Helper.java

  1. package org.drip.analytics.support;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>Helper</i> contains the collection of the analytics related utility functions used by the modules.
  87.  * Following are some of the functionality that it exposes:
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          Yield to Discount Factor, and vice versa
  93.  *      </li>
  94.  *      <li>
  95.  *          Map Bloomberg Day Count Codes to Credit Analytics Day Count Codes
  96.  *      </li>
  97.  *      <li>
  98.  *          Generate rule-based curve node manifest measure bumps
  99.  *      </li>
  100.  *      <li>
  101.  *          Generate loss periods using a variety of different schemes
  102.  *      </li>
  103.  *      <li>
  104.  *          Aggregate/disaggregate/merge coupon period lists
  105.  *      </li>
  106.  *      <li>
  107.  *          Create fixings objects, rate index from currency/coupon/frequency
  108.  *      </li>
  109.  *      <li>
  110.  *          String Tenor/Month Code/Work-out
  111.  *      </li>
  112.  *      <li>
  113.  *          Standard Treasury Bench-mark off of Maturity
  114.  *      </li>
  115.  *  </ul>
  116.  *
  117.  *  <br><br>
  118.  *  <ul>
  119.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  120.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  121.  *      <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>
  122.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/support/README.md">Assorted Support and Helper Utilities</a></li>
  123.  *  </ul>
  124.  * 
  125.  * @author Lakshmi Krishnamurthy
  126.  */

  128. public class Helper {

  130.     /**
  131.      * Tenor Comparator - Left Tenor Greater than Right
  132.      */

  134.     public static int LEFT_TENOR_GREATER = 1;

  136.     /**
  137.      * Tenor Comparator - Left Tenor Lesser than Right
  138.      */

  140.     public static int LEFT_TENOR_LESSER = 2;

  142.     /**
  143.      * Tenor Comparator - Left Tenor Matches Right
  144.      */

  146.     public static int LEFT_TENOR_EQUALS = 4;

  148.     private static final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> s_mapIRSwitch =
  149.         new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  151.     private static final java.util.Map<java.lang.Integer, java.lang.String> s_mapDCBBGCode = new
  152.         java.util.HashMap<java.lang.Integer, java.lang.String>();

  154.     /**
  155.      * Initialize IR switcher and Bloomberg day count maps
  156.      */

  158.     public static final void Init()
  159.     {
  160.         s_mapDCBBGCode.put (1, "ACT/ACT");

  162.         s_mapDCBBGCode.put (2, "ACT/360");

  164.         s_mapDCBBGCode.put (3, "ACT/365");

  166.         s_mapDCBBGCode.put (4, "30/ACT");

  168.         s_mapDCBBGCode.put (5, "30/360");

  170.         s_mapDCBBGCode.put (6, "30/365");

  172.         s_mapDCBBGCode.put (7, "NL/ACT");

  174.         s_mapDCBBGCode.put (8, "NL/360");

  176.         s_mapDCBBGCode.put (9, "NL/365");

  178.         s_mapDCBBGCode.put (10, "ACT/ACT NON-EOM");

  180.         s_mapDCBBGCode.put (11, "ACT/360 NON-EOM");

  182.         s_mapDCBBGCode.put (12, "ACT/365 NON-EOM");

  184.         s_mapDCBBGCode.put (13, "30/ACT NON-EOM");

  186.         s_mapDCBBGCode.put (14, "30/360 NON-EOM");

  188.         s_mapDCBBGCode.put (15, "30/365 NON-EOM");

  190.         s_mapDCBBGCode.put (16, "NL/ACT NON-EOM");

  192.         s_mapDCBBGCode.put (17, "NL/360 NON-EOM");

  194.         s_mapDCBBGCode.put (18, "NL/365 NON-EOM");

  196.         s_mapDCBBGCode.put (19, "ISMA 30/ACT");

  198.         s_mapDCBBGCode.put (20, "ISMA 30/360");

  200.         s_mapDCBBGCode.put (21, "ISMA 30/365");

  202.         s_mapDCBBGCode.put (22, "ISMA 30/ACT NON-EOM");

  204.         s_mapDCBBGCode.put (23, "ISMA 30/360 NON-EOM");

  206.         s_mapDCBBGCode.put (24, "ISMA 30/365 NON-EOM");

  208.         s_mapDCBBGCode.put (27, "ACT/364");

  210.         s_mapDCBBGCode.put (29, "US MUNI: 30/360");

  212.         s_mapDCBBGCode.put (30, "ACT/364 NON-EOM");

  214.         s_mapDCBBGCode.put (32, "MUNI30/360 NON-EOM");

  216.         s_mapDCBBGCode.put (33, "BUS DAYS/252");

  218.         s_mapDCBBGCode.put (35, "GERMAN:30/360");

  220.         s_mapDCBBGCode.put (36, "BUS DAY/252 NON-EOM");

  222.         s_mapDCBBGCode.put (38, "GER:30/360 NON-EOM");

  224.         s_mapDCBBGCode.put (40, "US:WIT ACT/ACT");

  226.         s_mapDCBBGCode.put (41, "US:WIB ACT/360");

  228.         s_mapDCBBGCode.put (44, "ISDA SWAPS:30/360");

  230.         s_mapDCBBGCode.put (45, "ISDA SWAPS:30/365");

  232.         s_mapDCBBGCode.put (46, "ISDA SWAPS:30/ACT");

  234.         s_mapDCBBGCode.put (47, "ISDA30/360 NON-EOM");

  236.         s_mapDCBBGCode.put (48, "ISDA30/365 NON-EOM");

  238.         s_mapDCBBGCode.put (49, "ISDA30/ACT NON-EOM");

  240.         s_mapDCBBGCode.put (50, "ISDA 30E/360");

  242.         s_mapDCBBGCode.put (51, "ISDA 30E/365");

  244.         s_mapDCBBGCode.put (52, "ISDA 30E/ACT");

  246.         s_mapDCBBGCode.put (53, "ISDA 30E/360 N-EOM");

  248.         s_mapDCBBGCode.put (54, "ISDA 30E/365 N-EOM");

  250.         s_mapDCBBGCode.put (55, "ISDA 30E/ACT N-EOM");

  252.         s_mapDCBBGCode.put (101, "ACT/ACT");

  254.         s_mapDCBBGCode.put (102, "ACT/360");

  256.         s_mapDCBBGCode.put (103, "ACT/365");

  258.         s_mapDCBBGCode.put (104, "30/360");

  260.         s_mapDCBBGCode.put (105, "ACT/ACT NON-EOM");

  262.         s_mapDCBBGCode.put (106, "ACT/360 NON-EOM");

  264.         s_mapDCBBGCode.put (107, "ACT/365 NON-EOM");

  266.         s_mapDCBBGCode.put (108, "ACT/360");

  268.         s_mapDCBBGCode.put (131, "ISMA 30/360");

  270.         s_mapDCBBGCode.put (201, "ISDA ACT/ACT");

  272.         s_mapDCBBGCode.put (202, "AFB ACT/ACT");

  274.         s_mapDCBBGCode.put (203, "ISDA ACT/ACT NOM");

  276.         s_mapDCBBGCode.put (204, "AFB ACT/ACT NOM");

  278.         s_mapDCBBGCode.put (206, "ISMA ACT/ACT");

  280.         s_mapDCBBGCode.put (207, "ISMA ACT/ACT NON-EOM");

  282.         s_mapIRSwitch.put ("ITL", "EUR");

  284.         s_mapIRSwitch.put ("FRF", "EUR");

  286.         s_mapIRSwitch.put ("CZK", "EUR");

  288.         s_mapIRSwitch.put ("BEF", "EUR");

  290.         s_mapIRSwitch.put ("ATS", "EUR");

  292.         s_mapIRSwitch.put ("SKK", "EUR");
  293.     }

  295.     /**
  296.      * Calculate the discount factor from the specified frequency, yield, and accrual year fraction
  297.      * 
  298.      * @param iFreqIn Input frequency - if zero, set to semi-annual.
  299.      * @param dblYield Yield
  300.      * @param dblTime Time in DC years
  301.      * 
  302.      * @return the discount factor
  303.      * 
  304.      * @throws java.lang.Exception if input are invalid.
  305.      */

  307.     public static final double Yield2DF (
  308.         final int iFreqIn,
  309.         final double dblYield,
  310.         final double dblTime)
  311.         throws java.lang.Exception
  312.     {
  313.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblYield) || !org.drip.numerical.common.NumberUtil.IsValid
  314.             (dblTime))
  315.             throw new java.lang.Exception ("Helper::YieldDF => Bad yield/time");

  317.         int iFreq = (0 == iFreqIn) ? 2 : iFreqIn;

  319.         return java.lang.Math.pow (1. + (dblYield / iFreq), -1. * dblTime * iFreq);
  320.     }

  322.     /**
  323.      * Calculate the yield from the specified discount factor to the given time.
  324.      * 
  325.      * @param iFreqIn Yield calculation frequency - defaults to semi-annual if zero.
  326.      * @param dblDF Discount Factor
  327.      * @param dblTime Time to which the yield/DF are specified
  328.      * 
  329.      * @return Implied yield
  330.      * 
  331.      * @throws java.lang.Exception Thrown if yield cannot be computed
  332.      */

  334.     public static final double DF2Yield (
  335.         final int iFreqIn,
  336.         final double dblDF,
  337.         final double dblTime)
  338.         throws java.lang.Exception
  339.     {
  340.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblDF) || !org.drip.numerical.common.NumberUtil.IsValid
  341.             (dblTime))
  342.             throw new java.lang.Exception ("CurveProductHelper.DFYield: Bad yield/time");

  344.         int iFreq = (0 == iFreqIn) ? 2 : iFreqIn;

  346.         return iFreq * (java.lang.Math.pow (dblDF, -1. / (iFreq * dblTime)) - 1.);
  347.     }

  349.     /**
  350.      * Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
  351.      *  The calculation is from the following Bloomberg Publication:
  352.      * 
  353.      *  - Lipman, H. and F. Mercurio (2012): OIS Discounting and Dual-Curve Stripping Methodology at
  354.      *      Bloomberg
  355.      * 
  356.      * @param dblLIBORSwapRate LIBOR Swap Rate
  357.      * @param dblFedFundLIBORSwapBasis Fed Fund - LIBOR Swap Rate Basis
  358.      * 
  359.      * @return The Uncompounded OIS Rate
  360.      * 
  361.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  362.      */

  364.     public static final double OISFromLIBORSwapFedFundBasis (
  365.         final double dblLIBORSwapRate,
  366.         final double dblFedFundLIBORSwapBasis)
  367.         throws java.lang.Exception
  368.     {
  369.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblLIBORSwapRate) ||
  370.             !org.drip.numerical.common.NumberUtil.IsValid (dblFedFundLIBORSwapBasis))
  371.             throw new java.lang.Exception ("Helper::OISFromLIBORSwapFedFundBasis => Invalid Inputs!");

  373.         double dblOISAnnuity = 1. + 0.25 * (4. * (java.lang.Math.sqrt (1. + (dblLIBORSwapRate * 180. / 365.))
  374.             - 1.) - dblFedFundLIBORSwapBasis);

  376.         return dblOISAnnuity * dblOISAnnuity * dblOISAnnuity * dblOISAnnuity - 1.;
  377.     }

  379.     /**
  380.      * Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund
  381.      *  Basis. The calculation is from the following Bloomberg Publication:
  382.      * 
  383.      *  - Lipman, H. and F. Mercurio (2012): OIS Discounting and Dual-Curve Stripping Methodology at
  384.      *      Bloomberg
  385.      * 
  386.      * @param dblLIBORSwapRate LIBOR Swap Rate
  387.      * @param dblFedFundLIBORSwapBasis Fed Fund - LIBOR Swap Rate Basis
  388.      * 
  389.      * @return The Daily Compounded OIS Rate
  390.      * 
  391.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  392.      */

  394.     public static final double OISFromLIBORSwapFedFundBasis2 (
  395.         final double dblLIBORSwapRate,
  396.         final double dblFedFundLIBORSwapBasis)
  397.         throws java.lang.Exception
  398.     {
  399.         return 4. * (java.lang.Math.pow (1. + (OISFromLIBORSwapFedFundBasis (dblLIBORSwapRate,
  400.             dblFedFundLIBORSwapBasis) / 360.), 90.) - 1.);
  401.     }

  403.     /**
  404.      * Compute the DI-Style Price given the Rate
  405.      * 
  406.      * @param dblDIRate The DI Rate
  407.      * @param iStartDate The Start Date
  408.      * @param iEndDate The End Date
  409.      * @param strCalendar The Calendar
  410.      * 
  411.      * @return The DI-Style Price
  412.      * 
  413.      * @throws java.lang.Exception Thrown if the DI-Style Price cannot be calculated
  414.      */

  416.     public static final double DIStylePriceFromRate (
  417.         final double dblDIRate,
  418.         final int iStartDate,
  419.         final int iEndDate,
  420.         final java.lang.String strCalendar)
  421.         throws java.lang.Exception
  422.     {
  423.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblDIRate) || iStartDate >= iEndDate)
  424.             throw new java.lang.Exception ("Helper::DIStylePriceFromRate => Invalid Inputs");

  426.         return java.lang.Math.pow (1. + dblDIRate, -1. * org.drip.analytics.daycount.Convention.BusinessDays
  427.             (iStartDate, iEndDate, strCalendar) / 252.);
  428.     }

  430.     /**
  431.      * Compute the DI-Style Rate given the Price
  432.      * 
  433.      * @param dblDIPrice The DI Price
  434.      * @param iStartDate The Start Date
  435.      * @param iEndDate The End Date
  436.      * @param strCalendar The Calendar
  437.      * 
  438.      * @return The DI-Style Rate
  439.      * 
  440.      * @throws java.lang.Exception Thrown if the DI-Style Price cannot be calculated
  441.      */

  443.     public static final double DIStyleRateFromPrice (
  444.         final double dblDIPrice,
  445.         final int iStartDate,
  446.         final int iEndDate,
  447.         final java.lang.String strCalendar)
  448.         throws java.lang.Exception
  449.     {
  450.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblDIPrice) || iStartDate >= iEndDate)
  451.             throw new java.lang.Exception ("Helper::DIStyleRateFromPrice => Invalid Inputs");

  453.         return java.lang.Math.pow (dblDIPrice, -252. / org.drip.analytics.daycount.Convention.BusinessDays
  454.             (iStartDate, iEndDate, strCalendar)) - 1.;
  455.     }

  457.     /**
  458.      * Convert the Nominal Yield to the Post Tax Equivalent Yield
  459.      * 
  460.      * @param dblNominalYield The Nominal Yield
  461.      * @param dblTaxRate The Tax Rate
  462.      * 
  463.      * @return The Post Tax Equivalent Yield
  464.      * 
  465.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  466.      */

  468.     public static final double NominalYieldToPostTaxEquivalent (
  469.         final double dblNominalYield,
  470.         final double dblTaxRate)
  471.         throws java.lang.Exception
  472.     {
  473.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblNominalYield) ||
  474.             !org.drip.numerical.common.NumberUtil.IsValid (dblTaxRate))
  475.             throw new java.lang.Exception ("Helper::NominalYieldToPostTaxEquivalent => Invalid Inputs");

  477.         return dblNominalYield * (1. - dblTaxRate);
  478.     }

  480.     /**
  481.      * Convert the Post Tax Equivalent Yield to the Nominal Yield
  482.      * 
  483.      * @param dblPostTaxEquivalentYield The Post Tax Equivalent Yield
  484.      * @param dblTaxRate The Tax Rate
  485.      * 
  486.      * @return The Nominal Yield
  487.      * 
  488.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  489.      */

  491.     public static final double PostTaxEquivalentYieldToNominal (
  492.         final double dblPostTaxEquivalentYield,
  493.         final double dblTaxRate)
  494.         throws java.lang.Exception
  495.     {
  496.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblPostTaxEquivalentYield) ||
  497.             !org.drip.numerical.common.NumberUtil.IsValid (dblTaxRate))
  498.             throw new java.lang.Exception ("Helper::PostTaxEquivalentYieldToNominal => Invalid Inputs");

  500.         return dblPostTaxEquivalentYield / (1. - dblTaxRate);
  501.     }

  503.     /**
  504.      * Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates
  505.      * 
  506.      * @param iValueDate the Valuation date
  507.      * @param iMaturityDate the Maturity date
  508.      * 
  509.      * @return the standard on-the-run benchmark treasury string
  510.      */

  512.     public static final java.lang.String BaseTsyBmk (
  513.         final int iValueDate,
  514.         final int iMaturityDate)
  515.     {
  516.         double dblMatYears = 1. * (iMaturityDate - iValueDate) / 365.25;

  518.         if (1.0 < dblMatYears && dblMatYears <= 2.5) return "02YON";

  520.         if (2.5 < dblMatYears && dblMatYears <= 4.0) return "03YON";

  522.         if (4.0 < dblMatYears && dblMatYears <= 6.0) return "05YON";

  524.         if (6.0 < dblMatYears && dblMatYears <= 8.5) return "07YON";

  526.         if (8.5 < dblMatYears && dblMatYears <= 15.) return "10YON";

  528.         if (dblMatYears > 15.) return "30YON";

  530.         return null;
  531.     }

  533.     /**
  534.      * Turn the work out type to string
  535.      * 
  536.      * @param iWOType One of the WO_TYPE_* fields in the WorkoutInfo class
  537.      * 
  538.      * @return String representation of the work out type field
  539.      */

  541.     public static final java.lang.String WorkoutTypeToString (
  542.         final int iWOType)
  543.     {
  544.         if (org.drip.param.valuation.WorkoutInfo.WO_TYPE_PUT == iWOType) return "Put";

  546.         if (org.drip.param.valuation.WorkoutInfo.WO_TYPE_CALL == iWOType) return "Call";

  548.         if (org.drip.param.valuation.WorkoutInfo.WO_TYPE_MATURITY == iWOType) return "Maturity";

  550.         return "Unknown work out type";
  551.     }

  553.     /**
  554.      * Convert the Bloomberg day count code to DRIP day count code.
  555.      *  
  556.      * @param strBBGDCCode String representing the Bloomberg day count code.
  557.      * 
  558.      * @return String representing the DRIP day count code.
  559.      */

  561.     public static final java.lang.String ParseFromBBGDCCode (
  562.         final java.lang.String strBBGDCCode)
  563.     {
  564.         if (null == strBBGDCCode) return "Unknown BBG DC";

  566.         try {
  567.             return s_mapDCBBGCode.get ((int) java.lang.Double.parseDouble (strBBGDCCode.trim()));
  568.         } catch (java.lang.Exception e) {
  569.         }

  571.         return "Unknown BBG DC";
  572.     }

  574.     /**
  575.      * Retrieve the tenor from the frequency
  576.      * 
  577.      * @param iFreq Integer frequency
  578.      * 
  579.      * @return String representing the tenor
  580.      */

  582.     public static final java.lang.String GetTenorFromFreq (
  583.         final int iFreq)
  584.     {
  585.         if (1 == iFreq) return "1Y";

  587.         if (2 == iFreq) return "6M";

  589.         if (3 == iFreq) return "4M";

  591.         if (4 == iFreq) return "3M";

  593.         if (6 == iFreq) return "2M";

  595.         if (12 == iFreq) return "1M";

  597.         return null;
  598.     }

  600.     /**
  601.      * Retrieve the Number of Years from the Tenor
  602.      * 
  603.      * @param strTenor The Specified Tenor
  604.      * 
  605.      * @return The Number of Years
  606.      * 
  607.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  608.      */

  610.     public static final int TenorToYears (
  611.         final java.lang.String strTenor)
  612.         throws java.lang.Exception
  613.     {
  614.         if (null == strTenor || strTenor.isEmpty())
  615.             throw new java.lang.Exception ("Helper::TenorToYears => Invalid Inputs");

  617.         char chTenor = strTenor.charAt (strTenor.length() - 1);

  619.         int iTimeUnit = (int) java.lang.Double.parseDouble (strTenor.substring (0, strTenor.length() -
  620.             1));

  622.         if ('y' == chTenor || 'Y' == chTenor) return iTimeUnit * 12;

  624.         throw new java.lang.Exception ("AnalyticsHelper::TenorToYears => Invalid tenor format " + strTenor);
  625.     }

  627.     /**
  628.      * Retrieve the Number of Months from the Tenor
  629.      * 
  630.      * @param strTenor The Specified Tenor
  631.      * 
  632.      * @return The Number of Months
  633.      * 
  634.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  635.      */

  637.     public static final int TenorToMonths (
  638.         final java.lang.String strTenor)
  639.         throws java.lang.Exception
  640.     {
  641.         if (null == strTenor || strTenor.isEmpty())
  642.             throw new java.lang.Exception ("Helper::TenorToMonths => Invalid Inputs");

  644.         char chTenor = strTenor.charAt (strTenor.length() - 1);

  646.         int iTimeUnit = (int) java.lang.Double.parseDouble (strTenor.substring (0, strTenor.length() -
  647.             1));

  649.         if ('d' == chTenor || 'D' == chTenor) return iTimeUnit * (iTimeUnit / 30);

  651.         if ('w' == chTenor || 'W' == chTenor) return iTimeUnit * (iTimeUnit / 7);

  653.         if ('l' == chTenor || 'L' == chTenor) return iTimeUnit;

  655.         if ('m' == chTenor || 'M' == chTenor) return iTimeUnit;

  657.         if ('y' == chTenor || 'Y' == chTenor) return iTimeUnit * 12;

  659.         throw new java.lang.Exception ("Helper::TenorToMonths => Invalid Tenor Format " + strTenor);
  660.     }

  662.     /**
  663.      * Retrieve the Number of Days from the Tenor
  664.      * 
  665.      * @param strTenor The Specified Tenor
  666.      * 
  667.      * @return The Number of Days
  668.      * 
  669.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  670.      */

  672.     public static final int TenorToDays (
  673.         final java.lang.String strTenor)
  674.         throws java.lang.Exception
  675.     {
  676.         if (null == strTenor || strTenor.isEmpty())
  677.             throw new java.lang.Exception ("Helper::TenorToDays => Invalid Inputs");

  679.         char chTenor = strTenor.charAt (strTenor.length() - 1);

  681.         int iTimeUnit = (int) java.lang.Double.parseDouble (strTenor.substring (0, strTenor.length() -
  682.             1));

  684.         if ('d' == chTenor || 'D' == chTenor) return iTimeUnit;

  686.         if ('w' == chTenor || 'W' == chTenor) return iTimeUnit * 7;

  688.         if ('l' == chTenor || 'L' == chTenor) return iTimeUnit * 28;

  690.         if ('m' == chTenor || 'M' == chTenor) return iTimeUnit * 30;

  692.         if ('y' == chTenor || 'Y' == chTenor) return (int) (365.25 * iTimeUnit);

  694.         throw new java.lang.Exception ("Helper::TenorToDays => Unknown tenor format " + strTenor);
  695.     }

  697.     /**
  698.      * Retrieve the Year Fraction from the Tenor
  699.      * 
  700.      * @param strTenor The Specified Tenor
  701.      * 
  702.      * @return The Year Fraction
  703.      * 
  704.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  705.      */

  707.     public static final double TenorToYearFraction (
  708.         final java.lang.String strTenor)
  709.         throws java.lang.Exception
  710.     {
  711.         if (null == strTenor || strTenor.isEmpty())
  712.             throw new java.lang.Exception ("Helper::TenorToYearFraction => Invalid Inputs");

  714.         char chTenor = strTenor.charAt (strTenor.length() - 1);

  716.         int iTimeUnit = (int) java.lang.Double.parseDouble (strTenor.substring (0, strTenor.length() -
  717.             1));

  719.         if ('d' == chTenor || 'D' == chTenor) return ((double) iTimeUnit) / 365.25;

  721.         if ('w' == chTenor || 'W' == chTenor) return ((double) (7. * iTimeUnit)) / 365.25;

  723.         if ('w' == chTenor || 'W' == chTenor) return ((double) (iTimeUnit)) / 52.;

  725.         if ('l' == chTenor || 'L' == chTenor) return ((double) (28. * iTimeUnit)) / 365.25;

  727.         if ('l' == chTenor || 'L' == chTenor) return ((double) (iTimeUnit)) / 13.;

  729.         if ('m' == chTenor || 'M' == chTenor) return ((double) (iTimeUnit)) / 12.;

  731.         if ('y' == chTenor || 'Y' == chTenor) return iTimeUnit;

  733.         throw new java.lang.Exception ("Helper::TenorToYearFraction => Unknown tenor format " + strTenor);
  734.     }

  736.     /**
  737.      * Retrieve the Year Fraction from the Tenor Array 
  738.      * 
  739.      * @param astrTenor The Specified Tenor Array
  740.      * @param bForward TRUE - Generated the Incremental Forward Year Fraction
  741.      * 
  742.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  743.      * 
  744.      * @return The Year Fraction Array
  745.      */

  747.     public static final double[] TenorToYearFraction (
  748.         final java.lang.String[] astrTenor,
  749.         final boolean bForward)
  750.         throws java.lang.Exception
  751.     {
  752.         if (null == astrTenor)
  753.             throw new java.lang.Exception ("Helper::TenorToYearFraction => Invalid Inputs");

  755.         int iNumTenor = astrTenor.length;
  756.         double[] adblYearFraction = 0 == iNumTenor ? null : new double[iNumTenor];

  758.         for (int i = 0; i < iNumTenor; ++i) {
  759.             try {
  760.                 adblYearFraction[i] = TenorToYearFraction (astrTenor[i]);
  761.             } catch (java.lang.Exception e) {
  762.                 e.printStackTrace();

  764.                 return null;
  765.             }
  766.         }

  768.         if (!bForward) return adblYearFraction;

  770.         for (int i = iNumTenor - 1; i > 1; --i)
  771.             adblYearFraction[i] = adblYearFraction[i] - adblYearFraction[i - 1];

  773.         return adblYearFraction;
  774.     }

  776.     /**
  777.      * Retrieve the Annual Frequency from the Tenor
  778.      * 
  779.      * @param strTenor The Specified Tenor
  780.      * 
  781.      * @return The Annual Frequency
  782.      * 
  783.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  784.      */

  786.     public static final int TenorToFreq (
  787.         final java.lang.String strTenor)
  788.         throws java.lang.Exception
  789.     {
  790.         if (null == strTenor || strTenor.isEmpty())
  791.             throw new java.lang.Exception ("Helper::TenorToFreq => Invalid Inputs");

  793.         if ("ON".equalsIgnoreCase (strTenor)) return 365;

  795.         char chTenor = strTenor.charAt (strTenor.length() - 1);

  797.         int iTimeUnit = (int) java.lang.Double.parseDouble (strTenor.substring (0, strTenor.length() -
  798.             1));

  800.         if ('d' == chTenor || 'D' == chTenor) return (int) (365. / iTimeUnit);

  802.         if ('w' == chTenor || 'W' == chTenor) return (int) (52. / iTimeUnit);

  804.         if ('l' == chTenor || 'L' == chTenor) return (int) (13. / iTimeUnit);

  806.         if ('m' == chTenor || 'M' == chTenor) return (int) (12. / iTimeUnit);

  808.         if ('y' == chTenor || 'Y' == chTenor) return iTimeUnit;

  810.         throw new java.lang.Exception ("Helper::TenorToFreq => Unknown tenor format " + strTenor);
  811.     }

  813.     /**
  814.      * Retrieve the Date Array From the Tenor Array
  815.      * 
  816.      * @param dtSpot The Spot Date Array
  817.      * @param astrTenor The Specified Tenor Array
  818.      * 
  819.      * @return The Date Array From the Tenor Array
  820.      */

  822.     public static final int[] TenorToDate (
  823.         final org.drip.analytics.date.JulianDate dtSpot,
  824.         final java.lang.String[] astrTenor)
  825.     {
  826.         if (null == dtSpot || null == astrTenor) return null;

  828.         int iNumTenor = astrTenor.length;
  829.         int[] aiTenorDate = new int[iNumTenor];

  831.         for (int i = 0; i < iNumTenor; ++i) {
  832.             org.drip.analytics.date.JulianDate dtTenor = dtSpot.addTenor (astrTenor[i]);

  834.             if (null == dtTenor) return null;

  836.             aiTenorDate[i] = dtTenor.julian();
  837.         }

  839.         return aiTenorDate;
  840.     }

  842.     /**
  843.      * Compare the Left and the Right Tenors
  844.      * 
  845.      * @param strTenorLeft Left Tenor
  846.      * @param strTenorRight Right Tenor
  847.      * 
  848.      * @return Results of the Comparison
  849.      * 
  850.      * @throws java.lang.Exception Thrown if the Comparison cannot be done
  851.      */

  853.     public static final int TenorCompare (
  854.         final java.lang.String strTenorLeft,
  855.         final java.lang.String strTenorRight)
  856.         throws java.lang.Exception
  857.     {
  858.         int iLeftTenorDays = TenorToDays (strTenorLeft);

  860.         int iRightTenorDays = TenorToDays (strTenorRight);

  862.         if (iLeftTenorDays == iRightTenorDays) return LEFT_TENOR_EQUALS;

  864.         return iLeftTenorDays > iRightTenorDays ? LEFT_TENOR_GREATER : LEFT_TENOR_LESSER;
  865.     }

  867.     /**
  868.      * Retrieve the month code from input frequency
  869.      * 
  870.      * @param iFreq Integer frequency
  871.      * 
  872.      * @return String representing the month code
  873.      */

  875.     public static final java.lang.String GetMonthCodeFromFreq (
  876.         final int iFreq)
  877.     {
  878.         if (1 == iFreq) return "0012M";

  880.         if (2 == iFreq) return "0006M";

  882.         if (3 == iFreq) return "0004M";

  884.         if (4 == iFreq) return "0003M";

  886.         if (6 == iFreq) return "0002M";

  888.         if (12 == iFreq) return "0001M";

  890.         return null;
  891.     }

  893.     /**
  894.      * Calculate the rate index from the coupon currency and the frequency
  895.      * 
  896.      * @param strCouponCurrency String representing the coupon currency
  897.      * @param iCouponFreq Integer representing the coupon frequency
  898.      * 
  899.      * @return String representing the rate index
  900.      */

  902.     public static final java.lang.String CalcRateIndex (
  903.         final java.lang.String strCouponCurrency,
  904.         final int iCouponFreq)
  905.     {
  906.         if (null == strCouponCurrency || strCouponCurrency.isEmpty()) return null;

  908.         java.lang.String strFreqMonthCode = GetMonthCodeFromFreq (iCouponFreq);

  910.         if (null == strFreqMonthCode) return null;

  912.         return strCouponCurrency.substring (0, 2) + strFreqMonthCode;
  913.     }

  915.     /**
  916.      * Get the DRIP day count from the Bloomberg code
  917.      * 
  918.      * @param strBBGDC String representing the Bloomberg day count convention
  919.      * 
  920.      * @return String representing DRIP day count
  921.      */

  923.     public static final java.lang.String GetDayCountFromBBGCode (
  924.         final java.lang.String strBBGDC)
  925.     {
  926.         if (null == strBBGDC || strBBGDC.isEmpty()) return "30/360";

  928.         return "30/360";
  929.     }

  931.     /**
  932.      * Calculate the rate index from currency and coupon frequency
  933.      * 
  934.      * @param strCcy String representing coupon currency
  935.      * @param iCouponFreq Integer representing coupon frequency
  936.      * 
  937.      * @return String representing the rate index
  938.      */

  940.     public static final java.lang.String RateIndexFromCcyAndCouponFreq (
  941.         final java.lang.String strCcy,
  942.         final int iCouponFreq)
  943.     {
  944.         if (null == strCcy || strCcy.isEmpty() || 0 >= iCouponFreq) return "";

  946.         java.lang.String strCcyPrefix = strCcy.substring (0, 2);

  948.         if (1 == iCouponFreq)  return strCcyPrefix + "0012M";

  950.         if (2 == iCouponFreq)  return strCcyPrefix + "0006M";

  952.         if (3 == iCouponFreq)  return strCcyPrefix + "0004M";

  954.         if (4 == iCouponFreq)  return strCcyPrefix + "0003M";

  956.         if (6 == iCouponFreq)  return strCcyPrefix + "0002M";

  958.         if (12 == iCouponFreq)  return strCcyPrefix + "0001M";

  960.         return "";
  961.     }

  963.     /**
  964.      * Switch the given IR curve if necessary
  965.      * 
  966.      * @param strCurveIn String representing the input curve
  967.      * 
  968.      * @return String representing the switched curve
  969.      */

  971.     public static final java.lang.String SwitchIRCurve (
  972.         final java.lang.String strCurveIn)
  973.     {
  974.         if (null == strCurveIn) return null;

  976.         if (!s_mapIRSwitch.containsKey (strCurveIn)) return strCurveIn;

  978.         return s_mapIRSwitch.get (strCurveIn);
  979.     }

  981.     /**
  982.      * Create the Latent State Fixings object from the bond, the fixings date, and the fixing.
  983.      * 
  984.      * @param bond The input bond
  985.      * @param dtFixing The Fixings Date
  986.      * @param dblFixing Double representing the fixing
  987.      * 
  988.      * @return The Latent State Fixings Instance
  989.      */
  990.     
  991.     public static final org.drip.param.market.LatentStateFixingsContainer CreateFixingsObject (
  992.         final org.drip.product.definition.Bond bond,
  993.         final org.drip.analytics.date.JulianDate dtFixing,
  994.         final double dblFixing)
  995.     {
  996.         if (!bond.isFloater()) return null;

  998.         org.drip.param.market.LatentStateFixingsContainer lsfc = new
  999.             org.drip.param.market.LatentStateFixingsContainer();

  1001.         return lsfc.add (dtFixing, bond.forwardLabel().get ("BASE"), dblFixing) ? lsfc : null;
  1002.     }

  1004.     /**
  1005.      * Bump the input array quotes
  1006.      * 
  1007.      * @param adblQuotesIn Array of the input double quotes
  1008.      * @param dblBump Bump amount
  1009.      * @param bIsProportional True - Bump is proportional
  1010.      * 
  1011.      * @return Bumped array output
  1012.      */

  1014.     public static final double[] BumpQuotes (
  1015.         final double[] adblQuotesIn,
  1016.         final double dblBump,
  1017.         final boolean bIsProportional)
  1018.     {
  1019.         if (null == adblQuotesIn || 0 == adblQuotesIn.length || !org.drip.numerical.common.NumberUtil.IsValid
  1020.             (dblBump))
  1021.             return null;

  1023.         double[] adblQuotesOut = new double[adblQuotesIn.length];

  1025.         for (int i = 0; i < adblQuotesIn.length; ++i) {
  1026.             if (!org.drip.numerical.common.NumberUtil.IsValid (adblQuotesIn[i])) return null;

  1028.             if (!bIsProportional)
  1029.                 adblQuotesOut[i] = adblQuotesIn[i] + dblBump;
  1030.             else
  1031.                 adblQuotesOut[i] = adblQuotesIn[i] * (1. + dblBump);
  1032.         }

  1034.         return adblQuotesOut;
  1035.     }

  1037.     /**
  1038.      * Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak
  1039.      *  parameters
  1040.      * 
  1041.      * @param adblQuotesIn Array of quotes to be bumped
  1042.      * @param ntp NodeTweakParams input
  1043.      * 
  1044.      * @return Bumped array output
  1045.      */

  1047.     public static final double[] TweakManifestMeasure (
  1048.         final double[] adblQuotesIn,
  1049.         final org.drip.param.definition.ManifestMeasureTweak ntp)
  1050.     {
  1051.         if (null == adblQuotesIn || 0 == adblQuotesIn.length || null == ntp) return adblQuotesIn;

  1053.         double[] adblQuotesOut = new double[adblQuotesIn.length];

  1055.         if (org.drip.param.definition.ManifestMeasureTweak.FLAT == ntp.node()) {
  1056.             for (int i = 0; i < adblQuotesIn.length; ++i) {
  1057.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblQuotesIn[i])) return null;

  1059.                 if (!ntp.isProportional())
  1060.                     adblQuotesOut[i] = adblQuotesIn[i] + ntp.amount();
  1061.                 else
  1062.                     adblQuotesOut[i] = adblQuotesIn[i] * (1. + ntp.amount());
  1063.             }
  1064.         } else {
  1065.             if (ntp.node() < 0 || ntp.node() >= adblQuotesIn.length) return null;

  1067.             for (int i = 0; i < adblQuotesIn.length; ++i) {
  1068.                 if (!org.drip.numerical.common.NumberUtil.IsValid (adblQuotesIn[i])) return null;

  1070.                 if (i == ntp.node()) {
  1071.                     if (!ntp.isProportional())
  1072.                         adblQuotesOut[i] = adblQuotesIn[i] + ntp.amount();
  1073.                     else
  1074.                         adblQuotesOut[i] = adblQuotesIn[i] * (1. + ntp.amount());
  1075.                 } else
  1076.                     adblQuotesOut[i] = adblQuotesIn[i];
  1077.             }
  1078.         }

  1080.         return adblQuotesOut;
  1081.     }

  1083.     /**
  1084.      * Merge two lists of periods
  1085.      * 
  1086.      * @param lsPeriod1 Period 1
  1087.      * @param lsPeriod2 Period 2
  1088.      * 
  1089.      * @return The Merged Period List
  1090.      */

  1092.     public static final java.util.List<org.drip.analytics.cashflow.CompositePeriod> MergePeriodLists (
  1093.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsPeriod1,
  1094.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsPeriod2)
  1095.     {
  1096.         if ((null == lsPeriod1 || 0 == lsPeriod1.size()) && (null == lsPeriod2 || 0 == lsPeriod2.size()))
  1097.             return null;

  1099.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsPeriodMerged = new
  1100.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  1102.         if (null == lsPeriod1 || 0 == lsPeriod1.size()) {
  1103.             for (org.drip.analytics.cashflow.CompositePeriod p : lsPeriod2) {
  1104.                 if (null != p) lsPeriodMerged.add (p);
  1105.             }

  1107.             return lsPeriodMerged;
  1108.         }

  1110.         if (null == lsPeriod2 || 0 == lsPeriod2.size()) {
  1111.             for (org.drip.analytics.cashflow.CompositePeriod p : lsPeriod1) {
  1112.                 if (null != p) lsPeriodMerged.add (p);
  1113.             }

  1115.             return lsPeriodMerged;
  1116.         }

  1118.         int iPeriod1Index = 0;
  1119.         int iPeriod2Index = 0;

  1121.         while (iPeriod1Index < lsPeriod1.size() && iPeriod2Index < lsPeriod2.size()) {
  1122.             org.drip.analytics.cashflow.CompositePeriod p1 = lsPeriod1.get (iPeriod1Index);

  1124.             org.drip.analytics.cashflow.CompositePeriod p2 = lsPeriod2.get (iPeriod2Index);

  1126.             if (p1.payDate() < p2.payDate()) {
  1127.                 lsPeriodMerged.add (p1);

  1129.                 ++iPeriod1Index;
  1130.             } else {
  1131.                 lsPeriodMerged.add (p2);

  1133.                 ++iPeriod2Index;
  1134.             }
  1135.         }

  1137.         if (iPeriod1Index < lsPeriod1.size() - 1) {
  1138.             for (int i = iPeriod1Index; i < lsPeriod1.size(); ++i)
  1139.                 lsPeriodMerged.add (lsPeriod1.get (i));
  1140.         } else if (iPeriod2Index < lsPeriod2.size() - 1) {
  1141.             for (int i = iPeriod2Index; i < lsPeriod2.size(); ++i)
  1142.                 lsPeriodMerged.add (lsPeriod2.get (i));
  1143.         }

  1145.         return lsPeriodMerged;
  1146.     }

  1148.     /**
  1149.      * Aggregate the period lists for an array of components
  1150.      * 
  1151.      * @param aComp Array of Components
  1152.      * 
  1153.      * @return The Aggregated Period Set
  1154.      */

  1156.     public static final java.util.Set<org.drip.analytics.cashflow.CompositePeriod> AggregateComponentPeriods
  1157.         (final org.drip.product.definition.Component[] aComp)
  1158.     {
  1159.         if (null == aComp) return null;

  1161.         int iStartIndex = 0;
  1162.         int iNumComp = aComp.length;

  1164.         if (0 == iNumComp) return null;

  1166.         for (int i = 0; i < iNumComp; ++i) {
  1167.             if (null != aComp[i]) {
  1168.                 iStartIndex = i;
  1169.                 break;
  1170.             }
  1171.         }

  1173.         java.util.Set<org.drip.analytics.cashflow.CompositePeriod> setAggregatedPeriod = new
  1174.             java.util.TreeSet<org.drip.analytics.cashflow.CompositePeriod>();

  1176.         for (int i = iStartIndex; i < iNumComp; ++i) {
  1177.             if (null == aComp[i]) continue;

  1179.             java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCompPeriod =
  1180.                 aComp[i].couponPeriods();

  1182.             if (null == lsCompPeriod || 0 == lsCompPeriod.size()) continue;

  1184.             for (org.drip.analytics.cashflow.CompositePeriod p : lsCompPeriod) {
  1185.                 if (null != p) setAggregatedPeriod.add (p);
  1186.             }
  1187.         }

  1189.         return setAggregatedPeriod;
  1190.     }

  1192.     /**
  1193.      * Append the Prefixed Map Entries of the specified Input Map onto the Output Map
  1194.      * 
  1195.      * @param mapOutput The Output Map
  1196.      * @param strPrefix The Entry Prefix
  1197.      * @param mapInput The Input Map
  1198.      * 
  1199.      * @return TRUE - At least one entry appended
  1200.      */

  1202.     public static final boolean AccumulateMeasures (
  1203.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOutput,
  1204.         final java.lang.String strPrefix,
  1205.         final org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapInput)
  1206.     {
  1207.         if (null == mapOutput || null == strPrefix || strPrefix.isEmpty() || null == mapInput) return false;

  1209.         java.util.Set<java.util.Map.Entry<java.lang.String, java.lang.Double>> mapInputESSingle =
  1210.             mapInput.entrySet();

  1212.         if (null == mapInputESSingle) return false;

  1214.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> me : mapInputESSingle) {
  1215.             if (null == me) continue;

  1217.             java.lang.String strKey = me.getKey();

  1219.             if (null == strKey || strKey.isEmpty()) continue;

  1221.             mapOutput.put (strPrefix + "@" + strKey, me.getValue());
  1222.         }

  1224.         return true;
  1225.     }

  1227.     /**
  1228.      * Do the Left and the Right Labels Match?
  1229.      * 
  1230.      * @param lslLeft Left Cash Flow Period Label
  1231.      * @param lslRight Right Cash Flow Period Label
  1232.      * 
  1233.      * @return TRUE - The Labels Match
  1234.      */

  1236.     public static final boolean LabelMatch (
  1237.         final org.drip.state.identifier.LatentStateLabel lslLeft,
  1238.         final org.drip.state.identifier.LatentStateLabel lslRight)
  1239.     {
  1240.         if (null == lslLeft && null == lslRight) return true;

  1242.         if ((null == lslLeft && null != lslRight) || (null != lslLeft && null == lslRight)) return false;

  1244.         return lslLeft.match (lslRight);
  1245.     }

  1247.     /**
  1248.      * Compute the Bond Futures Price AUD Bill Style from the Reference Index Level
  1249.      * 
  1250.      * @param dtValue The Valuation Date
  1251.      * @param bond The Bond Instance
  1252.      * @param dblReferenceIndex The Reference Index
  1253.      * 
  1254.      * @return The Bond Futures Price AUD Bill Style
  1255.      * 
  1256.      * @throws java.lang.Exception Thrown if the Bond Futures Price AUD Bill Style cannot be computed
  1257.      */

  1259.     public static final double BondFuturesPriceAUDBillStyle (
  1260.         final org.drip.analytics.date.JulianDate dtValue,
  1261.         final org.drip.product.definition.Bond bond,
  1262.         final double dblReferenceIndex)
  1263.         throws java.lang.Exception
  1264.     {
  1265.         if (null == dtValue || null == bond || !org.drip.numerical.common.NumberUtil.IsValid (dblReferenceIndex))
  1266.             throw new java.lang.Exception
  1267.                 ("AnalyticsHelper::BondFuturesPriceAUDBillStyle => Invalid Inputs");

  1269.         return 1. / (1. + (1. - dblReferenceIndex) * org.drip.analytics.daycount.Convention.YearFraction
  1270.             (dtValue.julian(), bond.maturityDate().julian(), bond.accrualDC(), false, null,
  1271.                 bond.currency()));
  1272.     }

  1274.     /**
  1275.      * Construct a Normalized, Equally Weighted Array from the Specified Number of Elements
  1276.      * 
  1277.      * @param iNumElement Number of Elements
  1278.      * 
  1279.      * @return The Normalized, Equally Weighted Array
  1280.      */

  1282.     public static final double[] NormalizedEqualWeightedArray (
  1283.         final int iNumElement)
  1284.     {
  1285.         if (0 >= iNumElement) return null;

  1287.         double dblWeight = 1. / iNumElement;
  1288.         double[] adblEqualWeighted = new double[iNumElement];

  1290.         for (int i = 0; i < iNumElement; ++i)
  1291.             adblEqualWeighted[i] = dblWeight;

  1293.         return adblEqualWeighted;
  1294.     }

  1296.     /**
  1297.      * Aggregate the Base and the Roll Tenors onto a Composite Tenor
  1298.      * 
  1299.      * @param strBaseTenor The Base Tenor
  1300.      * @param strRollTenor The Roll Tenor
  1301.      * 
  1302.      * @return The Agrregated Composite Tenor
  1303.      */

  1305.     public static final java.lang.String AggregateTenor (
  1306.         final java.lang.String strBaseTenor,
  1307.         final java.lang.String strRollTenor)
  1308.     {
  1309.         if (null == strBaseTenor || strBaseTenor.isEmpty()) return strRollTenor;

  1311.         char chBaseTenor = strBaseTenor.charAt (strBaseTenor.length() - 1);

  1313.         char chRollTenor = strRollTenor.charAt (strRollTenor.length() - 1);

  1315.         if (chRollTenor != chBaseTenor) return null;

  1317.         int iBaseTimeUnit = (int) java.lang.Double.parseDouble (strBaseTenor.substring (0, strBaseTenor.length() -
  1318.             1));

  1320.         int iRollTimeUnit = (int) java.lang.Double.parseDouble (strRollTenor.substring (0, strRollTenor.length() -
  1321.             1));

  1323.         return "" + (iBaseTimeUnit + iRollTimeUnit) + chBaseTenor;
  1324.     }

  1326.     /**
  1327.      * Convert the Array of Tenors into Dates off of a Spot
  1328.      * 
  1329.      * @param dtSpot Spot Date
  1330.      * @param astrTenor Array of Tenors
  1331.      * 
  1332.      * @return Array of Dates
  1333.      */

  1335.     public static final org.drip.analytics.date.JulianDate[] FromTenor (
  1336.         final org.drip.analytics.date.JulianDate dtSpot,
  1337.         final java.lang.String[] astrTenor)
  1338.     {
  1339.         if (null == dtSpot || null == astrTenor) return null;

  1341.         int iNumTenor = astrTenor.length;
  1342.         org.drip.analytics.date.JulianDate[] adt = 0 == iNumTenor ? null : new
  1343.             org.drip.analytics.date.JulianDate[iNumTenor];

  1345.         if (0 == iNumTenor) return null;

  1347.         for (int i = 0; i < iNumTenor; ++i) {
  1348.             if (null == (adt[i] = dtSpot.addTenor (astrTenor[i]))) return null;
  1349.         }

  1351.         return adt;
  1352.     }

  1354.     /**
  1355.      * Generate an Array of Repeated Spot Dates
  1356.      * 
  1357.      * @param dtSpot Spot Date
  1358.      * @param iCount Repeat Count
  1359.      * 
  1360.      * @return Array of the Repeated Spot Dates
  1361.      */

  1363.     public static final org.drip.analytics.date.JulianDate[] SpotDateArray (
  1364.         final org.drip.analytics.date.JulianDate dtSpot,
  1365.         final int iCount)
  1366.     {
  1367.         if (null == dtSpot || 0 >= iCount) return null;

  1369.         org.drip.analytics.date.JulianDate[] adtSpot = new org.drip.analytics.date.JulianDate[iCount];

  1371.         for (int i = 0; i < iCount; ++i)
  1372.             adtSpot[i] = dtSpot;

  1374.         return adtSpot;
  1375.     }

  1377.     /**
  1378.      * Generate an Array of Bumped Nodes
  1379.      * 
  1380.      * @param adblNode Array of Unbumped Nodes
  1381.      * @param dblBump Bump Amount
  1382.      * 
  1383.      * @return Array of Bumped Nodes
  1384.      */

  1386.     public static final double[] ParallelNodeBump (
  1387.         final double[] adblNode,
  1388.         final double dblBump)
  1389.     {
  1390.         if (null == adblNode) return null;

  1392.         int iNumNode = adblNode.length;
  1393.         double[] adblBumpedNode = 0 == iNumNode ? null : new double[iNumNode];

  1395.         for (int i = 0; i < iNumNode; ++i) {
  1396.             if (!org.drip.numerical.common.NumberUtil.IsValid (adblBumpedNode[i] = adblNode[i] + dblBump))
  1397.                 return null;
  1398.         }

  1400.         return adblBumpedNode;
  1401.     }

  1403.     /**
  1404.      * Converts the Nano-Second Interval into aH:bM:cS:dMS Format
  1405.      * 
  1406.      * @param lElapsedNanos The Elapsed Nano Time
  1407.      *
  1408.      * @return The Nano-Second Interval in the aH:bM:cS:dMS Format
  1409.      */

  1411.     public static final java.lang.String IntervalHMSMS (
  1412.         final long lElapsedNanos)
  1413.     {
  1414.         if (0 >= lElapsedNanos) return "";

  1416.         java.lang.String strHMS = "";
  1417.         long lElapsedSeconds = (long) ((0.5 + lElapsedNanos) * 1.e-09);
  1418.         long lElapsedMillis = (lElapsedNanos - lElapsedSeconds * 1000000000) / 1000000;

  1420.         if (lElapsedSeconds >= 3600)
  1421.         {
  1422.             strHMS = strHMS + (lElapsedSeconds / 3600) + " h ";
  1423.             lElapsedSeconds = lElapsedSeconds % 3600;
  1424.         }

  1426.         if (lElapsedSeconds >= 60)
  1427.         {
  1428.             strHMS = strHMS + (lElapsedSeconds / 60) + " m ";
  1429.             lElapsedSeconds = lElapsedSeconds % 60;
  1430.         }

  1432.         if (lElapsedSeconds > 0)
  1433.         {
  1434.             strHMS = strHMS + lElapsedSeconds + " s ";
  1435.         }

  1437.         return strHMS + lElapsedMillis + " ms";
  1438.     }
  1439. }
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