public abstract class BasketProduct extends Serializer implements BasketMarketParamRef
NULL_SER_STRING, VERSION
Constructor and Description |
---|
BasketProduct() |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<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
|
java.util.Set<java.lang.String> |
getComponentCreditCurveNames()
Retrieve the set of the component credit curve names
|
java.util.Set<java.lang.String> |
getComponentIRCurveNames()
Retrieve the set of the component IR curve names
|
abstract Component[] |
getComponents()
Returns the Components in the Basket
|
double |
getCoupon(double dblDate,
BasketMarketParams bmp)
Retrieves the basket product's coupon amount at the given date
|
java.util.List<CouponPeriod> |
getCouponPeriod()
Gets the basket product's coupon periods
|
JulianDate |
getEffectiveDate()
Returns the effective date of the basket product
|
JulianDate |
getFirstCouponDate()
Gets the first coupon date
|
double |
getInitialNotional()
Returns the initial notional of the basket product
|
JulianDate |
getMaturityDate()
Returns the maturity date of the basket product
|
abstract java.lang.String |
getName()
Returns the basket name
|
double |
getNotional(double dblDate)
Retrieves the notional at the given date
|
double |
getNotional(double dblDate1,
double dblDate2)
Retrieves the time-weighted notional between 2 given dates
|
double[] |
getWeights()
Retrieve the component Weights
|
CaseInsensitiveTreeMap<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
|
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
public abstract java.lang.String getName()
public abstract Component[] getComponents()
public double[] getWeights()
public java.util.Set<java.lang.String> getComponentIRCurveNames()
BasketMarketParamRef
getComponentIRCurveNames
in interface BasketMarketParamRef
public java.util.Set<java.lang.String> getComponentCreditCurveNames()
BasketMarketParamRef
getComponentCreditCurveNames
in interface BasketMarketParamRef
public double getInitialNotional() throws java.lang.Exception
java.lang.Exception
- Thrown if inputs are invalidpublic double getNotional(double dblDate) throws java.lang.Exception
dblDate
- Double JulianDatejava.lang.Exception
- Thrown if inputs are invalidpublic double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- Double JulianDate firstdblDate2
- Double JulianDate secondjava.lang.Exception
- Thrown if inputs are invalidpublic double getCoupon(double dblDate, BasketMarketParams bmp) throws java.lang.Exception
dblDate
- Double JulianDatebmp
- Basket Market Parametersjava.lang.Exception
- Thrown if coupon cannot be calculatedpublic JulianDate getEffectiveDate()
public JulianDate getMaturityDate()
public java.util.List<CouponPeriod> getCouponPeriod()
public JulianDate getFirstCouponDate()
public CaseInsensitiveTreeMap<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 CaseInsensitiveTreeMap<java.lang.Double> calcCustomScenarioMeasures(ValuationParams valParams, PricerParams pricerParams, MarketParams mpc, java.lang.String strCustomScenName, QuotingParams quotingParams, CaseInsensitiveTreeMap<java.lang.Double> mapBase)