BondBuilder.java

  1. package org.drip.product.creator;

  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>BondBuilder</i> contains the suite of helper functions for creating simple fixed/floater bonds, user
  87.  * defined bonds, optionally with custom cash flows and embedded option schedules (European or American). It
  88.  * also constructs bonds by de-serializing the byte stream.
  89.  *
  90.  *  <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
  95.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/creator/README.md">Streams and Products Construction Utilities</a></li>
  96.  *  </ul>
  97.  * <br><br>
  98.  * 
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class BondBuilder {

  104.     /**
  105.      * Custom Bond Type Simple Fixed
  106.      */

  108.     public static final int BOND_TYPE_SIMPLE_FIXED = 0;

  110.     /**
  111.      * Custom Bond Type Simple Floater
  112.      */

  114.     public static final int BOND_TYPE_SIMPLE_FLOATER = 1;

  116.     /**
  117.      * Custom Bond Type Simple From Cash flows
  118.      */

  120.     public static final int BOND_TYPE_SIMPLE_FROM_CF = 2;

  122.     /**
  123.      * Create the full generic bond object from the complete set of parameters
  124.      * 
  125.      * @param tsyParams Bond Treasury Parameters
  126.      * @param idParams Bond Identifier Parameters
  127.      * @param cpnParams Bond Coupon Parameters
  128.      * @param fltParams Bond Floater Parameters
  129.      * @param mktConv Bond Market Quote Convention
  130.      * @param crValParams Bond Credit Valuation Parameters
  131.      * @param cfteParams Bond Cash-flow Termination Event Parameters
  132.      * @param periodParams Bond Period Generation Parameters
  133.      * @param notlParams Bond Notional Parameters
  134.      * 
  135.      * @return The Bond object
  136.      */

  138.     public static final org.drip.product.credit.BondComponent CreateBondFromParams (
  139.         final org.drip.product.params.TreasuryBenchmarks tsyParams,
  140.         final org.drip.product.params.IdentifierSet idParams,
  141.         final org.drip.product.params.CouponSetting cpnParams,
  142.         final org.drip.product.params.FloaterSetting fltParams,
  143.         final org.drip.product.params.QuoteConvention mktConv,
  144.         final org.drip.product.params.CreditSetting crValParams,
  145.         final org.drip.product.params.TerminationSetting cfteParams,
  146.         final org.drip.product.params.BondStream periodParams,
  147.         final org.drip.product.params.NotionalSetting notlParams)
  148.     {
  149.         if (null == idParams || !idParams.validate() || null == cpnParams || !cpnParams.validate() || (null
  150.             != fltParams && !fltParams.validate()) || null == mktConv || !mktConv.validate() || null ==
  151.                 crValParams || !crValParams.validate() || null == cfteParams || !cfteParams.validate() ||
  152.                     null == periodParams || null == notlParams || !notlParams.validate())
  153.             return null;

  155.         org.drip.product.credit.BondComponent bond = new org.drip.product.credit.BondComponent();

  157.         bond.setTreasuryBenchmark (tsyParams);

  159.         bond.setIdentifierSet (idParams);

  161.         bond.setCouponSetting (cpnParams);

  163.         bond.setFloaterSetting (fltParams);

  165.         bond.setMarketConvention (mktConv);

  167.         bond.setCreditSetting (crValParams);

  169.         bond.setTerminationSetting (cfteParams);

  171.         bond.setStream (periodParams);

  173.         bond.setNotionalSetting (notlParams);

  175.         return bond;
  176.     }

  178.     /**
  179.      * Create a simple fixed bond from parameters
  180.      * 
  181.      * @param strName Bond Name
  182.      * @param strCurrency Bond Currency
  183.      * @param strCreditCurveName Credit Curve Name
  184.      * @param dblCoupon Bond Fixed Coupon
  185.      * @param iFreq Coupon Frequency
  186.      * @param strDayCount Bond Coupon Day count convention
  187.      * @param dtEffective Effective Date
  188.      * @param dtMaturity Maturity Date
  189.      * @param fsPrincipalOutstanding Outstanding Principal schedule
  190.      * @param fsCoupon Bond Coupon Schedule
  191.      * 
  192.      * @return The Bond Object
  193.      */

  195.     public static final org.drip.product.credit.BondComponent CreateSimpleFixed (
  196.         final java.lang.String strName,
  197.         final java.lang.String strCurrency,
  198.         final java.lang.String strCreditCurveName,
  199.         final double dblCoupon,
  200.         final int iFreq,
  201.         final java.lang.String strDayCount,
  202.         final org.drip.analytics.date.JulianDate dtEffective,
  203.         final org.drip.analytics.date.JulianDate dtMaturity,
  204.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  205.         final org.drip.numerical.common.Array2D fsCoupon)
  206.     {
  207.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  208.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  209.             return null;

  211.         return CreateBondFromParams (
  212.             null,
  213.             new org.drip.product.params.IdentifierSet (
  214.                 strName,
  215.                 strName,
  216.                 strName,
  217.                 strName
  218.             ),
  219.             new org.drip.product.params.CouponSetting (
  220.                 fsCoupon,
  221.                 "",
  222.                 dblCoupon,
  223.                 java.lang.Double.NaN,
  224.                 java.lang.Double.NaN
  225.             ),
  226.             null,
  227.             new org.drip.product.params.QuoteConvention (
  228.                 null,
  229.                 "",
  230.                 dtEffective.julian(),
  231.                 100.,
  232.                 0,
  233.                 strCurrency,
  234.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  235.             ),
  236.             new org.drip.product.params.CreditSetting (
  237.                 30,
  238.                 java.lang.Double.NaN,
  239.                 true,
  240.                 strCreditCurveName,
  241.                 true
  242.             ),
  243.             new org.drip.product.params.TerminationSetting (
  244.                 false,
  245.                 false,
  246.                 false,
  247.                 null
  248.             ),
  249.             org.drip.product.params.BondStream.Create (
  250.                 dtMaturity.julian(),
  251.                 dtEffective.julian(),
  252.                 java.lang.Integer.MIN_VALUE,
  253.                 java.lang.Integer.MIN_VALUE,
  254.                 dtEffective.julian(),
  255.                 iFreq,
  256.                 dblCoupon,
  257.                 strDayCount,
  258.                 strDayCount,
  259.                 null,
  260.                 null,
  261.                 null,
  262.                 null,
  263.                 null,
  264.                 null,
  265.                 null,
  266.                 null,
  267.                 "",
  268.                 false,
  269.                 strCurrency,
  270.                 strCurrency,
  271.                 null,
  272.                 !org.drip.numerical.common.StringUtil.IsEmpty (strCreditCurveName) ?
  273.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  274.                         strCreditCurveName,
  275.                         strCurrency
  276.                     ) : null
  277.             ), new org.drip.product.params.NotionalSetting (
  278.                 100.,
  279.                 strCurrency,
  280.                 fsPrincipalOutstanding,
  281.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START,
  282.                 false
  283.             )
  284.         );
  285.     }

  287.     /**
  288.      * Create a Fixed Coupon Bond from the First and Penultimate Coupon Dates, and the other Parameters
  289.      * 
  290.      * @param strName Bond Name
  291.      * @param strCurrency Bond Currency
  292.      * @param strCreditCurveName Credit Curve Name
  293.      * @param dblCoupon Bond Fixed Coupon
  294.      * @param iFreq Coupon Frequency
  295.      * @param strDayCount Bond Coupon Day count convention
  296.      * @param dtEffective Effective Date
  297.      * @param dtMaturity Maturity Date
  298.      * @param iFirstCouponDate First Coupon Date
  299.      * @param iPenultimateCouponDate Penultimate Coupon Date
  300.      * @param dapPay Pay Date Adjustment Parameters
  301.      * @param dapReset Reset Date Adjustment Parameters
  302.      * @param dapMaturity Maturity Date Adjustment Parameters
  303.      * @param dapEffective Effective Date Adjustment Parameters
  304.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  305.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  306.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  307.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  308.      * @param fsPrincipalOutstanding Outstanding Principal schedule
  309.      * @param fsCoupon Bond Coupon Schedule
  310.      * 
  311.      * @return The Bond Object
  312.      */

  314.     public static final org.drip.product.credit.BondComponent CreateSimpleFixedFP (
  315.         final java.lang.String strName,
  316.         final java.lang.String strCurrency,
  317.         final java.lang.String strCreditCurveName,
  318.         final double dblCoupon,
  319.         final int iFreq,
  320.         final java.lang.String strDayCount,
  321.         final org.drip.analytics.date.JulianDate dtEffective,
  322.         final org.drip.analytics.date.JulianDate dtMaturity,
  323.         final int iFirstCouponDate,
  324.         final int iPenultimateCouponDate,
  325.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  326.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  327.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  328.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  329.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  330.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  331.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  332.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  333.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  334.         final org.drip.numerical.common.Array2D fsCoupon)
  335.     {
  336.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  337.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  338.             return null;

  340.         return CreateBondFromParams (
  341.             null,
  342.             new org.drip.product.params.IdentifierSet (
  343.                 strName,
  344.                 strName,
  345.                 strName,
  346.                 strName
  347.             ),
  348.             new org.drip.product.params.CouponSetting (
  349.                 fsCoupon,
  350.                 "",
  351.                 dblCoupon,
  352.                 java.lang.Double.NaN,
  353.                 java.lang.Double.NaN
  354.             ),
  355.             null,
  356.             new org.drip.product.params.QuoteConvention (
  357.                 null,
  358.                 "",
  359.                 dtEffective.julian(),
  360.                 100.,
  361.                 0,
  362.                 strCurrency,
  363.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  364.             ),
  365.             new org.drip.product.params.CreditSetting (
  366.                 30,
  367.                 java.lang.Double.NaN,
  368.                 true,
  369.                 strCreditCurveName,
  370.                 true
  371.             ),
  372.             new org.drip.product.params.TerminationSetting (
  373.                 false,
  374.                 false,
  375.                 false,
  376.                 dapMaturity
  377.             ),
  378.             org.drip.product.params.BondStream.FromFirstPenultimateCouponDate (
  379.                 dtMaturity.julian(),
  380.                 dtEffective.julian(),
  381.                 dtMaturity.julian(),
  382.                 iFirstCouponDate,
  383.                 iPenultimateCouponDate,
  384.                 iFreq,
  385.                 dblCoupon,
  386.                 strDayCount,
  387.                 strDayCount,
  388.                 dapPay,
  389.                 dapReset,
  390.                 dapMaturity,
  391.                 dapEffective,
  392.                 dapPeriodEnd,
  393.                 dapAccrualEnd,
  394.                 dapPeriodStart,
  395.                 dapAccrualStart,
  396.                 "",
  397.                 false,
  398.                 strCurrency,
  399.                 strCurrency,
  400.                 null,
  401.                 !org.drip.numerical.common.StringUtil.IsEmpty (strCreditCurveName) ?
  402.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  403.                         strCreditCurveName,
  404.                         strCurrency
  405.                     ) : null
  406.             ), new org.drip.product.params.NotionalSetting (
  407.                 100.,
  408.                 strCurrency,
  409.                 fsPrincipalOutstanding,
  410.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START,
  411.                 false
  412.             )
  413.         );
  414.     }

  416.     /**
  417.      * Create a Fixed Coupon Bond from the First Coupon Date and the other Parameters
  418.      * 
  419.      * @param strName Bond Name
  420.      * @param strCurrency Bond Currency
  421.      * @param strCreditCurveName Credit Curve Name
  422.      * @param dblCoupon Bond Fixed Coupon
  423.      * @param iFreq Coupon Frequency
  424.      * @param strDayCount Bond Coupon Day count convention
  425.      * @param dtEffective Effective Date
  426.      * @param dtMaturity Maturity Date
  427.      * @param iFirstCouponDate First Coupon Date
  428.      * @param dapPay Pay Date Adjustment Parameters
  429.      * @param dapReset Reset Date Adjustment Parameters
  430.      * @param dapMaturity Maturity Date Adjustment Parameters
  431.      * @param dapEffective Effective Date Adjustment Parameters
  432.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  433.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  434.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  435.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  436.      * @param fsPrincipalOutstanding Outstanding Principal schedule
  437.      * @param fsCoupon Bond Coupon Schedule
  438.      * 
  439.      * @return The Bond Object
  440.      */

  442.     public static final org.drip.product.credit.BondComponent CreateSimpleFixedF (
  443.         final java.lang.String strName,
  444.         final java.lang.String strCurrency,
  445.         final java.lang.String strCreditCurveName,
  446.         final double dblCoupon,
  447.         final int iFreq,
  448.         final java.lang.String strDayCount,
  449.         final org.drip.analytics.date.JulianDate dtEffective,
  450.         final org.drip.analytics.date.JulianDate dtMaturity,
  451.         final int iFirstCouponDate,
  452.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  453.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  454.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  455.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  456.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  457.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  458.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  459.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  460.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  461.         final org.drip.numerical.common.Array2D fsCoupon)
  462.     {
  463.         return CreateSimpleFixedFP (
  464.             strName,
  465.             strCurrency,
  466.             strCreditCurveName,
  467.             dblCoupon,
  468.             iFreq,
  469.             strDayCount,
  470.             dtEffective,
  471.             dtMaturity,
  472.             iFirstCouponDate,
  473.             dtMaturity.subtractTenor ((12 / iFreq) + "M").julian(),
  474.             dapPay,
  475.             dapReset,
  476.             dapMaturity,
  477.             dapEffective,
  478.             dapPeriodEnd,
  479.             dapAccrualEnd,
  480.             dapPeriodStart,
  481.             dapAccrualStart,
  482.             fsPrincipalOutstanding,
  483.             fsCoupon
  484.         );
  485.     }

  487.     /**
  488.      * Create a Fixed Coupon Bond from the Penultimate Coupon Date and the other Parameters
  489.      * 
  490.      * @param strName Bond Name
  491.      * @param strCurrency Bond Currency
  492.      * @param strCreditCurveName Credit Curve Name
  493.      * @param dblCoupon Bond Fixed Coupon
  494.      * @param iFreq Coupon Frequency
  495.      * @param strDayCount Bond Coupon Day count convention
  496.      * @param dtEffective Effective Date
  497.      * @param dtMaturity Maturity Date
  498.      * @param iPenultimateCouponDate Penultimate Coupon Date
  499.      * @param dapPay Pay Date Adjustment Parameters
  500.      * @param dapReset Reset Date Adjustment Parameters
  501.      * @param dapMaturity Maturity Date Adjustment Parameters
  502.      * @param dapEffective Effective Date Adjustment Parameters
  503.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  504.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  505.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  506.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  507.      * @param fsPrincipalOutstanding Outstanding Principal schedule
  508.      * @param fsCoupon Bond Coupon Schedule
  509.      * 
  510.      * @return The Bond Object
  511.      */

  513.     public static final org.drip.product.credit.BondComponent CreateSimpleFixedP (
  514.         final java.lang.String strName,
  515.         final java.lang.String strCurrency,
  516.         final java.lang.String strCreditCurveName,
  517.         final double dblCoupon,
  518.         final int iFreq,
  519.         final java.lang.String strDayCount,
  520.         final org.drip.analytics.date.JulianDate dtEffective,
  521.         final org.drip.analytics.date.JulianDate dtMaturity,
  522.         final int iPenultimateCouponDate,
  523.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  524.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  525.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  526.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  527.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  528.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  529.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  530.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  531.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  532.         final org.drip.numerical.common.Array2D fsCoupon)
  533.     {
  534.         return CreateSimpleFixedFP (
  535.             strName,
  536.             strCurrency,
  537.             strCreditCurveName,
  538.             dblCoupon,
  539.             iFreq,
  540.             strDayCount,
  541.             dtEffective,
  542.             dtMaturity,
  543.             dtEffective.addTenor ((12 / iFreq) + "M").julian(),
  544.             iPenultimateCouponDate,
  545.             dapPay,
  546.             dapReset,
  547.             dapMaturity,
  548.             dapEffective,
  549.             dapPeriodEnd,
  550.             dapAccrualEnd,
  551.             dapPeriodStart,
  552.             dapAccrualStart,
  553.             fsPrincipalOutstanding,
  554.             fsCoupon
  555.         );
  556.     }

  558.     /**
  559.      * Create a simple floating rate bond
  560.      * 
  561.      * @param strName Bond Name
  562.      * @param strCurrency Bond Currency
  563.      * @param strRateIndex Floating Rate Index
  564.      * @param strCreditCurveName Credit Curve Name
  565.      * @param dblSpread Bond Floater Spread
  566.      * @param iFreq Coupon Frequency
  567.      * @param strDayCount Coupon Day Count Convention
  568.      * @param dtEffective Effective date
  569.      * @param dtMaturity Maturity Date
  570.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  571.      * @param fsCoupon Coupon Schedule
  572.      * 
  573.      * @return The Bond object
  574.      */

  576.     public static final org.drip.product.credit.BondComponent CreateSimpleFloater (
  577.         final java.lang.String strName,
  578.         final java.lang.String strCurrency,
  579.         final java.lang.String strRateIndex,
  580.         final java.lang.String strCreditCurveName,
  581.         final double dblSpread,
  582.         final int iFreq,
  583.         final java.lang.String strDayCount,
  584.         final org.drip.analytics.date.JulianDate dtEffective,
  585.         final org.drip.analytics.date.JulianDate dtMaturity,
  586.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  587.         final org.drip.numerical.common.Array2D fsCoupon)
  588.     {
  589.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  590.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblSpread))
  591.             return null;

  593.         return CreateBondFromParams (
  594.             null,
  595.             new org.drip.product.params.IdentifierSet (
  596.                 strName,
  597.                 strName,
  598.                 strName,
  599.                 strCurrency
  600.             ),
  601.             new org.drip.product.params.CouponSetting (
  602.                 fsCoupon,
  603.                 "",
  604.                 dblSpread,
  605.                 java.lang.Double.NaN,
  606.                 java.lang.Double.NaN
  607.             ),
  608.             new org.drip.product.params.FloaterSetting (
  609.                 org.drip.state.identifier.ForwardLabel.Standard (strRateIndex),
  610.                 "",
  611.                 dblSpread,
  612.                 java.lang.Double.NaN
  613.             ),
  614.             new org.drip.product.params.QuoteConvention (
  615.                 null,
  616.                 "",
  617.                 dtEffective.julian(),
  618.                 100.,
  619.                 0,
  620.                 strCurrency,
  621.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  622.             ),
  623.             new org.drip.product.params.CreditSetting (
  624.                 30,
  625.                 java.lang.Double.NaN,
  626.                 true,
  627.                 strCreditCurveName,
  628.                 true
  629.             ),
  630.             new org.drip.product.params.TerminationSetting (
  631.                 false,
  632.                 false,
  633.                 false,
  634.                 null
  635.             ),
  636.             org.drip.product.params.BondStream.Create (
  637.                 dtMaturity.julian(),
  638.                 dtEffective.julian(),
  639.                 java.lang.Integer.MIN_VALUE,
  640.                 java.lang.Integer.MIN_VALUE,
  641.                 dtEffective.julian(),
  642.                 iFreq,
  643.                 dblSpread,
  644.                 strDayCount,
  645.                 strDayCount,
  646.                 null,
  647.                 null,
  648.                 null,
  649.                 null,
  650.                 null,
  651.                 null,
  652.                 null,
  653.                 null,
  654.                 "",
  655.                 false,
  656.                 strCurrency,
  657.                 strCurrency,
  658.                 org.drip.state.identifier.ForwardLabel.Standard (strRateIndex),
  659.                 null == strCreditCurveName || strCreditCurveName.isEmpty() ? null :
  660.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  661.                         strCreditCurveName,
  662.                         strCurrency
  663.                     )
  664.                 ),
  665.             new org.drip.product.params.NotionalSetting (
  666.                 100.,
  667.                 strCurrency,
  668.                 fsPrincipalOutstanding,
  669.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  670.                 false
  671.             )
  672.         );
  673.     }

  675.     /**
  676.      * Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
  677.      * 
  678.      * @param strName Bond Name
  679.      * @param strCurrency Bond Currency
  680.      * @param strRateIndex Floating Rate Index
  681.      * @param strCreditCurveName Credit Curve Name
  682.      * @param dblSpread Bond Floater Spread
  683.      * @param iFreq Coupon Frequency
  684.      * @param strDayCount Coupon Day Count Convention
  685.      * @param dtEffective Effective date
  686.      * @param dtMaturity Maturity Date
  687.      * @param iFirstCouponDate First Coupon Date
  688.      * @param iPenultimateCouponDate Penultimate Coupon Date
  689.      * @param dapPay Pay Date Adjustment Parameters
  690.      * @param dapReset Reset Date Adjustment Parameters
  691.      * @param dapMaturity Maturity Date Adjustment Parameters
  692.      * @param dapEffective Effective Date Adjustment Parameters
  693.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  694.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  695.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  696.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  697.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  698.      * @param fsCoupon Coupon Schedule
  699.      * 
  700.      * @return The Floating Rate Bond Instance
  701.      */

  703.     public static final org.drip.product.credit.BondComponent CreateSimpleFloaterFP (
  704.         final java.lang.String strName,
  705.         final java.lang.String strCurrency,
  706.         final java.lang.String strRateIndex,
  707.         final java.lang.String strCreditCurveName,
  708.         final double dblSpread,
  709.         final int iFreq,
  710.         final java.lang.String strDayCount,
  711.         final org.drip.analytics.date.JulianDate dtEffective,
  712.         final org.drip.analytics.date.JulianDate dtMaturity,
  713.         final int iFirstCouponDate,
  714.         final int iPenultimateCouponDate,
  715.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  716.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  717.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  718.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  719.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  720.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  721.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  722.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  723.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  724.         final org.drip.numerical.common.Array2D fsCoupon)
  725.     {
  726.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  727.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblSpread))
  728.             return null;

  730.         return CreateBondFromParams (
  731.             null,
  732.             new org.drip.product.params.IdentifierSet (
  733.                 strName,
  734.                 strName,
  735.                 strName,
  736.                 strCurrency
  737.             ),
  738.             new org.drip.product.params.CouponSetting (
  739.                 fsCoupon,
  740.                 "",
  741.                 dblSpread,
  742.                 java.lang.Double.NaN,
  743.                 java.lang.Double.NaN
  744.             ),
  745.             new org.drip.product.params.FloaterSetting (
  746.                 org.drip.state.identifier.ForwardLabel.Standard (strRateIndex),
  747.                 "",
  748.                 dblSpread,
  749.                 java.lang.Double.NaN
  750.             ),
  751.             new org.drip.product.params.QuoteConvention (
  752.                 null,
  753.                 "",
  754.                 dtEffective.julian(),
  755.                 100.,
  756.                 0,
  757.                 strCurrency,
  758.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  759.             ),
  760.             new org.drip.product.params.CreditSetting (
  761.                 30,
  762.                 java.lang.Double.NaN,
  763.                 true,
  764.                 strCreditCurveName,
  765.                 true
  766.             ),
  767.             new org.drip.product.params.TerminationSetting (
  768.                 false,
  769.                 false,
  770.                 false,
  771.                 dapMaturity
  772.             ),
  773.             org.drip.product.params.BondStream.FromFirstPenultimateCouponDate (
  774.                 dtMaturity.julian(),
  775.                 dtEffective.julian(),
  776.                 dtMaturity.julian(),
  777.                 iFirstCouponDate,
  778.                 iPenultimateCouponDate,
  779.                 iFreq,
  780.                 dblSpread,
  781.                 strDayCount,
  782.                 strDayCount,
  783.                 dapPay,
  784.                 dapReset,
  785.                 dapMaturity,
  786.                 dapEffective,
  787.                 dapPeriodEnd,
  788.                 dapAccrualEnd,
  789.                 dapPeriodStart,
  790.                 dapAccrualStart,
  791.                 "",
  792.                 false,
  793.                 strCurrency,
  794.                 strCurrency,
  795.                 org.drip.state.identifier.ForwardLabel.Standard (strRateIndex),
  796.                 null == strCreditCurveName || strCreditCurveName.isEmpty() ? null :
  797.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  798.                         strCreditCurveName,
  799.                         strCurrency
  800.                     )
  801.                 ),
  802.             new org.drip.product.params.NotionalSetting (
  803.                 100.,
  804.                 strCurrency,
  805.                 fsPrincipalOutstanding,
  806.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  807.                 false
  808.             )
  809.         );
  810.     }

  812.     /**
  813.      * Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
  814.      * 
  815.      * @param strName Bond Name
  816.      * @param strCurrency Bond Currency
  817.      * @param strRateIndex Floating Rate Index
  818.      * @param strCreditCurveName Credit Curve Name
  819.      * @param dblSpread Bond Floater Spread
  820.      * @param iFreq Coupon Frequency
  821.      * @param strDayCount Coupon Day Count Convention
  822.      * @param dtEffective Effective date
  823.      * @param dtMaturity Maturity Date
  824.      * @param iFirstCouponDate First Coupon Date
  825.      * @param dapPay Pay Date Adjustment Parameters
  826.      * @param dapReset Reset Date Adjustment Parameters
  827.      * @param dapMaturity Maturity Date Adjustment Parameters
  828.      * @param dapEffective Effective Date Adjustment Parameters
  829.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  830.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  831.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  832.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  833.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  834.      * @param fsCoupon Coupon Schedule
  835.      * 
  836.      * @return The Floating Rate Bond Instance
  837.      */

  839.     public static final org.drip.product.credit.BondComponent CreateSimpleFloaterF (
  840.         final java.lang.String strName,
  841.         final java.lang.String strCurrency,
  842.         final java.lang.String strRateIndex,
  843.         final java.lang.String strCreditCurveName,
  844.         final double dblSpread,
  845.         final int iFreq,
  846.         final java.lang.String strDayCount,
  847.         final org.drip.analytics.date.JulianDate dtEffective,
  848.         final org.drip.analytics.date.JulianDate dtMaturity,
  849.         final int iFirstCouponDate,
  850.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  851.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  852.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  853.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  854.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  855.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  856.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  857.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  858.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  859.         final org.drip.numerical.common.Array2D fsCoupon)
  860.     {
  861.         return CreateSimpleFloaterFP (
  862.             strName,
  863.             strCurrency,
  864.             strRateIndex,
  865.             strCreditCurveName,
  866.             dblSpread,
  867.             iFreq,
  868.             strDayCount,
  869.             dtEffective,
  870.             dtMaturity,
  871.             iFirstCouponDate,
  872.             dtMaturity.subtractTenor ((12 / iFreq) + "M").julian(),
  873.             dapPay,
  874.             dapReset,
  875.             dapMaturity,
  876.             dapEffective,
  877.             dapPeriodEnd,
  878.             dapAccrualEnd,
  879.             dapPeriodStart,
  880.             dapAccrualStart,
  881.             fsPrincipalOutstanding,
  882.             fsCoupon
  883.         );
  884.     }

  886.     /**
  887.      * Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
  888.      * 
  889.      * @param strName Bond Name
  890.      * @param strCurrency Bond Currency
  891.      * @param strRateIndex Floating Rate Index
  892.      * @param strCreditCurveName Credit Curve Name
  893.      * @param dblSpread Bond Floater Spread
  894.      * @param iFreq Coupon Frequency
  895.      * @param strDayCount Coupon Day Count Convention
  896.      * @param dtEffective Effective date
  897.      * @param dtMaturity Maturity Date
  898.      * @param iPenultimateCouponDate Penultimate Coupon Date
  899.      * @param dapPay Pay Date Adjustment Parameters
  900.      * @param dapReset Reset Date Adjustment Parameters
  901.      * @param dapMaturity Maturity Date Adjustment Parameters
  902.      * @param dapEffective Effective Date Adjustment Parameters
  903.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  904.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  905.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  906.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  907.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  908.      * @param fsCoupon Coupon Schedule
  909.      * 
  910.      * @return The Floating Rate Bond Instance
  911.      */

  913.     public static final org.drip.product.credit.BondComponent CreateSimpleFloaterP (
  914.         final java.lang.String strName,
  915.         final java.lang.String strCurrency,
  916.         final java.lang.String strRateIndex,
  917.         final java.lang.String strCreditCurveName,
  918.         final double dblSpread,
  919.         final int iFreq,
  920.         final java.lang.String strDayCount,
  921.         final org.drip.analytics.date.JulianDate dtEffective,
  922.         final org.drip.analytics.date.JulianDate dtMaturity,
  923.         final int iPenultimateCouponDate,
  924.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  925.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  926.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  927.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  928.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  929.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  930.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  931.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  932.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  933.         final org.drip.numerical.common.Array2D fsCoupon)
  934.     {
  935.         return CreateSimpleFloaterFP (
  936.             strName,
  937.             strCurrency,
  938.             strRateIndex,
  939.             strCreditCurveName,
  940.             dblSpread,
  941.             iFreq,
  942.             strDayCount,
  943.             dtEffective,
  944.             dtMaturity,
  945.             dtEffective.addTenor ((12 / iFreq) + "M").julian(),
  946.             iPenultimateCouponDate,
  947.             dapPay,
  948.             dapReset,
  949.             dapMaturity,
  950.             dapEffective,
  951.             dapPeriodEnd,
  952.             dapAccrualEnd,
  953.             dapPeriodStart,
  954.             dapAccrualStart,
  955.             fsPrincipalOutstanding,
  956.             fsCoupon
  957.         );
  958.     }

  960.     /**
  961.      * Create a bond from custom/user-defined cash flows and coupon conventions
  962.      * 
  963.      * @param strName Bond Name
  964.      * @param dtEffective Effective Date
  965.      * @param strCurrency Bond Currency
  966.      * @param strCreditCurveName Credit Curve Name
  967.      * @param strDayCount Coupon Day Count Convention
  968.      * @param dblInitialNotional The Initial Notional
  969.      * @param dblCouponRate The Coupon Rate
  970.      * @param iCouponFrequency Coupon Frequency
  971.      * @param adtPeriodEnd Array of Period End Dates
  972.      * @param adblCouponAmount Matching Array of Coupon Amounts
  973.      * @param adblPrincipalAmount Matching Array of Principal Amounts
  974.      * @param bIsPrincipalPayDown Flag indicating whether principal is pay down or outstanding
  975.      * 
  976.      * @return The Bond object
  977.      */

  979.     public static final org.drip.product.credit.BondComponent CreateBondFromCF (
  980.         final java.lang.String strName,
  981.         final org.drip.analytics.date.JulianDate dtEffective,
  982.         final java.lang.String strCurrency,
  983.         final java.lang.String strCreditCurveName,
  984.         final java.lang.String strDayCount,
  985.         final double dblInitialNotional,
  986.         final double dblCouponRate,
  987.         final int iCouponFrequency,
  988.         final org.drip.analytics.date.JulianDate[] adtPeriodEnd,
  989.         final double[] adblCouponAmount,
  990.         final double[] adblPrincipalAmount,
  991.         final boolean bIsPrincipalPayDown)
  992.     {
  993.         if (null == adtPeriodEnd || null == adblCouponAmount || null == adblPrincipalAmount || null ==
  994.             dtEffective || !org.drip.numerical.common.NumberUtil.IsValid (dblInitialNotional) ||
  995.                 !org.drip.numerical.common.NumberUtil.IsValid (dblCouponRate) || 0 == iCouponFrequency)
  996.             return null;

  998.         int iEffectiveDate = dtEffective.julian();

  1000.         int iNumPeriod = adtPeriodEnd.length;
  1001.         int iPeriodStartDate = iEffectiveDate;
  1002.         int[] aiPeriodEndDate = new int[iNumPeriod];
  1003.         int[] aiPrincipalDate = new int[iNumPeriod + 1];
  1004.         org.drip.product.params.BondStream stream = null;
  1005.         double[] adblCouponFactor = new double[iNumPeriod];
  1006.         double[] adblPeriodEndPrincipal = new double[iNumPeriod];
  1007.         double[] adblPrincipalFactor = new double[iNumPeriod + 1];
  1008.         double[] adblPeriodEndPrincipalFactor = new double[iNumPeriod];

  1010.         if (0 == iNumPeriod || iNumPeriod != adblCouponAmount.length || iNumPeriod !=
  1011.             adblPrincipalAmount.length)
  1012.             return null;

  1014.         if (bIsPrincipalPayDown) {
  1015.             for (int i = 0; i < iNumPeriod; ++i)
  1016.                 adblPeriodEndPrincipal[i] = (0 == i ? dblInitialNotional : adblPeriodEndPrincipal[i - 1]) -
  1017.                     adblPrincipalAmount[i];
  1018.         } else
  1019.             adblPeriodEndPrincipal = adblPrincipalAmount;

  1021.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod = new
  1022.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  1024.         for (int i = 0; i < iNumPeriod; ++i) {
  1025.             if (null == adtPeriodEnd[i]) return null;

  1027.             aiPeriodEndDate[i] = adtPeriodEnd[i].julian();

  1029.             adblPeriodEndPrincipalFactor[i] = adblPeriodEndPrincipal[i] / dblInitialNotional;

  1031.             try {
  1032.                 adblCouponFactor[i] = adblCouponAmount[i] / (0 == i ? dblInitialNotional :
  1033.                     adblPeriodEndPrincipal[i - 1]) / org.drip.analytics.daycount.Convention.YearFraction
  1034.                         (iPeriodStartDate, aiPeriodEndDate[i], strDayCount, false, null, "") / dblCouponRate;

  1036.                 java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> lsCUP = new
  1037.                     java.util.ArrayList<org.drip.analytics.cashflow.ComposableUnitPeriod>();

  1039.                 lsCUP.add (
  1040.                     new org.drip.analytics.cashflow.ComposableUnitFixedPeriod (
  1041.                         iPeriodStartDate,
  1042.                         aiPeriodEndDate[i],
  1043.                         new org.drip.param.period.UnitCouponAccrualSetting (
  1044.                             iCouponFrequency,
  1045.                             strDayCount,
  1046.                             false,
  1047.                             strDayCount,
  1048.                             false,
  1049.                             strCurrency,
  1050.                             false,
  1051.                             org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC
  1052.                         ),
  1053.                         new org.drip.param.period.ComposableFixedUnitSetting (
  1054.                             (12 / iCouponFrequency) + "M",
  1055.                             org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  1056.                             null,
  1057.                             dblCouponRate,
  1058.                             0.,
  1059.                             strCurrency
  1060.                         )
  1061.                     )
  1062.                 );

  1064.                 lsCouponPeriod.add (
  1065.                     new org.drip.analytics.cashflow.CompositeFixedPeriod (
  1066.                         new org.drip.param.period.CompositePeriodSetting (
  1067.                             iCouponFrequency,
  1068.                             (12 / iCouponFrequency) + "M",
  1069.                             strCurrency,
  1070.                             null,
  1071.                             adblPrincipalAmount[i],
  1072.                             null,
  1073.                             null,
  1074.                             null,
  1075.                             null
  1076.                         ),
  1077.                         lsCUP
  1078.                     )
  1079.                 );
  1080.             } catch (java.lang.Exception e) {
  1081.                 e.printStackTrace();

  1083.                 return null;
  1084.             }

  1086.             iPeriodStartDate = aiPeriodEndDate[i];
  1087.         }

  1089.         for (int i = 0; i <= iNumPeriod; ++i) {
  1090.             aiPrincipalDate[i] = 0 == i ? iEffectiveDate : aiPeriodEndDate[i - 1];
  1091.             adblPrincipalFactor[i] = 0 == i ? 1. : adblPeriodEndPrincipalFactor[i - 1];
  1092.         }

  1094.         try {
  1095.             stream = new org.drip.product.params.BondStream (
  1096.                 lsCouponPeriod,
  1097.                 java.lang.Integer.MIN_VALUE,
  1098.                 "MATURITY_TYPE_REGULAR"
  1099.             );
  1100.         } catch (java.lang.Exception e) {
  1101.             e.printStackTrace();

  1103.             return null;
  1104.         }

  1106.         return CreateBondFromParams (
  1107.             null,
  1108.             new org.drip.product.params.IdentifierSet (
  1109.                 strName,
  1110.                 strName,
  1111.                 strName,
  1112.                 strCurrency
  1113.             ),
  1114.             new org.drip.product.params.CouponSetting (
  1115.                 org.drip.numerical.common.Array2D.FromArray (
  1116.                     aiPeriodEndDate,
  1117.                     adblCouponFactor
  1118.                 ),
  1119.                 "",
  1120.                 dblCouponRate,
  1121.                 java.lang.Double.NaN,
  1122.                 java.lang.Double.NaN
  1123.             ),
  1124.             null,
  1125.             new org.drip.product.params.QuoteConvention (
  1126.                 null,
  1127.                 "",
  1128.                 dtEffective.julian(),
  1129.                 1.,
  1130.                 0,
  1131.                 strCurrency,
  1132.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  1133.             ),
  1134.             new org.drip.product.params.CreditSetting (
  1135.                 30,
  1136.                 java.lang.Double.NaN,
  1137.                 true,
  1138.                 strCreditCurveName,
  1139.                 false
  1140.             ),
  1141.             new org.drip.product.params.TerminationSetting (
  1142.                 false,
  1143.                 false,
  1144.                 false,
  1145.                 null
  1146.             ),
  1147.             stream,
  1148.             new org.drip.product.params.NotionalSetting (
  1149.                 1.,
  1150.                 strCurrency,
  1151.                 org.drip.numerical.common.Array2D.FromArray (
  1152.                     aiPrincipalDate,
  1153.                     adblPrincipalFactor
  1154.                 ),
  1155.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START,
  1156.                 false
  1157.             )
  1158.         );
  1159.     }

  1161.     /**
  1162.      * Creates a Treasury Bond from the Parameters
  1163.      * 
  1164.      * @param strTreasuryCode Treasury Code
  1165.      * @param strCurrency Bond Currency
  1166.      * @param dblCoupon Bond Fixed Coupon
  1167.      * @param iFreq Coupon Frequency
  1168.      * @param strDayCount Bond Coupon Day count convention
  1169.      * @param dtEffective Effective Date
  1170.      * @param dtMaturity Maturity Date
  1171.      * 
  1172.      * @return The Treasury Bond Instance
  1173.      */

  1175.     public static final org.drip.product.govvie.TreasuryComponent Treasury (
  1176.         final java.lang.String strTreasuryCode,
  1177.         final org.drip.analytics.date.JulianDate dtEffective,
  1178.         final org.drip.analytics.date.JulianDate dtMaturity,
  1179.         final java.lang.String strCurrency,
  1180.         final double dblCoupon,
  1181.         final int iFreq,
  1182.         final java.lang.String strDayCount)
  1183.     {
  1184.         if (null == strTreasuryCode || strTreasuryCode.isEmpty()) return null;

  1186.         org.drip.product.govvie.TreasuryComponent tsyBond = null;

  1188.         try {
  1189.             tsyBond = new org.drip.product.govvie.TreasuryComponent (strTreasuryCode);
  1190.         } catch (java.lang.Exception e) {
  1191.             e.printStackTrace();

  1193.             return null;
  1194.         }

  1196.         java.lang.String strName = strTreasuryCode + " " + org.drip.numerical.common.FormatUtil.FormatDouble
  1197.             (dblCoupon, 1, 2, 100.) + " " + dtMaturity;

  1199.         tsyBond.setIdentifierSet (
  1200.             new org.drip.product.params.IdentifierSet (
  1201.                 strName,
  1202.                 strName,
  1203.                 strName,
  1204.                 strName
  1205.             )
  1206.         );

  1208.         tsyBond.setNotionalSetting (
  1209.             new org.drip.product.params.NotionalSetting (
  1210.                 100.,
  1211.                 strCurrency,
  1212.                 org.drip.numerical.common.Array2D.BulletSchedule(),
  1213.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  1214.                 false
  1215.             )
  1216.         );

  1218.         tsyBond.setCouponSetting (
  1219.             new org.drip.product.params.CouponSetting (
  1220.                 null,
  1221.                 "",
  1222.                 dblCoupon,
  1223.                 java.lang.Double.NaN,
  1224.                 java.lang.Double.NaN
  1225.             )
  1226.         );

  1228.         tsyBond.setStream (
  1229.             org.drip.product.params.BondStream.Create (
  1230.                 dtMaturity.julian(),
  1231.                 dtEffective.julian(),
  1232.                 java.lang.Integer.MIN_VALUE,
  1233.                 java.lang.Integer.MIN_VALUE,
  1234.                 dtEffective.julian(),
  1235.                 iFreq,
  1236.                 dblCoupon,
  1237.                 strDayCount,
  1238.                 strDayCount,
  1239.                 null,
  1240.                 null,
  1241.                 null,
  1242.                 null,
  1243.                 null,
  1244.                 null,
  1245.                 null,
  1246.                 null,
  1247.                 "",
  1248.                 false,
  1249.                 strCurrency,
  1250.                 strCurrency,
  1251.                 null,
  1252.                 null
  1253.             )
  1254.         );

  1256.         return tsyBond;
  1257.     }

  1259.     /**
  1260.      * Construct a Fixed To Float Bond Component
  1261.      * 
  1262.      * @param strName Bond Name
  1263.      * @param strCreditCurveName Credit Curve Name
  1264.      * @param iEffectiveDate Effective Date
  1265.      * @param iFixedStreamEndDate Fixed Stream End Date
  1266.      * @param iFixedFirstCouponDate Fixed Stream First Coupon Date
  1267.      * @param iFixedPenultimateCouponDate Fixed Stream Penultimate Coupon Date
  1268.      * @param iFixedFreq Fixed Stream Coupon Frequency
  1269.      * @param dblFixedCoupon Fixed Stream Coupon Rate
  1270.      * @param strFixedCouponDC Fixed Stream Coupon Day Count
  1271.      * @param strFixedAccrualDC Fixed Stream Accrual Day Count
  1272.      * @param iMaturityDate Maturity Date
  1273.      * @param iFloatFirstCouponDate Float Stream First Coupon Date
  1274.      * @param iFloatPenultimateCouponDate Float Stream Penultimate Coupon Date
  1275.      * @param iFloatFreq Float Stream Coupon Frequency
  1276.      * @param dblFloatSpread Float Stream Spread
  1277.      * @param strFloatIndex Float Stream Rate Index
  1278.      * @param dapPay Pay Date Adjustment Parameters
  1279.      * @param dapReset Reset Date Adjustment Parameters
  1280.      * @param dapMaturity Maturity Date Adjustment Parameters
  1281.      * @param dapEffective Effective Date Adjustment Parameters
  1282.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1283.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1284.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1285.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1286.      * 
  1287.      * @return The Bond Component
  1288.      */

  1290.     public static final org.drip.product.credit.BondComponent FixedFPToFloatFP (
  1291.         final java.lang.String strName,
  1292.         final java.lang.String strCreditCurveName,
  1293.         final int iEffectiveDate,
  1294.         final int iFixedStreamEndDate,
  1295.         final int iFixedFirstCouponDate,
  1296.         final int iFixedPenultimateCouponDate,
  1297.         final int iFixedFreq,
  1298.         final double dblFixedCoupon,
  1299.         final java.lang.String strFixedCouponDC,
  1300.         final java.lang.String strFixedAccrualDC,
  1301.         final int iMaturityDate,
  1302.         final int iFloatFirstCouponDate,
  1303.         final int iFloatPenultimateCouponDate,
  1304.         final int iFloatFreq,
  1305.         final double dblFloatSpread,
  1306.         final java.lang.String strFloatIndex,
  1307.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1308.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1309.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1310.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1311.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1312.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1313.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1314.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart)
  1315.     {
  1316.         try {
  1317.             org.drip.state.identifier.ForwardLabel forwardLabel =
  1318.                 org.drip.state.identifier.ForwardLabel.Standard (strFloatIndex);

  1320.             if (null == forwardLabel) return null;

  1322.             java.lang.String strCurrency = forwardLabel.currency();

  1324.             return CreateBondFromParams (
  1325.                 null,
  1326.                 new org.drip.product.params.IdentifierSet (
  1327.                     strName,
  1328.                     strName,
  1329.                     strName,
  1330.                     strCurrency
  1331.                 ),
  1332.                 new org.drip.product.params.CouponSetting (
  1333.                     null,
  1334.                     "",
  1335.                     dblFloatSpread,
  1336.                     java.lang.Double.NaN,
  1337.                     java.lang.Double.NaN
  1338.                 ),
  1339.                 new org.drip.product.params.FloaterSetting (
  1340.                     org.drip.state.identifier.ForwardLabel.Standard (strFloatIndex),
  1341.                     "",
  1342.                     dblFloatSpread,
  1343.                     java.lang.Double.NaN
  1344.                 ),
  1345.                 new org.drip.product.params.QuoteConvention (
  1346.                     null,
  1347.                     "",
  1348.                     iEffectiveDate,
  1349.                     100.,
  1350.                     0,
  1351.                     strCurrency,
  1352.                     org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  1353.                 ),
  1354.                 new org.drip.product.params.CreditSetting (
  1355.                     30,
  1356.                     java.lang.Double.NaN,
  1357.                     true,
  1358.                     strCreditCurveName,
  1359.                     true
  1360.                 ),
  1361.                 new org.drip.product.params.TerminationSetting (
  1362.                     false,
  1363.                     false,
  1364.                     false,
  1365.                     null
  1366.                 ),
  1367.                 new org.drip.product.params.BondStream (
  1368.                     org.drip.product.creator.StreamBuilder.FirstPenultimateDateFixedFloat (
  1369.                         iEffectiveDate,
  1370.                         iFixedStreamEndDate,
  1371.                         iFixedFirstCouponDate,
  1372.                         iFixedPenultimateCouponDate,
  1373.                         iFixedFreq,
  1374.                         dblFixedCoupon,
  1375.                         strFixedCouponDC,
  1376.                         strFixedAccrualDC,
  1377.                         iMaturityDate,
  1378.                         iFloatFirstCouponDate,
  1379.                         iFloatPenultimateCouponDate,
  1380.                         iFloatFreq,
  1381.                         dblFloatSpread,
  1382.                         dapPay,
  1383.                         dapPeriodEnd,
  1384.                         dapAccrualEnd,
  1385.                         org.drip.state.identifier.ForwardLabel.Standard (strFloatIndex),
  1386.                         !org.drip.numerical.common.StringUtil.IsEmpty (strCreditCurveName) ?
  1387.                             org.drip.state.identifier.EntityCDSLabel.Standard (
  1388.                                 strCreditCurveName,
  1389.                                 strCurrency
  1390.                             ) : null
  1391.                     ),
  1392.                     iMaturityDate,
  1393.                     ""
  1394.                 ),
  1395.                 new org.drip.product.params.NotionalSetting (
  1396.                     100.,
  1397.                     strCurrency,
  1398.                     null,
  1399.                     org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  1400.                     false
  1401.                 )
  1402.             );
  1403.         } catch (java.lang.Exception e) {
  1404.             e.printStackTrace();
  1405.         }

  1407.         return null;
  1408.     }

  1410.     /**
  1411.      * Construct a Fixed To Float Bond Component
  1412.      * 
  1413.      * @param strName Bond Name
  1414.      * @param strCreditCurveName Credit Curve Name
  1415.      * @param iEffectiveDate Effective Date
  1416.      * @param iFixedStreamEndDate Fixed Stream End Date
  1417.      * @param iFixedFirstCouponDate Fixed Stream First Coupon Date
  1418.      * @param iFixedFreq Fixed Stream Coupon Frequency
  1419.      * @param dblFixedCoupon Fixed Stream Coupon Rate
  1420.      * @param strFixedCouponDC Fixed Stream Coupon Day Count
  1421.      * @param strFixedAccrualDC Fixed Stream Accrual Day Count
  1422.      * @param iMaturityDate Maturity Date
  1423.      * @param iFloatFirstCouponDate Float Stream First Coupon Date
  1424.      * @param iFloatFreq Float Stream Coupon Frequency
  1425.      * @param dblFloatSpread Float Stream Spread
  1426.      * @param strFloatIndex Float Stream Rate Index
  1427.      * @param dapPay Pay Date Adjustment Parameters
  1428.      * @param dapReset Reset Date Adjustment Parameters
  1429.      * @param dapMaturity Maturity Date Adjustment Parameters
  1430.      * @param dapEffective Effective Date Adjustment Parameters
  1431.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1432.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1433.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1434.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1435.      * 
  1436.      * @return The Bond Component
  1437.      */

  1439.     public static final org.drip.product.credit.BondComponent FixedFToFloatF (
  1440.         final java.lang.String strName,
  1441.         final java.lang.String strCreditCurveName,
  1442.         final int iEffectiveDate,
  1443.         final int iFixedStreamEndDate,
  1444.         final int iFixedFirstCouponDate,
  1445.         final int iFixedFreq,
  1446.         final double dblFixedCoupon,
  1447.         final java.lang.String strFixedCouponDC,
  1448.         final java.lang.String strFixedAccrualDC,
  1449.         final int iMaturityDate,
  1450.         final int iFloatFirstCouponDate,
  1451.         final int iFloatFreq,
  1452.         final double dblFloatSpread,
  1453.         final java.lang.String strFloatIndex,
  1454.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1455.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1456.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1457.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1458.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1459.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1460.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1461.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart)
  1462.     {
  1463.         java.lang.String strPeriodTenor = (12 / iFixedFreq) + "M";

  1465.         return FixedFPToFloatFP (
  1466.             strName,
  1467.             strCreditCurveName,
  1468.             iEffectiveDate,
  1469.             iFixedStreamEndDate,
  1470.             iFixedFirstCouponDate,
  1471.             new org.drip.analytics.date.JulianDate (iFixedStreamEndDate).subtractTenor
  1472.                 (strPeriodTenor).julian(),
  1473.             iFixedFreq,
  1474.             dblFixedCoupon,
  1475.             strFixedCouponDC,
  1476.             strFixedAccrualDC,
  1477.             iMaturityDate,
  1478.             iFloatFirstCouponDate,
  1479.             new org.drip.analytics.date.JulianDate (iMaturityDate).subtractTenor (strPeriodTenor).julian(),
  1480.             iFloatFreq,
  1481.             dblFloatSpread,
  1482.             strFloatIndex,
  1483.             dapPay,
  1484.             dapReset,
  1485.             dapMaturity,
  1486.             dapEffective,
  1487.             dapPeriodEnd,
  1488.             dapAccrualEnd,
  1489.             dapPeriodStart,
  1490.             dapAccrualStart
  1491.         );
  1492.     }

  1494.     /**
  1495.      * Construct a Fixed To Float Bond Component
  1496.      * 
  1497.      * @param strName Bond Name
  1498.      * @param strCreditCurveName Credit Curve Name
  1499.      * @param iEffectiveDate Effective Date
  1500.      * @param iFixedStreamEndDate Fixed Stream End Date
  1501.      * @param iFixedFirstCouponDate Fixed Stream First Coupon Date
  1502.      * @param iFixedFreq Fixed Stream Coupon Frequency
  1503.      * @param dblFixedCoupon Fixed Stream Coupon Rate
  1504.      * @param strFixedCouponDC Fixed Stream Coupon Day Count
  1505.      * @param strFixedAccrualDC Fixed Stream Accrual Day Count
  1506.      * @param iMaturityDate Maturity Date
  1507.      * @param iFloatPenultimateCouponDate Float Stream Penultimate Coupon Date
  1508.      * @param iFloatFreq Float Stream Coupon Frequency
  1509.      * @param dblFloatSpread Float Stream Spread
  1510.      * @param strFloatIndex Float Stream Rate Index
  1511.      * @param dapPay Pay Date Adjustment Parameters
  1512.      * @param dapReset Reset Date Adjustment Parameters
  1513.      * @param dapMaturity Maturity Date Adjustment Parameters
  1514.      * @param dapEffective Effective Date Adjustment Parameters
  1515.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1516.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1517.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1518.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1519.      * 
  1520.      * @return The Bond Component
  1521.      */

  1523.     public static final org.drip.product.credit.BondComponent FixedFToFloatP (
  1524.         final java.lang.String strName,
  1525.         final java.lang.String strCreditCurveName,
  1526.         final int iEffectiveDate,
  1527.         final int iFixedStreamEndDate,
  1528.         final int iFixedFirstCouponDate,
  1529.         final int iFixedFreq,
  1530.         final double dblFixedCoupon,
  1531.         final java.lang.String strFixedCouponDC,
  1532.         final java.lang.String strFixedAccrualDC,
  1533.         final int iMaturityDate,
  1534.         final int iFloatPenultimateCouponDate,
  1535.         final int iFloatFreq,
  1536.         final double dblFloatSpread,
  1537.         final java.lang.String strFloatIndex,
  1538.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1539.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1540.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1541.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1542.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1543.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1544.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1545.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart)
  1546.     {
  1547.         java.lang.String strPeriodTenor = (12 / iFixedFreq) + "M";

  1549.         return FixedFPToFloatFP (
  1550.             strName,
  1551.             strCreditCurveName,
  1552.             iEffectiveDate,
  1553.             iFixedStreamEndDate,
  1554.             iFixedFirstCouponDate,
  1555.             new org.drip.analytics.date.JulianDate (iFixedStreamEndDate).subtractTenor
  1556.                 (strPeriodTenor).julian(),
  1557.             iFixedFreq,
  1558.             dblFixedCoupon,
  1559.             strFixedCouponDC,
  1560.             strFixedAccrualDC,
  1561.             iMaturityDate,
  1562.             new org.drip.analytics.date.JulianDate (iFixedStreamEndDate).addTenor (strPeriodTenor).julian(),
  1563.             iFloatPenultimateCouponDate,
  1564.             iFloatFreq,
  1565.             dblFloatSpread,
  1566.             strFloatIndex,
  1567.             dapPay,
  1568.             dapReset,
  1569.             dapMaturity,
  1570.             dapEffective,
  1571.             dapPeriodEnd,
  1572.             dapAccrualEnd,
  1573.             dapPeriodStart,
  1574.             dapAccrualStart
  1575.         );
  1576.     }

  1578.     /**
  1579.      * Construct a Fixed To Float Bond Component
  1580.      * 
  1581.      * @param strName Bond Name
  1582.      * @param strCreditCurveName Credit Curve Name
  1583.      * @param iEffectiveDate Effective Date
  1584.      * @param iFixedStreamEndDate Fixed Stream End Date
  1585.      * @param iFixedPenultimateCouponDate Fixed Stream Penultimate Coupon Date
  1586.      * @param iFixedFreq Fixed Stream Coupon Frequency
  1587.      * @param dblFixedCoupon Fixed Stream Coupon Rate
  1588.      * @param strFixedCouponDC Fixed Stream Coupon Day Count
  1589.      * @param strFixedAccrualDC Fixed Stream Accrual Day Count
  1590.      * @param iMaturityDate Maturity Date
  1591.      * @param iFloatFirstCouponDate Float Stream First Coupon Date
  1592.      * @param iFloatFreq Float Stream Coupon Frequency
  1593.      * @param dblFloatSpread Float Stream Spread
  1594.      * @param strFloatIndex Float Stream Rate Index
  1595.      * @param dapPay Pay Date Adjustment Parameters
  1596.      * @param dapReset Reset Date Adjustment Parameters
  1597.      * @param dapMaturity Maturity Date Adjustment Parameters
  1598.      * @param dapEffective Effective Date Adjustment Parameters
  1599.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1600.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1601.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1602.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1603.      * 
  1604.      * @return The Bond Component
  1605.      */

  1607.     public static final org.drip.product.credit.BondComponent FixedPToFloatF (
  1608.         final java.lang.String strName,
  1609.         final java.lang.String strCreditCurveName,
  1610.         final int iEffectiveDate,
  1611.         final int iFixedStreamEndDate,
  1612.         final int iFixedPenultimateCouponDate,
  1613.         final int iFixedFreq,
  1614.         final double dblFixedCoupon,
  1615.         final java.lang.String strFixedCouponDC,
  1616.         final java.lang.String strFixedAccrualDC,
  1617.         final int iMaturityDate,
  1618.         final int iFloatFirstCouponDate,
  1619.         final int iFloatFreq,
  1620.         final double dblFloatSpread,
  1621.         final java.lang.String strFloatIndex,
  1622.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1623.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1624.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1625.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1626.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1627.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1628.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1629.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart)
  1630.     {
  1631.         java.lang.String strPeriodTenor = (12 / iFixedFreq) + "M";

  1633.         return FixedFPToFloatFP (
  1634.             strName,
  1635.             strCreditCurveName,
  1636.             iEffectiveDate,
  1637.             iFixedStreamEndDate,
  1638.             new org.drip.analytics.date.JulianDate (iEffectiveDate).addTenor (strPeriodTenor).julian(),
  1639.             iFixedPenultimateCouponDate,
  1640.             iFixedFreq,
  1641.             dblFixedCoupon,
  1642.             strFixedCouponDC,
  1643.             strFixedAccrualDC,
  1644.             iMaturityDate,
  1645.             iFloatFirstCouponDate,
  1646.             new org.drip.analytics.date.JulianDate (iMaturityDate).subtractTenor (strPeriodTenor).julian(),
  1647.             iFloatFreq,
  1648.             dblFloatSpread,
  1649.             strFloatIndex,
  1650.             dapPay,
  1651.             dapReset,
  1652.             dapMaturity,
  1653.             dapEffective,
  1654.             dapPeriodEnd,
  1655.             dapAccrualEnd,
  1656.             dapPeriodStart,
  1657.             dapAccrualStart
  1658.         );
  1659.     }

  1661.     /**
  1662.      * Construct a Fixed To Float Bond Component
  1663.      * 
  1664.      * @param strName Bond Name
  1665.      * @param strCreditCurveName Credit Curve Name
  1666.      * @param iEffectiveDate Effective Date
  1667.      * @param iFixedStreamEndDate Fixed Stream End Date
  1668.      * @param iFixedPenultimateCouponDate Fixed Stream Penultimate Coupon Date
  1669.      * @param iFixedFreq Fixed Stream Coupon Frequency
  1670.      * @param dblFixedCoupon Fixed Stream Coupon Rate
  1671.      * @param strFixedCouponDC Fixed Stream Coupon Day Count
  1672.      * @param strFixedAccrualDC Fixed Stream Accrual Day Count
  1673.      * @param iMaturityDate Maturity Date
  1674.      * @param iFloatPenultimateCouponDate Float Stream Penultimate Coupon Date
  1675.      * @param iFloatFreq Float Stream Coupon Frequency
  1676.      * @param dblFloatSpread Float Stream Spread
  1677.      * @param strFloatIndex Float Stream Rate Index
  1678.      * @param dapPay Pay Date Adjustment Parameters
  1679.      * @param dapReset Reset Date Adjustment Parameters
  1680.      * @param dapMaturity Maturity Date Adjustment Parameters
  1681.      * @param dapEffective Effective Date Adjustment Parameters
  1682.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1683.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1684.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1685.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1686.      * 
  1687.      * @return The Bond Component
  1688.      */

  1690.     public static final org.drip.product.credit.BondComponent FixedPToFloatP (
  1691.         final java.lang.String strName,
  1692.         final java.lang.String strCreditCurveName,
  1693.         final int iEffectiveDate,
  1694.         final int iFixedStreamEndDate,
  1695.         final int iFixedPenultimateCouponDate,
  1696.         final int iFixedFreq,
  1697.         final double dblFixedCoupon,
  1698.         final java.lang.String strFixedCouponDC,
  1699.         final java.lang.String strFixedAccrualDC,
  1700.         final int iMaturityDate,
  1701.         final int iFloatPenultimateCouponDate,
  1702.         final int iFloatFreq,
  1703.         final double dblFloatSpread,
  1704.         final java.lang.String strFloatIndex,
  1705.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1706.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1707.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1708.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1709.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1710.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1711.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1712.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart)
  1713.     {
  1714.         java.lang.String strPeriodTenor = (12 / iFixedFreq) + "M";

  1716.         return FixedFPToFloatFP (
  1717.             strName,
  1718.             strCreditCurveName,
  1719.             iEffectiveDate,
  1720.             iFixedStreamEndDate,
  1721.             new org.drip.analytics.date.JulianDate (iEffectiveDate).addTenor (strPeriodTenor).julian(),
  1722.             iFixedPenultimateCouponDate,
  1723.             iFixedFreq,
  1724.             dblFixedCoupon,
  1725.             strFixedCouponDC,
  1726.             strFixedAccrualDC,
  1727.             iMaturityDate,
  1728.             new org.drip.analytics.date.JulianDate (iFixedStreamEndDate).addTenor (strPeriodTenor).julian(),
  1729.             iFloatPenultimateCouponDate,
  1730.             iFloatFreq,
  1731.             dblFloatSpread,
  1732.             strFloatIndex,
  1733.             dapPay,
  1734.             dapReset,
  1735.             dapMaturity,
  1736.             dapEffective,
  1737.             dapPeriodEnd,
  1738.             dapAccrualEnd,
  1739.             dapPeriodStart,
  1740.             dapAccrualStart
  1741.         );
  1742.     }

  1744.     /**
  1745.      * Create a Simple OTF Fix Float Floating Rate Bond
  1746.      * 
  1747.      * @param strName Bond Name
  1748.      * @param strCurrency Bond Currency
  1749.      * @param strRateIndex Floating Rate Index
  1750.      * @param strCreditCurveName Credit Curve Name
  1751.      * @param dblSpread Bond Floater Spread
  1752.      * @param iFreq Coupon Frequency
  1753.      * @param strDayCount Coupon Day Count Convention
  1754.      * @param dtEffective Effective date
  1755.      * @param dtMaturity Maturity Date
  1756.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  1757.      * @param fsCoupon Coupon Schedule
  1758.      * 
  1759.      * @return The Bond object
  1760.      */

  1762.     public static final org.drip.product.credit.BondComponent CreateSimpleOTCIRSFloater (
  1763.         final java.lang.String strName,
  1764.         final java.lang.String strCurrency,
  1765.         final java.lang.String strRateIndex,
  1766.         final java.lang.String strCreditCurveName,
  1767.         final double dblSpread,
  1768.         final int iFreq,
  1769.         final java.lang.String strDayCount,
  1770.         final org.drip.analytics.date.JulianDate dtEffective,
  1771.         final org.drip.analytics.date.JulianDate dtMaturity,
  1772.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  1773.         final org.drip.numerical.common.Array2D fsCoupon)
  1774.     {
  1775.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  1776.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblSpread))
  1777.             return null;

  1779.         return CreateBondFromParams (
  1780.             null,
  1781.             new org.drip.product.params.IdentifierSet (
  1782.                 strName,
  1783.                 strName,
  1784.                 strName,
  1785.                 strCurrency
  1786.             ),
  1787.             new org.drip.product.params.CouponSetting (
  1788.                 fsCoupon,
  1789.                 "",
  1790.                 dblSpread,
  1791.                 java.lang.Double.NaN,
  1792.                 java.lang.Double.NaN
  1793.             ),
  1794.             new org.drip.product.params.FloaterSetting (
  1795.                 org.drip.state.identifier.OTCFixFloatLabel.Standard (strRateIndex),
  1796.                 "",
  1797.                 dblSpread,
  1798.                 java.lang.Double.NaN
  1799.             ),
  1800.             new org.drip.product.params.QuoteConvention (
  1801.                 null,
  1802.                 "",
  1803.                 dtEffective.julian(),
  1804.                 100.,
  1805.                 0,
  1806.                 strCurrency,
  1807.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  1808.             ),
  1809.             new org.drip.product.params.CreditSetting (
  1810.                 30,
  1811.                 java.lang.Double.NaN,
  1812.                 true,
  1813.                 strCreditCurveName,
  1814.                 true
  1815.             ),
  1816.             new org.drip.product.params.TerminationSetting (
  1817.                 false,
  1818.                 false,
  1819.                 false,
  1820.                 null
  1821.             ),
  1822.             org.drip.product.params.BondStream.Create (
  1823.                 dtMaturity.julian(),
  1824.                 dtEffective.julian(),
  1825.                 java.lang.Integer.MIN_VALUE,
  1826.                 java.lang.Integer.MIN_VALUE,
  1827.                 dtEffective.julian(),
  1828.                 iFreq,
  1829.                 dblSpread,
  1830.                 strDayCount,
  1831.                 strDayCount,
  1832.                 null,
  1833.                 null,
  1834.                 null,
  1835.                 null,
  1836.                 null,
  1837.                 null,
  1838.                 null,
  1839.                 null,
  1840.                 "",
  1841.                 false,
  1842.                 strCurrency,
  1843.                 strCurrency,
  1844.                 org.drip.state.identifier.OTCFixFloatLabel.Standard (strRateIndex),
  1845.                 null == strCreditCurveName || strCreditCurveName.isEmpty() ? null :
  1846.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  1847.                         strCreditCurveName,
  1848.                         strCurrency
  1849.                     )
  1850.                 ),
  1851.             new org.drip.product.params.NotionalSetting (
  1852.                 100.,
  1853.                 strCurrency,
  1854.                 fsPrincipalOutstanding,
  1855.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  1856.                 false
  1857.             )
  1858.         );
  1859.     }

  1861.     /**
  1862.      * Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
  1863.      *  other Parameters
  1864.      * 
  1865.      * @param strName Bond Name
  1866.      * @param strCurrency Bond Currency
  1867.      * @param strRateIndex Floating Rate Index
  1868.      * @param strCreditCurveName Credit Curve Name
  1869.      * @param dblSpread Bond Floater Spread
  1870.      * @param iFreq Coupon Frequency
  1871.      * @param strDayCount Coupon Day Count Convention
  1872.      * @param dtEffective Effective date
  1873.      * @param dtMaturity Maturity Date
  1874.      * @param iFirstCouponDate First Coupon Date
  1875.      * @param iPenultimateCouponDate Penultimate Coupon Date
  1876.      * @param dapPay Pay Date Adjustment Parameters
  1877.      * @param dapReset Reset Date Adjustment Parameters
  1878.      * @param dapMaturity Maturity Date Adjustment Parameters
  1879.      * @param dapEffective Effective Date Adjustment Parameters
  1880.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  1881.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  1882.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  1883.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  1884.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  1885.      * @param fsCoupon Coupon Schedule
  1886.      * 
  1887.      * @return The Floating Rate Bond Instance
  1888.      */

  1890.     public static final org.drip.product.credit.BondComponent CreateSimpleOTCIRSFloaterFP (
  1891.         final java.lang.String strName,
  1892.         final java.lang.String strCurrency,
  1893.         final java.lang.String strRateIndex,
  1894.         final java.lang.String strCreditCurveName,
  1895.         final double dblSpread,
  1896.         final int iFreq,
  1897.         final java.lang.String strDayCount,
  1898.         final org.drip.analytics.date.JulianDate dtEffective,
  1899.         final org.drip.analytics.date.JulianDate dtMaturity,
  1900.         final int iFirstCouponDate,
  1901.         final int iPenultimateCouponDate,
  1902.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  1903.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  1904.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  1905.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  1906.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  1907.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  1908.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  1909.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  1910.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  1911.         final org.drip.numerical.common.Array2D fsCoupon)
  1912.     {
  1913.         if (null == strName || strName.isEmpty() || null == strCurrency || strCurrency.isEmpty() || null ==
  1914.             dtEffective || null == dtMaturity || !org.drip.numerical.common.NumberUtil.IsValid (dblSpread))
  1915.             return null;

  1917.         return CreateBondFromParams (
  1918.             null,
  1919.             new org.drip.product.params.IdentifierSet (
  1920.                 strName,
  1921.                 strName,
  1922.                 strName,
  1923.                 strCurrency
  1924.             ),
  1925.             new org.drip.product.params.CouponSetting (
  1926.                 fsCoupon,
  1927.                 "",
  1928.                 dblSpread,
  1929.                 java.lang.Double.NaN,
  1930.                 java.lang.Double.NaN
  1931.             ),
  1932.             new org.drip.product.params.FloaterSetting (
  1933.                 org.drip.state.identifier.OTCFixFloatLabel.Standard (strRateIndex),
  1934.                 "",
  1935.                 dblSpread,
  1936.                 java.lang.Double.NaN
  1937.             ),
  1938.             new org.drip.product.params.QuoteConvention (
  1939.                 null,
  1940.                 "",
  1941.                 dtEffective.julian(),
  1942.                 100.,
  1943.                 0,
  1944.                 strCurrency,
  1945.                 org.drip.analytics.daycount.Convention.DATE_ROLL_ACTUAL
  1946.             ),
  1947.             new org.drip.product.params.CreditSetting (
  1948.                 30,
  1949.                 java.lang.Double.NaN,
  1950.                 true,
  1951.                 strCreditCurveName,
  1952.                 true
  1953.             ),
  1954.             new org.drip.product.params.TerminationSetting (
  1955.                 false,
  1956.                 false,
  1957.                 false,
  1958.                 dapMaturity
  1959.             ),
  1960.             org.drip.product.params.BondStream.FromFirstPenultimateCouponDate (
  1961.                 dtMaturity.julian(),
  1962.                 dtEffective.julian(),
  1963.                 dtMaturity.julian(),
  1964.                 iFirstCouponDate,
  1965.                 iPenultimateCouponDate,
  1966.                 iFreq,
  1967.                 dblSpread,
  1968.                 strDayCount,
  1969.                 strDayCount,
  1970.                 dapPay,
  1971.                 dapReset,
  1972.                 dapMaturity,
  1973.                 dapEffective,
  1974.                 dapPeriodEnd,
  1975.                 dapAccrualEnd,
  1976.                 dapPeriodStart,
  1977.                 dapAccrualStart,
  1978.                 "",
  1979.                 false,
  1980.                 strCurrency,
  1981.                 strCurrency,
  1982.                 org.drip.state.identifier.OTCFixFloatLabel.Standard (strRateIndex),
  1983.                 null == strCreditCurveName || strCreditCurveName.isEmpty() ? null :
  1984.                     org.drip.state.identifier.EntityCDSLabel.Standard (
  1985.                         strCreditCurveName,
  1986.                         strCurrency
  1987.                     )
  1988.                 ),
  1989.             new org.drip.product.params.NotionalSetting (
  1990.                 100.,
  1991.                 strCurrency,
  1992.                 fsPrincipalOutstanding,
  1993.                 org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
  1994.                 false
  1995.             )
  1996.         );
  1997.     }

  1999.     /**
  2000.      * Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
  2001.      *  other Parameters
  2002.      * 
  2003.      * @param strName Bond Name
  2004.      * @param strCurrency Bond Currency
  2005.      * @param strRateIndex Floating Rate Index
  2006.      * @param strCreditCurveName Credit Curve Name
  2007.      * @param dblSpread Bond Floater Spread
  2008.      * @param iFreq Coupon Frequency
  2009.      * @param strDayCount Coupon Day Count Convention
  2010.      * @param dtEffective Effective date
  2011.      * @param dtMaturity Maturity Date
  2012.      * @param iFirstCouponDate First Coupon Date
  2013.      * @param dapPay Pay Date Adjustment Parameters
  2014.      * @param dapReset Reset Date Adjustment Parameters
  2015.      * @param dapMaturity Maturity Date Adjustment Parameters
  2016.      * @param dapEffective Effective Date Adjustment Parameters
  2017.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  2018.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  2019.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  2020.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  2021.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  2022.      * @param fsCoupon Coupon Schedule
  2023.      * 
  2024.      * @return The Floating Rate Bond Instance
  2025.      */

  2027.     public static final org.drip.product.credit.BondComponent CreateSimpleOTCIRSFloaterF (
  2028.         final java.lang.String strName,
  2029.         final java.lang.String strCurrency,
  2030.         final java.lang.String strRateIndex,
  2031.         final java.lang.String strCreditCurveName,
  2032.         final double dblSpread,
  2033.         final int iFreq,
  2034.         final java.lang.String strDayCount,
  2035.         final org.drip.analytics.date.JulianDate dtEffective,
  2036.         final org.drip.analytics.date.JulianDate dtMaturity,
  2037.         final int iFirstCouponDate,
  2038.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  2039.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  2040.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  2041.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  2042.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  2043.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  2044.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  2045.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  2046.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  2047.         final org.drip.numerical.common.Array2D fsCoupon)
  2048.     {
  2049.         return CreateSimpleFloaterFP (
  2050.             strName,
  2051.             strCurrency,
  2052.             strRateIndex,
  2053.             strCreditCurveName,
  2054.             dblSpread,
  2055.             iFreq,
  2056.             strDayCount,
  2057.             dtEffective,
  2058.             dtMaturity,
  2059.             iFirstCouponDate,
  2060.             dtMaturity.subtractTenor ((12 / iFreq) + "M").julian(),
  2061.             dapPay,
  2062.             dapReset,
  2063.             dapMaturity,
  2064.             dapEffective,
  2065.             dapPeriodEnd,
  2066.             dapAccrualEnd,
  2067.             dapPeriodStart,
  2068.             dapAccrualStart,
  2069.             fsPrincipalOutstanding,
  2070.             fsCoupon
  2071.         );
  2072.     }

  2074.     /**
  2075.      * Create a OTC Fix-Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
  2076.      *  other Parameters
  2077.      * 
  2078.      * @param strName Bond Name
  2079.      * @param strCurrency Bond Currency
  2080.      * @param strRateIndex Floating Rate Index
  2081.      * @param strCreditCurveName Credit Curve Name
  2082.      * @param dblSpread Bond Floater Spread
  2083.      * @param iFreq Coupon Frequency
  2084.      * @param strDayCount Coupon Day Count Convention
  2085.      * @param dtEffective Effective date
  2086.      * @param dtMaturity Maturity Date
  2087.      * @param iPenultimateCouponDate Penultimate Coupon Date
  2088.      * @param dapPay Pay Date Adjustment Parameters
  2089.      * @param dapReset Reset Date Adjustment Parameters
  2090.      * @param dapMaturity Maturity Date Adjustment Parameters
  2091.      * @param dapEffective Effective Date Adjustment Parameters
  2092.      * @param dapPeriodEnd Period End Date Adjustment Parameters
  2093.      * @param dapAccrualEnd Accrual Date Adjustment Parameters
  2094.      * @param dapPeriodStart Period Start Date Adjustment Parameters
  2095.      * @param dapAccrualStart Accrual Start  Date Adjustment Parameters
  2096.      * @param fsPrincipalOutstanding Outstanding Principal Schedule
  2097.      * @param fsCoupon Coupon Schedule
  2098.      * 
  2099.      * @return The Floating Rate Bond Instance
  2100.      */

  2102.     public static final org.drip.product.credit.BondComponent CreateSimpleOTCIRSFloaterP (
  2103.         final java.lang.String strName,
  2104.         final java.lang.String strCurrency,
  2105.         final java.lang.String strRateIndex,
  2106.         final java.lang.String strCreditCurveName,
  2107.         final double dblSpread,
  2108.         final int iFreq,
  2109.         final java.lang.String strDayCount,
  2110.         final org.drip.analytics.date.JulianDate dtEffective,
  2111.         final org.drip.analytics.date.JulianDate dtMaturity,
  2112.         final int iPenultimateCouponDate,
  2113.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  2114.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  2115.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  2116.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  2117.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  2118.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  2119.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  2120.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  2121.         final org.drip.numerical.common.Array2D fsPrincipalOutstanding,
  2122.         final org.drip.numerical.common.Array2D fsCoupon)
  2123.     {
  2124.         return CreateSimpleFloaterFP (
  2125.             strName,
  2126.             strCurrency,
  2127.             strRateIndex,
  2128.             strCreditCurveName,
  2129.             dblSpread,
  2130.             iFreq,
  2131.             strDayCount,
  2132.             dtEffective,
  2133.             dtMaturity,
  2134.             dtEffective.addTenor ((12 / iFreq) + "M").julian(),
  2135.             iPenultimateCouponDate,
  2136.             dapPay,
  2137.             dapReset,
  2138.             dapMaturity,
  2139.             dapEffective,
  2140.             dapPeriodEnd,
  2141.             dapAccrualEnd,
  2142.             dapPeriodStart,
  2143.             dapAccrualStart,
  2144.             fsPrincipalOutstanding,
  2145.             fsCoupon
  2146.         );
  2147.     }
  2148. }
Created with JaCoCo 0.7.9.201702052155