MultiFactorStateEvolver.java

  1. package org.drip.dynamics.hjm;

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

  81. /**
  82.  * <i>MultiFactorStateEvolver</i> sets up and implements the Base Multi-Factor No-arbitrage Dynamics of the
  83.  * Rates State Quantifiers as formulated in:
  84.  * 
  85.  * <ul>
  86.  *  <li>
  87.  *      Heath, D., R. Jarrow, and A. Morton (1992): Bond Pricing and Term Structure of Interest Rates: A New
  88.  *          Methodology for Contingent Claims Valuation <i>Econometrica</i> <b>60 (1)</b> 77-105
  89.  *  </li>
  90.  * </ul>
  91.  *
  92.  *  <br><br>
  93.  * In particular it looks to evolve the Multi-factor Instantaneous Forward Rates.
  94.  *
  95.  *  <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  99.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/README.md">HJM, Hull White, LMM, and SABR Dynamic Evolution Models</a></li>
  100.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/hjm/README.md">HJM Based Latent State Evolution</a></li>
  101.  *  </ul>
  102.  *
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class MultiFactorStateEvolver implements org.drip.dynamics.evolution.PointStateEvolver {
  107.     private org.drip.dynamics.hjm.MultiFactorVolatility _mfv = null;
  108.     private org.drip.state.identifier.ForwardLabel _lslForward = null;
  109.     private org.drip.state.identifier.FundingLabel _lslFunding = null;
  110.     private org.drip.function.definition.R1ToR1 _auInitialInstantaneousForwardRate = null;

  112.     /**
  113.      * MultiFactorStateEvolver Constructor
  114.      * 
  115.      * @param lslFunding The Funding Latent State Label
  116.      * @param lslForward The Forward Latent State Label
  117.      * @param mfv The Multi-Factor Volatility Instance
  118.      * @param auInitialInstantaneousForwardRate The Initial Instantaneous Forward Rate Term Structure
  119.      * 
  120.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  121.      */

  123.     public MultiFactorStateEvolver (
  124.         final org.drip.state.identifier.FundingLabel lslFunding,
  125.         final org.drip.state.identifier.ForwardLabel lslForward,
  126.         final org.drip.dynamics.hjm.MultiFactorVolatility mfv,
  127.         final org.drip.function.definition.R1ToR1 auInitialInstantaneousForwardRate)
  128.         throws java.lang.Exception
  129.     {
  130.         if (null == (_lslFunding = lslFunding) || null == (_lslForward = lslForward) || null == (_mfv = mfv)
  131.             || null == (_auInitialInstantaneousForwardRate = auInitialInstantaneousForwardRate))
  132.             throw new java.lang.Exception ("MultiFactorStateEvolver ctr: Invalid Inputs");
  133.     }

  135.     /**
  136.      * Retrieve the Funding Label
  137.      * 
  138.      * @return The Funding Label
  139.      */

  141.     public org.drip.state.identifier.FundingLabel fundingLabel()
  142.     {
  143.         return _lslFunding;
  144.     }

  146.     /**
  147.      * Retrieve the Forward Label
  148.      * 
  149.      * @return The Forward Label
  150.      */

  152.     public org.drip.state.identifier.ForwardLabel forwardLabel()
  153.     {
  154.         return _lslForward;
  155.     }

  157.     /**
  158.      * Retrieve the Multi-factor Volatility Instance
  159.      * 
  160.      * @return The Multi-factor Volatility Instance
  161.      */

  163.     public org.drip.dynamics.hjm.MultiFactorVolatility mfv()
  164.     {
  165.         return _mfv;
  166.     }

  168.     /**
  169.      * Retrieve the Initial Instantaneous Forward Rate Term Structure
  170.      * 
  171.      * @return The Initial Instantaneous Forward Rate Term Structure
  172.      */

  174.     public org.drip.function.definition.R1ToR1 instantaneousForwardInitialTermStructure()
  175.     {
  176.         return _auInitialInstantaneousForwardRate;
  177.     }

  179.     /**
  180.      * Compute the Instantaneous Forward Rate Increment given the View Date, the Target Date, and the View
  181.      *  Time Increment
  182.      * 
  183.      * @param iViewDate The View Date
  184.      * @param iTargetDate The Target Date
  185.      * @param iViewTimeIncrement The View Time Increment
  186.      * 
  187.      * @return The Instantaneous Forward Rate Increment
  188.      * 
  189.      * @throws java.lang.Exception Thrown if the Instantaneous Forward Rate Increment cannot be computed
  190.      */

  192.     public double instantaneousForwardRateIncrement (
  193.         final int iViewDate,
  194.         final int iTargetDate,
  195.         final int iViewTimeIncrement)
  196.         throws java.lang.Exception
  197.     {
  198.         if (iTargetDate <= iViewDate)
  199.             throw new java.lang.Exception
  200.                 ("MultiFactorStateEvolver::instantaneousForwardRateIncrement => Invalid Inputs");

  202.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  204.         int iNumFactor = pfsg.numFactor();

  206.         double[] adblMultivariateRandom = pfsg.random();

  208.         double dblIntantaneousForwardRateIncrement = 0.;
  209.         double dblAnnualizedTimeIncrement = 1. * iViewTimeIncrement / 365.25;

  211.         double dblAnnualizedTimeIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedTimeIncrement);

  213.         for (int i = 0; i < iNumFactor; ++i) {
  214.             double dblWeightedFactorPointVolatility = _mfv.weightedFactorPointVolatility (i, iViewDate,
  215.                 iTargetDate);

  217.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblWeightedFactorPointVolatility))
  218.                 throw new java.lang.Exception
  219.                     ("MultiFactorStateEvolver::instantaneousForwardRateIncrement => Cannot compute View/Target Date Point Volatility");

  221.             dblIntantaneousForwardRateIncrement += _mfv.volatilityIntegral (i, iViewDate, iTargetDate) *
  222.                 dblWeightedFactorPointVolatility * dblAnnualizedTimeIncrement +
  223.                     dblWeightedFactorPointVolatility * dblAnnualizedTimeIncrementSQRT *
  224.                         adblMultivariateRandom[i];
  225.         }

  227.         return dblIntantaneousForwardRateIncrement;
  228.     }

  230.     /**
  231.      * Compute the Proportional Price Increment given the View Date, the Target Date, the Short Rate, and the
  232.      *  View Time Increment
  233.      * 
  234.      * @param iViewDate The View Date
  235.      * @param iTargetDate The Target Date
  236.      * @param dblShortRate The Short Rate
  237.      * @param iViewTimeIncrement The View Time Increment
  238.      * 
  239.      * @return The Proportional Price Increment
  240.      * 
  241.      * @throws java.lang.Exception Thrown if the Proportional Price Increment cannot be computed
  242.      */

  244.     public double proportionalPriceIncrement (
  245.         final int iViewDate,
  246.         final int iTargetDate,
  247.         final double dblShortRate,
  248.         final int iViewTimeIncrement)
  249.         throws java.lang.Exception
  250.     {
  251.         if (iTargetDate <= iViewDate || !org.drip.numerical.common.NumberUtil.IsValid (dblShortRate))
  252.             throw new java.lang.Exception
  253.                 ("MultiFactorStateEvolver::proportionalPriceIncrement => Invalid Inputs");

  255.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  257.         int iNumFactor = pfsg.numFactor();

  259.         double[] adblMultivariateRandom = pfsg.random();

  261.         double dblAnnualizedTimeIncrement = 1. * iViewTimeIncrement / 365.25;
  262.         double dblProportionalPriceIncrement = dblShortRate * dblAnnualizedTimeIncrement;

  264.         double dblAnnualizedTimeIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedTimeIncrement);

  266.         for (int i = 0; i < iNumFactor; ++i)
  267.             dblProportionalPriceIncrement -= _mfv.volatilityIntegral (i, iViewDate, iTargetDate) *
  268.                 dblAnnualizedTimeIncrementSQRT * adblMultivariateRandom[i];

  270.         return dblProportionalPriceIncrement;
  271.     }

  273.     /**
  274.      * Compute the Short Rate Increment given the Spot Date, the View Date, and the View Time Increment
  275.      * 
  276.      * @param iSpotDate The Spot Date
  277.      * @param iViewDate The View Date
  278.      * @param iViewTimeIncrement The View Time Increment
  279.      * 
  280.      * @return The Short Rate Increment
  281.      * 
  282.      * @throws java.lang.Exception Thrown if the Short Rate Increment cannot be computed
  283.      */

  285.     public double shortRateIncrement (
  286.         final int iSpotDate,
  287.         final int iViewDate,
  288.         final int iViewTimeIncrement)
  289.         throws java.lang.Exception
  290.     {
  291.         if (iSpotDate > iViewDate)
  292.             throw new java.lang.Exception ("MultiFactorStateEvolver::shortRateIncrement => Invalid Inputs");

  294.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  296.         double[] adblMultivariateRandom = pfsg.random();

  298.         int iNumFactor = pfsg.numFactor();

  300.         double dblShortRateIncrement = 0.;
  301.         double dblAnnualizedIncrement = 1. * iViewTimeIncrement / 365.25;

  303.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  305.         for (int i = 0; i < iNumFactor; ++i) {
  306.             double dblViewWeightedFactorVolatility = _mfv.weightedFactorPointVolatility (i, iViewDate,
  307.                 iViewDate);

  309.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblViewWeightedFactorVolatility))
  310.                 throw new java.lang.Exception
  311.                     ("MultiFactorStateEvolver::shortRateIncrement => Cannot compute View Date Factor Volatility");

  313.             dblShortRateIncrement += _mfv.volatilityIntegral (i, iSpotDate, iViewDate) *
  314.                 dblViewWeightedFactorVolatility * dblAnnualizedIncrement + dblViewWeightedFactorVolatility *
  315.                     dblAnnualizedIncrementSQRT * adblMultivariateRandom[i];
  316.         }

  318.         return dblShortRateIncrement;
  319.     }

  321.     /**
  322.      * Compute the Continuously Compounded Short Rate Increment given the Spot Date, the View Date, the
  323.      *  Target Date, the Continuously Compounded Short Rate, the Current Short Rate, and the View Time
  324.      *  Increment.
  325.      * 
  326.      * @param iSpotDate The Spot Date
  327.      * @param iViewDate The View Date
  328.      * @param iTargetDate The Target Date
  329.      * @param dblCompoundedShortRate The Compounded Short Rate
  330.      * @param dblShortRate The Short Rate
  331.      * @param iViewTimeIncrement The View Time Increment
  332.      * 
  333.      * @return The Short Rate Increment
  334.      * 
  335.      * @throws java.lang.Exception Thrown if the Continuously Compounded Short Rate Increment cannot be
  336.      * computed
  337.      */

  339.     public double compoundedShortRateIncrement (
  340.         final int iSpotDate,
  341.         final int iViewDate,
  342.         final int iTargetDate,
  343.         final double dblCompoundedShortRate,
  344.         final double dblShortRate,
  345.         final int iViewTimeIncrement)
  346.         throws java.lang.Exception
  347.     {
  348.         if (iSpotDate > iViewDate || iViewDate >= iTargetDate)
  349.             throw new java.lang.Exception
  350.                 ("MultiFactorStateEvolver::compoundedShortRateIncrement => Invalid Inputs");

  352.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  354.         int iNumFactor = pfsg.numFactor();

  356.         double[] adblMultivariateRandom = pfsg.random();

  358.         double dblAnnualizedIncrement = 1. * iViewTimeIncrement / 365.25;
  359.         double dblCompoundedShortRateIncrement = (dblCompoundedShortRate - dblShortRate) *
  360.             dblAnnualizedIncrement;

  362.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  364.         for (int i = 0; i < iNumFactor; ++i) {
  365.             double dblViewTargetVolatilityIntegral = _mfv.volatilityIntegral (i, iViewDate, iTargetDate);

  367.             dblCompoundedShortRateIncrement += 0.5 * dblViewTargetVolatilityIntegral *
  368.                 dblViewTargetVolatilityIntegral * dblAnnualizedIncrement + dblViewTargetVolatilityIntegral *
  369.                     dblAnnualizedIncrementSQRT * adblMultivariateRandom[i];
  370.         }

  372.         return dblCompoundedShortRateIncrement * 365.25 / (iTargetDate - iViewDate);
  373.     }

  375.     /**
  376.      * Compute the LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date, the
  377.      *  Current LIBOR Forward Rate, and the View Time Increment
  378.      * 
  379.      * @param iSpotDate The Spot Date
  380.      * @param iViewDate The View Date
  381.      * @param iTargetDate The Target Date
  382.      * @param dblLIBORForwardRate The LIBOR Forward Rate
  383.      * @param iViewTimeIncrement The View Time Increment
  384.      * 
  385.      * @return The Forward Rate Increment
  386.      * 
  387.      * @throws java.lang.Exception Thrown if the LIBOR Forward Rate Increment cannot be computed
  388.      */

  390.     public double liborForwardRateIncrement (
  391.         final int iSpotDate,
  392.         final int iViewDate,
  393.         final int iTargetDate,
  394.         final double dblLIBORForwardRate,
  395.         final int iViewTimeIncrement)
  396.         throws java.lang.Exception
  397.     {
  398.         if (iSpotDate > iViewDate || iViewDate >= iTargetDate || !org.drip.numerical.common.NumberUtil.IsValid
  399.             (dblLIBORForwardRate))
  400.             throw new java.lang.Exception
  401.                 ("MultiFactorStateEvolver::liborForwardRateIncrement => Invalid Inputs");

  403.         double dblAnnualizedTimeIncrementSQRT = java.lang.Math.sqrt (1. * iViewTimeIncrement / 365.25);

  405.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  407.         double[] adblMultivariateRandom = pfsg.random();

  409.         double dblLIBORForwardRateVolIncrement = 0.;

  411.         int iNumFactor = pfsg.numFactor();

  413.         for (int i = 0; i < iNumFactor; ++i)
  414.             dblLIBORForwardRateVolIncrement += _mfv.volatilityIntegral (i, iViewDate, iTargetDate) *
  415.                 (_mfv.volatilityIntegral (i, iSpotDate, iTargetDate) + dblAnnualizedTimeIncrementSQRT *
  416.                     adblMultivariateRandom[i]);

  418.         return (dblLIBORForwardRate + (365.25 / (iTargetDate - iViewDate))) *
  419.             dblLIBORForwardRateVolIncrement;
  420.     }

  422.     /**
  423.      * Compute the Shifted LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date,
  424.      *  the Current Shifted LIBOR Forward Rate, and the View Time Increment
  425.      * 
  426.      * @param iSpotDate The Spot Date
  427.      * @param iViewDate The View Date
  428.      * @param iTargetDate The Target Date
  429.      * @param dblShiftedLIBORForwardRate The Shifted LIBOR Forward Rate
  430.      * @param iViewTimeIncrement The View Time Increment
  431.      * 
  432.      * @return The Shifted Forward Rate Increment
  433.      * 
  434.      * @throws java.lang.Exception Thrown if the Shifted LIBOR Forward Rate Increment cannot be computed
  435.      */

  437.     public double shiftedLIBORForwardIncrement (
  438.         final int iSpotDate,
  439.         final int iViewDate,
  440.         final int iTargetDate,
  441.         final double dblShiftedLIBORForwardRate,
  442.         final int iViewTimeIncrement)
  443.         throws java.lang.Exception
  444.     {
  445.         if (iSpotDate > iViewDate || iViewDate >= iTargetDate || !org.drip.numerical.common.NumberUtil.IsValid
  446.             (dblShiftedLIBORForwardRate))
  447.             throw new java.lang.Exception
  448.                 ("MultiFactorStateEvolver::shiftedLIBORForwardIncrement => Invalid Inputs");

  450.         double dblAnnualizedTimeIncrementSQRT = java.lang.Math.sqrt (1. * iViewTimeIncrement / 365.25);

  452.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  454.         double[] adblMultivariateRandom = pfsg.random();

  456.         double dblShiftedLIBORVolIncrement = 0.;

  458.         int iNumFactor = pfsg.numFactor();

  460.         for (int i = 0; i < iNumFactor; ++i)
  461.             dblShiftedLIBORVolIncrement += _mfv.volatilityIntegral (i, iViewDate, iTargetDate) *
  462.                 (_mfv.volatilityIntegral (i, iSpotDate, iTargetDate) + dblAnnualizedTimeIncrementSQRT *
  463.                     adblMultivariateRandom[i]);

  465.         return dblShiftedLIBORForwardRate * dblShiftedLIBORVolIncrement;
  466.     }

  468.     @Override public org.drip.dynamics.evolution.LSQMPointUpdate evolve (
  469.         final int iSpotDate,
  470.         final int iViewDate,
  471.         final int iSpotTimeIncrement,
  472.         final org.drip.dynamics.evolution.LSQMPointUpdate lsqmPrev)
  473.     {
  474.         if (iSpotDate > iViewDate || null == lsqmPrev || !(lsqmPrev instanceof
  475.             org.drip.dynamics.hjm.ShortForwardRateUpdate))
  476.             return null;

  478.         org.drip.sequence.random.PrincipalFactorSequenceGenerator pfsg = _mfv.msg();

  480.         double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;

  482.         double dblAnnualizedIncrementSQRT = java.lang.Math.sqrt (dblAnnualizedIncrement);

  484.         double[] adblMultivariateRandom = pfsg.random();

  486.         int iNumFactor = pfsg.numFactor();

  488.         org.drip.dynamics.hjm.ShortForwardRateUpdate qmInitial =
  489.             (org.drip.dynamics.hjm.ShortForwardRateUpdate) lsqmPrev;

  491.         try {
  492.             double dblInitialPrice = qmInitial.price();

  494.             double dblInitialShortRate = qmInitial.shortRate();

  496.             double dblInitialLIBORForwardRate = qmInitial.liborForwardRate();

  498.             double dblInitialCompoundedShortRate = qmInitial.compoundedShortRate();

  500.             int iTargetDate = new org.drip.analytics.date.JulianDate (iViewDate).addTenor
  501.                 (_lslForward.tenor()).julian();

  503.             double dblShortRateIncrement = 0.;
  504.             double dblShiftedLIBORForwardRateIncrement = 0.;
  505.             double dblInstantaneousForwardRateIncrement = 0.;
  506.             double dblPriceIncrement = dblInitialShortRate * dblAnnualizedIncrement;
  507.             double dblCompoundedShortRateIncrement = (dblInitialCompoundedShortRate - dblInitialShortRate) *
  508.                 dblAnnualizedIncrement;

  510.             for (int i = 0; i < iNumFactor; ++i) {
  511.                 double dblViewDateFactorVolatility = _mfv.weightedFactorPointVolatility (i, iViewDate,
  512.                     iViewDate);

  514.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblViewDateFactorVolatility)) return null;

  516.                 double dblViewTargetFactorVolatility = _mfv.weightedFactorPointVolatility (i, iViewDate,
  517.                     iTargetDate);

  519.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblViewTargetFactorVolatility)) return null;

  521.                 double dblViewTargetVolatilityIntegral = _mfv.volatilityIntegral (i, iViewDate, iTargetDate);

  523.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblViewTargetVolatilityIntegral)) return null;

  525.                 double dblSpotViewVolatilityIntegral = _mfv.volatilityIntegral (i, iSpotDate, iViewDate);

  527.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblSpotViewVolatilityIntegral)) return null;

  529.                 double dblSpotTargetVolatilityIntegral = _mfv.volatilityIntegral (i, iSpotDate, iTargetDate);

  531.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblSpotTargetVolatilityIntegral)) return null;

  533.                 double dblScaledMultivariateRandom = dblAnnualizedIncrementSQRT * adblMultivariateRandom[i];
  534.                 dblInstantaneousForwardRateIncrement += dblViewTargetVolatilityIntegral *
  535.                     dblViewTargetFactorVolatility * dblAnnualizedIncrement + dblViewTargetFactorVolatility *
  536.                         dblScaledMultivariateRandom;
  537.                 dblShortRateIncrement += dblSpotViewVolatilityIntegral * dblViewDateFactorVolatility *
  538.                     dblAnnualizedIncrement + dblViewDateFactorVolatility * dblScaledMultivariateRandom;
  539.                 dblCompoundedShortRateIncrement += 0.5 * dblViewTargetVolatilityIntegral *
  540.                     dblViewTargetVolatilityIntegral * dblAnnualizedIncrement +
  541.                         dblViewTargetVolatilityIntegral * dblScaledMultivariateRandom;
  542.                 dblShiftedLIBORForwardRateIncrement += dblViewTargetVolatilityIntegral *
  543.                     (dblSpotTargetVolatilityIntegral + dblScaledMultivariateRandom);
  544.                 dblPriceIncrement -= dblViewTargetVolatilityIntegral * dblScaledMultivariateRandom;
  545.             }

  547.             dblPriceIncrement *= dblInitialPrice;
  548.             dblCompoundedShortRateIncrement *= 365.25 / (iTargetDate - iViewDate);
  549.             double dblLIBORForwardRateIncrement = (dblInitialLIBORForwardRate + (365.25 / (iTargetDate -
  550.                 iViewDate))) * dblShiftedLIBORForwardRateIncrement;

  552.             return org.drip.dynamics.hjm.ShortForwardRateUpdate.Create (_lslFunding, _lslForward, iSpotDate,
  553.                 iSpotDate + iSpotTimeIncrement, iTargetDate, qmInitial.instantaneousForwardRate() +
  554.                     dblInstantaneousForwardRateIncrement, dblInstantaneousForwardRateIncrement,
  555.                         dblInitialLIBORForwardRate + dblLIBORForwardRateIncrement,
  556.                             dblLIBORForwardRateIncrement, qmInitial.shiftedLIBORForwardRate() +
  557.                                 dblShiftedLIBORForwardRateIncrement, dblShiftedLIBORForwardRateIncrement,
  558.                                     dblInitialShortRate + dblShortRateIncrement, dblShortRateIncrement,
  559.                                         dblInitialCompoundedShortRate + dblCompoundedShortRateIncrement,
  560.                                             dblCompoundedShortRateIncrement, dblInitialPrice +
  561.                                                 dblPriceIncrement, dblPriceIncrement);
  562.         } catch (java.lang.Exception e) {
  563.             e.printStackTrace();
  564.         }

  566.         return null;
  567.     }
  568. }
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