/**
* Compute Basket's Custom Scenario Measures
*
* @param valParams Valuation Parameters
* @param pricerParams Pricer Parameters
* @param mpc Market Parameters Container
* @param strCustomScenName Custom Scenario Name
* @param quotingParams Quoting Parameters
* @param mapBase Map of Base Measures
* @return Basket's Custom Scenario Measures
*/
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
calcCustomScenarioMeasures(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.MarketParams mpc,
final java.lang.String strCustomScenName,
final org.drip.param.valuation.QuotingParams quotingParams,
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBase) {
if (null == valParams || null == mpc) return null;
if (null == mapBase && null == mpc.getScenBMP(this, "Base")) return null;
if (null == mapBase) {
org.drip.param.definition.BasketMarketParams bmp = mpc.getScenBMP(this, "Base");
if (null == bmp || null == (mapBase = value(valParams, pricerParams, bmp, quotingParams)))
return null;
}
org.drip.param.definition.BasketMarketParams bmpScen = mpc.getScenBMP(this, strCustomScenName);
if (null == bmpScen) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapScenMeasures =
value(valParams, pricerParams, bmpScen, quotingParams);
if (null == mapScenMeasures || null != mapScenMeasures.entrySet()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOP =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapScenMeasures.entrySet()) {
if (null == me || null == me.getKey()) continue;
mapOP.put(me.getKey(), me.getValue() - mapBase.get(me.getKey()));
}
return mapOP;
}
/**
* Generate a full list of the basket product measures for the set of scenario market parameters
* present in the org.drip.param.definition.MarketParams
*
* @param valParams ValuationParams
* @param pricerParams PricerParams
* @param mpc org.drip.param.definition.MarketParams
* @param quotingParams Quoting Parameters
* @return BasketOutput object
*/
public org.drip.analytics.output.BasketMeasures calcMeasures(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.MarketParams mpc,
final org.drip.param.valuation.QuotingParams quotingParams) {
if (null == valParams || null == mpc) return null;
long lStart = System.nanoTime();
org.drip.analytics.output.BasketMeasures bkop = new org.drip.analytics.output.BasketMeasures();
if (null
== (bkop._mBase =
value(valParams, pricerParams, mpc.getScenBMP(this, "Base"), quotingParams)))
return null;
FlatDeltaGammaMeasureMap dgmmCredit =
accumulateDeltaGammaMeasures(
valParams,
pricerParams,
mpc.getScenBMP(this, "FlatCreditBumpUp"),
mpc.getScenBMP(this, "FlatCreditBumpDn"),
quotingParams,
bkop._mBase);
if (null != dgmmCredit && null != (bkop._mFlatCreditDelta = dgmmCredit._mapDelta))
bkop._mFlatCreditGamma = dgmmCredit._mapGamma;
FlatDeltaGammaMeasureMap dgmmRates =
accumulateDeltaGammaMeasures(
valParams,
pricerParams,
mpc.getScenBMP(this, "FlatIRBumpUp"),
mpc.getScenBMP(this, "FlatIRBumpDn"),
quotingParams,
bkop._mBase);
if (null != dgmmRates && null != (bkop._mFlatIRDelta = dgmmRates._mapDelta))
bkop._mFlatIRGamma = dgmmRates._mapGamma;
FlatDeltaGammaMeasureMap dgmmRecovery =
accumulateDeltaGammaMeasures(
valParams,
pricerParams,
mpc.getScenBMP(this, "FlatRRBumpUp"),
mpc.getScenBMP(this, "FlatRRBumpDn"),
quotingParams,
bkop._mBase);
if (null != dgmmRecovery && null != (bkop._mFlatRRDelta = dgmmRates._mapDelta))
bkop._mFlatRRGamma = dgmmRates._mapGamma;
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.BasketMarketParams>
mapBMPIRTenorUp = mpc.getIRBumpBMP(this, true);
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.BasketMarketParams>
mapBMPIRTenorDown = mpc.getIRBumpBMP(this, false);
TenorDeltaGammaMeasureMap mapDGMMRatesTenor =
accumulateTenorDeltaGammaMeasures(
valParams,
pricerParams,
mapBMPIRTenorUp,
mapBMPIRTenorDown,
quotingParams,
bkop._mBase,
null);
if (null != mapDGMMRatesTenor) {
bkop._mmIRDelta = mapDGMMRatesTenor._mmDelta;
bkop._mmIRGamma = mapDGMMRatesTenor._mmGamma;
}
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.BasketMarketParams>
mapBMPCreditTenorUp = mpc.getCreditBumpBMP(this, true);
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.param.definition.BasketMarketParams>
mapBMPCreditTenorDown = mpc.getCreditBumpBMP(this, false);
TenorDeltaGammaMeasureMap mapDGMMCreditComp =
accumulateTenorDeltaGammaMeasures(
valParams,
pricerParams,
mapBMPCreditTenorUp,
mapBMPCreditTenorDown,
quotingParams,
bkop._mBase,
null);
if (null != mapDGMMCreditComp) {
bkop._mmCreditDelta = mapDGMMCreditComp._mmDelta;
bkop._mmCreditGamma = mapDGMMCreditComp._mmGamma;
}
TenorDeltaGammaMeasureMap mapDGMMRecoveryTenor =
accumulateTenorDeltaGammaMeasures(
valParams,
pricerParams,
mpc.getRecoveryBumpBMP(this, true),
mpc.getRecoveryBumpBMP(this, false),
quotingParams,
bkop._mBase,
null);
if (null != mapDGMMRecoveryTenor) {
bkop._mmRRDelta = mapDGMMRecoveryTenor._mmDelta;
bkop._mmRRGamma = mapDGMMRecoveryTenor._mmGamma;
}
ComponentFactorTenorDeltaGammaMeasureMap mapCompRatesTenorDGMM =
accumulateComponentWiseTenorDeltaGammaMeasures(
valParams,
pricerParams,
mapBMPCreditTenorUp,
mapBMPIRTenorUp,
mapBMPIRTenorDown,
quotingParams,
bkop._mBase);
if (null != mapCompRatesTenorDGMM) {
bkop._mmmIRTenorDelta = mapCompRatesTenorDGMM._mmmDelta;
bkop._mmmIRTenorGamma = mapCompRatesTenorDGMM._mmmGamma;
}
ComponentFactorTenorDeltaGammaMeasureMap mapCompCreditTenorDGMM =
accumulateComponentWiseTenorDeltaGammaMeasures(
valParams,
pricerParams,
mapBMPCreditTenorUp,
mapBMPCreditTenorUp,
mapBMPCreditTenorDown,
quotingParams,
bkop._mBase);
if (null != mapCompCreditTenorDGMM) {
bkop._mmmCreditTenorDelta = mapCompCreditTenorDGMM._mmmDelta;
bkop._mmmCreditTenorGamma = mapCompCreditTenorDGMM._mmmGamma;
}
bkop._dblCalcTime = (System.nanoTime() - lStart) * 1.e-09;
return bkop;
}
