public abstract class BasketProduct extends Serializer implements BasketMarketParamRef
NULL_SER_STRING, VERSION
Constructor and Description |
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BasketProduct() |
Modifier and Type | Method and Description |
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java.util.Map<java.lang.String,java.lang.Double> |
calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
java.util.Map<java.lang.String,java.lang.Double> mapBase) |
BasketMeasures |
calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the set of scenario market parameters present
in the org.drip.param.definition.MarketParams
|
double |
calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculates the value of the given basket product measure
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abstract double |
getCoupon(double dblDate,
BasketMarketParams bmp)
Retrieves the basket product's coupon amount at the given date
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abstract java.util.List<CouponPeriod> |
getCouponPeriod()
Gets the basket product's coupon periods
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abstract JulianDate |
getEffectiveDate()
Returns the effective date of the basket product
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abstract JulianDate |
getFirstCouponDate()
Gets the first coupon date
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abstract double |
getInitialNotional()
Returns the initial notional of the basket product
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abstract JulianDate |
getMaturityDate()
Returns the maturity date of the basket product
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abstract java.lang.String |
getName()
Returns the basket name
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abstract double |
getNotional(double dblDate)
Retrieves the notional at the given date
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abstract double |
getNotional(double dblDate1,
double dblDate2)
Retrieves the time-weighted notional between 2 given dates
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abstract int |
getNumberofComponents()
Returns the number of components in the basket
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abstract java.util.Map<java.lang.String,java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the full input set of market parameters
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentCreditCurveNames, getComponentIRCurveNames
public abstract java.lang.String getName()
public abstract int getNumberofComponents()
public abstract double getInitialNotional()
public abstract double getNotional(double dblDate) throws java.lang.Exception
dblDate
- Double JulianDatejava.lang.Exception
- Thrown if inputs are invalidpublic abstract double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- Double JulianDate firstdblDate2
- Double JulianDate second
; @return Notionaljava.lang.Exception
- Thrown if inputs are invalidpublic abstract double getCoupon(double dblDate, BasketMarketParams bmp) throws java.lang.Exception
dblDate
- Double JulianDatebmp
- Basket Market Parametersjava.lang.Exception
- Thrown if coupon cannot be calculatedpublic abstract JulianDate getEffectiveDate()
public abstract JulianDate getMaturityDate()
public abstract java.util.List<CouponPeriod> getCouponPeriod()
public abstract JulianDate getFirstCouponDate()
public abstract java.util.Map<java.lang.String,java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, BasketMarketParams bmp, QuotingParams quotingParams)
valParams
- ValuationParamspricerParams
- PricerParamsbmp
- BasketMarketParamsquotingParams
- Quoting Parameterspublic double calcMeasureValue(ValuationParams valParams, PricerParams pricerParams, BasketMarketParams bmp, QuotingParams quotingParams, java.lang.String strMeasure) throws java.lang.Exception
valParams
- ValuationParamspricerParams
- PricerParamsbmp
- BasketMarketParamsquotingParams
- Quoting ParametersstrMeasure
- Measure Stringjava.lang.Exception
- Thrown if the measure cannot be calculatedpublic BasketMeasures calcMeasures(ValuationParams valParams, PricerParams pricerParams, MarketParams mpc, QuotingParams quotingParams)
valParams
- ValuationParamspricerParams
- PricerParamsmpc
- org.drip.param.definition.MarketParamsquotingParams
- Quoting Parameterspublic java.util.Map<java.lang.String,java.lang.Double> calcCustomScenarioMeasures(ValuationParams valParams, PricerParams pricerParams, MarketParams mpc, java.lang.String strCustomScenName, QuotingParams quotingParams, java.util.Map<java.lang.String,java.lang.Double> mapBase)