/**
* 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;
}
private ComponentFactorTenorDeltaGammaMeasureMap accumulateComponentWiseTenorDeltaGammaMeasures(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.param.definition.BasketMarketParams>
mapComponentBMP,
final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.param.definition.BasketMarketParams>
mapTenorUpBMP,
final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.param.definition.BasketMarketParams>
mapTenorDownBMP,
final org.drip.param.valuation.QuotingParams quotingParams,
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures) {
if (null == mapComponentBMP || 0 == mapComponentBMP.size()) return null;
java.util.Set<
java.util.Map.Entry<java.lang.String, org.drip.param.definition.BasketMarketParams>>
mapESComponentBMP = mapComponentBMP.entrySet();
if (null == mapESComponentBMP || 0 == mapESComponentBMP.size()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<TenorDeltaGammaMeasureMap>
mapComponentTenorDGMM =
new org.drip.analytics.support.CaseInsensitiveTreeMap<TenorDeltaGammaMeasureMap>();
for (java.util.Map.Entry<java.lang.String, org.drip.param.definition.BasketMarketParams>
meComponentBMP : mapESComponentBMP) {
if (null == meComponentBMP) continue;
java.lang.String strComponentName = meComponentBMP.getKey();
if (null == strComponentName || strComponentName.isEmpty()) continue;
org.drip.param.definition.BasketMarketParams bmpComponent = meComponentBMP.getValue();
if (null != bmpComponent)
mapComponentTenorDGMM.put(
strComponentName,
accumulateTenorDeltaGammaMeasures(
valParams,
pricerParams,
mapTenorUpBMP,
mapTenorDownBMP,
quotingParams,
mapBaseMeasures,
new ComponentCurve(
strComponentName, bmpComponent.getCreditCurve(strComponentName))));
}
if (0 == mapComponentTenorDGMM.size()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
mmmCompRatesDelta =
new org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>();
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>
mmmCompRatesGamma =
new org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>>();
for (java.util.Map.Entry<java.lang.String, TenorDeltaGammaMeasureMap> meCompTenorDGMM :
mapComponentTenorDGMM.entrySet()) {
if (null == meCompTenorDGMM) continue;
TenorDeltaGammaMeasureMap dgmmCompTenorDeltaGamma = meCompTenorDGMM.getValue();
if (null != dgmmCompTenorDeltaGamma) {
java.lang.String strKey = meCompTenorDGMM.getKey();
mmmCompRatesDelta.put(strKey, dgmmCompTenorDeltaGamma._mmDelta);
mmmCompRatesGamma.put(strKey, dgmmCompTenorDeltaGamma._mmGamma);
}
}
return new ComponentFactorTenorDeltaGammaMeasureMap(mmmCompRatesDelta, mmmCompRatesGamma);
}
private TenorDeltaGammaMeasureMap accumulateTenorDeltaGammaMeasures(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.param.definition.BasketMarketParams>
mapTenorUpBMP,
final org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.param.definition.BasketMarketParams>
mapTenorDownBMP,
final org.drip.param.valuation.QuotingParams quotingParams,
final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures,
final ComponentCurve compCurve) {
if (null == mapTenorUpBMP || 0 == mapTenorUpBMP.size()) return null;
java.util.Set<
java.util.Map.Entry<java.lang.String, org.drip.param.definition.BasketMarketParams>>
mapESTenorUpBMP = mapTenorUpBMP.entrySet();
if (null == mapESTenorUpBMP || 0 == mapESTenorUpBMP.size()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<FlatDeltaGammaMeasureMap> mapTenorDGMM =
new org.drip.analytics.support.CaseInsensitiveTreeMap<FlatDeltaGammaMeasureMap>();
for (java.util.Map.Entry<java.lang.String, org.drip.param.definition.BasketMarketParams>
meTenorUpBMP : mapESTenorUpBMP) {
if (null == meTenorUpBMP) continue;
java.lang.String strTenorKey = meTenorUpBMP.getKey();
if (null == strTenorKey || strTenorKey.isEmpty()) continue;
org.drip.param.definition.BasketMarketParams bmpTenorUp = meTenorUpBMP.getValue();
org.drip.param.definition.BasketMarketParams bmpTenorDown = mapTenorDownBMP.get(strTenorKey);
org.drip.analytics.definition.CreditCurve ccVirginUp = null;
org.drip.analytics.definition.CreditCurve ccVirginDown = null;
if (null != bmpTenorUp
&& null != compCurve
&& null != compCurve._cc
&& null != compCurve._strName
&& !compCurve._strName.isEmpty()) {
ccVirginUp = bmpTenorUp.getCreditCurve(compCurve._strName);
bmpTenorUp.addCreditCurve(compCurve._strName, compCurve._cc);
if (null != bmpTenorDown) {
ccVirginDown = bmpTenorDown.getCreditCurve(compCurve._strName);
bmpTenorDown.addCreditCurve(compCurve._strName, compCurve._cc);
}
}
mapTenorDGMM.put(
strTenorKey,
accumulateDeltaGammaMeasures(
valParams, pricerParams, bmpTenorUp, bmpTenorDown, quotingParams, mapBaseMeasures));
if (null != bmpTenorUp
&& null != compCurve
&& null != compCurve._strName
&& !compCurve._strName.isEmpty()
&& null != ccVirginUp) bmpTenorUp.addCreditCurve(compCurve._strName, ccVirginUp);
if (null != bmpTenorDown
&& null != compCurve
&& null != compCurve._strName
&& !compCurve._strName.isEmpty()
&& null != ccVirginDown) bmpTenorDown.addCreditCurve(compCurve._strName, ccVirginDown);
}
if (0 == mapTenorDGMM.size()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmDelta =
new org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();
org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmGamma =
new org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();
for (java.util.Map.Entry<java.lang.String, FlatDeltaGammaMeasureMap> meTenorDGMM :
mapTenorDGMM.entrySet()) {
if (null == meTenorDGMM) continue;
FlatDeltaGammaMeasureMap dgmmTenorDelta = meTenorDGMM.getValue();
if (null != dgmmTenorDelta) {
java.lang.String strKey = meTenorDGMM.getKey();
mmDelta.put(strKey, dgmmTenorDelta._mapDelta);
mmGamma.put(strKey, dgmmTenorDelta._mapGamma);
}
}
return new TenorDeltaGammaMeasureMap(mmDelta, mmGamma);
}
