CompositePeriod.java
package org.drip.analytics.cashflow;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>CompositePeriod</i> implements the Composite Coupon Period Functionality. It contains the Composite
* Period Coupon Frequency, Tenor, Accrual Compounding Rule, Day Count, Base Notional, Coupon/Notional
* Schedules, Pay Currency, Credit Label, FX Fixing Setting, and the List of Composable Period Units.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/cashflow/README.md">Unit and Composite Cash Flow Periods</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class CompositePeriod {
private int _iFreq = -1;
private java.lang.String _strTenor = "";
private int _iAccrualCompoundingRule = -1;
private java.lang.String _strPayCurrency = "";
private int _iPayDate = java.lang.Integer.MIN_VALUE;
private double _dblBaseNotional = java.lang.Double.NaN;
private org.drip.numerical.common.Array2D _fsCoupon = null;
private org.drip.numerical.common.Array2D _fsNotional = null;
private org.drip.state.identifier.EntityCDSLabel _creditLabel = null;
private org.drip.param.period.FixingSetting _fxFixingSetting = null;
private java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> _lsCUP = null;
protected CompositePeriod (
final org.drip.param.period.CompositePeriodSetting cps,
final java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> lsCUP)
throws java.lang.Exception
{
if (
null == cps ||
null == (_lsCUP = lsCUP) || 0 == _lsCUP.size()
)
throw new java.lang.Exception ("CompositePeriod Constructor => Invalid Inputs");
_iFreq = cps.freq();
_strTenor = cps.tenor();
org.drip.analytics.daycount.DateAdjustParams dapPay = cps.dapPay();
org.drip.analytics.cashflow.ComposableUnitPeriod cupFinal = _lsCUP.get (_lsCUP.size() - 1);
_iAccrualCompoundingRule = cupFinal.accrualCompoundingRule();
_iPayDate = cupFinal.endDate();
if (null != dapPay) _iPayDate = dapPay.roll (_iPayDate);
_strPayCurrency = cps.payCurrency();
_dblBaseNotional = cps.baseNotional();
_fxFixingSetting = cps.fxFixingSetting();
_creditLabel = cps.creditLabel();
_fsNotional = cps.notionalSchedule();
_fsCoupon = cps.couponSchedule();
}
/**
* Retrieve the List of Composable Periods
*
* @return The List of Composable Periods
*/
public java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> periods()
{
return _lsCUP;
}
/**
* Retrieve the Period Start Date
*
* @return The Period Start Date
*/
public int startDate()
{
return _lsCUP.get (0).startDate();
}
/**
* Retrieve the Period End Date
*
* @return The Period End Date
*/
public int endDate()
{
return _lsCUP.get (_lsCUP.size() - 1).endDate();
}
/**
* Check whether the supplied Date is inside the Period specified
*
* @param iDate Date
*
* @return TRUE - The specified Date is inside the Period
*/
public boolean contains (
final int iDate)
{
return iDate >= startDate() && iDate <= endDate();
}
/**
* Return the Unit Period to which the Date belongs
*
* @param iDate Date
*
* @return The Unit Period to which the Date belongs
*/
public org.drip.analytics.cashflow.ComposableUnitPeriod enclosingCUP (
final int iDate)
{
if (!contains (iDate)) return null;
for (org.drip.analytics.cashflow.ComposableUnitPeriod cup : _lsCUP) {
int iDateLocation = cup.dateLocation (iDate);
if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_INSIDE_SEGMENT == iDateLocation)
return cup;
}
return null;
}
/**
* Retrieve the Accrual Compounding Rule
*
* @return The Accrual Compounding Rule
*/
public int accrualCompoundingRule()
{
return _iAccrualCompoundingRule;
}
/**
* Return the Period Pay Date
*
* @return Period Pay Date
*/
public int payDate()
{
return _iPayDate;
}
/**
* Return the Period FX Fixing Date
*
* @return Period FX Fixing Date
*
* @throws java.lang.Exception Thrown if FX Fixing Date cannot be generated
*/
public int fxFixingDate()
throws java.lang.Exception
{
if (null == _fxFixingSetting) return _iPayDate;
int iUnadjustedFixingDate = java.lang.Integer.MIN_VALUE;
int iFixingType = _fxFixingSetting.type();
if (org.drip.param.period.FixingSetting.FIXING_COMPOSITE_PERIOD_END == iFixingType)
iUnadjustedFixingDate = endDate();
else if (org.drip.param.period.FixingSetting.FIXING_COMPOSITE_PERIOD_START == iFixingType)
iUnadjustedFixingDate = startDate();
else if (org.drip.param.period.FixingSetting.FIXING_PRESET_STATIC == iFixingType)
iUnadjustedFixingDate = _fxFixingSetting.staticDate();
org.drip.analytics.daycount.DateAdjustParams dapFixing = _fxFixingSetting.dap();
if (null == dapFixing) return iUnadjustedFixingDate;
return dapFixing.roll (iUnadjustedFixingDate);
}
/**
* Is this Cash Flow FX MTM?
*
* @return TRUE - FX MTM is on (i.e., FX is not Driven by Fixing)
*/
public boolean isFXMTM()
{
return null == _fxFixingSetting;
}
/**
* Coupon Period FX
*
* @param csqc Market Parameters
*
* @return The Period FX
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double fx (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception
{
org.drip.state.identifier.FXLabel fxLabel = fxLabel();
if (null == fxLabel) return 1.;
if (null == csqc) throw new java.lang.Exception ("CompositePeriod::fx => Invalid Inputs");
if (!isFXMTM())
return csqc.fixing (
fxFixingDate(),
fxLabel
);
org.drip.state.fx.FXCurve fxfc = csqc.fxState (fxLabel);
if (null == fxfc)
throw new java.lang.Exception ("CompositePeriod::fx => No Curve for " +
fxLabel.fullyQualifiedName());
return fxfc.fx (_iPayDate);
}
/**
* Retrieve the Coupon Frequency
*
* @return The Coupon Frequency
*/
public int freq()
{
return _iFreq;
}
/**
* Convert the Coupon Frequency into a Tenor
*
* @return The Coupon Frequency converted into a Tenor
*/
public java.lang.String tenor()
{
if (null != _strTenor && !_strTenor.isEmpty()) return _strTenor;
int iTenorInMonths = 12 / freq() ;
return
1 == iTenorInMonths ||
2 == iTenorInMonths ||
3 == iTenorInMonths ||
6 == iTenorInMonths ||
12 == iTenorInMonths ?
iTenorInMonths + "M" : "ON";
}
/**
* Retrieve the Pay Currency
*
* @return The Pay Currency
*/
public java.lang.String payCurrency()
{
return _strPayCurrency;
}
/**
* Retrieve the Coupon Currency
*
* @return The Coupon Currency
*/
public java.lang.String couponCurrency()
{
return _lsCUP.get (0).couponCurrency();
}
/**
* Retrieve the Period Basis
*
* @return The Period Basis
*/
public double basis()
{
return _lsCUP.get (0).basis();
}
/**
* Coupon Period Survival Probability
*
* @param csqc Market Parameters
*
* @return The Period Survival Probability
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double survival (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception
{
org.drip.state.identifier.EntityCDSLabel creditLabel = creditLabel();
if (null == creditLabel) return 1.;
if (null == csqc) throw new java.lang.Exception ("CompositePeriod::survival => Invalid Inputs");
org.drip.state.credit.CreditCurve cc = csqc.creditState (creditLabel);
if (null == cc)
throw new java.lang.Exception ("CompositePeriod::survival => No Curve for " +
creditLabel.fullyQualifiedName());
return cc.survival (_iPayDate);
}
/**
* Retrieve the Coupon Period Recovery
*
* @param csqc Market Parameters
*
* @return The Period Recovery
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double recovery (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception
{
org.drip.state.identifier.EntityCDSLabel creditLabel = creditLabel();
if (null == creditLabel) return 1.;
if (null == csqc) throw new java.lang.Exception ("CompositePeriod::recovery => Invalid Inputs");
org.drip.state.credit.CreditCurve cc = csqc.creditState (creditLabel);
if (null == cc)
throw new java.lang.Exception ("CompositePeriod::recovery => No Curve for " +
creditLabel.fullyQualifiedName());
return cc.recovery (_iPayDate);
}
/**
* Retrieve the Coupon Period Discount Factor
*
* @param csqc Market Parameters
*
* @return The Period Discount Factor
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double df (
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception
{
org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
if (null == csqc) throw new java.lang.Exception ("CompositePeriod::df => Invalid Inputs");
org.drip.state.discount.MergedDiscountForwardCurve dc = csqc.fundingState (fundingLabel);
if (null == dc)
throw new java.lang.Exception ("CompositePeriod::df => No Curve for " +
fundingLabel.fullyQualifiedName());
return dc.df (_iPayDate);
}
/**
* Get the Period Base Notional
*
* @return Period Base Notional
*/
public double baseNotional()
{
return _dblBaseNotional;
}
/**
* Get the Period Notional Schedule
*
* @return Period Notional Schedule
*/
public org.drip.numerical.common.Array2D notionalSchedule()
{
return _fsNotional;
}
/**
* Retrieve the Coupon Period Notional Corresponding to the specified Date
*
* @param iDate The Specified Date
*
* @return The Period Notional Corresponding to the specified Date
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double notional (
final int iDate)
throws java.lang.Exception
{
if (!contains (iDate))
throw new java.lang.Exception ("CompositePeriod::notional => Invalid Inputs: " + iDate + " [" +
startDate() + " => " + endDate() + "]");
return _dblBaseNotional * (null == _fsNotional ? 1. : _fsNotional.y (iDate));
}
/**
* Retrieve the Coupon Period Notional Aggregated over the specified Dates
*
* @param iDate1 The Date #1
* @param iDate2 The Date #2
*
* @return The Period Notional Aggregated over the specified Dates
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double notional (
final int iDate1,
final int iDate2)
throws java.lang.Exception
{
if (
!contains (iDate1) ||
!contains (iDate2)
)
throw new java.lang.Exception ("CompositePeriod::notional => Invalid Dates");
return _dblBaseNotional * (
null == _fsNotional ? 1. : _fsNotional.y (
iDate1,
iDate2
)
);
}
/**
* Get the Period Coupon Schedule
*
* @return Period Coupon Schedule
*/
public org.drip.numerical.common.Array2D couponSchedule()
{
return _fsCoupon;
}
/**
* Retrieve the Period Coupon Schedule Factor Corresponding to the specified Date
*
* @param iDate The Specified Date
*
* @return The Period Coupon Schedule Factor Corresponding to the specified Date
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double couponFactor (
final int iDate)
throws java.lang.Exception
{
if (!contains (iDate))
throw new java.lang.Exception ("CompositePeriod::couponFactor => Invalid Inputs");
return null == _fsCoupon ? 1. : _fsCoupon.y (iDate);
}
/**
* Retrieve the Period Coupon Schedule Factor Aggregated over the specified Dates
*
* @param iDate1 The Date #1
* @param iDate2 The Date #2
*
* @return The Period Coupon Schedule Factor Aggregated over the specified Dates
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double couponFactor (
final int iDate1,
final int iDate2)
throws java.lang.Exception
{
if (!contains (iDate1) || !contains (iDate2))
throw new java.lang.Exception ("CompositePeriod::couponFactor => Invalid Dates");
return null == _fsCoupon ? 1. : _fsCoupon.y (
iDate1,
iDate2
);
}
/**
* Return the Credit Label
*
* @return The Credit Label
*/
public org.drip.state.identifier.EntityCDSLabel creditLabel()
{
return _creditLabel;
}
/**
* Return the Floater Label
*
* @return The Floater Label
*/
public org.drip.state.identifier.FloaterLabel floaterLabel()
{
org.drip.analytics.cashflow.ComposableUnitPeriod cp = _lsCUP.get (0);
return cp instanceof org.drip.analytics.cashflow.ComposableUnitFixedPeriod ? null :
((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cp).referenceIndexPeriod().floaterLabel();
}
/**
* Return the Funding Label
*
* @return The Funding Label
*/
public org.drip.state.identifier.FundingLabel fundingLabel()
{
return org.drip.state.identifier.FundingLabel.Standard (_strPayCurrency);
}
/**
* Return the FX Label
*
* @return The FX Label
*/
public org.drip.state.identifier.FXLabel fxLabel()
{
java.lang.String strCouponCurrency = couponCurrency();
return _strPayCurrency.equalsIgnoreCase (strCouponCurrency) ? null :
org.drip.state.identifier.FXLabel.Standard (_strPayCurrency + "/" + strCouponCurrency);
}
/**
* Compute the Convexity Adjustment for the Composable Periods that use Arithmetic Compounding using the
* specified Value Date using the Market Data provided
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curves/Surface
*
* @return The List of Convexity Adjustments
*/
public java.util.List<org.drip.analytics.output.ConvexityAdjustment> periodWiseConvexityAdjustment (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
java.util.List<org.drip.analytics.output.ConvexityAdjustment> lsConvAdj = new
java.util.ArrayList<org.drip.analytics.output.ConvexityAdjustment>();
if (null == csqc || iValueDate >= _iPayDate) {
for (int i = 0; i < _lsCUP.size(); ++i)
lsConvAdj.add (new org.drip.analytics.output.ConvexityAdjustment());
return lsConvAdj;
}
org.drip.state.identifier.FXLabel fxLabel = fxLabel();
org.drip.state.identifier.EntityCDSLabel creditLabel = creditLabel();
org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
org.drip.state.identifier.ForwardLabel forwardLabel = floaterLabel instanceof
org.drip.state.identifier.ForwardLabel ? (org.drip.state.identifier.ForwardLabel) floaterLabel :
null;
org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
org.drip.state.volatility.VolatilityCurve vcFX = csqc.fxVolatility (fxLabel);
org.drip.state.volatility.VolatilityCurve vcCredit = csqc.creditVolatility (creditLabel);
org.drip.state.volatility.VolatilityCurve vcForward = csqc.forwardVolatility (forwardLabel);
org.drip.state.volatility.VolatilityCurve vcFunding = csqc.fundingVolatility (fundingLabel);
org.drip.function.definition.R1ToR1 r1ToR1CreditForwardCorr = csqc.creditForwardCorrelation (
creditLabel,
forwardLabel
);
org.drip.function.definition.R1ToR1 r1ToR1ForwardFundingCorr = csqc.forwardFundingCorrelation (
forwardLabel,
fundingLabel
);
org.drip.function.definition.R1ToR1 r1ToR1ForwardFXCorr = csqc.forwardFXCorrelation (
forwardLabel,
fxLabel
);
try {
double dblCreditFundingConvexityAdjustment = java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcFunding,
csqc.creditFundingCorrelation (
creditLabel,
fundingLabel
),
iValueDate,
_iPayDate
)
);
double dblCreditFXConvexityAdjustment = isFXMTM() ? java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcFX,
csqc.creditFXCorrelation (
creditLabel,
fxLabel
),
iValueDate,
_iPayDate
)
) : 1.;
double dblFundingFXConvexityAdjustment = isFXMTM() ? java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcFunding,
vcFX,
csqc.fundingFXCorrelation (
fundingLabel,
fxLabel
),
iValueDate,
_iPayDate
)
): 1.;
for (org.drip.analytics.cashflow.ComposableUnitPeriod cup : _lsCUP) {
org.drip.analytics.output.ConvexityAdjustment convAdj = new
org.drip.analytics.output.ConvexityAdjustment();
if (
!convAdj.setCreditFunding (dblCreditFundingConvexityAdjustment) ||
!convAdj.setCreditFX (dblCreditFXConvexityAdjustment) ||
!convAdj.setFundingFX (dblFundingFXConvexityAdjustment)
)
return null;
if (null != forwardLabel) {
if (!(cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod))
return null;
int iFixingDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
if (
!convAdj.setCreditForward (
iValueDate < iFixingDate ? java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcForward,
r1ToR1CreditForwardCorr,
iValueDate,
iFixingDate
)
) : 1.
)
)
return null;
if (
!convAdj.setForwardFunding (
iValueDate < iFixingDate ? java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcForward,
vcFunding,
r1ToR1ForwardFundingCorr,
iValueDate,
iFixingDate
)
) : 1.
)
)
return null;
if (
!convAdj.setForwardFX (
isFXMTM() && iValueDate < iFixingDate ? java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcForward,
vcFX,
r1ToR1ForwardFXCorr,
iValueDate,
iFixingDate
)
) : 1.
)
)
return null;
}
lsConvAdj.add (convAdj);
}
return lsConvAdj;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Compute the Convexity Adjustment for the Composable Periods that use geometric Compounding using the
* specified Value Date using the Market Data provided
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curves/Surface
*
* @return The Convexity Adjustment
*/
public org.drip.analytics.output.ConvexityAdjustment terminalConvexityAdjustment (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
if (null == csqc || iValueDate >= _iPayDate)
return new org.drip.analytics.output.ConvexityAdjustment();
boolean bFXIsMTM = isFXMTM();
org.drip.state.identifier.FXLabel fxLabel = fxLabel();
org.drip.state.identifier.EntityCDSLabel creditLabel = creditLabel();
org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
org.drip.state.identifier.ForwardLabel forwardLabel = floaterLabel instanceof
org.drip.state.identifier.ForwardLabel ? (org.drip.state.identifier.ForwardLabel) floaterLabel :
null;
org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
org.drip.state.volatility.VolatilityCurve vcFX = csqc.fxVolatility (fxLabel);
org.drip.state.volatility.VolatilityCurve vcCredit = csqc.creditVolatility (creditLabel);
org.drip.state.volatility.VolatilityCurve vcForward = csqc.forwardVolatility (forwardLabel);
org.drip.state.volatility.VolatilityCurve vcFunding = csqc.fundingVolatility (fundingLabel);
org.drip.analytics.output.ConvexityAdjustment convAdj = new
org.drip.analytics.output.ConvexityAdjustment();
try {
if (
!convAdj.setCreditFunding (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcFunding,
csqc.creditFundingCorrelation (
creditLabel,
fundingLabel
), iValueDate, _iPayDate
)
)
)
)
return null;
if (
bFXIsMTM && !convAdj.setCreditFX (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcFX,
csqc.creditFXCorrelation (
creditLabel,
fxLabel
),
iValueDate,
_iPayDate
)
)
)
)
return null;
if (
bFXIsMTM && !convAdj.setFundingFX (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcFunding,
vcFX,
csqc.fundingFXCorrelation (
fundingLabel,
fxLabel
),
iValueDate,
_iPayDate
)
)
)
)
return null;
if (null == forwardLabel) return convAdj;
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (0);
if (!(cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)) return null;
int iFixingDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
if (iValueDate < iFixingDate) {
if (
!convAdj.setCreditForward (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcCredit,
vcForward,
csqc.creditForwardCorrelation (
creditLabel,
forwardLabel
),
iValueDate,
iFixingDate
)
)
)
)
return null;
if (
!convAdj.setForwardFunding (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcForward,
vcFunding,
csqc.forwardFundingCorrelation (
forwardLabel,
fundingLabel
),
iValueDate,
iFixingDate
)
)
)
)
return null;
if (
bFXIsMTM && !convAdj.setForwardFX (
java.lang.Math.exp (
org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto (
vcForward,
vcFX,
csqc.forwardFXCorrelation (
forwardLabel,
fxLabel
),
iValueDate,
iFixingDate
)
)
)
)
return null;
}
return convAdj;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Compute the Unit Period Convexity Measures
*
* @param iValueDate Valuation Date
* @param csqc The Market Curve Surface/Quote Set
*
* @return The Unit Period Convexity Measures
*/
public java.util.List<org.drip.analytics.output.UnitPeriodConvexityMetrics> unitPeriodConvexityMetrics (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
java.util.List<org.drip.analytics.output.UnitPeriodConvexityMetrics> lsUPCM = new
java.util.ArrayList<org.drip.analytics.output.UnitPeriodConvexityMetrics>();
int iNumPeriodUnit = _lsCUP.size();
try {
if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_ARITHMETIC ==
_iAccrualCompoundingRule) {
java.util.List<org.drip.analytics.output.ConvexityAdjustment> lsConvAdj =
periodWiseConvexityAdjustment (
iValueDate,
csqc
);
if (null == lsConvAdj || iNumPeriodUnit != lsConvAdj.size()) return null;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
lsUPCM.add (
new org.drip.analytics.output.UnitPeriodConvexityMetrics (
cup.startDate(),
cup.endDate(),
lsConvAdj.get (i)
)
);
}
} else if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
== _iAccrualCompoundingRule)
lsUPCM.add (
new org.drip.analytics.output.UnitPeriodConvexityMetrics (
startDate(),
endDate(),
terminalConvexityAdjustment (
iValueDate,
csqc
)
)
);
return lsUPCM;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Compute the Full Period Coupon Measures
*
* @param iValueDate Valuation Date
* @param csqc The Market Curve Surface/Quote Set
*
* @return The Full Period Coupon Measures
*/
public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (iValueDate)) return null;
java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM = new
java.util.ArrayList<org.drip.analytics.output.UnitPeriodMetrics>();
int iNumPeriodUnit = _lsCUP.size();
double dblUnitAccrual = 1.;
try {
if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_ARITHMETIC ==
_iAccrualCompoundingRule) {
java.util.List<org.drip.analytics.output.ConvexityAdjustment> lsConvAdj =
periodWiseConvexityAdjustment (
iValueDate,
csqc
);
if (null == lsConvAdj || iNumPeriodUnit != lsConvAdj.size()) return null;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
lsUPM.add (
new org.drip.analytics.output.UnitPeriodMetrics (
cup.startDate(),
cup.endDate(),
cup.fullCouponDCF(),
cup.fullCouponRate (csqc),
lsConvAdj.get (i)
)
);
}
} else if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
== _iAccrualCompoundingRule) {
double dblDCF = 0.;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
double dblPeriodDCF = cup.fullCouponDCF();
dblDCF += dblPeriodDCF;
dblUnitAccrual *= (1. + cup.fullCouponRate (csqc) * dblPeriodDCF);
}
lsUPM.add (
new org.drip.analytics.output.UnitPeriodMetrics (
startDate(),
endDate(),
dblDCF,
(dblUnitAccrual - 1.) / dblDCF,
terminalConvexityAdjustment (
iValueDate,
csqc
)
)
);
}
return org.drip.analytics.output.CompositePeriodCouponMetrics.Create (lsUPM);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Compute the Coupon Accrual DCF to the specified Accrual End Date
*
* @param iValueDate The Valuation Date
*
* @return The Coupon Accrual DCF to the specified Accrual End Date
*
* @throws java.lang.Exception Thrown if the Accrual DCF cannot be calculated
*/
public double accrualDCF (
final int iValueDate)
throws java.lang.Exception
{
if (!contains (iValueDate)) return 0.;
int iNumPeriodUnit = _lsCUP.size();
double dblAccrualDCF = 0.;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
int iDateLocation = cup.dateLocation (iValueDate);
if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_INSIDE_SEGMENT == iDateLocation)
dblAccrualDCF += cup.accrualDCF (iValueDate);
else if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_RIGHT_OF_SEGMENT ==
iDateLocation)
dblAccrualDCF += cup.fullCouponDCF();
}
return dblAccrualDCF;
}
/**
* Compute the Full Coupon DCF
*
* @return The Full Coupon DCF
*
* @throws java.lang.Exception Thrown if the Full Coupon DCF cannot be calculated
*/
public double couponDCF()
throws java.lang.Exception
{
int iNumPeriodUnit = _lsCUP.size();
double dblAccrualDCF = 0.;
for (int i = 0; i < iNumPeriodUnit; ++i)
dblAccrualDCF += _lsCUP.get (i).fullCouponDCF();
return dblAccrualDCF;
}
/**
* Compute the Coupon Accrual Measures to the specified Accrual End Date
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
*
* @return The Coupon Accrual Measures to the specified Accrual End Date
*/
public org.drip.analytics.output.CompositePeriodAccrualMetrics accrualMetrics (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
try {
if (!contains (iValueDate)) return null;
java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM = new
java.util.ArrayList<org.drip.analytics.output.UnitPeriodMetrics>();
int iNumPeriodUnit = _lsCUP.size();
int iResetDate = java.lang.Integer.MIN_VALUE;
if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_ARITHMETIC ==
_iAccrualCompoundingRule) {
java.util.List<org.drip.analytics.output.ConvexityAdjustment> lsConvAdj =
periodWiseConvexityAdjustment (
iValueDate,
csqc
);
if (null == lsConvAdj || iNumPeriodUnit != lsConvAdj.size()) return null;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
int iDateLocation = cup.dateLocation (iValueDate);
if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_INSIDE_SEGMENT ==
iDateLocation) {
if (cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
lsUPM.add (
new org.drip.analytics.output.UnitPeriodMetrics (
cup.startDate(),
iValueDate,
cup.accrualDCF (iValueDate),
cup.fullCouponRate (csqc),
lsConvAdj.get (i)
)
);
} else if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_RIGHT_OF_SEGMENT ==
iDateLocation) {
if (cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
lsUPM.add (
new org.drip.analytics.output.UnitPeriodMetrics (
cup.startDate(),
cup.endDate(),
cup.fullCouponDCF(),
cup.fullCouponRate (csqc),
lsConvAdj.get (i)
)
);
}
}
} else if (org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
== _iAccrualCompoundingRule) {
double dblAccrualDCF = 0.;
double dblUnitAccrual = 1.;
for (int i = 0; i < iNumPeriodUnit; ++i) {
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (i);
int iDateLocation = cup.dateLocation (iValueDate);
if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_INSIDE_SEGMENT ==
iDateLocation) {
double dblPeriodAccrualDCF = cup.accrualDCF (iValueDate);
dblAccrualDCF += dblPeriodAccrualDCF;
dblUnitAccrual *= (1. + cup.fullCouponRate (csqc) * dblPeriodAccrualDCF);
if (cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
} else if (org.drip.analytics.cashflow.ComposableUnitFixedPeriod.NODE_RIGHT_OF_SEGMENT ==
iDateLocation) {
double dblPeriodDCF = cup.fullCouponDCF();
dblAccrualDCF += dblPeriodDCF;
dblUnitAccrual *= (1. + cup.fullCouponRate (csqc) * dblPeriodDCF);
if (cup instanceof org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod)
cup).referenceIndexPeriod().fixingDate();
}
}
if (0. < dblAccrualDCF)
lsUPM.add (
new org.drip.analytics.output.UnitPeriodMetrics (
startDate(),
iValueDate,
dblAccrualDCF,
(dblUnitAccrual - 1.) / dblAccrualDCF, terminalConvexityAdjustment (
iValueDate,
csqc
)
)
);
}
return 0 == lsUPM.size() ? null : org.drip.analytics.output.CompositePeriodAccrualMetrics.Create (
iResetDate,
lsUPM
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Create a List of Loss Period Measures
*
* @param creditComponent Component for which the Measures are to be generated
* @param valuationParameters Valuation Parameters from which the Periods are generated
* @param cpp Pricer Parameters that control the Generation Characteristics
* @param iWorkoutDate Date representing the Absolute End of all the generated Periods
* @param csqc Market Parameters
*
* @return The Generated Loss Quadrature Metrics
*/
public java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lossMetrics (
final org.drip.product.definition.CreditComponent creditComponent,
final org.drip.param.valuation.ValuationParams valuationParameters,
final org.drip.param.pricer.CreditPricerParams cpp,
final int iWorkoutDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
{
if (
null == creditComponent || null == csqc.creditState (creditComponent.creditLabel()) ||
null == valuationParameters ||
null == cpp ||
null == csqc ||
startDate() > iWorkoutDate
)
return null;
org.drip.state.discount.MergedDiscountForwardCurve dc = csqc.fundingState
(org.drip.state.identifier.FundingLabel.Standard (_strPayCurrency));
if (null == dc) return null;
int iEndDate = endDate();
int iDiscretizationScheme = cpp.discretizationScheme();
int iPeriodEndDate = iEndDate < iWorkoutDate ? iEndDate : iWorkoutDate;
java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lsLQM = null;
if (
org.drip.param.pricer.CreditPricerParams.PERIOD_DISCRETIZATION_DAY_STEP == iDiscretizationScheme
&& (
null == (
lsLQM = org.drip.analytics.support.LossQuadratureGenerator.GenerateDayStepLossPeriods (
creditComponent,
valuationParameters,
this,
iPeriodEndDate,
cpp.unitSize(),
csqc
)
) || 0 == lsLQM.size()
)
)
return null;
if (
org.drip.param.pricer.CreditPricerParams.PERIOD_DISCRETIZATION_PERIOD_STEP ==
iDiscretizationScheme && (
null == (
lsLQM = org.drip.analytics.support.LossQuadratureGenerator.GeneratePeriodUnitLossPeriods (
creditComponent,
valuationParameters,
this,
iPeriodEndDate,
cpp.unitSize(),
csqc
)
) || 0 == lsLQM.size()
)
)
return null;
if (
org.drip.param.pricer.CreditPricerParams.PERIOD_DISCRETIZATION_FULL_COUPON ==
iDiscretizationScheme && (
null == (
lsLQM = org.drip.analytics.support.LossQuadratureGenerator.GenerateWholeLossPeriods (
creditComponent,
valuationParameters,
this,
iPeriodEndDate,
csqc
)
) || 0 == lsLQM.size()
)
)
return null;
return lsLQM;
}
/**
* Generate the Forward Predictor/Response Constraint
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
* @param pqs Product Quote Set
*
* @return The Forward Predictor/Response Constraint
*/
public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.product.calib.ProductQuoteSet pqs)
{
if (null == pqs) return null;
double dblDF = java.lang.Double.NaN;
double dblFX = java.lang.Double.NaN;
double dblBasis = java.lang.Double.NaN;
double dblAccrued = java.lang.Double.NaN;
double dblBaseRate = java.lang.Double.NaN;
double dblNotional = java.lang.Double.NaN;
double dblSurvival = java.lang.Double.NaN;
org.drip.product.calib.CompositePeriodQuoteSet cpqs = periodQuoteSet (
pqs,
csqc
);
try {
dblDF = df (csqc);
dblFX = fx (csqc);
dblSurvival = survival (csqc);
int iEndDate = endDate();
dblBasis = cpqs.containsBasis() ? cpqs.basis() : 0.;
dblBaseRate = cpqs.containsBaseRate() ? cpqs.baseRate() : 0.;
dblNotional = notional (iEndDate) * couponFactor (iEndDate);
dblAccrued = dblNotional * dblFX * accrualDCF (iValueDate) * (dblBaseRate + dblBasis);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
org.drip.analytics.output.CompositePeriodCouponMetrics cpm = couponMetrics (
iValueDate,
csqc
);
if (null == cpm) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
org.drip.state.estimator.PredictorResponseWeightConstraint();
org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
org.drip.state.identifier.ForwardLabel forwardLabel = floaterLabel instanceof
org.drip.state.identifier.ForwardLabel ? (org.drip.state.identifier.ForwardLabel) floaterLabel :
null;
if (null == forwardLabel) {
for (org.drip.analytics.output.UnitPeriodMetrics upm : cpm.unitMetrics()) {
if (!prwc.updateValue (-1. * dblNotional * dblFX * upm.dcf() * (dblBaseRate + dblBasis) *
dblSurvival * dblDF * upm.convAdj().cumulative()))
return null;
}
if (!prwc.updateValue (dblAccrued)) return null;
} else if (!forwardLabel.match (pqs.forwardLabel())) {
java.util.List<org.drip.analytics.output.UnitPeriodMetrics> lsUPM = cpm.unitMetrics();
for (int i = 0; i < lsUPM.size(); ++i) {
org.drip.analytics.output.UnitPeriodMetrics upm = lsUPM.get (i);
try {
if (!prwc.updateValue (-1. * dblNotional * dblFX * upm.dcf() * (_lsCUP.get (i).baseRate
(csqc) + dblBasis) * dblSurvival * dblDF * upm.convAdj().cumulative()))
return null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
if (!prwc.updateValue (dblAccrued)) return null;
} else {
for (org.drip.analytics.output.UnitPeriodMetrics upm : cpm.unitMetrics()) {
int iDateAnchor = upm.endDate();
if (cpqs.containsBaseRate()) {
if (
!prwc.addPredictorResponseWeight (
iDateAnchor,
1.
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iDateAnchor,
1.
)
) return null;
} else {
double dblForwardLoading = dblNotional * dblFX * upm.dcf() * dblSurvival * dblDF *
upm.convAdj().cumulative();
if (
!prwc.addPredictorResponseWeight (
iDateAnchor,
dblForwardLoading
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iDateAnchor,
dblForwardLoading
)
)
return null;
if (!prwc.updateValue (-1. * dblForwardLoading * dblBasis)) return null;
}
}
if (!prwc.updateValue (cpqs.containsBaseRate() ? dblBaseRate : dblAccrued)) return null;
}
if (
!prwc.updateDValueDManifestMeasure (
"PV",
1.
)
)
return null;
return prwc;
}
/**
* Generate the Funding Predictor/Response Constraint
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
* @param pqs Product Quote Set
*
* @return The Funding Predictor/Response Constraint
*/
public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.product.calib.ProductQuoteSet pqs)
{
if (null == pqs) return null;
double dblDF = java.lang.Double.NaN;
double dblFX = java.lang.Double.NaN;
double dblBasis = java.lang.Double.NaN;
double dblAccrued = java.lang.Double.NaN;
double dblBaseRate = java.lang.Double.NaN;
double dblNotional = java.lang.Double.NaN;
double dblSurvival = java.lang.Double.NaN;
org.drip.product.calib.CompositePeriodQuoteSet cpqs = periodQuoteSet (
pqs,
csqc
);
try {
dblFX = fx (csqc);
dblSurvival = survival (csqc);
dblBasis = cpqs.containsBasis() ? cpqs.basis() : 0.;
dblBaseRate = cpqs.containsBaseRate() ? cpqs.baseRate() : 0.;
dblNotional = notional (_iPayDate) * couponFactor (_iPayDate);
dblAccrued = dblNotional * dblFX * accrualDCF (iValueDate) * (dblBaseRate + dblBasis);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
org.drip.analytics.output.CompositePeriodCouponMetrics cpcm = couponMetrics (
iValueDate,
csqc
);
if (null == cpcm) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
org.drip.state.estimator.PredictorResponseWeightConstraint();
org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
if (!fundingLabel.match (pqs.fundingLabel())) {
try {
dblDF = df (csqc);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
for (org.drip.analytics.output.UnitPeriodMetrics upm : cpcm.unitMetrics()) {
if (!prwc.updateValue (-1. * dblNotional * dblFX * upm.dcf() * (dblBaseRate + dblBasis) *
dblSurvival * dblDF * upm.convAdj().cumulative()))
return null;
}
} else {
for (org.drip.analytics.output.UnitPeriodMetrics upm : cpcm.unitMetrics()) {
double dblFundingLoading = dblNotional * dblFX * upm.dcf() * (dblBaseRate + dblBasis) *
dblSurvival * upm.convAdj().cumulative();
if (
!prwc.addPredictorResponseWeight (
_iPayDate,
dblFundingLoading
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
_iPayDate,
dblFundingLoading
)
)
return null;
}
}
if (!prwc.updateValue (dblAccrued)) return null;
if (
!prwc.updateDValueDManifestMeasure (
"PV",
1.
)
)
return null;
return prwc;
}
/**
* Generate the Merged Forward/Funding Predictor/Response Constraint
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
* @param pqs Product Quote Set
*
* @return The Merged Forward/Funding Predictor/Response Constraint
*/
public org.drip.state.estimator.PredictorResponseWeightConstraint forwardFundingPRWC (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.product.calib.ProductQuoteSet pqs)
{
if (null == pqs) return null;
org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
org.drip.state.identifier.ForwardLabel forwardLabel = floaterLabel instanceof
org.drip.state.identifier.ForwardLabel ? (org.drip.state.identifier.ForwardLabel) floaterLabel :
null;
if (null == forwardLabel || !fundingLabel().match (pqs.fundingLabel()))
return fundingPRWC (
iValueDate,
csqc,
pqs
);
double dblFX = java.lang.Double.NaN;
double dblAccrued = java.lang.Double.NaN;
double dblNotional = java.lang.Double.NaN;
double dblSurvival = java.lang.Double.NaN;
org.drip.product.calib.CompositePeriodQuoteSet cpqs = periodQuoteSet (
pqs,
csqc
);
try {
dblFX = fx (csqc);
dblSurvival = survival (csqc);
dblNotional = notional (_iPayDate) * couponFactor (_iPayDate);
dblAccrued = accrualDCF (iValueDate) * cpqs.basis() * dblNotional * dblFX;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
org.drip.state.estimator.PredictorResponseWeightConstraint();
if (cpqs.containsBaseRate()) {
int iEndDate = endDate();
int iStartDate = startDate();
org.drip.analytics.cashflow.ComposableUnitPeriod cup = _lsCUP.get (0);
try {
double dblForwardDF = 1. / (
1. + org.drip.analytics.daycount.Convention.YearFraction (
iStartDate,
iEndDate,
cup.couponDC(),
false,
null,
cup.calendar()
) * cpqs.baseRate()
);
if (
!prwc.addPredictorResponseWeight (
iStartDate,
dblNotional * dblForwardDF
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iStartDate,
dblNotional * dblForwardDF
)
)
return null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (
!prwc.addPredictorResponseWeight (
iEndDate,
-1. * dblNotional
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iEndDate,
-1. * dblNotional
)
)
return null;
} else {
java.util.List<org.drip.analytics.output.UnitPeriodConvexityMetrics> lsUPCM =
unitPeriodConvexityMetrics (
iValueDate,
csqc
);
if (null == lsUPCM || 0 == lsUPCM.size()) return null;
for (org.drip.analytics.output.UnitPeriodConvexityMetrics upcm : lsUPCM) {
double dblFundingLoading = dblNotional * dblFX * dblSurvival * upcm.convAdj().cumulative();
int iStartDate = upcm.startDate();
int iEndDate = upcm.endDate();
if (
!prwc.addPredictorResponseWeight (
iStartDate,
dblFundingLoading
)
)
return null;
if (
!prwc.addPredictorResponseWeight (
iEndDate,
-1. * dblFundingLoading
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iStartDate,
dblFundingLoading
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"PV",
iEndDate,
-1. * dblFundingLoading
)
)
return null;
}
if (!prwc.updateValue (dblAccrued)) return null;
}
if (
!prwc.updateDValueDManifestMeasure (
"PV",
1.
)
)
return null;
if (!prwc.addMergeLabel (forwardLabel)) return null;
return prwc;
}
/**
* Generate the FX Predictor/Response Constraint
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
* @param pqs Product Quote Set
*
* @return The FX Predictor/Response Constraint
*/
public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.product.calib.ProductQuoteSet pqs)
{
if (null == pqs) return null;
int iEndDate = endDate();
if (iValueDate > iEndDate) return null;
org.drip.state.identifier.FXLabel fxLabel = fxLabel();
if (null == fxLabel || !fxLabel.match (pqs.fxLabel())) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
org.drip.state.estimator.PredictorResponseWeightConstraint();
if (
!prwc.addPredictorResponseWeight (
iEndDate,
1.
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"Outright",
iEndDate,
1.
)
)
return null;
return prwc;
}
/**
* Generate the Volatility Predictor/Response Constraint
*
* @param iValueDate The Valuation Date
* @param csqc The Market Curve Surface/Quote Set
* @param pqs Product Quote Set
*
* @return The Volatility Predictor/Response Constraint
*/
public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
final int iValueDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final org.drip.product.calib.ProductQuoteSet pqs)
{
if (null == pqs) return null;
int iEndDate = endDate();
if (iValueDate > iEndDate) return null;
org.drip.state.identifier.VolatilityLabel volLabel = pqs.volatilityLabel();
if (null == volLabel) return null;
org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
org.drip.state.identifier.ForwardLabel forwardLabel = floaterLabel instanceof
org.drip.state.identifier.ForwardLabel ? (org.drip.state.identifier.ForwardLabel) floaterLabel :
null;
if (null == forwardLabel || !forwardLabel.match (volLabel.underlyingLatentState())) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
org.drip.state.estimator.PredictorResponseWeightConstraint();
if (
!prwc.addPredictorResponseWeight (
iEndDate,
1.
)
)
return null;
if (
!prwc.addDResponseWeightDManifestMeasure (
"OptionPV",
iEndDate,
1.
)
)
return null;
return prwc;
}
/**
* Retrieve the Period Calibration Quotes from the specified product quote set
*
* @param pqs The Product Quote Set
* @param csqc The Market Curve Surface/Quote Set
*
* @return The Composed Period Quote Set
*/
public abstract org.drip.product.calib.CompositePeriodQuoteSet periodQuoteSet (
final org.drip.product.calib.ProductQuoteSet pqs,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc);
/**
* Retrieve the Period Calibration Basis Quote from the specified product quote set
*
* @param pqs The Product Quote Set
*
* @return The Period Calibration Basis Quote
*/
public abstract double basisQuote (
final org.drip.product.calib.ProductQuoteSet pqs);
}