public abstract class Component extends Serializer implements ComponentMarketParamRef
NULL_SER_STRING, VERSION
Constructor and Description |
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Component() |
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> mapBaseOP)
Generates a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
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ComponentMeasures |
calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generates a full list of the component measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
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double |
calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculates the value of the given component measure
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abstract CashSettleParams |
getCashSettleParams()
Gets the component cash settlement parameters
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abstract double |
getCoupon(double dblValue,
ComponentMarketParams mktParams)
Gets the component's coupon at the given date
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abstract java.util.List<Period> |
getCouponPeriod()
Gets the component's coupon periods
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abstract JulianDate |
getEffectiveDate()
Get the Effective Date
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abstract JulianDate |
getFirstCouponDate()
Get the First Coupon Date
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abstract double |
getInitialNotional()
Gets the Initial Notional for the Component
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abstract JulianDate |
getMaturityDate()
Get the Maturity Date
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abstract double |
getNotional(double dblDate)
Gets the Notional for the Component at the given date
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abstract double |
getNotional(double dblDate1,
double dblDate2)
Gets the time-weighted Notional for the Component between 2 dates
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abstract boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Sets the component's IR, treasury, and credit curve names
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abstract java.util.Map<java.lang.String,java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generates a full list of the component 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
getComponentName, getCreditCurveName, getEDSFCurveName, getIRCurveName, getTreasuryCurveName
public abstract double getInitialNotional() throws java.lang.Exception
java.lang.Exception
- Thrown if Initial Notional cannot be computedpublic abstract double getNotional(double dblDate) throws java.lang.Exception
dblDate
- Double date inputjava.lang.Exception
- Thrown if Notional cannot be computedpublic abstract double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- Double date firstdblDate2
- Double date secondjava.lang.Exception
- Thrown if Notional cannot be computedpublic abstract double getCoupon(double dblValue, ComponentMarketParams mktParams) throws java.lang.Exception
dblValue
- Valuation DatemktParams
- Component Market Parametersjava.lang.Exception
- Thrown if Component's coupon cannot be calculatedpublic abstract JulianDate getEffectiveDate()
public abstract JulianDate getMaturityDate()
public abstract JulianDate getFirstCouponDate()
public abstract boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
strIR
- IR curve namestrIRTSY
- Treasury Curve NamestrCC
- Credit Curve Namepublic abstract java.util.List<Period> getCouponPeriod()
public abstract CashSettleParams getCashSettleParams()
public abstract java.util.Map<java.lang.String,java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting Parameterspublic double calcMeasureValue(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, java.lang.String strMeasure) throws java.lang.Exception
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsstrMeasure
- Measure StringquotingParams
- Quoting Parametersjava.lang.Exception
- Thrown if the measure cannot be calculatedpublic ComponentMeasures 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> mapBaseOP)
valParams
- ValuationParamspricerParams
- PricerParamsmpc
- org.drip.param.definition.MarketParamsstrCustomScenName
- Custom Scenario NamequotingParams
- Quoting ParametersmapBaseOP
- Base OP from used to calculate the desired delta measure. If null, the base OP will
be generated.