CDSComponent.java

  1. package org.drip.product.credit;

  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>CDSComponent</i> implements the credit default swap product contract details. It exposes the following
  87.  *  functionality:
  88.  * 
  89.  * <br><br>
  90.  * <ul>
  91.  *  <li>
  92.  *      Methods to extract effective date, maturity date, coupon, coupon day count, coupon frequency,
  93.  *      contingent credit, currency, basket notional, credit valuation parameters, and optionally the
  94.  *      outstanding notional schedule.
  95.  *  </li>
  96.  *  <li>
  97.  *      Methods to compute the Jacobians to/from quote-to-latent state/manifest measures
  98.  *  </li>
  99.  *  <li>
  100.  *      Serialization into and de-serialization out of byte arrays
  101.  *  </li>
  102.  *  <li>
  103.  *      CDS specific methods such as such loss metric/Jacobian estimation, quote flat spread calibration etc:
  104.  *  </li>
  105.  * </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <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>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/credit/README.md">Credit Products - Components and Baskets</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  *
  116.  * @author Lakshmi Krishnamurthy
  117.  *
  118.  */

  120. public class CDSComponent extends org.drip.product.definition.CreditDefaultSwap {
  121.     private double _dblNotional = 100.;
  122.     private java.lang.String _strCode = "";
  123.     private java.lang.String _strName = "";
  124.     private boolean _bApplyAccEOMAdj = false;
  125.     private boolean _bApplyCpnEOMAdj = false;
  126.     private java.lang.String _strCouponCurrency = "";
  127.     private double _dblCoupon = java.lang.Double.NaN;
  128.     private int _iMaturityDate = java.lang.Integer.MIN_VALUE;
  129.     private int _iEffectiveDate = java.lang.Integer.MIN_VALUE;
  130.     private org.drip.numerical.common.Array2D _notlSchedule = null;
  131.     private org.drip.product.params.CreditSetting _crValParams = null;
  132.     private org.drip.param.valuation.CashSettleParams _settleParams = null;
  133.     private java.util.List<org.drip.analytics.cashflow.CompositePeriod> _lsCouponPeriod = null;

  135.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> measures (
  136.         final java.lang.String strMeasureSetPrefix,
  137.         final org.drip.param.valuation.ValuationParams valParams,
  138.         final org.drip.param.pricer.CreditPricerParams pricerParamsIn,
  139.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  140.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  141.     {
  142.         if (null == valParams || null == csqs) return null;

  144.         org.drip.state.credit.CreditCurve cc = csqs.creditState (creditLabel());

  146.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  148.         if (null == cc || null == dcFunding) return null;

  150.         org.drip.param.pricer.CreditPricerParams pricerParams = null != pricerParamsIn ? pricerParamsIn :
  151.             org.drip.param.pricer.CreditPricerParams.Standard();

  153.         long lStart = System.nanoTime();

  155.         int iAccrualDays = 0;
  156.         double dblLossPV = 0.;
  157.         double dblExpLoss = 0.;
  158.         double dblAccrued01 = 0.;
  159.         double dblDirtyDV01 = 0.;
  160.         double dblLossNoRecPV = 0.;
  161.         double dblExpLossNoRec = 0.;
  162.         boolean bFirstPeriod = true;
  163.         double dblCashPayDF = java.lang.Double.NaN;

  165.         int iValueDate = valParams.valueDate();

  167.         int iLossPayLag = _crValParams.lossPayLag();

  169.         try {
  170.             for (org.drip.analytics.cashflow.CompositePeriod period : _lsCouponPeriod) {
  171.                 int iPayDate = period.payDate();

  173.                 if (iPayDate < iValueDate) continue;

  175.                 int iEndDate = period.endDate();

  177.                 int iStartDate = period.startDate();

  179.                 double dblPeriodNotional = notional (iStartDate, iValueDate);

  181.                 if (bFirstPeriod) {
  182.                     bFirstPeriod = false;

  184.                     if (iStartDate < iValueDate) {
  185.                         iAccrualDays = iValueDate - iStartDate;

  187.                         dblAccrued01 = period.accrualDCF (iValueDate) * 0.01 * dblPeriodNotional;
  188.                     }
  189.                 }

  191.                 double dblSurvProb = pricerParams.survivalToPayDate() ? cc.survival (iPayDate) :
  192.                     cc.survival (iEndDate);

  194.                 dblDirtyDV01 += 0.01 * period.couponDCF() * dcFunding.df (iPayDate) * dblSurvProb *
  195.                     dblPeriodNotional;

  197.                 for (org.drip.analytics.cashflow.LossQuadratureMetrics lp : period.lossMetrics (this,
  198.                     valParams, pricerParams, iEndDate, csqs)) {
  199.                     if (null == lp) continue;

  201.                     int iSubPeriodEndDate = lp.endDate();

  203.                     int iSubPeriodStartDate = lp.startDate();

  205.                     double dblSubPeriodDF = dcFunding.effectiveDF (iSubPeriodStartDate + iLossPayLag,
  206.                         iSubPeriodEndDate + iLossPayLag);

  208.                     double dblSubPeriodNotional = notional (iSubPeriodStartDate, iSubPeriodEndDate);

  210.                     double dblSubPeriodSurvival = cc.survival (iSubPeriodStartDate) - cc.survival
  211.                         (iSubPeriodEndDate);

  213.                     double dblRecovery = _crValParams.useCurveRecovery() ? cc.effectiveRecovery
  214.                         (iSubPeriodStartDate, iSubPeriodEndDate) : _crValParams.recovery();

  216.                     double dblSubPeriodExpLoss = (1. - dblRecovery) * 100. * dblSubPeriodSurvival *
  217.                         dblSubPeriodNotional;
  218.                     double dblSubPeriodExpLossNoRec = 100. * dblSubPeriodSurvival * dblSubPeriodNotional;
  219.                     dblLossPV += dblSubPeriodExpLoss * dblSubPeriodDF;
  220.                     dblLossNoRecPV += dblSubPeriodExpLossNoRec * dblSubPeriodDF;
  221.                     dblExpLoss += dblSubPeriodExpLoss;
  222.                     dblExpLossNoRec += dblSubPeriodExpLossNoRec;

  224.                     dblDirtyDV01 += 0.01 * lp.accrualDCF() * dblSubPeriodSurvival * dblSubPeriodDF *
  225.                         dblSubPeriodNotional;
  226.                 }
  227.             }

  229.             dblCashPayDF = dcFunding.df (null == _settleParams ? valParams.cashPayDate() :
  230.                 _settleParams.cashSettleDate (iValueDate));
  231.         } catch (java.lang.Exception e) {
  232.             e.printStackTrace();

  234.             return null;
  235.         }

  237.         dblLossPV /= dblCashPayDF;
  238.         dblDirtyDV01 /= dblCashPayDF;
  239.         dblLossNoRecPV /= dblCashPayDF;
  240.         double dblNotlFactor = _dblNotional * 0.01;
  241.         double dblCleanDV01 = dblDirtyDV01 - dblAccrued01;
  242.         double dblCleanPV = dblCleanDV01 * 10000. * _dblCoupon - dblLossPV;
  243.         double dblDirtyPV = dblDirtyDV01 * 10000. * _dblCoupon - dblLossPV;

  245.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult = new
  246.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  248.         mapResult.put (strMeasureSetPrefix + "AccrualDays", 1. * iAccrualDays);

  250.         mapResult.put (strMeasureSetPrefix + "Accrued", dblAccrued01 * _dblCoupon * dblNotlFactor);

  252.         mapResult.put (strMeasureSetPrefix + "Accrued01", dblAccrued01 * dblNotlFactor);

  254.         mapResult.put (strMeasureSetPrefix + "CleanDV01", dblCleanDV01 * dblNotlFactor);

  256.         mapResult.put (strMeasureSetPrefix + "CleanPV", dblCleanPV * dblNotlFactor);

  258.         mapResult.put (strMeasureSetPrefix + "CleanCouponPV", dblCleanDV01 * _dblCoupon * dblNotlFactor);

  260.         mapResult.put (strMeasureSetPrefix + "DirtyCouponPV", dblDirtyDV01 * _dblCoupon * dblNotlFactor);

  262.         mapResult.put (strMeasureSetPrefix + "DirtyDV01", dblDirtyDV01 * dblNotlFactor);

  264.         mapResult.put (strMeasureSetPrefix + "DirtyPV", dblDirtyPV * dblNotlFactor);

  266.         mapResult.put (strMeasureSetPrefix + "DV01", dblDirtyDV01 * dblNotlFactor);

  268.         mapResult.put (strMeasureSetPrefix + "ExpLoss", dblExpLoss * dblNotlFactor);

  270.         mapResult.put (strMeasureSetPrefix + "ExpLossNoRec", dblExpLossNoRec * dblNotlFactor);

  272.         mapResult.put (strMeasureSetPrefix + "FairPremium", dblLossPV / dblCleanDV01);

  274.         mapResult.put (strMeasureSetPrefix + "LossNoRecPV", dblLossNoRecPV * dblNotlFactor);

  276.         mapResult.put (strMeasureSetPrefix + "LossPV", dblLossPV * dblNotlFactor);

  278.         mapResult.put (strMeasureSetPrefix + "ParSpread", dblLossPV / dblCleanDV01);

  280.         mapResult.put (strMeasureSetPrefix + "PV", dblDirtyPV * dblNotlFactor);

  282.         mapResult.put (strMeasureSetPrefix + "Upfront", dblCleanPV * dblNotlFactor);

  284.         try {
  285.             double dblValueNotional = notional (iValueDate);

  287.             mapResult.put (strMeasureSetPrefix + "CleanPrice", 100. * (1. + (dblCleanPV / _dblNotional /
  288.                 dblValueNotional)));

  290.             mapResult.put (strMeasureSetPrefix + "DirtyPrice", 100. * (1. + (dblDirtyPV / _dblNotional /
  291.                 dblValueNotional)));

  293.             mapResult.put (strMeasureSetPrefix + "LossOnInstantaneousDefault", _dblNotional * (1. -
  294.                 cc.recovery (iValueDate)));

  296.             mapResult.put (strMeasureSetPrefix + "Price", 100. * (1. + (dblCleanPV / _dblNotional /
  297.                 dblValueNotional)));
  298.         } catch (java.lang.Exception e) {
  299.             e.printStackTrace();
  300.         }

  302.         mapResult.put (strMeasureSetPrefix + "CalcTime", (System.nanoTime() - lStart) * 1.e-09);

  304.         return mapResult;
  305.     }

  307.     private org.drip.numerical.differentiation.WengertJacobian calcPeriodOnDefaultPVDFMicroJack (
  308.         final double dblFairPremium,
  309.         final org.drip.analytics.cashflow.CompositePeriod period,
  310.         final org.drip.param.valuation.ValuationParams valParams,
  311.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  312.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  313.     {
  314.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  316.         int iNumParameters = 0;
  317.         org.drip.numerical.differentiation.WengertJacobian wjPeriodOnDefaultPVDF = null;

  319.         for (org.drip.analytics.cashflow.LossQuadratureMetrics lpcf : period.lossMetrics (this, valParams,
  320.             pricerParams, period.endDate(), csqs)) {
  321.             org.drip.numerical.differentiation.WengertJacobian wjPeriodPayDFDF = dcFunding.jackDDFDManifestMeasure
  322.                 ((lpcf.startDate() + lpcf.endDate()) / 2 + _crValParams.lossPayLag(), "Rate");

  324.             try {
  325.                 if (null == wjPeriodOnDefaultPVDF)
  326.                     wjPeriodOnDefaultPVDF = new org.drip.numerical.differentiation.WengertJacobian (1, iNumParameters =
  327.                         wjPeriodPayDFDF.numParameters());

  329.                 double dblPeriodIncrementalCashFlow = notional (lpcf.startDate(), lpcf.endDate()) *
  330.                     (dblFairPremium * lpcf.accrualDCF() - 1. + lpcf.effectiveRecovery()) *
  331.                         (lpcf.startSurvival() - lpcf.endSurvival());

  333.                 for (int k = 0; k < iNumParameters; ++k) {
  334.                     if (!wjPeriodOnDefaultPVDF.accumulatePartialFirstDerivative (0, k,
  335.                         wjPeriodPayDFDF.firstDerivative (0, k) * dblPeriodIncrementalCashFlow))
  336.                         return null;
  337.                 }
  338.             } catch (java.lang.Exception e) {
  339.                 e.printStackTrace();

  341.                 return null;
  342.             }
  343.         }

  345.         return wjPeriodOnDefaultPVDF;
  346.     }

  348.     private PeriodLossMicroJack calcPeriodLossMicroJack (
  349.         final org.drip.analytics.cashflow.CompositePeriod period,
  350.         final org.drip.param.valuation.ValuationParams valParams,
  351.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  352.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  353.     {
  354.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  356.         PeriodLossMicroJack plmj = null;

  358.         for (org.drip.analytics.cashflow.LossQuadratureMetrics lpcf : period.lossMetrics (this, valParams,
  359.             pricerParams, period.endDate(), csqs)) {
  360.             double dblPeriodNotional = java.lang.Double.NaN;
  361.             double dblPeriodIncrementalLoss = java.lang.Double.NaN;
  362.             double dblPeriodIncrementalAccrual = java.lang.Double.NaN;
  363.             double dblPeriodIncrementalSurvival = java.lang.Double.NaN;

  365.             int iPeriodEffectiveDate = (lpcf.startDate() + lpcf.endDate()) / 2;

  367.             org.drip.numerical.differentiation.WengertJacobian wjPeriodPayDFDF = dcFunding.jackDDFDManifestMeasure
  368.                 (iPeriodEffectiveDate + _crValParams.lossPayLag(), "Rate");

  370.             try {
  371.                 dblPeriodNotional = notional (lpcf.startDate(), lpcf.endDate());

  373.                 dblPeriodIncrementalSurvival = lpcf.startSurvival() - lpcf.endSurvival();

  375.                 dblPeriodIncrementalLoss = dblPeriodNotional * (1. - lpcf.effectiveRecovery()) *
  376.                     dblPeriodIncrementalSurvival;

  378.                 dblPeriodIncrementalAccrual = dblPeriodNotional * lpcf.accrualDCF() *
  379.                     dblPeriodIncrementalSurvival;

  381.                 if (null == plmj) plmj = new PeriodLossMicroJack (wjPeriodPayDFDF.numParameters());

  383.                 plmj._dblAccrOnDef01 += dblPeriodIncrementalAccrual * dcFunding.df (iPeriodEffectiveDate +
  384.                     _crValParams.lossPayLag());
  385.             } catch (java.lang.Exception e) {
  386.                 e.printStackTrace();

  388.                 return null;
  389.             }

  391.             for (int k = 0; k < wjPeriodPayDFDF.numParameters(); ++k) {
  392.                 if (!plmj._wjLossPVMicroJack.accumulatePartialFirstDerivative (0, k, dblPeriodIncrementalLoss
  393.                     * wjPeriodPayDFDF.firstDerivative (0, k)))
  394.                     return null;

  396.                 if (!plmj._wjAccrOnDef01MicroJack.accumulatePartialFirstDerivative (0, k,
  397.                     dblPeriodIncrementalAccrual * wjPeriodPayDFDF.firstDerivative (0, k)))
  398.                     return null;
  399.             }
  400.         }

  402.         return plmj;
  403.     }

  405.     private org.drip.analytics.cashflow.CompositePeriod calcCurrentPeriod (
  406.         final int iDate)
  407.     {
  408.         org.drip.analytics.cashflow.CompositePeriod cpFirst = _lsCouponPeriod.get (0);

  410.         if (iDate <= cpFirst.startDate()) return cpFirst;

  412.         for (org.drip.analytics.cashflow.CompositePeriod period : _lsCouponPeriod) {
  413.             try {
  414.                 if (period.contains (iDate)) return period;
  415.             } catch (java.lang.Exception e) {
  416.                 e.printStackTrace();

  418.                 return null;
  419.             }
  420.         }

  422.         return null;
  423.     }

  425.     /**
  426.      * CDSComponent constructor: Most generic CDS creation functionality
  427.      * 
  428.      * @param iEffectiveDate Effective Date
  429.      * @param iMaturityDate Maturity Date
  430.      * @param dblCoupon Coupon
  431.      * @param iFreq Frequency
  432.      * @param strCouponDC Coupon DC
  433.      * @param strAccrualDC Accrual DC
  434.      * @param strFloatingRateIndex Floating Rate Index
  435.      * @param bConvCDS Is CDS Conventional
  436.      * @param dapEffective Effective DAP
  437.      * @param dapMaturity Maturity DAP
  438.      * @param dapPeriodStart Period Start DAP
  439.      * @param dapPeriodEnd Period End DAP
  440.      * @param dapAccrualStart Accrual Start DAP
  441.      * @param dapAccrualEnd Accrual End DAP
  442.      * @param dapPay Pay DAP
  443.      * @param dapReset Reset DAP
  444.      * @param notlSchedule Notional Schedule
  445.      * @param dblNotional Notional Amount
  446.      * @param strCouponCurrency Coupon Currency
  447.      * @param crValParams Credit Valuation Parameters
  448.      * @param strCalendar Calendar
  449.      * 
  450.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  451.      */

  453.     public CDSComponent (
  454.         final int iEffectiveDate,
  455.         final int iMaturityDate,
  456.         final double dblCoupon,
  457.         final int iFreq,
  458.         final java.lang.String strCouponDC,
  459.         final java.lang.String strAccrualDC,
  460.         final java.lang.String strFloatingRateIndex,
  461.         final boolean bConvCDS,
  462.         final org.drip.analytics.daycount.DateAdjustParams dapEffective,
  463.         final org.drip.analytics.daycount.DateAdjustParams dapMaturity,
  464.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodStart,
  465.         final org.drip.analytics.daycount.DateAdjustParams dapPeriodEnd,
  466.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualStart,
  467.         final org.drip.analytics.daycount.DateAdjustParams dapAccrualEnd,
  468.         final org.drip.analytics.daycount.DateAdjustParams dapPay,
  469.         final org.drip.analytics.daycount.DateAdjustParams dapReset,
  470.         final org.drip.numerical.common.Array2D notlSchedule,
  471.         final double dblNotional,
  472.         final java.lang.String strCouponCurrency,
  473.         final org.drip.product.params.CreditSetting crValParams,
  474.         final java.lang.String strCalendar)
  475.         throws java.lang.Exception
  476.     {
  477.         if (null == strCouponCurrency || (_strCouponCurrency = strCouponCurrency).isEmpty() || null ==
  478.             crValParams || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  479.             throw new java.lang.Exception ("CDSComponent ctr: Invalid params!");

  481.         _dblCoupon = dblCoupon;
  482.         _crValParams = crValParams;
  483.         java.lang.String strTenor = (12 / iFreq) + "M";

  485.         if (null == (_notlSchedule = notlSchedule))
  486.             _notlSchedule = org.drip.numerical.common.Array2D.BulletSchedule();

  488.         org.drip.param.period.UnitCouponAccrualSetting ucas = new
  489.             org.drip.param.period.UnitCouponAccrualSetting (iFreq, strCouponDC, _bApplyCpnEOMAdj,
  490.                 strAccrualDC, _bApplyAccEOMAdj, _strCouponCurrency, true,
  491.                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  493.         org.drip.param.period.ComposableFixedUnitSetting cfus = new
  494.             org.drip.param.period.ComposableFixedUnitSetting (strTenor,
  495.                 org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE, null, 0., 0.,
  496.                     _strCouponCurrency);

  498.         org.drip.param.period.CompositePeriodSetting cps = new org.drip.param.period.CompositePeriodSetting
  499.             (iFreq, strTenor, _strCouponCurrency, null, _dblNotional = dblNotional, null, _notlSchedule,
  500.                 null, null == _crValParams ? null : org.drip.state.identifier.EntityCDSLabel.Standard
  501.                     (_crValParams.creditCurveName(), _strCouponCurrency));

  503.         java.util.List<java.lang.Integer> lsStreamEdgeDate =
  504.             org.drip.analytics.support.CompositePeriodBuilder.BackwardEdgeDates (new
  505.                 org.drip.analytics.date.JulianDate (_iEffectiveDate = iEffectiveDate), new
  506.                     org.drip.analytics.date.JulianDate (_iMaturityDate = iMaturityDate), strTenor,
  507.                         dapAccrualEnd, org.drip.analytics.support.CompositePeriodBuilder.SHORT_STUB);

  509.         if (null == (_lsCouponPeriod = org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit
  510.             (lsStreamEdgeDate, cps, ucas, cfus)) || 0 == _lsCouponPeriod.size())
  511.             throw new java.lang.Exception ("CDSComponent ctr: Cannot make Coupon Period List!");
  512.     }

  514.     @Override public java.lang.String primaryCode()
  515.     {
  516.         return _strCode;
  517.     }

  519.     @Override public void setPrimaryCode (
  520.         final java.lang.String strCode)
  521.     {
  522.         _strCode = strCode;
  523.     }

  525.     public boolean setName (
  526.         final java.lang.String strName)
  527.     {
  528.         _strName = strName;
  529.         return true;
  530.     }

  532.     @Override public java.lang.String name()
  533.     {
  534.         if (null != _strName && !_strName.isEmpty()) return _strName;

  536.         return "CDS=" + org.drip.analytics.date.DateUtil.YYYYMMDD (_iMaturityDate);
  537.     }

  539.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  540.     {
  541.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
  542.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  544.         mapCouponCurrency.put (name(), _strCouponCurrency);

  546.         return mapCouponCurrency;
  547.     }

  549.     @Override public java.lang.String payCurrency()
  550.     {
  551.         return _strCouponCurrency;
  552.     }

  554.     @Override public java.lang.String principalCurrency()
  555.     {
  556.         return null;
  557.     }

  559.     @Override public double initialNotional()
  560.     {
  561.         return _dblNotional;
  562.     }

  564.     @Override public double notional (
  565.         final int iDate)
  566.         throws java.lang.Exception
  567.     {
  568.         if (null == _notlSchedule) throw new java.lang.Exception ("CDSComponent::notional => Bad date");

  570.         return _notlSchedule.y (iDate);
  571.     }

  573.     @Override public double notional (
  574.         final int iDate1,
  575.         final int iDate2)
  576.         throws java.lang.Exception
  577.     {
  578.         if (null == _notlSchedule) throw new java.lang.Exception ("CDSComponent::notional => Bad date");

  580.         return _notlSchedule.y (iDate1, iDate2);
  581.     }

  583.     @Override public double recovery (
  584.         final int iDate,
  585.         final org.drip.state.credit.CreditCurve cc)
  586.         throws java.lang.Exception
  587.     {
  588.         if (null == cc) throw new java.lang.Exception ("CDSComponent::recovery => Bad inputs");

  590.         return _crValParams.useCurveRecovery() ? cc.recovery (iDate) : _crValParams.recovery();
  591.     }

  593.     @Override public double recovery (
  594.         final int iDateStart,
  595.         final int iDateEnd,
  596.         final org.drip.state.credit.CreditCurve cc)
  597.         throws java.lang.Exception
  598.     {
  599.         if (null == cc) throw new java.lang.Exception ("CDSComponent::recovery: Bad inputs");

  601.         double dblRecovery = _crValParams.useCurveRecovery() ? cc.effectiveRecovery (iDateStart, iDateEnd) :
  602.             _crValParams.recovery();

  604.         return dblRecovery;
  605.     }

  607.     @Override public org.drip.product.params.CreditSetting creditValuationParams()
  608.     {
  609.         return _crValParams;
  610.     }

  612.     @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
  613.         final int iAccrualEndDate,
  614.         final org.drip.param.valuation.ValuationParams valParams,
  615.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  616.     {
  617.         try {
  618.             org.drip.analytics.cashflow.CompositePeriod period = calcCurrentPeriod (iAccrualEndDate);

  620.             return null == period ? null : period.couponMetrics (iAccrualEndDate, csqs);
  621.         } catch (java.lang.Exception e) {
  622.             e.printStackTrace();
  623.         }

  625.         return null;
  626.     }

  628.     @Override public int freq()
  629.     {
  630.         return couponPeriods().get (0).freq();
  631.     }

  633.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  634.         final org.drip.param.valuation.ValuationParams valParams,
  635.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  636.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  637.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  638.     {
  639.         return null;
  640.     }

  642.     @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
  643.     {
  644.         return null == _crValParams || null == _crValParams.creditCurveName() ||
  645.             _crValParams.creditCurveName().isEmpty() ? null : org.drip.state.identifier.EntityCDSLabel.Standard
  646.                 (_crValParams.creditCurveName(), _strCouponCurrency);
  647.     }

  649.     @Override public
  650.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  651.             forwardLabel()
  652.     {
  653.         return null;
  654.     }

  656.     @Override public
  657.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  658.             otcFixFloatLabel()
  659.     {
  660.         return null;
  661.     }

  663.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  664.     {
  665.         return org.drip.state.identifier.FundingLabel.Standard (_strCouponCurrency);
  666.     }

  668.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  669.     {
  670.         return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
  671.     }

  673.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  674.         fxLabel()
  675.     {
  676.         return null;
  677.     }

  679.     @Override public
  680.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  681.             volatilityLabel()
  682.     {
  683.         return null;
  684.     }

  686.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  687.     {
  688.         try {
  689.             return new org.drip.analytics.date.JulianDate (_iEffectiveDate);
  690.         } catch (java.lang.Exception e) {
  691.             e.printStackTrace();
  692.         }

  694.         return null;
  695.     }

  697.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  698.     {
  699.         try {
  700.             return new org.drip.analytics.date.JulianDate (_iMaturityDate);
  701.         } catch (java.lang.Exception e) {
  702.             e.printStackTrace();
  703.         }

  705.         return null;
  706.     }

  708.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  709.     {
  710.         try {
  711.             return new org.drip.analytics.date.JulianDate (_lsCouponPeriod.get (0).endDate());
  712.         } catch (java.lang.Exception e) {
  713.             e.printStackTrace();
  714.         }

  716.         return null;
  717.     }

  719.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  720.     {
  721.         return _lsCouponPeriod;
  722.     }

  724.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  725.     {
  726.         return _settleParams;
  727.     }

  729.     @Override public java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lossFlow (
  730.         final org.drip.param.valuation.ValuationParams valParams,
  731.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  732.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  733.     {
  734.         if (null == valParams || null == pricerParams) return null;

  736.         java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> sLP = new
  737.             java.util.ArrayList<org.drip.analytics.cashflow.LossQuadratureMetrics>();

  739.         int iValueDate = valParams.valueDate();

  741.         for (org.drip.analytics.cashflow.CompositePeriod period : _lsCouponPeriod) {
  742.             int iPeriodEndDate = period.endDate();

  744.             if (null == period || iPeriodEndDate < iValueDate) continue;

  746.             java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> sLPSub = period.lossMetrics
  747.                 (this, valParams, pricerParams, iPeriodEndDate, csqs);

  749.             if (null != sLPSub) sLP.addAll (sLPSub);
  750.         }

  752.         return sLP;
  753.     }

  755.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  756.         final org.drip.param.valuation.ValuationParams valParams,
  757.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  758.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  759.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  760.     {
  761.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFairMeasures = measures ("",
  762.             valParams, pricerParams, csqs, vcp);

  764.         if (null == mapFairMeasures) return null;

  766.         org.drip.numerical.common.CollectionUtil.MergeWithMain (mapFairMeasures,
  767.             org.drip.numerical.common.CollectionUtil.PrefixKeys (mapFairMeasures, "Fair"));

  769.         org.drip.analytics.cashflow.ComposableUnitPeriod cupFirst = _lsCouponPeriod.get (0).periods().get
  770.             (0);

  772.         try {
  773.             mapFairMeasures.put ("CumulativeCouponAmount", _dblNotional * _dblCoupon *
  774.                 org.drip.analytics.daycount.Convention.YearFraction (_iEffectiveDate, valParams.valueDate(),
  775.                     cupFirst.couponDC(), _bApplyAccEOMAdj, null, cupFirst.calendar()));
  776.         } catch (java.lang.Exception e) {
  777.             e.printStackTrace();
  778.         }

  780.         java.lang.String strName = name();

  782.         org.drip.param.definition.ProductQuote cq = csqs.productQuote (strName);

  784.         if ((null != pricerParams && null != pricerParams.calibParams()) || null == mapFairMeasures || null
  785.             == cq)
  786.             return mapFairMeasures;

  788.         double dblCreditBasis = java.lang.Double.NaN;
  789.         double dblMarketMeasure = java.lang.Double.NaN;
  790.         org.drip.state.credit.CreditCurve ccMarket = null;

  792.         if (cq.containsQuote ("Price"))
  793.             mapFairMeasures.put ("MarketInputType=Price", dblMarketMeasure = cq.quote ("Price").value
  794.                 ("mid"));
  795.         else if (cq.containsQuote ("CleanPrice"))
  796.             mapFairMeasures.put ("MarketInputType=CleanPrice", dblMarketMeasure = cq.quote
  797.                 ("CleanPrice").value ("mid"));
  798.         else if (cq.containsQuote ("Upfront"))
  799.             mapFairMeasures.put ("MarketInputType=Upfront", dblMarketMeasure = cq.quote ("Upfront").value
  800.                 ("mid"));
  801.         else if (cq.containsQuote ("FairPremium"))
  802.             mapFairMeasures.put ("MarketInputType=FairPremium", dblMarketMeasure = cq.quote
  803.                 ("FairPremium").value ("mid"));
  804.         else if (cq.containsQuote ("PV"))
  805.             mapFairMeasures.put ("MarketInputType=PV", dblMarketMeasure = cq.quote ("PV").value ("mid"));
  806.         else if (cq.containsQuote ("CleanPV"))
  807.             mapFairMeasures.put ("MarketInputType=CleanPV", dblMarketMeasure = cq.quote ("CleanPV").value
  808.                 ("mid"));

  810.         try {
  811.             SpreadCalibOP scop = new SpreadCalibrator (this,
  812.                 SpreadCalibrator.CALIBRATION_TYPE_NODE_PARALLEL_BUMP).calibrateHazardFromPrice (valParams,
  813.                     new org.drip.param.pricer.CreditPricerParams (7,
  814.                         org.drip.param.definition.CalibrationParams.Standard(), false,
  815.                             org.drip.param.pricer.CreditPricerParams.PERIOD_DISCRETIZATION_DAY_STEP), csqs,
  816.                                 vcp, dblMarketMeasure);

  818.             if (null != scop) {
  819.                 ccMarket = scop._ccCalib;
  820.                 dblCreditBasis = scop._dblCalibResult;
  821.             }
  822.         } catch (java.lang.Exception e) {
  823.             e.printStackTrace();
  824.         }

  826.         if (org.drip.numerical.common.NumberUtil.IsValid (dblCreditBasis)) {
  827.             mapFairMeasures.put ("MarketCreditBasis", dblCreditBasis);

  829.             org.drip.state.credit.CreditCurve cc = csqs.creditState (creditLabel());

  831.             try {
  832.                 ccMarket = (org.drip.state.credit.CreditCurve) cc.customTweakManifestMeasure
  833.                     ("FairPremium", new org.drip.param.definition.ManifestMeasureTweak
  834.                         (org.drip.param.definition.ManifestMeasureTweak.FLAT, false, dblCreditBasis));
  835.             } catch (java.lang.Exception e) {
  836.                 e.printStackTrace();
  837.             }
  838.         }

  840.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = mapFairMeasures;

  842.         if (null != ccMarket) {
  843.             org.drip.param.market.CurveSurfaceQuoteContainer csqsMarket =
  844.                 org.drip.param.creator.MarketParamsBuilder.Create (csqs.fundingState (fundingLabel()),
  845.                     csqs.govvieState (org.drip.state.identifier.GovvieLabel.Standard (payCurrency())),
  846.                         ccMarket, strName, csqs.productQuote (strName), csqs.quoteMap(), csqs.fixings());

  848.             if (null != csqsMarket) {
  849.                 org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMarketMeasures =
  850.                     measures ("", valParams, pricerParams, csqsMarket, vcp);

  852.                 if (null != mapMarketMeasures) {
  853.                     org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMarketMeasures,
  854.                         org.drip.numerical.common.CollectionUtil.PrefixKeys (mapMarketMeasures, "Market"));

  856.                     org.drip.numerical.common.CollectionUtil.MergeWithMain (mapMeasures, mapMarketMeasures);
  857.                 }
  858.             }
  859.         }

  861.         return mapMeasures;
  862.     }

  864.     @Override public java.util.Set<java.lang.String> measureNames()
  865.     {
  866.         java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

  868.         setstrMeasureNames.add ("AccrualDays");

  870.         setstrMeasureNames.add ("Accrued");

  872.         setstrMeasureNames.add ("Accrued01");

  874.         setstrMeasureNames.add ("CleanCouponPV");

  876.         setstrMeasureNames.add ("CleanDV01");

  878.         setstrMeasureNames.add ("CleanPV");

  880.         setstrMeasureNames.add ("DirtyCouponPV");

  882.         setstrMeasureNames.add ("DirtyDV01");

  884.         setstrMeasureNames.add ("DirtyPV");

  886.         setstrMeasureNames.add ("DV01");

  888.         setstrMeasureNames.add ("ExpLoss");

  890.         setstrMeasureNames.add ("ExpLossNoRec");

  892.         setstrMeasureNames.add ("FairAccrualDays");

  894.         setstrMeasureNames.add ("FairAccrued");

  896.         setstrMeasureNames.add ("FairAccrued01");

  898.         setstrMeasureNames.add ("FairCleanDV01");

  900.         setstrMeasureNames.add ("FairCleanPV");

  902.         setstrMeasureNames.add ("FairDirtyDV01");

  904.         setstrMeasureNames.add ("FairDirtyPV");

  906.         setstrMeasureNames.add ("FairDV01");

  908.         setstrMeasureNames.add ("FairExpLoss");

  910.         setstrMeasureNames.add ("FairExpLossNoRec");

  912.         setstrMeasureNames.add ("FairFairPremium");

  914.         setstrMeasureNames.add ("FairLossNoRecPV");

  916.         setstrMeasureNames.add ("FairLossPV");

  918.         setstrMeasureNames.add ("FairParSpread");

  920.         setstrMeasureNames.add ("FairPremium");

  922.         setstrMeasureNames.add ("FairPremiumPV");

  924.         setstrMeasureNames.add ("FairPV");

  926.         setstrMeasureNames.add ("FairUpfront");

  928.         setstrMeasureNames.add ("LossNoRecPV");

  930.         setstrMeasureNames.add ("LossPV");

  932.         setstrMeasureNames.add ("MarketAccrualDays");

  934.         setstrMeasureNames.add ("MarketAccrued");

  936.         setstrMeasureNames.add ("MarketAccrued01");

  938.         setstrMeasureNames.add ("MarketCleanDV01");

  940.         setstrMeasureNames.add ("MarketCleanPV");

  942.         setstrMeasureNames.add ("MarketDirtyDV01");

  944.         setstrMeasureNames.add ("MarketDirtyPV");

  946.         setstrMeasureNames.add ("MarketDV01");

  948.         setstrMeasureNames.add ("MarketExpLoss");

  950.         setstrMeasureNames.add ("MarketExpLossNoRec");

  952.         setstrMeasureNames.add ("MarketFairPremium");

  954.         setstrMeasureNames.add ("MarketLossNoRecPV");

  956.         setstrMeasureNames.add ("MarketLossPV");

  958.         setstrMeasureNames.add ("MarketParSpread");

  960.         setstrMeasureNames.add ("MarketPremiumPV");

  962.         setstrMeasureNames.add ("MarketPV");

  964.         setstrMeasureNames.add ("MarketUpfront");

  966.         setstrMeasureNames.add ("ParSpread");

  968.         setstrMeasureNames.add ("PV");

  970.         setstrMeasureNames.add ("Upfront");

  972.         return setstrMeasureNames;
  973.     }

  975.     @Override public double pv (
  976.         final org.drip.param.valuation.ValuationParams valParams,
  977.         final org.drip.param.pricer.CreditPricerParams pricerParamsIn,
  978.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  979.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  980.         throws java.lang.Exception
  981.     {
  982.         if (null == valParams || null == csqc)
  983.             throw new java.lang.Exception ("CDSComponent::pv => Invalid Inputs");

  985.         org.drip.state.credit.CreditCurve cc = csqc.creditState (creditLabel());

  987.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqc.fundingState (fundingLabel());

  989.         if (null == cc || null == dcFunding)
  990.             throw new java.lang.Exception ("CDSComponent::pv => Invalid Inputs");

  992.         org.drip.param.pricer.CreditPricerParams pricerParams = null != pricerParamsIn ? pricerParamsIn :
  993.             org.drip.param.pricer.CreditPricerParams.Standard();

  995.         double dblLossPV = 0.;
  996.         double dblDirtyDV01 = 0.;

  998.         int iValueDate = valParams.valueDate();

  1000.         for (org.drip.analytics.cashflow.CompositePeriod period : _lsCouponPeriod) {
  1001.             int iPayDate = period.payDate();

  1003.             if (iPayDate < iValueDate) continue;

  1005.             int iEndDate = period.endDate();

  1007.             int iStartDate = period.startDate();

  1009.             int iLossPayLag = _crValParams.lossPayLag();

  1011.             double dblPeriodNotional = notional (iStartDate, iValueDate);

  1013.             dblDirtyDV01 += 0.01 * period.couponDCF() * dcFunding.df (iPayDate) *
  1014.                 (pricerParams.survivalToPayDate() ? cc.survival (iPayDate) : cc.survival (iEndDate)) *
  1015.                     dblPeriodNotional;

  1017.             for (org.drip.analytics.cashflow.LossQuadratureMetrics lp : period.lossMetrics (this, valParams,
  1018.                 pricerParams, iEndDate, csqc)) {
  1019.                 if (null == lp) continue;

  1021.                 int iSubPeriodEndDate = lp.endDate();

  1023.                 int iSubPeriodStartDate = lp.startDate();

  1025.                 double dblSubPeriodDF = dcFunding.effectiveDF (iSubPeriodStartDate + iLossPayLag,
  1026.                     iSubPeriodEndDate + iLossPayLag);

  1028.                 double dblSubPeriodNotional = notional (iSubPeriodStartDate, iSubPeriodEndDate);

  1030.                 double dblSubPeriodSurvival = cc.survival (iSubPeriodStartDate) - cc.survival
  1031.                     (iSubPeriodEndDate);

  1033.                 double dblSubPeriodExpLoss = (1. - (_crValParams.useCurveRecovery() ? cc.effectiveRecovery
  1034.                     (iSubPeriodStartDate, iSubPeriodEndDate) : _crValParams.recovery())) * 100. *
  1035.                         dblSubPeriodSurvival * dblSubPeriodNotional;

  1037.                 dblLossPV += dblSubPeriodExpLoss * dblSubPeriodDF;

  1039.                 dblDirtyDV01 += 0.01 * lp.accrualDCF() * dblSubPeriodSurvival * dblSubPeriodDF *
  1040.                     dblSubPeriodNotional;
  1041.             }
  1042.         }

  1044.         return (dblDirtyDV01 * 10000. * _dblCoupon - dblLossPV) * _dblNotional * 0.01 / dcFunding.df (null ==
  1045.             _settleParams ? valParams.cashPayDate() : _settleParams.cashSettleDate (iValueDate));
  1046.     }

  1048.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
  1049.         valueFromQuotedSpread (
  1050.             final org.drip.param.valuation.ValuationParams valParams,
  1051.             final org.drip.param.pricer.CreditPricerParams pricerParams,
  1052.             final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1053.             final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1054.             final double dblFixCoupon,
  1055.             final double dblQuotedSpread)
  1056.     {
  1057.         if (null == valParams || !org.drip.numerical.common.NumberUtil.IsValid (dblFixCoupon) ||
  1058.             !org.drip.numerical.common.NumberUtil.IsValid (dblQuotedSpread))
  1059.             return null;

  1061.         org.drip.product.definition.CalibratableComponent[] aComp = new
  1062.             org.drip.product.definition.CalibratableComponent[] {this};
  1063.         org.drip.state.credit.CreditCurve cc = null;
  1064.         double[] adblRestorableCDSCoupon = new double[1];
  1065.         adblRestorableCDSCoupon[0] = _dblCoupon;
  1066.         _dblCoupon = dblFixCoupon;

  1068.         if (null != csqs) {
  1069.             org.drip.product.definition.CalibratableComponent[] aMktComp = null;

  1071.             cc = csqs.creditState (creditLabel());

  1073.             if (null != cc && null != (aMktComp = cc.calibComp())) {
  1074.                 int iNumComp = aMktComp.length;

  1076.                 if (0 != iNumComp) {
  1077.                     aComp = aMktComp;
  1078.                     adblRestorableCDSCoupon = new double[iNumComp];

  1080.                     for (int i = 0; i < iNumComp; ++i) {
  1081.                         if (null != aComp[i] && aComp[i] instanceof
  1082.                             org.drip.product.definition.CreditDefaultSwap) {
  1083.                             try {
  1084.                                 org.drip.analytics.output.CompositePeriodCouponMetrics cpcm = couponMetrics
  1085.                                     (valParams.valueDate(), valParams, csqs);

  1087.                                 if (null == cpcm) return null;

  1089.                                 adblRestorableCDSCoupon[i] = cpcm.rate();

  1091.                                 ((org.drip.product.definition.CreditDefaultSwap) aComp[i]).resetCoupon
  1092.                                     (dblFixCoupon);
  1093.                             } catch (java.lang.Exception e) {
  1094.                                 e.printStackTrace();

  1096.                                 return null;
  1097.                             }
  1098.                         }
  1099.                     }
  1100.                 }
  1101.             }
  1102.         }

  1104.         int iNumCalibComp = aComp.length;
  1105.         double[] adblQS = new double[iNumCalibComp];
  1106.         org.drip.state.credit.CreditCurve ccQS = null;
  1107.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumCalibComp];

  1109.         for (int i = 0; i < iNumCalibComp; ++i) {
  1110.             adblQS[i] = dblQuotedSpread;
  1111.             astrCalibMeasure[i] = "FairPremium";
  1112.         }

  1114.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  1116.         try {
  1117.             if (null == (ccQS = org.drip.state.creator.ScenarioCreditCurveBuilder.Custom
  1118.                 (creditLabel().referenceEntity(), new org.drip.analytics.date.JulianDate
  1119.                     (valParams.valueDate()), aComp, dcFunding, adblQS, astrCalibMeasure, null != cc ?
  1120.                         cc.recovery (valParams.valueDate()) : 0.4, true)))
  1121.                 return null;
  1122.         } catch (java.lang.Exception e) {
  1123.             e.printStackTrace();

  1125.             return null;
  1126.         }

  1128.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapPV = value (valParams,
  1129.             pricerParams, org.drip.param.creator.MarketParamsBuilder.Credit (dcFunding, ccQS), vcp);

  1131.         for (int i = 0; i < iNumCalibComp; ++i) {
  1132.             try {
  1133.                 ((org.drip.product.definition.CreditDefaultSwap) aComp[i]).resetCoupon
  1134.                     (adblRestorableCDSCoupon[i]);
  1135.             } catch (java.lang.Exception e) {
  1136.                 e.printStackTrace();

  1138.                 return null;
  1139.             }
  1140.         }

  1142.         return mapPV;
  1143.     }

  1145.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  1146.         final org.drip.param.valuation.ValuationParams valParams,
  1147.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1148.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1149.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  1150.     {
  1151.         if (null == valParams || null == csqs) return null;

  1153.         int iValueDate = valParams.valueDate();

  1155.         if (iValueDate >= _iMaturityDate) return null;

  1157.         org.drip.state.credit.CreditCurve cc = csqs.creditState (creditLabel());

  1159.         org.drip.state.discount.MergedDiscountForwardCurve dc = csqs.fundingState (fundingLabel());

  1161.         if (null == cc || null == dc) return null;

  1163.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = value (valParams,
  1164.             pricerParams, csqs, vcp);

  1166.         if (null == mapMeasures) return null;

  1168.         double dblPV = mapMeasures.get ("PV");

  1170.         double dblFairPremium = mapMeasures.get ("FairPremium");

  1172.         try {
  1173.             org.drip.numerical.differentiation.WengertJacobian wjPVDFMicroJack = null;

  1175.             for (org.drip.analytics.cashflow.CompositePeriod p : _lsCouponPeriod) {
  1176.                 int iPeriodPayDate = p.payDate();

  1178.                 if (iPeriodPayDate < iValueDate) continue;

  1180.                 org.drip.numerical.differentiation.WengertJacobian wjPeriodPayDFDF = dc.jackDDFDManifestMeasure
  1181.                     (iPeriodPayDate, "Rate");

  1183.                 org.drip.numerical.differentiation.WengertJacobian wjPeriodOnDefaultPVMicroJack =
  1184.                     calcPeriodOnDefaultPVDFMicroJack (dblFairPremium, p, valParams, pricerParams, csqs);

  1186.                 if (null == wjPeriodPayDFDF | null == wjPeriodOnDefaultPVMicroJack) continue;

  1188.                 if (null == wjPVDFMicroJack)
  1189.                     wjPVDFMicroJack = new org.drip.numerical.differentiation.WengertJacobian (1,
  1190.                         wjPeriodPayDFDF.numParameters());

  1192.                 double dblPeriodCashFlow = dblFairPremium * notional (p.startDate(), p.endDate()) *
  1193.                     p.couponDCF() * cc.survival (iPeriodPayDate);

  1195.                 for (int k = 0; k < wjPeriodPayDFDF.numParameters(); ++k) {
  1196.                     if (!wjPVDFMicroJack.accumulatePartialFirstDerivative (0, k, dblPeriodCashFlow *
  1197.                         wjPeriodPayDFDF.firstDerivative (0, k) + wjPeriodOnDefaultPVMicroJack.firstDerivative
  1198.                             (0, k)))
  1199.                         return null;
  1200.                 }
  1201.             }

  1203.             return adjustForCashSettle (valParams.cashPayDate(), dblPV, dc, wjPVDFMicroJack) ?
  1204.                 wjPVDFMicroJack : null;
  1205.         } catch (java.lang.Exception e) {
  1206.             e.printStackTrace();
  1207.         }

  1209.         return null;
  1210.     }

  1212.     @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  1213.         final java.lang.String strManifestMeasure,
  1214.         final org.drip.param.valuation.ValuationParams valParams,
  1215.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1216.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1217.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  1218.     {
  1219.         if (null == valParams || null == strManifestMeasure || null == csqs) return null;

  1221.         int iValueDate = valParams.valueDate();

  1223.         if (iValueDate >= _iMaturityDate) return null;

  1225.         org.drip.state.credit.CreditCurve cc = csqs.creditState (creditLabel());

  1227.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState (fundingLabel());

  1229.         if (null == cc || null == dcFunding) return null;

  1231.         if ("Rate".equalsIgnoreCase (strManifestMeasure) || "FairPremium".equalsIgnoreCase
  1232.             (strManifestMeasure) || "ParSpread".equalsIgnoreCase (strManifestMeasure)) {
  1233.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = value
  1234.                 (valParams, pricerParams, csqs, vcp);

  1236.             if (null == mapMeasures) return null;

  1238.             double dblFairPremium = mapMeasures.get ("FairPremium");

  1240.             try {
  1241.                 double dblDV01 = 0.;
  1242.                 org.drip.numerical.differentiation.WengertJacobian wjFairPremiumDFMicroJack = null;

  1244.                 for (org.drip.analytics.cashflow.CompositePeriod p : _lsCouponPeriod) {
  1245.                     int iPeriodPayDate = p.payDate();

  1247.                     if (iPeriodPayDate < iValueDate) continue;

  1249.                     int iPeriodEndDate = p.endDate();

  1251.                     org.drip.numerical.differentiation.WengertJacobian wjPeriodPayDFDF =
  1252.                         dcFunding.jackDDFDManifestMeasure (iPeriodEndDate, "Rate");

  1254.                     PeriodLossMicroJack plmj = calcPeriodLossMicroJack (p, valParams, pricerParams, csqs);

  1256.                     if (null == wjPeriodPayDFDF | null == plmj) continue;

  1258.                     if (null == wjFairPremiumDFMicroJack)
  1259.                         wjFairPremiumDFMicroJack = new org.drip.numerical.differentiation.WengertJacobian (1,
  1260.                             wjPeriodPayDFDF.numParameters());

  1262.                     double dblPeriodCoupon01 = notional (p.startDate(), iPeriodEndDate) * p.couponDCF() *
  1263.                         cc.survival (iPeriodEndDate);

  1265.                     dblDV01 += dblPeriodCoupon01 * dcFunding.df (iPeriodPayDate) + plmj._dblAccrOnDef01;

  1267.                     for (int k = 0; k < wjPeriodPayDFDF.numParameters(); ++k) {
  1268.                         double dblPeriodNetLossJack = plmj._wjLossPVMicroJack.firstDerivative (0, k) -
  1269.                             dblFairPremium * (plmj._wjAccrOnDef01MicroJack.firstDerivative (0, k) +
  1270.                                 dblPeriodCoupon01 * wjPeriodPayDFDF.firstDerivative (0, k));

  1272.                         if (!wjFairPremiumDFMicroJack.accumulatePartialFirstDerivative (0, k,
  1273.                             dblPeriodNetLossJack))
  1274.                             return null;
  1275.                     }
  1276.                 }

  1278.                 return wjFairPremiumDFMicroJack.scale (dblDV01) ? wjFairPremiumDFMicroJack : null;
  1279.             } catch (java.lang.Exception e) {
  1280.                 e.printStackTrace();
  1281.             }
  1282.         }

  1284.         return null;
  1285.     }

  1287.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  1288.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  1289.     {
  1290.         return null;
  1291.     }

  1293.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
  1294.         final org.drip.param.valuation.ValuationParams valParams,
  1295.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1296.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1297.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1298.         final org.drip.product.calib.ProductQuoteSet pqs)
  1299.     {
  1300.         return null;
  1301.     }

  1303.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  1304.         final org.drip.param.valuation.ValuationParams valParams,
  1305.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1306.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1307.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1308.         final org.drip.product.calib.ProductQuoteSet pqs)
  1309.     {
  1310.         return null;
  1311.     }

  1313.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  1314.         final org.drip.param.valuation.ValuationParams valParams,
  1315.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1316.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1317.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1318.         final org.drip.product.calib.ProductQuoteSet pqs)
  1319.     {
  1320.         return null;
  1321.     }

  1323.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  1324.         final org.drip.param.valuation.ValuationParams valParams,
  1325.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1326.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1327.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1328.         final org.drip.product.calib.ProductQuoteSet pqs)
  1329.     {
  1330.         return null;
  1331.     }

  1333.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  1334.         final org.drip.param.valuation.ValuationParams valParams,
  1335.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1336.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1337.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1338.         final org.drip.product.calib.ProductQuoteSet pqs)
  1339.     {
  1340.         return null;
  1341.     }

  1343.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  1344.         final org.drip.param.valuation.ValuationParams valParams,
  1345.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1346.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1347.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1348.         final org.drip.product.calib.ProductQuoteSet pqs)
  1349.     {
  1350.         return null;
  1351.     }

  1353.     /**
  1354.      * Reset the CDS's coupon
  1355.      * 
  1356.      * @param dblCoupon The new Coupon
  1357.      * 
  1358.      * @return The old Coupon
  1359.      * 
  1360.      * @throws java.lang.Exception Thrown if the coupon cannot be reset
  1361.      */

  1363.     public double resetCoupon (
  1364.         final double dblCoupon)
  1365.         throws java.lang.Exception
  1366.     {
  1367.         double dblOldCoupon = _dblCoupon;

  1369.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCoupon = dblCoupon))
  1370.             throw new java.lang.Exception ("CDSComponent::resetCoupon => Bad coupon Input!");

  1372.         return dblOldCoupon;
  1373.     }

  1375.     /**
  1376.      * Calibrate the CDS's flat spread from the calculated up-front points
  1377.      * 
  1378.      * @param valParams ValuationParams
  1379.      * @param pricerParams PricerParams
  1380.      * @param csqs ComponentMarketParams
  1381.      * 
  1382.      * @return Calibrated flat spread
  1383.      * 
  1384.      * @throws java.lang.Exception Thrown if cannot calibrate
  1385.      */

  1387.     public double calibFlatSpread (
  1388.         final org.drip.param.valuation.ValuationParams valParams,
  1389.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1390.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1391.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  1392.         throws java.lang.Exception
  1393.     {
  1394.         SpreadCalibOP scop = new SpreadCalibrator (this,
  1395.             SpreadCalibrator.CALIBRATION_TYPE_FLAT_CURVE_NODES).calibrateHazardFromPrice (valParams,
  1396.                 pricerParams, csqs, vcp, measureValue (valParams, pricerParams, csqs, vcp, "Upfront"));

  1398.         if (null == scop)
  1399.             throw new java.lang.Exception ("CDSComponent::calibFlatSpread => Cannot calibrate flat spread!");

  1401.         return scop._dblCalibResult;
  1402.     }

  1404.     /**
  1405.      *  CDS spread calibration output
  1406.      *
  1407.      * @author Lakshmi Krishnamurthy
  1408.      */

  1410.     public class SpreadCalibOP {
  1411.         public double _dblCalibResult = java.lang.Double.NaN;
  1412.         public org.drip.state.credit.CreditCurve _ccCalib = null;

  1414.         public SpreadCalibOP (
  1415.             final double dblCalibResult,
  1416.             final org.drip.state.credit.CreditCurve ccCalib)
  1417.             throws java.lang.Exception
  1418.         {
  1419.             if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCalibResult = dblCalibResult) || null ==
  1420.                 (_ccCalib = ccCalib))
  1421.                 throw new java.lang.Exception ("CDSComponent::SpreadCalibOP ctr => Invalid inputs!");
  1422.         }
  1423.     }

  1425.     /**
  1426.      *  Implementation of the CDS spread calibrator
  1427.      *
  1428.      * @author Lakshmi Krishnamurthy
  1429.      */

  1431.     public class SpreadCalibrator {
  1432.         private org.drip.product.definition.CreditDefaultSwap _cds = null;

  1434.         /*
  1435.          * Calibration Type
  1436.          */

  1438.         public static final int CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE = 1;
  1439.         public static final int CALIBRATION_TYPE_FLAT_CURVE_NODES = 2;
  1440.         public static final int CALIBRATION_TYPE_NODE_PARALLEL_BUMP = 4;

  1442.         private int _iCalibType = CALIBRATION_TYPE_FLAT_CURVE_NODES;

  1444.         /**
  1445.          * Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is
  1446.          *  off of a single node
  1447.          * 
  1448.          * @param cds CDS parent
  1449.          * @param iCalibType Calibration type indicating whether the calibration is PARALLEL, FLAT SINGLE
  1450.          *      NODE, or FLAT TERM
  1451.          * 
  1452.          * @throws java.lang.Exception Thrown if inputs are invalid
  1453.          */

  1455.         public SpreadCalibrator (
  1456.             final org.drip.product.definition.CreditDefaultSwap cds,
  1457.             final int iCalibType)
  1458.             throws java.lang.Exception
  1459.         {
  1460.             if (null == (_cds = cds) || (CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE != (_iCalibType = iCalibType)
  1461.                 && CALIBRATION_TYPE_FLAT_CURVE_NODES != iCalibType && CALIBRATION_TYPE_NODE_PARALLEL_BUMP !=
  1462.                     iCalibType))
  1463.                 throw new java.lang.Exception ("CDSComponent::SpreadCalibrator ctr => Invalid inputs!");
  1464.         }

  1466.         /**
  1467.          * Calibrate the hazard rate from calibration price
  1468.          * 
  1469.          * @param valParams ValuationParams
  1470.          * @param pricerParams PricerParams
  1471.          * @param csqs ComponentMarketParams
  1472.          * @param vcp Valuation Customization Parameters
  1473.          * @param dblPriceCalib Market price to be calibrated
  1474.          * 
  1475.          * @return Calibrated hazard
  1476.          */

  1478.         public SpreadCalibOP calibrateHazardFromPrice (
  1479.             final org.drip.param.valuation.ValuationParams valParams,
  1480.             final org.drip.param.pricer.CreditPricerParams pricerParams,
  1481.             final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1482.             final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1483.             final double dblPriceCalib)
  1484.         {
  1485.             if (null == valParams || null == pricerParams || null == csqs ||
  1486.                 !org.drip.numerical.common.NumberUtil.IsValid (dblPriceCalib))
  1487.                 return null;

  1489.             final org.drip.state.credit.CreditCurve ccOld = csqs.creditState (creditLabel());

  1491.             org.drip.function.definition.R1ToR1 ofCDSPriceFromFlatSpread = new
  1492.                 org.drip.function.definition.R1ToR1 (null) {
  1493.                 @Override public double evaluate (
  1494.                     final double dblFlatSpread)
  1495.                     throws java.lang.Exception
  1496.                 {
  1497.                     if (CALIBRATION_TYPE_NODE_PARALLEL_BUMP != _iCalibType)
  1498.                         csqs.setCreditState (ccOld.flatCurve (dblFlatSpread,
  1499.                             CALIBRATION_TYPE_FLAT_CURVE_NODES == _iCalibType, java.lang.Double.NaN));
  1500.                     else
  1501.                         csqs.setCreditState ((org.drip.state.credit.CreditCurve)
  1502.                             ccOld.customTweakManifestMeasure ("FairPremium", new
  1503.                                 org.drip.param.definition.ManifestMeasureTweak
  1504.                                     (org.drip.param.definition.ManifestMeasureTweak.FLAT, false,
  1505.                                         dblFlatSpread)));

  1507.                     return _cds.measureValue (valParams, pricerParams, csqs, vcp, "Upfront") - dblPriceCalib;
  1508.                 }
  1509.             };

  1511.             try {
  1512.                 org.drip.function.r1tor1solver.FixedPointFinderOutput rfop = new
  1513.                     org.drip.function.r1tor1solver.FixedPointFinderBrent (0., ofCDSPriceFromFlatSpread,
  1514.                         true).findRoot();

  1516.                 if (null == rfop || !rfop.containsRoot() && !csqs.setCreditState (ccOld))
  1517.                     return new SpreadCalibOP (rfop.getRoot(), ccOld);
  1518.             } catch (java.lang.Exception e) {
  1519.                 e.printStackTrace();
  1520.             }

  1522.             return null;
  1523.         }
  1524.     }

  1526.     class PeriodLossMicroJack {
  1527.         double _dblAccrOnDef01 = 0.;
  1528.         org.drip.numerical.differentiation.WengertJacobian _wjLossPVMicroJack = null;
  1529.         org.drip.numerical.differentiation.WengertJacobian _wjAccrOnDef01MicroJack = null;

  1531.         PeriodLossMicroJack (
  1532.             final int iNumParameters)
  1533.             throws java.lang.Exception
  1534.         {
  1535.             _wjLossPVMicroJack = new org.drip.numerical.differentiation.WengertJacobian (1, iNumParameters);

  1537.             _wjAccrOnDef01MicroJack = new org.drip.numerical.differentiation.WengertJacobian (1, iNumParameters);
  1538.         }
  1539.     }
  1540. }
Created with JaCoCo 0.7.9.201702052155