/**
* Retrieve the basket product's coupon amount at the given date
*
* @param dblDate Double JulianDate
* @param bmp Basket Market Parameters
* @return Coupon Amount
* @throws java.lang.Exception Thrown if coupon cannot be calculated
*/
public double getCoupon(
final double dblDate, final org.drip.param.definition.BasketMarketParams bmp)
throws java.lang.Exception {
double dblNotional = getNotional(dblDate);
if (null == bmp || 0. == dblNotional || !org.drip.quant.common.NumberUtil.IsValid(dblNotional))
throw new java.lang.Exception("BasketProduct::getCoupon => Cannot extract basket notional");
org.drip.product.definition.Component[] aComp = getComponents();
double dblCoupon = 0.;
int iNumComp = aComp.length;
for (int i = 0; i < iNumComp; ++i)
dblCoupon += aComp[i].getCoupon(dblDate, bmp.getComponentMarketParams(aComp[i]));
return dblCoupon / dblNotional;
}
/**
* Generate a full list of the basket product measures for the full input set of market parameters
*
* @param valParams ValuationParams
* @param pricerParams PricerParams
* @param bmp BasketMarketParams
* @param quotingParams Quoting Parameters
* @return Map of measure name and value
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.BasketMarketParams bmp,
final org.drip.param.valuation.QuotingParams quotingParams) {
long lStart = System.nanoTime();
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBasketOP =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
org.drip.product.definition.Component[] aComp = getComponents();
double[] adblWeight = getWeights();
int iNumComp = aComp.length;
for (int i = 0; i < iNumComp; ++i) {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCompOP =
aComp[i].value(
valParams, pricerParams, bmp.getComponentMarketParams(aComp[i]), quotingParams);
if (null == mapCompOP || 0 == mapCompOP.size()) continue;
java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapCompOPES =
mapCompOP.entrySet();
if (null == mapCompOPES) continue;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> meCompOP : mapCompOPES) {
if (null == meCompOP) continue;
java.lang.String strKey = meCompOP.getKey();
if (null == strKey || strKey.isEmpty()) continue;
java.lang.Double dblCompValue = mapCompOP.get(strKey);
java.lang.Double dblBasketValue = mapBasketOP.get(strKey);
if (MEASURE_AGGREGATION_TYPE_CUMULATIVE == measureAggregationType(strKey))
mapBasketOP.put(
strKey,
(null == dblCompValue ? 0. : dblCompValue)
+ (null == dblBasketValue ? 0. : dblBasketValue));
else if (MEASURE_AGGREGATION_TYPE_WEIGHTED_CUMULATIVE == measureAggregationType(strKey)
&& null != adblWeight)
mapBasketOP.put(
strKey,
(null == dblCompValue ? 0. : adblWeight[i] * dblCompValue)
+ (null == dblBasketValue ? 0. : dblBasketValue));
else if (MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE == measureAggregationType(strKey))
mapBasketOP.put(
aComp[i].getComponentName() + "[" + strKey + "]",
(null == dblCompValue ? 0. : dblCompValue));
}
}
mapBasketOP.put("CalcTime", (System.nanoTime() - lStart) * 1.e-09);
return mapBasketOP;
}
