public class CDSBasket extends BasketProduct
NULL_SER_STRING, VERSION
Constructor and Description |
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CDSBasket(byte[] ab)
BasketDefaultSwap de-serialization from input byte array
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CDSBasket(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
Component[] aComp,
double[] adblWeight,
java.lang.String strName)
Constructs a CDS Basket from the components and their weights
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Modifier and Type | Method and Description |
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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java.lang.String |
getCollectionRecordDelimiter()
Returns the Collection Record Delimiter String
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java.util.Set<java.lang.String> |
getComponentCreditCurveNames()
Retrieve the set of the component credit curve names
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java.util.Set<java.lang.String> |
getComponentIRCurveNames()
Retrieve the set of the component IR curve names
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double |
getCoupon(double dblDate,
BasketMarketParams bmp)
Retrieves the basket product's coupon amount at the given date
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java.util.List<CouponPeriod> |
getCouponPeriod()
Gets the basket product's coupon periods
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JulianDate |
getEffectiveDate()
Returns the effective date of the basket product
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java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String
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JulianDate |
getFirstCouponDate()
Gets the first coupon date
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double |
getInitialNotional()
Returns the initial notional of the basket product
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JulianDate |
getMaturityDate()
Returns the maturity date of the basket product
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java.lang.String |
getName()
Returns the basket name
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double |
getNotional(double dblDate)
Retrieves the notional at the given date
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double |
getNotional(double dblDate1,
double dblDate2)
Retrieves the time-weighted notional between 2 given dates
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int |
getNumberofComponents()
Returns the number of components in the basket
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java.lang.String |
getObjectTrailer()
Returns the Object Trailer String
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static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()
Serialize into a byte array.
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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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calcCustomScenarioMeasures, calcMeasures, calcMeasureValue
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter
public CDSBasket(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, Component[] aComp, double[] adblWeight, java.lang.String strName) throws java.lang.Exception
dtEffective
- EffectivedtMaturity
- MaturitydblCoupon
- CouponaComp
- Array of componentsadblWeight
- Weights of the componentsstrName
- Name of the basketjava.lang.Exception
- Thrown if the inputs are invalidpublic CDSBasket(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if BasketDefaultSwap cannot be properly de-serializedpublic java.lang.String getName()
BasketProduct
getName
in class BasketProduct
public double getNotional(double dblDate) throws java.lang.Exception
BasketProduct
getNotional
in class BasketProduct
dblDate
- Double JulianDatejava.lang.Exception
- Thrown if inputs are invalidpublic double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
BasketProduct
getNotional
in class BasketProduct
dblDate1
- Double JulianDate firstdblDate2
- Double JulianDate second
; @return Notionaljava.lang.Exception
- Thrown if inputs are invalidpublic double getInitialNotional()
BasketProduct
getInitialNotional
in class BasketProduct
public double getCoupon(double dblDate, BasketMarketParams bmp) throws java.lang.Exception
BasketProduct
getCoupon
in class BasketProduct
dblDate
- Double JulianDatebmp
- Basket Market Parametersjava.lang.Exception
- Thrown if coupon cannot be calculatedpublic JulianDate getEffectiveDate()
BasketProduct
getEffectiveDate
in class BasketProduct
public JulianDate getMaturityDate()
BasketProduct
getMaturityDate
in class BasketProduct
public JulianDate getFirstCouponDate()
BasketProduct
getFirstCouponDate
in class BasketProduct
public java.util.List<CouponPeriod> getCouponPeriod()
BasketProduct
getCouponPeriod
in class BasketProduct
public int getNumberofComponents()
BasketProduct
getNumberofComponents
in class BasketProduct
public java.util.Set<java.lang.String> getComponentIRCurveNames()
BasketMarketParamRef
public java.util.Set<java.lang.String> getComponentCreditCurveNames()
BasketMarketParamRef
public java.util.Map<java.lang.String,java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, BasketMarketParams bmp, QuotingParams quotingParams)
BasketProduct
value
in class BasketProduct
valParams
- ValuationParamspricerParams
- PricerParamsbmp
- BasketMarketParamsquotingParams
- Quoting Parameterspublic java.lang.String getFieldDelimiter()
Serializer
getFieldDelimiter
in class Serializer
public java.lang.String getCollectionRecordDelimiter()
Serializer
getCollectionRecordDelimiter
in class Serializer
public java.lang.String getObjectTrailer()
Serializer
getObjectTrailer
in class Serializer
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception