Component.java

package org.drip.product.definition;

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

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * Copyright (C) 2014 Lakshmi Krishnamurthy
 * Copyright (C) 2013 Lakshmi Krishnamurthy
 * Copyright (C) 2012 Lakshmi Krishnamurthy
 * Copyright (C) 2011 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>Component</i> abstract class extends the ComponentMarketParamRef and provides the following methods:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Get the product's initial notional, notional, and coupon.
 *      </li>
 *      <li>
 *          Get the Effective date, Maturity date, First Coupon Date.
 *      </li>
 *      <li>
 *          List the coupon periods.
 *      </li>
 *      <li>
 *          Set the market curves - discount, TSY, forward, and Credit curves.
 *      </li>
 *      <li>
 *          Retrieve the product's settlement parameters.
 *      </li>
 *      <li>
 *          Value the product's using standard/custom market parameters.
 *      </li>
 *      <li>
 *          Retrieve the product's named measures and named measure values.
 *      </li>
 *  </ul>
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
 *      <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>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public abstract class Component implements org.drip.product.definition.ComponentMarketParamRef {

    protected double measureValue (
        final java.lang.String strMeasure,
        final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCalc)
        throws java.lang.Exception
    {
        if (null == strMeasure || strMeasure.isEmpty() || null == mapCalc || !mapCalc.containsKey
            (strMeasure))
            throw new java.lang.Exception ("Component::measureValue => Invalid Inputs");

        return mapCalc.get (strMeasure);
    }

    protected boolean adjustForCashSettle (
        final int iSettleDate,
        final double dblPV,
        final org.drip.state.discount.MergedDiscountForwardCurve dc,
        final org.drip.numerical.differentiation.WengertJacobian wjPVDFMicroJack)
    {
        org.drip.numerical.differentiation.WengertJacobian wjCashSettleDFDF = dc.jackDDFDManifestMeasure (iSettleDate,
            "Rate");

        if (null == wjCashSettleDFDF) return false;

        double dblDFCashSettle = java.lang.Double.NaN;

        int iNumParameters = wjCashSettleDFDF.numParameters();

        try {
            dblDFCashSettle = dc.df (iSettleDate);
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return false;
        }

        if (!wjPVDFMicroJack.scale (1. / dblDFCashSettle)) return false;

        double dblSettleJackAdjust = -1. * dblPV / dblDFCashSettle / dblDFCashSettle;

        for (int k = 0; k < iNumParameters; ++k) {
            if (!wjPVDFMicroJack.accumulatePartialFirstDerivative (0, k, dblSettleJackAdjust *
                wjCashSettleDFDF.firstDerivative (0, k)))
                return false;
        }

        return true;
    }

    /**
     * Get the Initial Notional for the Product
     * 
     * @return Initial Notional
     * 
     * @throws java.lang.Exception Thrown if Initial Notional cannot be computed
     */

    public abstract double initialNotional()
        throws java.lang.Exception;

    /**
     * Get the Notional for the Product at the given date
     * 
     * @param iDate Date
     * 
     * @return Product Notional
     * 
     * @throws java.lang.Exception Thrown if Notional cannot be computed
     */

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

    /**
     * Get the time-weighted Notional for the Product between 2 dates
     * 
     * @param iDate1 Date #1
     * @param iDate2 Date #2
     * 
     * @return The Product Notional
     * 
     * @throws java.lang.Exception Thrown if Notional cannot be computed
     */

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

    /**
     * Get the Effective Date
     * 
     * @return Effective Date
     */

    public abstract org.drip.analytics.date.JulianDate effectiveDate();

    /**
     * Get the Maturity Date
     * 
     * @return Maturity Date
     */

    public abstract org.drip.analytics.date.JulianDate maturityDate();

    /**
     * Get the First Coupon Date
     * 
     * @return First Coupon Date
     */

    public abstract org.drip.analytics.date.JulianDate firstCouponDate();

    /**
     * Retrieve the Coupon Frequency
     * 
     * @return The Coupon Frequency
     */

    public abstract int freq();

    /**
     * Get the Product's Cash Flow Periods
     * 
     * @return List of the Product's Cash Flow Periods
     */

    public abstract java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods();

    /**
     * Get the Product's coupon Metrics at the specified accrual date
     * 
     * @param iAccrualEndDate Accrual End Date
     * @param valParams The Valuation Parameters
     * @param csqs Component Market Parameters
     * 
     * @return The Product's coupon Nominal/Adjusted Coupon Measures
     */

    public abstract org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
        final int iAccrualEndDate,
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs);

    /**
     * Get the Product's cash settlement parameters
     * 
     * @return Cash settlement Parameters
     */

    public abstract org.drip.param.valuation.CashSettleParams cashSettleParams();

    /**
     * Generate a full list of the Product measures for the full input set of market parameters
     * 
     * @param valParams ValuationParams
     * @param pricerParams PricerParams
     * @param csqs Market Parameters
     * @param vcp Valuation Customization Parameters
     * 
     * @return Map of measure name and value
     */

    public abstract org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp);

    /**
     * Retrieve the ordered set of the measure names whose values will be calculated
     * 
     * @return Set of Measure Names
     */

    public abstract java.util.Set<java.lang.String> measureNames();

    /**
     * Compute the PV for the specified Market Parameters
     * 
     * @param valParams ValuationParams
     * @param pricerParams PricerParams
     * @param csqc Market Parameters
     * @param vcp Valuation Customization Parameters
     * 
     * @return The PV
     * 
     * @throws java.lang.Exception Thrown if the PV cannot be computed
     */

    public abstract double pv (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
        final org.drip.param.valuation.ValuationCustomizationParams vcp)
        throws java.lang.Exception;

    /**
     * Get the Maturity Pay Date
     * 
     * @return Maturity Pay Date
     */

    public org.drip.analytics.date.JulianDate maturityPayDate()
    {
        return maturityDate();
    }

    /**
     * Calculate the value of the given Product's measure
     * 
     * @param valParams ValuationParams
     * @param pricerParams PricerParams
     * @param csqs ComponentMarketParams
     * @param strMeasure Measure String
     * @param vcp Valuation Customization Parameters
     * 
     * @return Double measure value
     * 
     * @throws java.lang.Exception Thrown if the measure cannot be calculated
     */

    public double measureValue (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        final java.lang.String strMeasure)
        throws java.lang.Exception
    {
        return measureValue (strMeasure, value (valParams, pricerParams, csqs, vcp));
    }

    /**
     * Retrieve the Instrument's Imputed Tenor
     * 
     * @return The Instrument's Imputed Tenor
     */

    public java.lang.String tenor()
    {
        int iNumDays = maturityDate().julian() - effectiveDate().julian();

        if (365 > iNumDays) {
            int iNumMonth = (int) (0.5 + (iNumDays / 30.));

            return 12 == iNumMonth ? "1Y" : iNumMonth + "M";
        }

         return ((int) (0.5 + (iNumDays / 365.))) + "Y";
    }

    /**
     * Generate a full list of the Product's measures for the set of scenario market parameters present in
     *  the org.drip.param.definition.MarketParams
     * 
     * @param valParams ValuationParams
     * @param pricerParams PricerParams
     * @param mpc org.drip.param.definition.MarketParams
     * @param vcp Valuation Customization Parameters
     * 
     * @return ComponentOutput object
     */

    public org.drip.analytics.output.ComponentMeasures measures (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.definition.ScenarioMarketParams mpc,
        final org.drip.param.valuation.ValuationCustomizationParams vcp)
    {
        if (null == valParams || null == mpc) return null;

        org.drip.param.market.CurveSurfaceQuoteContainer csqsBase = mpc.scenarioMarketParams (this, "Base");

        if (null == csqsBase) return null;

        org.drip.analytics.output.ComponentMeasures compOp = new
            org.drip.analytics.output.ComponentMeasures();

        long lStart = System.nanoTime();

        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures = value
            (valParams, pricerParams, csqsBase, vcp);

        if (!compOp.setBaseMeasures (mapBaseMeasures)) return null;

        org.drip.param.market.CurveSurfaceQuoteContainer csqsFlatCreditBumpUp = mpc.scenarioMarketParams (this,
            "FlatCreditBumpUp");

        if (null != csqsFlatCreditBumpUp) {
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatCreditBumpUpMeasures =
                value (valParams, pricerParams, csqsFlatCreditBumpUp, vcp);

            java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapFlatCreditBumpUpES =
                null == mapFlatCreditBumpUpMeasures ? null : mapFlatCreditBumpUpMeasures.entrySet();

            if (null != mapFlatCreditBumpUpES && 0 != mapFlatCreditBumpUpES.size()) {
                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                    mapFlatCreditDeltaMeasures = new
                        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapFlatCreditBumpUpES) {
                    java.lang.String strKey = me.getKey();

                    mapFlatCreditDeltaMeasures.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
                }

                org.drip.param.market.CurveSurfaceQuoteContainer csqsFlatCreditBumpDown = mpc.scenarioMarketParams
                    (this, "FlatCreditBumpDn");

                if (compOp.setFlatCreditDeltaMeasures (mapFlatCreditDeltaMeasures) && null !=
                    csqsFlatCreditBumpDown) {
                    org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                        mapFlatCreditBumpDownMeasures = value (valParams, pricerParams,
                            csqsFlatCreditBumpDown, vcp);

                    java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>>
                        mapFlatCreditBumpDownES = null == mapFlatCreditBumpDownMeasures ? null :
                            mapFlatCreditBumpDownMeasures.entrySet();

                    if (null != mapFlatCreditBumpDownES && 0 != mapFlatCreditBumpDownES.size()) {
                        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                            mapFlatCreditGammaMeasures = new
                                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                        for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                            mapFlatCreditBumpDownES) {
                            java.lang.String strKey = me.getKey();

                            mapFlatCreditGammaMeasures.put (strKey, me.getValue() +
                                mapFlatCreditBumpUpMeasures.get (strKey) - 2. * mapBaseMeasures.get
                                    (strKey));
                        }

                        compOp.setFlatCreditGammaMeasures (mapFlatCreditGammaMeasures);
                    }
                }
            }
        }

        org.drip.param.market.CurveSurfaceQuoteContainer csqsRRBumpUp = mpc.scenarioMarketParams (this, "RRBumpUp");

        if (null != csqsRRBumpUp) {
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapRRBumpUpMeasures = value
                (valParams, pricerParams, csqsRRBumpUp, vcp);

            java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapRRBumpUpES = null ==
                mapRRBumpUpMeasures ? null : mapRRBumpUpMeasures.entrySet();

            if (null != mapRRBumpUpES && 0 != mapRRBumpUpES.size()) {
                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatRRDeltaMeasures =
                    new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapRRBumpUpES) {
                    java.lang.String strKey = me.getKey();

                    mapFlatRRDeltaMeasures.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
                }

                org.drip.param.market.CurveSurfaceQuoteContainer csqsRRBumpDown = mpc.scenarioMarketParams (this,
                    "RRBumpDn");

                if (compOp.setFlatRRDeltaMeasures (mapFlatRRDeltaMeasures) && null != csqsRRBumpDown) {
                    org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapRRBumpDownMeasures
                        = value (valParams, pricerParams, csqsRRBumpDown, vcp);

                    java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapRRBumpDownES =
                        null == mapRRBumpDownMeasures ? null : mapRRBumpDownMeasures.entrySet();

                    if (null != mapRRBumpDownES && 0 != mapRRBumpDownES.size()) {
                        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                            mapFlatRRGammaMeasures = new
                                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                        for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapRRBumpDownES) {
                            java.lang.String strKey = me.getKey();

                            mapFlatRRGammaMeasures.put (strKey, me.getValue() + mapRRBumpUpMeasures.get
                                (strKey) - 2. * mapBaseMeasures.get (strKey));
                        }

                        compOp.setFlatRRGammaMeasures (mapFlatRRGammaMeasures);
                    }
                }
            }
        }

        org.drip.param.market.CurveSurfaceQuoteContainer csqsIRCreditBumpUp = mpc.scenarioMarketParams (this,
            "IRCreditBumpUp");

        if (null != csqsIRCreditBumpUp) {
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapIRCreditBumpUpMeasures =
                value (valParams, pricerParams, csqsIRCreditBumpUp, vcp);

            java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapIRCreditBumpUpES = null
                == mapIRCreditBumpUpMeasures ? null : mapIRCreditBumpUpMeasures.entrySet();

            if (null != mapIRCreditBumpUpES && 0 != mapIRCreditBumpUpES.size()) {
                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFlatIRDeltaMeasures =
                    new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapIRCreditBumpUpES) {
                    java.lang.String strKey = me.getKey();

                    mapFlatIRDeltaMeasures.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
                }

                org.drip.param.market.CurveSurfaceQuoteContainer csqsIRCreditBumpDown = mpc.scenarioMarketParams (this,
                    "IRCreditBumpDn");

                if (compOp.setFlatIRDeltaMeasures (mapFlatIRDeltaMeasures) && null != csqsIRCreditBumpDown) {
                    org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                        mapIRCreditBumpDownMeasures = value (valParams, pricerParams, csqsIRCreditBumpDown,
                            vcp);

                    java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>>
                        mapIRCreditBumpDownES = null == mapIRCreditBumpDownMeasures ? null :
                            mapIRCreditBumpDownMeasures.entrySet();

                    if (null != mapIRCreditBumpDownES && 0 != mapIRCreditBumpDownES.size()) {
                        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
                            mapFlatIRGammaMeasures = new
                                org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

                        for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                            mapIRCreditBumpDownES) {
                            java.lang.String strKey = me.getKey();

                            mapFlatIRGammaMeasures.put (strKey, me.getValue() +
                                mapIRCreditBumpUpMeasures.get (strKey) - 2. * mapBaseMeasures.get (strKey));
                        }

                        compOp.setFlatIRGammaMeasures (mapFlatIRGammaMeasures);
                    }
                }
            }
        }

        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
            mapCCTenorUpCSQS = mpc.creditTenorMarketParams (this, true);

        if (null != mapCCTenorUpCSQS) {
            compOp.setTenorCreditDeltaMeasures (new
                org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>());

            if (null != mapCCTenorUpCSQS && null != mapCCTenorUpCSQS.entrySet()) {
                for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
                    meTenorUpMP : mapCCTenorUpCSQS.entrySet()) {
                    if (null == meTenorUpMP || null == meTenorUpMP.getValue()) continue;

                    org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCCTenorUp = value
                        (valParams, pricerParams, meTenorUpMP.getValue(), vcp);

                    if (null == mapCCTenorUp || null == mapCCTenorUp.entrySet()) continue;

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

                    for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                        mapCCTenorUp.entrySet()) {
                        java.lang.String strKey = me.getKey();

                        mapCalcUp.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
                    }

                    compOp.tenorCreditDeltaMeasures().put (meTenorUpMP.getKey(), mapCalcUp);
                }

                if (null != mpc.creditTenorMarketParams (this, false)) {
                    compOp.setTenorCreditGammaMeasures (new
                        org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>());

                    org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
                        mapCCTenorDnCSQS = mpc.creditTenorMarketParams (this, false);

                    if (null != mapCCTenorDnCSQS && null != mapCCTenorDnCSQS.entrySet()) {
                        for (java.util.Map.Entry<java.lang.String,
                            org.drip.param.market.CurveSurfaceQuoteContainer> meTenorDnMP :
                                mapCCTenorDnCSQS.entrySet()) {
                            if (null == meTenorDnMP || null == meTenorDnMP.getValue()) continue;

                            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCCTenorDn
                                = value (valParams, pricerParams, meTenorDnMP.getValue(), vcp);

                            if (null == mapCCTenorDn || null == mapCCTenorDn.entrySet()) continue;

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

                            for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                                mapCCTenorDn.entrySet()) {
                                java.lang.String strKey = me.getKey();

                                mapCalcDn.put (strKey, me.getValue() - mapBaseMeasures.get (strKey) +
                                    compOp.tenorCreditDeltaMeasures().get (meTenorDnMP.getKey()).get
                                        (strKey));
                            }

                            compOp.tenorCreditGammaMeasures().put (meTenorDnMP.getKey(), mapCalcDn);
                        }
                    }
                }
            }
        }

        if (null != mpc.fundingTenorMarketParams (this, true)) {
            compOp.setTenorIRDeltaMeasures (new
                org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>());

            org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
                mapIRTenorUpCSQS = mpc.fundingTenorMarketParams (this, true);

            if (null != mapIRTenorUpCSQS && null != mapIRTenorUpCSQS.entrySet()) {
                for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
                    meTenorUpMP : mapIRTenorUpCSQS.entrySet()) {
                    org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCCTenorUp = value
                        (valParams, pricerParams, meTenorUpMP.getValue(), vcp);

                    if (null == mapCCTenorUp || null == mapCCTenorUp.entrySet()) continue;

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

                    for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                        mapCCTenorUp.entrySet()) {
                        java.lang.String strKey = me.getKey();

                        mapCalcUp.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
                    }

                    compOp.tenorIRDeltaMeasures().put (meTenorUpMP.getKey(), mapCalcUp);
                }
            }

            if (null != mpc.fundingTenorMarketParams (this, false)) {
                compOp.setTenorIRGammaMeasures (new
                    org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>());

                org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.market.CurveSurfaceQuoteContainer>
                    mapIRTenorDnCSQS = mpc.fundingTenorMarketParams (this, false);

                if (null != mapIRTenorDnCSQS & null != mapIRTenorDnCSQS.entrySet()) {
                    for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
                        meTenorDnMP : mapIRTenorDnCSQS.entrySet()) {
                        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCCTenorDn = value
                            (valParams, pricerParams, meTenorDnMP.getValue(), vcp);

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

                        if (null == mapCalcDn || null == mapCalcDn.entrySet()) continue;

                        for (java.util.Map.Entry<java.lang.String, java.lang.Double> me :
                            mapCCTenorDn.entrySet()) {
                            java.lang.String strKey = me.getKey();

                            mapCalcDn.put (strKey, me.getValue() - mapBaseMeasures.get (strKey) +
                                compOp.tenorIRDeltaMeasures().get (meTenorDnMP.getKey()).get (strKey));
                        }

                        compOp.tenorIRGammaMeasures().put (meTenorDnMP.getKey(), mapCalcDn);
                    }
                }
            }
        }

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

        return compOp;
    }

    /**
     * Generate a full list of custom measures for the set of scenario market parameters present in
     *  the org.drip.param.definition.MarketParams
     * 
     * @param valParams ValuationParams
     * @param pricerParams PricerParams
     * @param mpc org.drip.param.definition.MarketParams
     * @param strCustomScenName Custom Scenario Name
     * @param vcp Valuation Customization Parameters
     * @param mapBaseMeasures Base Measures from used to calculate the desired delta measure. If null, the
     *  base measures will be generated.
     * 
     * @return Custom Scenarios Measures output set
     */

    public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> customScenarioMeasures (
        final org.drip.param.valuation.ValuationParams valParams,
        final org.drip.param.pricer.CreditPricerParams pricerParams,
        final org.drip.param.definition.ScenarioMarketParams mpc,
        final java.lang.String strCustomScenName,
        final org.drip.param.valuation.ValuationCustomizationParams vcp,
        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
    {
        if (null == strCustomScenName || strCustomScenName.isEmpty() || null == valParams || null == mpc)
            return null;

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

        if (null == csqsCustom) return null;

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

            if (null == csqsBase || null == (mapBaseMeasures = value (valParams, pricerParams, csqsBase,
                vcp)))
                return null;
        }

        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCustomMeasures = value
            (valParams, pricerParams, csqsCustom, vcp);

        java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapCustomMeasuresES = null ==
            mapCustomMeasures ? null : mapCustomMeasures.entrySet();

        if (null == mapCustomMeasuresES || 0 == mapCustomMeasuresES.size()) return null;

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

        for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapCustomMeasuresES) {
            java.lang.String strKey = me.getKey();

            mapCustomDeltaMeasures.put (strKey, me.getValue() - mapBaseMeasures.get (strKey));
        }

        return mapCustomDeltaMeasures;
    }
}