialNotional += aComp[i].initialNotional();

  764.         return dblInitialNotional;
  765.     }

  767.     /**
  768.      * Retrieve the notional at the given date
  769.      * 
  770.      * @param iDate JulianDate
  771.      * 
  772.      * @return Notional
  773.      * 
  774.      * @throws java.lang.Exception Thrown if inputs are invalid
  775.      */

  777.     public double notional (
  778.         final int iDate)
  779.         throws java.lang.Exception
  780.     {
  781.         org.drip.product.definition.Component[] aComp = components();

  783.         double dblNotional = 0.;
  784.         int iNumComp = aComp.length;

  786.         for (int i = 0; i < iNumComp; ++i)
  787.             dblNotional += aComp[i].notional (iDate);

  789.         return dblNotional;
  790.     }

  792.     /**
  793.      * Retrieve the time-weighted notional between 2 given dates
  794.      * 
  795.      * @param iDate1 JulianDate first
  796.      * @param iDate2 JulianDate second
  797.      * 
  798.      * @return Notional
  799.      * 
  800.      * @throws java.lang.Exception Thrown if inputs are invalid
  801.      */

  803.     public double notional (
  804.         final int iDate1,
  805.         final int iDate2)
  806.         throws java.lang.Exception
  807.     {
  808.         org.drip.product.definition.Component[] aComp = components();

  810.         double dblNotional = 0.;
  811.         int iNumComp = aComp.length;

  813.         for (int i = 0; i < iNumComp; ++i)
  814.             dblNotional += aComp[i].notional (iDate1, iDate2);

  816.         return dblNotional;
  817.     }

  819.     /**
  820.      * Retrieve the basket product's coupon amount at the given date
  821.      * 
  822.      * @param iDate JulianDate
  823.      * @param csqs Market Parameters
  824.      * 
  825.      * @return Coupon Amount
  826.      * 
  827.      * @throws java.lang.Exception Thrown if coupon cannot be calculated
  828.      */

  830.     public double coupon (
  831.         final int iDate,
  832.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  833.         throws java.lang.Exception
  834.     {
  835.         double dblNotional = notional (iDate);

  837.         if (null == csqs || 0. == dblNotional || !org.drip.numerical.common.NumberUtil.IsValid (dblNotional))
  838.             throw new java.lang.Exception ("BasketProduct::coupon => Cannot extract basket notional");

  840.         org.drip.product.definition.Component[] aComp = components();

  842.         double dblCoupon = 0.;
  843.         int iNumComp = aComp.length;

  845.         for (int i = 0; i < iNumComp; ++i)
  846.             dblCoupon += aComp[i].couponMetrics (iDate, null, csqs).rate();

  848.         return dblCoupon / dblNotional;
  849.     }

  851.     /**
  852.      * Returns the effective date of the basket product
  853.      * 
  854.      * @return Effective date of the basket product
  855.      */

  857.     public org.drip.analytics.date.JulianDate effective()
  858.     {
  859.         org.drip.product.definition.Component[] aComp = components();

  861.         int iNumComp = aComp.length;

  863.         org.drip.analytics.date.JulianDate dtEffective = aComp[0].effectiveDate();

  865.         for (int i = 1; i < iNumComp; ++i) {
  866.             org.drip.analytics.date.JulianDate dtCompEffective = aComp[i].effectiveDate();

  868.             if (dtCompEffective.julian() < dtEffective.julian()) dtEffective = dtCompEffective;
  869.         }

  871.         return dtEffective;
  872.     }

  874.     /**
  875.      * Return the maturity date of the basket product
  876.      * 
  877.      * @return Maturity date of the basket product
  878.      */

  880.     public org.drip.analytics.date.JulianDate maturity()
  881.     {
  882.         org.drip.product.definition.Component[] aComp = components();

  884.         int iNumComp = aComp.length;

  886.         org.drip.analytics.date.JulianDate dtMaturity = aComp[0].maturityDate();

  888.         for (int i = 1; i < iNumComp; ++i) {
  889.             org.drip.analytics.date.JulianDate dtCompMaturity = aComp[i].maturityDate();

  891.             if (dtCompMaturity.julian() < dtMaturity.julian()) dtMaturity = dtCompMaturity;
  892.         }

  894.         return dtMaturity;
  895.     }

  897.     /**
  898.      * Get the basket product's coupon periods
  899.      * 
  900.      * @return List of CouponPeriods
  901.      */

  903.     public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriod()
  904.     {
  905.         java.util.Set<org.drip.analytics.cashflow.CompositePeriod> setPeriod =
  906.             org.drip.analytics.support.Helper.AggregateComponentPeriods (components());

  908.         if (null == setPeriod || 0 == setPeriod.size()) return null;

  910.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = new
  911.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  913.         for (org.drip.analytics.cashflow.CompositePeriod p : setPeriod) {
  914.             if (null != p) lsCouponPeriod.add (p);
  915.         }

  917.         return lsCouponPeriod;
  918.     }

  920.     /**
  921.      * Get the first coupon date
  922.      * 
  923.      * @return First Coupon Date
  924.      */

  926.     public org.drip.analytics.date.JulianDate firstCouponDate()
  927.     {
  928.         org.drip.product.definition.Component[] aComp = components();

  930.         int iNumComp = aComp.length;

  932.         org.drip.analytics.date.JulianDate dtFirstCoupon = aComp[0].firstCouponDate();

  934.         for (int i = 1; i < iNumComp; ++i) {
  935.             if (dtFirstCoupon.julian() > aComp[i].firstCouponDate().julian())
  936.                 dtFirstCoupon = aComp[i].firstCouponDate();
  937.         }

  939.         return dtFirstCoupon;
  940.     }

  942.     /**
  943.      * Generate a full list of the basket product measures for the full input set of market parameters
  944.      * 
  945.      * @param valParams ValuationParams
  946.      * @param pricerParams PricerParams
  947.      * @param csqs Market Parameters
  948.      * @param vcp Valuation Customization Parameters
  949.      * 
  950.      * @return Map of measure name and value
  951.      */

  953.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  954.         final org.drip.param.valuation.ValuationParams valParams,
  955.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  956.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  957.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  958.     {
  959.         long lStart = System.nanoTime();

  961.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBasketOP = new
  962.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  964.         org.drip.product.definition.Component[] aComp = components();

  966.         double[] adblWeight = weights();

  968.         int iNumComp = aComp.length;

  970.         for (int i = 0; i < iNumComp; ++i) {
  971.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCompOP = aComp[i].value
  972.                 (valParams, pricerParams, csqs, vcp);

  974.             if (null == mapCompOP || 0 == mapCompOP.size()) continue;

  976.             java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapCompOPES =
  977.                 mapCompOP.entrySet();

  979.             if (null == mapCompOPES) continue;

  981.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> meCompOP : mapCompOPES) {
  982.                 if (null == meCompOP) continue;

  984.                 java.lang.String strKey = meCompOP.getKey();

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

  988.                 java.lang.Double dblCompValue = mapCompOP.get (strKey);

  990.                 java.lang.Double dblBasketValue = mapBasketOP.get (strKey);

  992.                 if (MEASURE_AGGREGATION_TYPE_CUMULATIVE == measureAggregationType (strKey))
  993.                     mapBasketOP.put (strKey, (null == dblCompValue ? 0. : dblCompValue) + (null ==
  994.                         dblBasketValue ? 0. : dblBasketValue));
  995.                 else if (MEASURE_AGGREGATION_TYPE_WEIGHTED_CUMULATIVE == measureAggregationType (strKey) &&
  996.                     null != adblWeight)
  997.                     mapBasketOP.put (strKey, (null == dblCompValue ? 0. : adblWeight[i] * dblCompValue) +
  998.                         (null == dblBasketValue ? 0. : dblBasketValue));
  999.                 else if (MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE == measureAggregationType (strKey))
  1000.                     mapBasketOP.put (aComp[i].name() + "[" + strKey + "]", (null == dblCompValue ? 0. :
  1001.                         dblCompValue));
  1002.             }
  1003.         }

  1005.         mapBasketOP.put ("CalcTime", (System.nanoTime() - lStart) * 1.e-09);

  1007.         return mapBasketOP;
  1008.     }

  1010.     /**
  1011.      * Calculate the value of the given basket product measure
  1012.      * 
  1013.      * @param valParams ValuationParams
  1014.      * @param pricerParams PricerParams
  1015.      * @param csqs Market Parameters
  1016.      * @param vcp Valuation Customization Parameters
  1017.      * @param strMeasure Measure String
  1018.      * 
  1019.      * @return Double measure value
  1020.      * 
  1021.      * @throws java.lang.Exception Thrown if the measure cannot be calculated
  1022.      */

  1024.     public double measureValue (
  1025.         final org.drip.param.valuation.ValuationParams valParams,
  1026.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1027.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1028.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1029.         final java.lang.String strMeasure)
  1030.         throws java.lang.Exception
  1031.     {
  1032.         return measureValue (strMeasure, value (valParams, pricerParams, csqs, vcp));
  1033.     }

  1035.     /**
  1036.      * Generate a full list of the basket product measures for the set of scenario market parameters present
  1037.      *  in the org.drip.param.definition.MarketParams
  1038.      * 
  1039.      * @param valParams ValuationParams
  1040.      * @param pricerParams PricerParams
  1041.      * @param mpc org.drip.param.definition.MarketParams
  1042.      * @param vcp Valuation Customization Parameters
  1043.      * 
  1044.      * @return BasketOutput object
  1045.      */

  1047.     public org.drip.analytics.output.BasketMeasures measures (
  1048.         final org.drip.param.valuation.ValuationParams valParams,
  1049.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1050.         final org.drip.param.definition.ScenarioMarketParams mpc,
  1051.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  1052.     {
  1053.         if (null == valParams || null == mpc) return null;

  1055.         long lStart = System.nanoTime();

  1057.         org.drip.analytics.output.BasketMeasures bkop = new org.drip.analytics.output.BasketMeasures();

  1059.         if (!bkop.setBaseMeasures (value (valParams, pricerParams, mpc.scenarioMarketParams (this, "Base"),
  1060.             vcp)))
  1061.             return null;

  1063.         FlatDeltaGammaMeasureMap dgmmCredit = accumulateDeltaGammaMeasures (valParams, pricerParams,
  1064.             mpc.scenarioMarketParams (this, "FlatCreditBumpUp"), mpc.scenarioMarketParams (this, "FlatCreditBumpDn"),
  1065.                 vcp, bkop.baseMeasures());

  1067.         if (null != dgmmCredit && !bkop.setFlatCreditDeltaMeasures (dgmmCredit._mapDelta))
  1068.             bkop.setFlatCreditGammaMeasures (dgmmCredit._mapGamma);

  1070.         FlatDeltaGammaMeasureMap dgmmRates = accumulateDeltaGammaMeasures (valParams, pricerParams,
  1071.             mpc.scenarioMarketParams (this, "FlatIRBumpUp"), mpc.scenarioMarketParams (this, "FlatIRBumpDn"), vcp,
  1072.                 bkop.baseMeasures());

  1074.         if (null != dgmmRates && bkop.setFlatIRDeltaMeasures (dgmmRates._mapDelta))
  1075.             bkop.setFlatIRGammaMeasures (dgmmRates._mapGamma);

  1077.         FlatDeltaGammaMeasureMap dgmmRecovery = accumulateDeltaGammaMeasures (valParams, pricerParams,
  1078.             mpc.scenarioMarketParams (this, "FlatRRBumpUp"), mpc.scenarioMarketParams (this, "FlatRRBumpDn"), vcp,
  1079.                 bkop.baseMeasures());

  1081.         if (null != dgmmRecovery && bkop.setFlatRRDeltaMeasures (dgmmRates._mapDelta))
  1082.             bkop.setFlatRRGammaMeasures (dgmmRates._mapGamma);

  1084.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  1085.             mapCSQSIRTenorUp = mpc.fundingFlatBump (this, true);

  1087.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  1088.             mapCSQSIRTenorDown = mpc.fundingFlatBump (this, false);

  1090.         TenorDeltaGammaMeasureMap mapDGMMRatesTenor = accumulateTenorDeltaGammaMeasures (valParams,
  1091.             pricerParams, mapCSQSIRTenorUp, mapCSQSIRTenorDown, vcp, bkop.baseMeasures(), null);

  1093.         if (null != mapDGMMRatesTenor) {
  1094.             bkop.setComponentIRDeltaMeasures (mapDGMMRatesTenor._mmDelta);

  1096.             bkop.setComponentIRGammaMeasures (mapDGMMRatesTenor._mmGamma);
  1097.         }

  1099.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  1100.             mapCSQSCreditTenorUp = mpc.creditFlatBump (this, true);

  1102.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
  1103.             mapCSQSCreditTenorDown = mpc.creditFlatBump (this, false);

  1105.         TenorDeltaGammaMeasureMap mapDGMMCreditComp = accumulateTenorDeltaGammaMeasures (valParams,
  1106.             pricerParams, mapCSQSCreditTenorUp, mapCSQSCreditTenorDown, vcp, bkop.baseMeasures(), null);

  1108.         if (null != mapDGMMCreditComp) {
  1109.             bkop.setComponentCreditDeltaMeasures (mapDGMMCreditComp._mmDelta);

  1111.             bkop.setComponentCreditGammaMeasures (mapDGMMCreditComp._mmGamma);
  1112.         }

  1114.         TenorDeltaGammaMeasureMap mapDGMMRecoveryTenor = accumulateTenorDeltaGammaMeasures (valParams,
  1115.             pricerParams, mpc.recoveryFlatBump (this, true), mpc.recoveryFlatBump (this, false), vcp,
  1116.                 bkop.baseMeasures(), null);

  1118.         if (null != mapDGMMRecoveryTenor) {
  1119.             bkop.setComponentRRDeltaMeasures (mapDGMMRecoveryTenor._mmDelta);

  1121.             bkop.setComponentRRGammaMeasures (mapDGMMRecoveryTenor._mmGamma);
  1122.         }

  1124.         ComponentFactorTenorDeltaGammaMeasureMap mapCompRatesTenorDGMM =
  1125.             accumulateComponentWiseTenorDeltaGammaMeasures (valParams, pricerParams, mapCSQSCreditTenorUp,
  1126.                 mapCSQSIRTenorUp, mapCSQSIRTenorDown, vcp, bkop.baseMeasures());

  1128.         if (null != mapCompRatesTenorDGMM) {
  1129.             bkop.setComponentTenorIRDeltaMeasures (mapCompRatesTenorDGMM._mmmDelta);

  1131.             bkop.setComponentTenorIRGammaMeasures (mapCompRatesTenorDGMM._mmmGamma);
  1132.         }

  1134.         ComponentFactorTenorDeltaGammaMeasureMap mapCompCreditTenorDGMM =
  1135.             accumulateComponentWiseTenorDeltaGammaMeasures (valParams, pricerParams, mapCSQSCreditTenorUp,
  1136.                 mapCSQSCreditTenorUp, mapCSQSCreditTenorDown, vcp, bkop.baseMeasures());

  1138.         if (null != mapCompCreditTenorDGMM) {
  1139.             bkop.setComponentTenorCreditDeltaMeasures (mapCompCreditTenorDGMM._mmmDelta);

  1141.             bkop.setComponentTenorCreditGammaMeasures (mapCompCreditTenorDGMM._mmmGamma);
  1142.         }

  1144.         bkop.setCalcTime ((System.nanoTime() - lStart) * 1.e-09);

  1146.         return bkop;
  1147.     }

  1149.     /**
  1150.      * Compute Basket's Custom Scenario Measures
  1151.      * 
  1152.      * @param valParams Valuation Parameters
  1153.      * @param pricerParams Pricer Parameters
  1154.      * @param mpc Market Parameters Container
  1155.      * @param strCustomScenName Custom Scenario Name
  1156.      * @param vcp Valuation Customization Parameters
  1157.      * @param mapBase Map of Base Measures
  1158.      * 
  1159.      * @return Basket's Custom Scenario Measures
  1160.      */

  1162.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> customScenarioMeasures (
  1163.         final org.drip.param.valuation.ValuationParams valParams,
  1164.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1165.         final org.drip.param.definition.ScenarioMarketParams mpc,
  1166.         final java.lang.String strCustomScenName,
  1167.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1168.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBase)
  1169.     {
  1170.         if (null == valParams || null == mpc) return null;

  1172.         if (null == mapBase) {
  1173.             org.drip.param.market.CurveSurfaceQuoteContainer csqsBase = mpc.scenarioMarketParams (this, "Base");

  1175.             if (null == csqsBase || null == (mapBase = value (valParams, pricerParams, csqsBase, vcp)))
  1176.                 return null;
  1177.         }

  1179.         org.drip.param.market.CurveSurfaceQuoteContainer csqsScen = mpc.scenarioMarketParams (this, strCustomScenName);

  1181.         if (null == csqsScen) return null;

  1183.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapScenMeasures = value
  1184.             (valParams, pricerParams, csqsScen, vcp);

  1186.         if (null == mapScenMeasures || null != mapScenMeasures.entrySet()) return null;

  1188.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOP = new
  1189.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  1191.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapScenMeasures.entrySet()) {
  1192.             if (null == me || null == me.getKey()) continue;

  1194.             mapOP.put (me.getKey(), me.getValue() - mapBase.get (me.getKey()));
  1195.         }

  1197.         return mapOP;
  1198.     }
  1199. }
Created with JaCoCo 0.7.9.201702052155