FRAStandardCapFloorlet.java

  1. package org.drip.product.fra;

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

  82. /**
  83.  * <i>FRAStandardCapFloorlet</i> implements the Standard FRA Caplet and Floorlet.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/fra/README.md">Standard/Market FRAs - Caps/Floors</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class FRAStandardCapFloorlet extends org.drip.product.option.OptionComponent {
  98.     private boolean _bIsCaplet = false;
  99.     private org.drip.product.fra.FRAStandardComponent _fra = null;
  100.     private org.drip.pricer.option.FokkerPlanckGenerator _fpg = null;

  102.     /**
  103.      * FRAStandardCapFloorlet constructor
  104.      * 
  105.      * @param strName Name
  106.      * @param fra The Underlying FRA Standard Component
  107.      * @param strManifestMeasure Measure of the Underlying Component
  108.      * @param bIsCaplet Is the FRA Option a Caplet? TRUE - YES
  109.      * @param dblStrike Strike of the Underlying Component's Measure
  110.      * @param dblNotional Option Notional
  111.      * @param ltds Last Trading Date Setting
  112.      * @param fpg The Fokker Planck Pricer Instance
  113.      * @param csp Cash Settle Parameters
  114.      * 
  115.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  116.      */

  118.     public FRAStandardCapFloorlet (
  119.         final java.lang.String strName,
  120.         final org.drip.product.fra.FRAStandardComponent fra,
  121.         final java.lang.String strManifestMeasure,
  122.         final boolean bIsCaplet,
  123.         final double dblStrike,
  124.         final double dblNotional,
  125.         final org.drip.product.params.LastTradingDateSetting ltds,
  126.         final org.drip.pricer.option.FokkerPlanckGenerator fpg,
  127.         final org.drip.param.valuation.CashSettleParams csp)
  128.         throws java.lang.Exception
  129.     {
  130.         super (strName, fra, strManifestMeasure, dblStrike, dblNotional, ltds, csp);

  132.         if (null == (_fpg = fpg))
  133.             throw new java.lang.Exception ("FRAStandardCapFloorlet ctr: Invalid Option Pricer");

  135.         _fra = fra;
  136.         _bIsCaplet = bIsCaplet;
  137.     }

  139.     /**
  140.      * Retrieve the Underlying FRA Instance
  141.      * 
  142.      * @return The FRA Instance
  143.      */

  145.     public org.drip.product.fra.FRAStandardComponent fra()
  146.     {
  147.         return _fra;
  148.     }

  150.     /**
  151.      * Indicate whether this a Caplet/Floorlet
  152.      * 
  153.      * @return TRUE - This is a Caplet
  154.      */

  156.     public boolean isCaplet()
  157.     {
  158.         return _bIsCaplet;
  159.     }

  161.     /**
  162.      * Retrieve the Underlying Pricer Instance
  163.      * 
  164.      * @return The Pricer Instance
  165.      */

  167.     public org.drip.pricer.option.FokkerPlanckGenerator pricer()
  168.     {
  169.         return _fpg;
  170.     }

  172.     /**
  173.      * Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance
  174.      * 
  175.      * @param valParams The Valuation Parameters
  176.      * @param pricerParams The Pricer Parameters
  177.      * @param csqs The Market Parameters
  178.      * @param vcp The Valuation Customization Parameters
  179.      * @param dblIntegratedSurfaceVariance The Integrated Surface Variance
  180.      * 
  181.      * @return The Standard FRA Caplet/Floorlet Measures
  182.      */

  184.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> valueFromSurfaceVariance (
  185.         final org.drip.param.valuation.ValuationParams valParams,
  186.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  187.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  188.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  189.         final double dblIntegratedSurfaceVariance)
  190.     {
  191.         if (null == valParams || null == csqs || !org.drip.numerical.common.NumberUtil.IsValid
  192.             (dblIntegratedSurfaceVariance))
  193.             return null;

  195.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState
  196.             (org.drip.state.identifier.FundingLabel.Standard (_fra.payCurrency()));

  198.         if (null == dcFunding) return null;

  200.         int iValueDate = valParams.valueDate();

  202.         org.drip.product.params.LastTradingDateSetting ltds = lastTradingDateSetting();

  204.         try {
  205.             if (null != ltds && iValueDate >= ltds.lastTradingDate (_fra.effectiveDate().julian(),
  206.                 _fra.stream().calendar()))
  207.                 return null;
  208.         } catch (java.lang.Exception e) {
  209.             e.printStackTrace();

  211.             return null;
  212.         }

  214.         long lStart = System.nanoTime();

  216.         int iExerciseDate = exerciseDate().julian();

  218.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFRAOutput = _fra.value
  219.             (valParams, pricerParams, csqs, vcp);

  221.         java.lang.String strManifestMeasure = manifestMeasure();

  223.         if (null == mapFRAOutput || !mapFRAOutput.containsKey (strManifestMeasure)) return null;

  225.         double dblFRADV01 = mapFRAOutput.get ("DV01");

  227.         double dblATMManifestMeasure = mapFRAOutput.get (strManifestMeasure);

  229.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblATMManifestMeasure) ||
  230.             !org.drip.numerical.common.NumberUtil.IsValid (dblFRADV01))
  231.             return null;

  233.         try {
  234.             double dblStrike = strike();

  236.             double dblNotional = notional();

  238.             double dblMoneynessFactor = dblATMManifestMeasure / dblStrike;
  239.             double dblManifestMeasurePriceTransformer = java.lang.Double.NaN;
  240.             double dblManifestMeasureIntrinsic = _bIsCaplet ? dblATMManifestMeasure - dblStrike : dblStrike -
  241.                 dblATMManifestMeasure;

  243.             if (strManifestMeasure.equalsIgnoreCase ("Price") || strManifestMeasure.equalsIgnoreCase ("PV"))
  244.                 dblManifestMeasurePriceTransformer = dcFunding.df (iExerciseDate);
  245.             else if (strManifestMeasure.equalsIgnoreCase ("ForwardRate") ||
  246.                 strManifestMeasure.equalsIgnoreCase ("ParForward") || strManifestMeasure.equalsIgnoreCase
  247.                     ("ParForwardRate") || strManifestMeasure.equalsIgnoreCase ("QuantoAdjustedParForward") ||
  248.                         strManifestMeasure.equalsIgnoreCase ("Rate"))
  249.                 dblManifestMeasurePriceTransformer = 10000. * dblFRADV01;

  251.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblManifestMeasurePriceTransformer)) return null;

  253.             org.drip.pricer.option.Greeks optGreek = _fpg.greeks (iValueDate, iExerciseDate, dblStrike,
  254.                 dcFunding, dblATMManifestMeasure, !_bIsCaplet, true, dblIntegratedSurfaceVariance);

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

  259.             double dblForwardIntrinsic = optGreek.expectedPayoff();

  261.             double dblForwardATMIntrinsic = optGreek.expectedATMPayoff();

  263.             double dblSpotPrice = dblForwardIntrinsic * dblManifestMeasurePriceTransformer;

  265.             mapResult.put ("ATMFRA", dblATMManifestMeasure);

  267.             mapResult.put ("ATMPrice", dblForwardATMIntrinsic * dblManifestMeasurePriceTransformer);

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

  271.             mapResult.put ("Charm", optGreek.charm() * dblManifestMeasurePriceTransformer);

  273.             mapResult.put ("Color", optGreek.color() * dblManifestMeasurePriceTransformer);

  275.             mapResult.put ("Delta", optGreek.delta() * dblManifestMeasurePriceTransformer);

  277.             mapResult.put ("EffectiveVolatility", optGreek.effectiveVolatility());

  279.             mapResult.put ("ExpectedATMPayoff", optGreek.expectedATMPayoff());

  281.             mapResult.put ("ExpectedPayoff", optGreek.expectedPayoff());

  283.             mapResult.put ("ForwardATMIntrinsic", dblForwardATMIntrinsic);

  285.             mapResult.put ("ForwardIntrinsic", dblForwardIntrinsic);

  287.             mapResult.put ("Gamma", optGreek.gamma() * dblManifestMeasurePriceTransformer);

  289.             mapResult.put ("IntegratedSurfaceVariance", dblIntegratedSurfaceVariance);

  291.             mapResult.put ("ManifestMeasureIntrinsic", dblManifestMeasureIntrinsic);

  293.             mapResult.put ("ManifestMeasureIntrinsicValue", dblManifestMeasureIntrinsic *
  294.                 dblManifestMeasurePriceTransformer);

  296.             mapResult.put ("ManifestMeasureTransformer", dblManifestMeasurePriceTransformer);

  298.             mapResult.put ("MoneynessFactor", dblMoneynessFactor);

  300.             mapResult.put ("Price", dblSpotPrice);

  302.             mapResult.put ("Prob1", optGreek.prob1());

  304.             mapResult.put ("Prob2", optGreek.prob2());

  306.             mapResult.put ("PV", dblSpotPrice * dblNotional);

  308.             mapResult.put ("Rho", optGreek.rho() * dblManifestMeasurePriceTransformer);

  310.             mapResult.put ("Speed", optGreek.speed() * dblManifestMeasurePriceTransformer);

  312.             mapResult.put ("SpotPrice", dblSpotPrice);

  314.             mapResult.put ("Theta", optGreek.theta() * dblManifestMeasurePriceTransformer);

  316.             mapResult.put ("Ultima", optGreek.ultima() * dblManifestMeasurePriceTransformer);

  318.             mapResult.put ("Upfront", dblSpotPrice);

  320.             mapResult.put ("Vanna", optGreek.vanna() * dblManifestMeasurePriceTransformer);

  322.             mapResult.put ("Vega", optGreek.vega() * dblManifestMeasurePriceTransformer);

  324.             mapResult.put ("Veta", optGreek.veta() * dblManifestMeasurePriceTransformer);

  326.             mapResult.put ("Vomma", optGreek.vomma() * dblManifestMeasurePriceTransformer);

  328.             return mapResult;
  329.         } catch (java.lang.Exception e) {
  330.             // e.printStackTrace();
  331.         }

  333.         return null;
  334.     }

  336.     /**
  337.      * Compute the Caplet/Floorlet Price from the Inputs
  338.      * 
  339.      * @param valParams The Valuation Parameters
  340.      * @param pricerParams Pricer Parameters
  341.      * @param csqs The Market Parameters
  342.      * @param vcp The Valuation Customization Parameters
  343.      * @param dblVolatility The FRA Volatility
  344.      * 
  345.      * @return The Caplet/Floorlet Price
  346.      * 
  347.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  348.      */

  350.     public double price (
  351.         final org.drip.param.valuation.ValuationParams valParams,
  352.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  353.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  354.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  355.         final double dblVolatility)
  356.         throws java.lang.Exception
  357.     {
  358.         if (null == valParams || null == csqs || !org.drip.numerical.common.NumberUtil.IsValid (dblVolatility))
  359.             throw new java.lang.Exception ("FRAStandardCapFloorlet::price => Invalid Inputs");

  361.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState
  362.             (org.drip.state.identifier.FundingLabel.Standard (_fra.payCurrency()));

  364.         if (null == dcFunding)
  365.             throw new java.lang.Exception ("FRAStandardCapFloorlet::price => Invalid Inputs");

  367.         int iExerciseDate = exerciseDate().julian();

  369.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFRAOutput = _fra.value
  370.             (valParams, pricerParams, csqs, vcp);

  372.         java.lang.String strManifestMeasure = manifestMeasure();

  374.         if (null == mapFRAOutput || !mapFRAOutput.containsKey (strManifestMeasure))
  375.             throw new java.lang.Exception ("FRAStandardCapFloorlet::price => No ATM Metric");

  377.         double dblManifestMeasurePriceTransformer = java.lang.Double.NaN;

  379.         if (strManifestMeasure.equalsIgnoreCase ("Price") || strManifestMeasure.equalsIgnoreCase ("PV"))
  380.             dblManifestMeasurePriceTransformer = dcFunding.df (iExerciseDate);
  381.         else if (strManifestMeasure.equalsIgnoreCase ("ForwardRate") ||
  382.             strManifestMeasure.equalsIgnoreCase ("ParForward") || strManifestMeasure.equalsIgnoreCase
  383.                 ("ParForwardRate") || strManifestMeasure.equalsIgnoreCase ("QuantoAdjustedParForward") ||
  384.                     strManifestMeasure.equalsIgnoreCase ("Rate")) {
  385.             if (!mapFRAOutput.containsKey ("DV01"))
  386.                 throw new java.lang.Exception ("FRAStandardCapFloorlet::price => No FRA DV01");

  388.             dblManifestMeasurePriceTransformer = 10000. * mapFRAOutput.get ("DV01");
  389.         }

  391.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblManifestMeasurePriceTransformer))
  392.             throw new java.lang.Exception
  393.                 ("FRAStandardCapFloorlet::price => No Manifest Measure Price Transformer");

  395.         return dblManifestMeasurePriceTransformer * _fpg.payoff (valParams.valueDate(), iExerciseDate,
  396.             strike(), dcFunding, mapFRAOutput.get (strManifestMeasure), !_bIsCaplet, true, dblVolatility,
  397.                 false);
  398.     }

  400.     /**
  401.      * Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure
  402.      * 
  403.      * @param valParams The Valuation Parameters
  404.      * @param pricerParams Pricer Parameters
  405.      * @param csqs The Market Parameters
  406.      * @param vcp The Valuation Customization Parameters
  407.      * @param strCalibMeasure The Calibration Measure
  408.      * @param dblCalibValue The Calibration Value
  409.      * 
  410.      * @return The Implied Caplet/Floorlet Volatility
  411.      * 
  412.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  413.      */

  415.     public double implyVolatility (
  416.         final org.drip.param.valuation.ValuationParams valParams,
  417.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  418.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  419.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  420.         final java.lang.String strCalibMeasure,
  421.         final double dblCalibValue)
  422.         throws java.lang.Exception
  423.     {
  424.         if (null == valParams || null == strCalibMeasure || strCalibMeasure.isEmpty() || null == csqs ||
  425.             !org.drip.numerical.common.NumberUtil.IsValid (dblCalibValue))
  426.             throw new java.lang.Exception ("FRAStandardCapFloorlet::implyVolatility => Invalid Inputs");

  428.         final double dblStrike = strike();

  430.         final int iValueDate = valParams.valueDate();

  432.         final int iExerciseDate = exerciseDate().julian();

  434.         final org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState
  435.             (org.drip.state.identifier.FundingLabel.Standard (_fra.payCurrency()));

  437.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFRAOutput = _fra.value
  438.             (valParams, pricerParams, csqs, vcp);

  440.         java.lang.String strManifestMeasure = manifestMeasure();

  442.         if (null == mapFRAOutput || !mapFRAOutput.containsKey (strManifestMeasure))
  443.             throw new java.lang.Exception ("FRAStandardCapFloorlet::implyVolatility => No ATM Metric");

  445.         final double dblATMManifestMeasure = mapFRAOutput.get (strManifestMeasure);

  447.         double dblManifestMeasurePriceTransformer = java.lang.Double.NaN;

  449.         if (strManifestMeasure.equalsIgnoreCase ("Price") || strManifestMeasure.equalsIgnoreCase ("PV"))
  450.             dblManifestMeasurePriceTransformer = dcFunding.df (iExerciseDate);
  451.         else if (strManifestMeasure.equalsIgnoreCase ("ForwardRate") ||
  452.             strManifestMeasure.equalsIgnoreCase ("ParForward") || strManifestMeasure.equalsIgnoreCase
  453.                 ("ParForwardRate") || strManifestMeasure.equalsIgnoreCase ("QuantoAdjustedParForward") ||
  454.                     strManifestMeasure.equalsIgnoreCase ("Rate")) {
  455.             if (!mapFRAOutput.containsKey ("DV01"))
  456.                 throw new java.lang.Exception ("FRAStandardCapFloorlet::implyVolatility => No DV01");

  458.             dblManifestMeasurePriceTransformer = 10000. * mapFRAOutput.get ("DV01");
  459.         }

  461.         final double dblManifestMeasurePriceTransformerCalib = dblManifestMeasurePriceTransformer;

  463.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblManifestMeasurePriceTransformer))
  464.             throw new java.lang.Exception ("FRAStandardCapFloorlet::implyVolatility => No Transformer");

  466.         org.drip.function.definition.R1ToR1 funcVolPricer = new org.drip.function.definition.R1ToR1 (null) {
  467.             @Override public double evaluate (
  468.                 final double dblVolatility)
  469.                 throws java.lang.Exception
  470.             {
  471.                 if ("Price".equals (strCalibMeasure))
  472.                     return dblManifestMeasurePriceTransformerCalib * _fpg.payoff (iValueDate, iExerciseDate,
  473.                         dblStrike, dcFunding, dblATMManifestMeasure, !_bIsCaplet, true, dblVolatility,
  474.                             false);

  476.                 if ("ATMPrice".equals (strCalibMeasure))
  477.                     return dblManifestMeasurePriceTransformerCalib * _fpg.payoff (iValueDate, iExerciseDate,
  478.                         dblStrike, dcFunding, dblStrike, !_bIsCaplet, true, dblVolatility, false);

  480.                 java.util.Map<java.lang.String, java.lang.Double> mapOutput = valueFromSurfaceVariance 
  481.                     (valParams, pricerParams, csqs, vcp, dblVolatility * dblVolatility * (iExerciseDate -
  482.                         iValueDate) / 365.25);

  484.                 if (null == mapOutput || !mapOutput.containsKey (strCalibMeasure))
  485.                     throw new java.lang.Exception
  486.                         ("FRAStandardCapFloorlet::implyVolatility => Cannot generate Calibration Measure");

  488.                 return mapOutput.get (strCalibMeasure);

  490.             }
  491.         };

  493.         org.drip.function.r1tor1solver.FixedPointFinderOutput fpfo = (new
  494.             org.drip.function.r1tor1solver.FixedPointFinderBrent (dblCalibValue, funcVolPricer,
  495.                 false)).findRoot();

  497.         if (null == fpfo || !fpfo.containsRoot())
  498.             throw new java.lang.Exception
  499.                 ("FRAStandardCapFloorlet::implyVolatility => Cannot calibrate the Vol");

  501.         return fpfo.getRoot();
  502.     }

  504.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  505.         final org.drip.param.valuation.ValuationParams valParams,
  506.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  507.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  508.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  509.     {
  510.         if (null == valParams || null == csqs) return null;

  512.         try {
  513.             return valueFromSurfaceVariance (valParams, pricerParams, csqs, vcp,
  514.                 org.drip.analytics.support.OptionHelper.IntegratedSurfaceVariance (csqs.forwardVolatility
  515.                     (_fra.forwardLabel().get ("DERIVED")), valParams.valueDate(), exerciseDate().julian()));
  516.         } catch (java.lang.Exception e) {
  517.             e.printStackTrace();
  518.         }

  520.         return null;
  521.     }

  523.     @Override public java.util.Set<java.lang.String> measureNames()
  524.     {
  525.         java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

  527.         setstrMeasureNames.add ("ATMFRA");

  529.         setstrMeasureNames.add ("ATMPrice");

  531.         setstrMeasureNames.add ("CalcTime");

  533.         setstrMeasureNames.add ("Charm");

  535.         setstrMeasureNames.add ("Color");

  537.         setstrMeasureNames.add ("Delta");

  539.         setstrMeasureNames.add ("EffectiveVolatility");

  541.         setstrMeasureNames.add ("ExpectedATMPayoff");

  543.         setstrMeasureNames.add ("ExpectedPayoff");

  545.         setstrMeasureNames.add ("ForwardATMIntrinsic");

  547.         setstrMeasureNames.add ("ForwardIntrinsic");

  549.         setstrMeasureNames.add ("Gamma");

  551.         setstrMeasureNames.add ("IntegratedSurfaceVariance");

  553.         setstrMeasureNames.add ("ManifestMeasureIntrinsic");

  555.         setstrMeasureNames.add ("ManifestMeasureIntrinsicValue");

  557.         setstrMeasureNames.add ("MoneynessFactor");

  559.         setstrMeasureNames.add ("Price");

  561.         setstrMeasureNames.add ("Prob1");

  563.         setstrMeasureNames.add ("Prob2");

  565.         setstrMeasureNames.add ("PV");

  567.         setstrMeasureNames.add ("Rho");

  569.         setstrMeasureNames.add ("Speed");

  571.         setstrMeasureNames.add ("SpotPrice");

  573.         setstrMeasureNames.add ("Theta");

  575.         setstrMeasureNames.add ("Ultima");

  577.         setstrMeasureNames.add ("Upfront");

  579.         setstrMeasureNames.add ("Vanna");

  581.         setstrMeasureNames.add ("Vega");

  583.         setstrMeasureNames.add ("Veta");

  585.         setstrMeasureNames.add ("Vomma");

  587.         return setstrMeasureNames;
  588.     }

  590.     @Override public double pv (
  591.         final org.drip.param.valuation.ValuationParams valParams,
  592.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  593.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  594.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  595.         throws java.lang.Exception
  596.     {
  597.         if (null == csqc) throw new java.lang.Exception ("FRAStandardCapFloorlet::pv => Invalid Inputs");

  599.         org.drip.state.volatility.VolatilityCurve vc = csqc.forwardVolatility (_fra.forwardLabel().get
  600.             ("DERIVED"));

  602.         if (null == vc) throw new java.lang.Exception ("FRAStandardCapFloorlet::pv => Invalid Inputs");

  604.         return price (valParams, pricerParams, csqc, vcp, vc.impliedVol (exerciseDate().julian()));
  605.     }

  607.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  608.         final org.drip.param.valuation.ValuationParams valParams,
  609.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  610.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  611.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  612.         final org.drip.product.calib.ProductQuoteSet pqs)
  613.     {
  614.         if (null == pqs || null == valParams || !(pqs instanceof
  615.             org.drip.product.calib.VolatilityProductQuoteSet))
  616.             return null;

  618.         double dblEndDate = maturityDate().julian();

  620.         if (valParams.valueDate() > dblEndDate) return null;

  622.         double dblOptionPV = 0.;
  623.         org.drip.product.calib.VolatilityProductQuoteSet vpqs =
  624.             (org.drip.product.calib.VolatilityProductQuoteSet) pqs;

  626.         if (!vpqs.containsOptionPV()) return null;

  628.         try {
  629.             dblOptionPV = vpqs.optionPV();
  630.         } catch (java.lang.Exception e) {
  631.             e.printStackTrace();

  633.             return null;
  634.         }

  636.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = _fra.stream().volatilityPRWC
  637.             (valParams, pricerParams, csqs, vcp, pqs);

  639.         if (null == prwc) return null;

  641.         if (!prwc.addPredictorResponseWeight (dblEndDate, 1.)) return null;

  643.         if (!prwc.addDResponseWeightDManifestMeasure ("OptionPV", dblEndDate, 1.)) return null;

  645.         return !prwc.updateValue (dblOptionPV) || !prwc.updateDValueDManifestMeasure ("OptionPV", 1.) ? null
  646.             : prwc;
  647.     }
  648. }
Created with JaCoCo 0.7.9.201702052155