ComponentPair.java

  1. package org.drip.product.fx;

  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>ComponentPair</i> contains the implementation of the dual cross currency components. It is composed of
  84.  * two different Rates Components - one each for each currency.
  85.  * 
  86.  * <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <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>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/fx/README.md">FX Forwards, Cross Currency Swaps</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class ComponentPair extends org.drip.product.definition.BasketProduct {
  99.     private java.lang.String _strName = "";
  100.     private org.drip.param.period.FixingSetting _fxFixingSetting = null;
  101.     private org.drip.product.definition.CalibratableComponent _rcDerived = null;
  102.     private org.drip.product.definition.CalibratableComponent _rcReference = null;

  104.     /**
  105.      * ComponentPair constructor
  106.      * 
  107.      * @param strName The ComponentPair Instance Name
  108.      * @param rcReference The Reference Component
  109.      * @param rcDerived The Derived Component
  110.      * @param fxFixingSetting FX Fixing Setting
  111.      * 
  112.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  113.      */

  115.     public ComponentPair (
  116.         final java.lang.String strName,
  117.         final org.drip.product.definition.CalibratableComponent rcReference,
  118.         final org.drip.product.definition.CalibratableComponent rcDerived,
  119.         final org.drip.param.period.FixingSetting fxFixingSetting)
  120.         throws java.lang.Exception
  121.     {
  122.         if (null == (_strName = strName) || _strName.isEmpty() || null == (_rcDerived = rcDerived) || null ==
  123.             (_rcReference = rcReference))
  124.             throw new java.lang.Exception ("ComponentPair ctr: Invalid Inputs!");

  126.         _fxFixingSetting = fxFixingSetting;
  127.     }

  129.     /**
  130.      * Retrieve the Reference Component
  131.      * 
  132.      * @return The Reference Component
  133.      */

  135.     public org.drip.product.definition.CalibratableComponent referenceComponent()
  136.     {
  137.         return _rcReference;
  138.     }

  140.     /**
  141.      * Retrieve the Derived Component
  142.      * 
  143.      * @return The Derived Component
  144.      */

  146.     public org.drip.product.definition.CalibratableComponent derivedComponent()
  147.     {
  148.         return _rcDerived;
  149.     }

  151.     /**
  152.      * Retrieve the FX Fixing Setting
  153.      * 
  154.      * @return The FX Fixing Setting
  155.      */

  157.     public org.drip.param.period.FixingSetting fxFixingSetting()
  158.     {
  159.         return _fxFixingSetting;
  160.     }

  162.     /**
  163.      * Retrieve the FX Code
  164.      * 
  165.      * @return The FX Code
  166.      */

  168.     public java.lang.String fxCode()
  169.     {
  170.         java.lang.String strDerivedComponentCouponCurrency = _rcDerived.payCurrency();

  172.         java.lang.String strReferenceComponentCouponCurrency = _rcReference.payCurrency();

  174.         return strDerivedComponentCouponCurrency.equalsIgnoreCase (strReferenceComponentCouponCurrency) ?
  175.             null : strReferenceComponentCouponCurrency + "/" + strDerivedComponentCouponCurrency;
  176.     }

  178.     /**
  179.      * Generate the Derived Forward Latent State Segment Specification
  180.      * 
  181.      * @param valParams Valuation Parameters
  182.      * @param mktParams Market Parameters
  183.      * @param dblBasis The Basis on either the Reference Component or the Derived Component
  184.      * @param bBasisOnDerivedComponent TRUE - Apply the Basis on the Derived Component
  185.      * @param bBasisOnDerivedStream TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)
  186.      * 
  187.      * @return The Derived Forward Latent State Segment Specification
  188.      */

  190.     public org.drip.state.inference.LatentStateSegmentSpec derivedForwardSpec (
  191.         final org.drip.param.valuation.ValuationParams valParams,
  192.         final org.drip.param.market.CurveSurfaceQuoteContainer mktParams,
  193.         final double dblBasis,
  194.         final boolean bBasisOnDerivedComponent,
  195.         final boolean bBasisOnDerivedStream)
  196.     {
  197.         org.drip.product.calib.ProductQuoteSet pqs = null;
  198.         org.drip.state.identifier.ForwardLabel forwardLabel = null;

  200.         org.drip.product.definition.CalibratableComponent comp = derivedComponent();

  202.         if (comp instanceof org.drip.product.rates.DualStreamComponent)
  203.             forwardLabel = ((org.drip.product.rates.DualStreamComponent)
  204.                 comp).derivedStream().forwardLabel();
  205.         else {
  206.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  207.                 mapForwardLabel = comp.forwardLabel();

  209.             if (null != mapForwardLabel && 0 != mapForwardLabel.size())
  210.                 forwardLabel = mapForwardLabel.get ("BASE");
  211.         }

  213.         try { 
  214.             pqs = comp.calibQuoteSet (new org.drip.state.representation.LatentStateSpecification[] {new
  215.                 org.drip.state.representation.LatentStateSpecification
  216.                     (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  217.                         org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  218.                             forwardLabel)});
  219.         } catch (java.lang.Exception e) {
  220.             e.printStackTrace();

  222.             return null;
  223.         }

  225.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOP = value (valParams, null,
  226.             mktParams, null);

  228.         org.drip.product.definition.CalibratableComponent rcReference = referenceComponent();

  230.         java.lang.String strReferenceComponentName = rcReference.name();

  232.         org.drip.product.definition.CalibratableComponent rcDerived = derivedComponent();

  234.         java.lang.String strDerivedComponentName = rcDerived.name();

  236.         java.lang.String strReferenceComponentPV = strReferenceComponentName + "[PV]";

  238.         if (!bBasisOnDerivedComponent) {
  239.             java.lang.String strReferenceComponentDerivedStreamCleanDV01 = strReferenceComponentName +
  240.                 "[DerivedCleanDV01]";
  241.             java.lang.String strReferenceComponentReferenceStreamCleanDV01 = strReferenceComponentName +
  242.                 "[ReferenceCleanDV01]";

  244.             if (null == mapOP || !mapOP.containsKey (strReferenceComponentPV) || !mapOP.containsKey
  245.                 (strReferenceComponentReferenceStreamCleanDV01) || !mapOP.containsKey
  246.                     (strReferenceComponentDerivedStreamCleanDV01))
  247.                 return null;

  249.             if (!pqs.set ("PV", -1. * (mapOP.get (strReferenceComponentPV) + 10000. * (bBasisOnDerivedStream
  250.                 ? mapOP.get (strReferenceComponentDerivedStreamCleanDV01) : mapOP.get
  251.                     (strReferenceComponentReferenceStreamCleanDV01)) * dblBasis)))
  252.                 return null;
  253.         } else {
  254.             java.lang.String strDerivedComponentReferenceStreamCleanDV01 = strDerivedComponentName +
  255.                 "[ReferenceCleanDV01]";
  256.             java.lang.String strDerivedComponentDerivedStreamCleanDV01 = strDerivedComponentName +
  257.                 "[DerivedCleanDV01]";

  259.             if (null == mapOP || !mapOP.containsKey (strReferenceComponentPV) || !mapOP.containsKey
  260.                 (strDerivedComponentReferenceStreamCleanDV01) || !mapOP.containsKey
  261.                     (strDerivedComponentDerivedStreamCleanDV01))
  262.                 return null;

  264.             if (!pqs.set ("PV", -1. * (mapOP.get (strReferenceComponentPV) + 10000. * (bBasisOnDerivedStream
  265.                 ? mapOP.get (strDerivedComponentDerivedStreamCleanDV01) : mapOP.get
  266.                     (strDerivedComponentReferenceStreamCleanDV01)) * dblBasis)))
  267.                 return null;
  268.         }

  270.         try {
  271.             return new org.drip.state.inference.LatentStateSegmentSpec (comp, pqs);
  272.         } catch (java.lang.Exception e) {
  273.             e.printStackTrace();
  274.         }

  276.         return null;
  277.     }

  279.     /**
  280.      * Generate the Derived Funding/Forward Merged Latent State Segment Specification
  281.      * 
  282.      * @param valParams Valuation Parameters
  283.      * @param mktParams Market Parameters
  284.      * @param dblReferenceComponentBasis The Reference Component Basis
  285.      * @param bBasisOnDerivedLeg TRUE - Apply basis on the Derived Leg
  286.      * @param dblSwapRate The Swap Rate
  287.      * 
  288.      * @return The Derived Forward/Funding Latent State Segment Specification
  289.      */

  291.     public org.drip.state.inference.LatentStateSegmentSpec derivedFundingForwardSpec (
  292.         final org.drip.param.valuation.ValuationParams valParams,
  293.         final org.drip.param.market.CurveSurfaceQuoteContainer mktParams,
  294.         final double dblReferenceComponentBasis,
  295.         final boolean bBasisOnDerivedLeg,
  296.         final double dblSwapRate)
  297.     {
  298.         double dblFX = 1.;
  299.         org.drip.product.calib.ProductQuoteSet pqs = null;
  300.         org.drip.state.identifier.ForwardLabel forwardLabel = null;
  301.         org.drip.state.identifier.FundingLabel fundingLabel = null;

  303.         org.drip.product.definition.CalibratableComponent compDerived = derivedComponent();

  305.         org.drip.product.definition.CalibratableComponent compReference = referenceComponent();

  307.         if (compDerived instanceof org.drip.product.rates.DualStreamComponent) {
  308.             org.drip.product.rates.Stream streamDerived = ((org.drip.product.rates.DualStreamComponent)
  309.                 compDerived).derivedStream();

  311.             forwardLabel = streamDerived.forwardLabel();

  313.             fundingLabel = streamDerived.fundingLabel();
  314.         } else {
  315.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  316.                 mapForwardLabel = compDerived.forwardLabel();

  318.             org.drip.state.identifier.FundingLabel fundingLabelDerived = compDerived.fundingLabel();

  320.             if (null != mapForwardLabel && 0 != mapForwardLabel.size())
  321.                 forwardLabel = mapForwardLabel.get ("DERIVED");

  323.             if (null != fundingLabelDerived) fundingLabel = fundingLabelDerived;
  324.         }

  326.         try { 
  327.             pqs = compDerived.calibQuoteSet (new org.drip.state.representation.LatentStateSpecification[]
  328.                 {new org.drip.state.representation.LatentStateSpecification
  329.                     (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING,
  330.                         org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
  331.                             fundingLabel), new org.drip.state.representation.LatentStateSpecification
  332.                                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  333.                                     org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  334.                                         forwardLabel)});

  336.             if (null != _fxFixingSetting && org.drip.param.period.FixingSetting.FIXING_PRESET_STATIC ==
  337.                 _fxFixingSetting.type()) {
  338.                 org.drip.state.fx.FXCurve fxfc = mktParams.fxState (fxLabel()[0]);

  340.                 if (null == fxfc) return null;

  342.                 dblFX = fxfc.fx (_fxFixingSetting.staticDate());
  343.             }
  344.         } catch (java.lang.Exception e) {
  345.             e.printStackTrace();

  347.             return null;
  348.         }

  350.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOP = compReference.value
  351.             (valParams, null, mktParams, null);

  353.         if (null == mapOP || !mapOP.containsKey ("PV") || !pqs.set ("SwapRate", dblSwapRate)) return null;

  355.         if (bBasisOnDerivedLeg) {
  356.             if (!mapOP.containsKey ("DerivedCleanDV01") || !pqs.set ("PV", dblFX * (mapOP.get ("PV") + 10000.
  357.                 * mapOP.get ("DerivedCleanDV01") * dblReferenceComponentBasis)))
  358.                 return null;
  359.         } else {
  360.             if (!mapOP.containsKey ("ReferenceCleanDV01") || !pqs.set ("PV", -1. * dblFX * (mapOP.get ("PV")
  361.                 + 10000. * mapOP.get ("ReferenceCleanDV01") * dblReferenceComponentBasis)))
  362.                 return null;
  363.         }

  365.         try {
  366.             return new org.drip.state.inference.LatentStateSegmentSpec (compDerived, pqs);
  367.         } catch (java.lang.Exception e) {
  368.             e.printStackTrace();
  369.         }

  371.         return null;
  372.     }

  374.     @Override public java.lang.String name()
  375.     {
  376.         return _strName;
  377.     }

  379.     @Override public org.drip.state.identifier.FXLabel[] fxLabel()
  380.     {
  381.         java.lang.String strReferenceCurrency = _rcReference.payCurrency();

  383.         java.lang.String strDerivedCurrency = _rcDerived.payCurrency();

  385.         return new org.drip.state.identifier.FXLabel[] {org.drip.state.identifier.FXLabel.Standard
  386.             (strReferenceCurrency + "/" + strDerivedCurrency), org.drip.state.identifier.FXLabel.Standard
  387.                 (strDerivedCurrency + "/" + strReferenceCurrency)};
  388.     }

  390.     @Override public org.drip.product.definition.Component[] components()
  391.     {
  392.         return new org.drip.product.definition.Component[] {_rcReference, _rcDerived};
  393.     }

  395.     @Override public int measureAggregationType (
  396.         final java.lang.String strMeasureName)
  397.     {
  398.         return org.drip.product.definition.BasketProduct.MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE;
  399.     }

  401.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  402.         final org.drip.param.valuation.ValuationParams valParams,
  403.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  404.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  405.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  406.     {
  407.         long lStart = System.nanoTime();

  409.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapOutput = super.value
  410.             (valParams, pricerParams, csqs, vcp);

  412.         if (null == mapOutput) return null;

  414.         org.drip.product.definition.CalibratableComponent rcReference = referenceComponent();

  416.         org.drip.product.definition.CalibratableComponent rcDerived = derivedComponent();

  418.         java.lang.String strReferenceCompName = rcReference.name();

  420.         java.lang.String strDerivedCompName = rcDerived.name();

  422.         java.lang.String strDerivedCompPV = strDerivedCompName + "[PV]";
  423.         java.lang.String strReferenceCompPV = strReferenceCompName + "[PV]";
  424.         java.lang.String strDerivedCompDerivedDV01 = strDerivedCompName + "[DerivedCleanDV01]";
  425.         java.lang.String strReferenceCompDerivedDV01 = strReferenceCompName + "[DerivedCleanDV01]";
  426.         java.lang.String strDerivedCompReferenceDV01 = strDerivedCompName + "[ReferenceCleanDV01]";
  427.         java.lang.String strReferenceCompReferenceDV01 = strReferenceCompName + "[ReferenceCleanDV01]";
  428.         java.lang.String strDerivedCompCumulativeConvexityPremium = strDerivedCompName +
  429.             "[CumulativeConvexityAdjustmentPremium]";
  430.         java.lang.String strDerivedCompCumulativeConvexityAdjustment = strDerivedCompName +
  431.             "[CumulativeConvexityAdjustmentFactor]";
  432.         java.lang.String strReferenceCompCumulativeConvexityPremium = strReferenceCompName +
  433.             "[CumulativeConvexityAdjustmentPremium]";
  434.         java.lang.String strReferenceCompCumulativeConvexityAdjustment = strReferenceCompName +
  435.             "[QuantoAdjustmentFactor]";

  437.         if (!mapOutput.containsKey (strDerivedCompPV) || !mapOutput.containsKey (strReferenceCompPV) ||
  438.             !mapOutput.containsKey (strReferenceCompReferenceDV01) || !mapOutput.containsKey
  439.                 (strReferenceCompDerivedDV01) || !mapOutput.containsKey (strDerivedCompReferenceDV01) ||
  440.                     !mapOutput.containsKey (strDerivedCompDerivedDV01) || !mapOutput.containsKey
  441.                         (strDerivedCompCumulativeConvexityPremium) || !mapOutput.containsKey
  442.                             (strReferenceCompCumulativeConvexityPremium)) {
  443.             mapOutput.put ("CalcTime", (System.nanoTime() - lStart) * 1.e-09);

  445.             return mapOutput;
  446.         }

  448.         double dblDerivedCompPV = mapOutput.get (strDerivedCompPV);

  450.         double dblReferenceCompPV = mapOutput.get (strReferenceCompPV);

  452.         double dblDerivedCompDerivedDV01 = mapOutput.get (strDerivedCompDerivedDV01);

  454.         double dblDerivedCompReferenceDV01 = mapOutput.get (strDerivedCompReferenceDV01);

  456.         double dblReferenceCompDerivedDV01 = mapOutput.get (strReferenceCompDerivedDV01);

  458.         double dblReferenceCompReferenceDV01 = mapOutput.get (strReferenceCompReferenceDV01);

  460.         mapOutput.put ("ReferenceCompReferenceBasis", -1. * (dblDerivedCompPV + dblReferenceCompPV) /
  461.             dblReferenceCompReferenceDV01);

  463.         mapOutput.put ("ReferenceCompDerivedBasis", -1. * (dblDerivedCompPV + dblReferenceCompPV) /
  464.             dblReferenceCompDerivedDV01);

  466.         mapOutput.put ("DerivedCompReferenceBasis", -1. * (dblDerivedCompPV + dblReferenceCompPV) /
  467.             dblDerivedCompReferenceDV01);

  469.         mapOutput.put ("DerivedCompDerivedBasis", -1. * (dblDerivedCompPV + dblReferenceCompPV) /
  470.             dblDerivedCompDerivedDV01);

  472.         if (mapOutput.containsKey (strReferenceCompCumulativeConvexityAdjustment))
  473.             mapOutput.put ("ReferenceCumulativeConvexityAdjustmentFactor", mapOutput.get
  474.                 (strReferenceCompCumulativeConvexityAdjustment));

  476.         double dblReferenceCumulativeConvexityAdjustmentPremium = mapOutput.get
  477.             (strReferenceCompCumulativeConvexityPremium);

  479.         mapOutput.put ("ReferenceCumulativeConvexityAdjustmentPremium",
  480.             dblReferenceCumulativeConvexityAdjustmentPremium);

  482.         if (mapOutput.containsKey (strDerivedCompCumulativeConvexityAdjustment))
  483.             mapOutput.put ("DerivedCumulativeConvexityAdjustmentFactor", mapOutput.get
  484.                 (strDerivedCompCumulativeConvexityAdjustment));

  486.         double dblDerivedCumulativeConvexityAdjustmentPremium = mapOutput.get
  487.             (strDerivedCompCumulativeConvexityPremium);

  489.         mapOutput.put ("DerivedCumulativeConvexityAdjustmentPremium",
  490.             dblDerivedCumulativeConvexityAdjustmentPremium);

  492.         try {
  493.             mapOutput.put ("CumulativeConvexityAdjustmentPremium", _rcReference.initialNotional() *
  494.                 dblReferenceCumulativeConvexityAdjustmentPremium + _rcDerived.initialNotional() *
  495.                     dblDerivedCumulativeConvexityAdjustmentPremium);
  496.         } catch (java.lang.Exception e) {
  497.             e.printStackTrace();

  499.             return null;
  500.         }

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

  504.         return mapOutput;
  505.     }
  506. }
Created with JaCoCo 0.7.9.201702052155