CreditComponent.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>CreditComponent</i> is the base abstract class on top of which all credit components are implemented.
* Its methods expose Credit Valuation Parameters, product specific recovery, and coupon/loss cash flows.
*
* <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 CreditComponent extends org.drip.product.definition.CalibratableComponent {
/**
* Generate the loss flow for the credit component based on the pricer parameters
*
* @param valParams ValuationParams
* @param pricerParams PricerParams
* @param csqc ComponentMarketParams
*
* @return List of ProductLossPeriodCurveMeasures
*/
public abstract java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lossFlow (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.CreditPricerParams pricerParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc);
/**
* Get the recovery of the credit component for the given date
*
* @param iDate JulianDate
* @param cc Credit Curve
*
* @return Recovery
*
* @throws java.lang.Exception Thrown if recovery cannot be calculated
*/
public abstract double recovery (
final int iDate,
final org.drip.state.credit.CreditCurve cc)
throws java.lang.Exception;
/**
* Get the time-weighted recovery of the credit component between the given dates
*
* @param iDate1 JulianDate #1
* @param iDate2 JulianDate #2
* @param cc Credit Curve
*
* @return Recovery
*
* @throws java.lang.Exception Thrown if recovery cannot be calculated
*/
public abstract double recovery (
final int iDate1,
final int iDate2,
final org.drip.state.credit.CreditCurve cc)
throws java.lang.Exception;
/**
* Get the credit component's Credit Valuation Parameters
*
* @return CompCRValParams
*/
public abstract org.drip.product.params.CreditSetting creditValuationParams();
/**
* Generate the loss flow for the credit component based on the pricer parameters
*
* @param dtSpot The Spot Date
* @param csqc The Component Market Parameters
*
* @return List of ProductLossPeriodCurveMeasures
*/
public java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lossFlow (
final org.drip.analytics.date.JulianDate dtSpot,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
return null == dtSpot ? null : lossFlow (org.drip.param.valuation.ValuationParams.Spot
(dtSpot.julian()), org.drip.param.pricer.CreditPricerParams.Standard(), csqc);
}
}