FXForwardComponent.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>FXForwardComponent</i> contains the Standard FX forward Component contract details - the effective
  84.  * date, the maturity date, the currency pair and the product code. It also exports a calibrator that
  85.  * computes the forward points from the discount curve.
  86.  *
  87.  *  <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <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>
  92.  *      <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>
  93.  *  </ul>
  94.  * <br><br>
  95.  *  
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class FXForwardComponent extends org.drip.product.definition.CalibratableComponent
  100. {

  102.     /**
  103.      * @author Lakshmi Krishnamurthy
  104.      *
  105.      * Calibrator for FXBasis - either bootstrapped or cumulative
  106.      */

  108.     public class FXBasisCalibrator {
  109.         private FXForwardComponent _fxfwd = null;

  111.         // DC Basis Calibration Stochastic Control

  113.         private int _iNumIterations = 100;
  114.         private double _dblBasisIncr = 0.0001;
  115.         private double _dblBasisDiffTol = 0.0001;

  117.         private final double calcFXFwd (
  118.             final org.drip.param.valuation.ValuationParams valParams,
  119.             final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
  120.             final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
  121.             final double dblFXSpot,
  122.             final double dblBump,
  123.             final boolean bBasisOnDenom)
  124.             throws java.lang.Exception {
  125.             if (bBasisOnDenom)
  126.                 return _fxfwd.fxForward (valParams, dcNum, (org.drip.state.discount.MergedDiscountForwardCurve)
  127.                     dcDenom.parallelShiftQuantificationMetric (dblBump), dblFXSpot, false);

  129.             return _fxfwd.fxForward (valParams, (org.drip.state.discount.MergedDiscountForwardCurve)
  130.                 dcNum.parallelShiftQuantificationMetric (dblBump), dcDenom, dblFXSpot, false);
  131.         }

  133.         /**
  134.          * Constructor: Construct the basis calibrator from the FXForward parent
  135.          * 
  136.          * @param fxfwd FXForward parent
  137.          * 
  138.          * @throws java.lang.Exception Thrown if parent is invalid
  139.          */

  141.         public FXBasisCalibrator (
  142.             final FXForwardComponent fxfwd)
  143.             throws java.lang.Exception
  144.         {
  145.             if (null == (_fxfwd = fxfwd))
  146.                 throw new java.lang.Exception ("FXForwardComponent::FXBasisCalibrator ctr: Invalid Inputs");
  147.         }

  149.         /**
  150.          * Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
  151.          * 
  152.          * @param valParams ValuationParams
  153.          * @param dcNum Discount Curve for the Numerator
  154.          * @param dcDenom Discount Curve for the Denominator
  155.          * @param dblFXSpot FXSpot value
  156.          * @param dblMarketFXFwdPrice FXForward market value
  157.          * @param bBasisOnDenom True - Basis is set on the denominator
  158.          * 
  159.          * @return Calibrated DC basis
  160.          * 
  161.          * @throws java.lang.Exception Thrown if cannot calibrate
  162.          */

  164.         public double calibrateDCBasisFromFwdPriceNR (
  165.             final org.drip.param.valuation.ValuationParams valParams,
  166.             final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
  167.             final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
  168.             final double dblFXSpot,
  169.             final double dblMarketFXFwdPrice,
  170.             final boolean bBasisOnDenom)
  171.             throws java.lang.Exception
  172.         {
  173.             if (null == valParams || null == dcNum || null == dcDenom ||
  174.                 !org.drip.numerical.common.NumberUtil.IsValid (dblMarketFXFwdPrice) ||
  175.                     !org.drip.numerical.common.NumberUtil.IsValid (dblFXSpot))
  176.                 throw new java.lang.Exception
  177.                     ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => bad inputs");

  179.             double dblFXFwdBase = _fxfwd.fxForward (valParams, dcNum, dcDenom, dblFXSpot, false);

  181.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblFXFwdBase))
  182.                 throw new java.lang.Exception
  183.                     ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot imply FX Fwd Base!");

  185.             double dblFXFwdBumped = calcFXFwd (valParams, dcNum, dcDenom, dblFXSpot, _dblBasisIncr,
  186.                 bBasisOnDenom);

  188.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblFXFwdBumped))
  189.                 throw new java.lang.Exception
  190.                     ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot imply FX Fwd for " +
  191.                         _dblBasisIncr + " shift!");

  193.             double dblDBasisDFXFwd = _dblBasisIncr / (dblFXFwdBumped - dblFXFwdBase);

  195.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblDBasisDFXFwd))
  196.                 throw new java.lang.Exception
  197.                     ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot calculate Fwd/Basis Slope for 0 basis!");

  199.             double dblBasisPrev = 0.;
  200.             double dblBasis = dblDBasisDFXFwd * (dblMarketFXFwdPrice - dblFXFwdBase);

  202.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblBasis))
  203.                 throw new java.lang.Exception ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Got " +
  204.                     dblBasis + " for FlatSpread for " + _fxfwd.primaryCode() + " and price " + dblFXFwdBase);

  206.             while (_dblBasisDiffTol < java.lang.Math.abs (dblBasis - dblBasisPrev)) {
  207.                 if (0 == --_iNumIterations)
  208.                     throw new java.lang.Exception
  209.                         ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot calib Basis for " +
  210.                             _fxfwd.primaryCode() + " and price " + dblMarketFXFwdPrice + " within limit!");

  212.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblFXFwdBase = calcFXFwd (valParams, dcNum,
  213.                     dcDenom, dblFXSpot, dblBasisPrev = dblBasis, bBasisOnDenom)))
  214.                     throw new java.lang.Exception
  215.                         ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot imply FX Fwd for " +
  216.                             dblBasis + " shift!");

  218.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblFXFwdBumped = calcFXFwd (valParams, dcNum,
  219.                     dcDenom, dblFXSpot, dblBasis + _dblBasisIncr, bBasisOnDenom)))
  220.                     throw new java.lang.Exception
  221.                         ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot imply FX Fwd for " +
  222.                             (dblBasis + _dblBasisIncr) + " shift!");

  224.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblDBasisDFXFwd = _dblBasisIncr /
  225.                     (dblFXFwdBumped - dblFXFwdBase)))
  226.                     throw new java.lang.Exception
  227.                         ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Cannot calculate Fwd/Basis Slope for "
  228.                             + (dblBasis + _dblBasisIncr) + " basis!");

  230.                 dblBasis = dblBasisPrev + dblDBasisDFXFwd * (dblMarketFXFwdPrice - dblFXFwdBase);

  232.                 if (!org.drip.numerical.common.NumberUtil.IsValid (dblBasis))
  233.                     throw new java.lang.Exception
  234.                         ("FXForwardComponent::calibrateDCBasisFromFwdPriceNR => Got " + dblBasis +
  235.                             " for FlatSpread for " + _fxfwd.primaryCode() + " and price " + dblFXFwdBase);
  236.             }

  238.             return dblBasis;
  239.         }
  240.     }

  242.     private java.lang.String _strCode = "";
  243.     private java.lang.String _strName = "";
  244.     private double _dblNotional = java.lang.Double.NaN;
  245.     private int _iMaturityDate = java.lang.Integer.MIN_VALUE;
  246.     private int _iEffectiveDate = java.lang.Integer.MIN_VALUE;
  247.     private org.drip.product.params.CurrencyPair _ccyPair = null;
  248.     private org.drip.param.valuation.CashSettleParams _csp = null;

  250.     /**
  251.      * Create an FXForwardComponent from the currency pair, the effective and the maturity dates
  252.      * 
  253.      * @param strName Name
  254.      * @param ccyPair Currency Pair
  255.      * @param iEffectiveDate Effective Date
  256.      * @param iMaturityDate Maturity Date
  257.      * @param dblNotional Notional
  258.      * @param csp Cash Settle Parameters
  259.      * 
  260.      * @throws java.lang.Exception Thrown if the inputs are invalid
  261.      */

  263.     public FXForwardComponent (
  264.         final java.lang.String strName,
  265.         final org.drip.product.params.CurrencyPair ccyPair,
  266.         final int iEffectiveDate,
  267.         final int iMaturityDate,
  268.         final double dblNotional,
  269.         final org.drip.param.valuation.CashSettleParams csp)
  270.         throws java.lang.Exception
  271.     {
  272.         if (null == (_strName = strName) || _strName.isEmpty() || null == (_ccyPair = ccyPair) ||
  273.             (_iEffectiveDate = iEffectiveDate) >= (_iMaturityDate = iMaturityDate) ||
  274.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblNotional = dblNotional))
  275.             throw new java.lang.Exception ("FXForwardComponent ctr: Invalid Inputs");

  277.         _csp = csp;
  278.     }

  280.     /**
  281.      * Get the Currency Pair
  282.      * 
  283.      * @return CurrencyPair
  284.      */

  286.     public org.drip.product.params.CurrencyPair currencyPair()
  287.     {
  288.         return _ccyPair;
  289.     }

  291.     /**
  292.      * Imply the FX Forward
  293.      * 
  294.      * @param valParams Valuation Parameters
  295.      * @param dcNum Discount Curve for the numerator
  296.      * @param dcDenom Discount Curve for the denominator
  297.      * @param dblFXSpot FXSpot
  298.      * @param bFwdAsPIP Calculate FXFwd as a PIP
  299.      * 
  300.      * @return Implied FXForward
  301.      * 
  302.      * @throws java.lang.Exception Thrown if inputs are invalid
  303.      */

  305.     public double fxForward (
  306.         final org.drip.param.valuation.ValuationParams valParams,
  307.         final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
  308.         final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
  309.         final double dblFXSpot,
  310.         final boolean bFwdAsPIP)
  311.         throws java.lang.Exception
  312.     {
  313.         if (null == valParams || null == dcNum || null == dcDenom ||
  314.             !org.drip.numerical.common.NumberUtil.IsValid (dblFXSpot))
  315.             throw new java.lang.Exception ("FXForwardComponent::fxForward => Invalid Inputs");

  317.         int iCashPayDate = valParams.cashPayDate();

  319.         double dblFXFwd = dblFXSpot * dcDenom.df (_iMaturityDate) * dcNum.df (iCashPayDate) / dcNum.df
  320.             (_iMaturityDate) / dcDenom.df (iCashPayDate);

  322.         return bFwdAsPIP ? (dblFXFwd - dblFXSpot) * _ccyPair.pipFactor() : dblFXFwd;
  323.     }

  325.     /**
  326.      * Calculate the basis to either the numerator or the denominator discount curve
  327.      * 
  328.      * @param valParams ValuationParams
  329.      * @param dcNum Discount Curve for the numerator
  330.      * @param dcDenom Discount Curve for the denominator
  331.      * @param dblFXSpot FXSpot
  332.      * @param dblMarketFXFwdPrice FXForward Market Value
  333.      * @param bBasisOnDenom Boolean indicating whether the basis is applied on the denominator (true) or
  334.      *          denominator
  335.      * 
  336.      * @return Basis
  337.      * 
  338.      * @throws java.lang.Exception Thrown if inputs are invalid
  339.      */

  341.     public double discountCurveBasis (
  342.         final org.drip.param.valuation.ValuationParams valParams,
  343.         final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
  344.         final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
  345.         final double dblFXSpot,
  346.         final double dblMarketFXFwdPrice,
  347.         final boolean bBasisOnDenom)
  348.         throws java.lang.Exception
  349.     {
  350.         return new FXBasisCalibrator (this).calibrateDCBasisFromFwdPriceNR (valParams, dcNum, dcDenom,
  351.             dblFXSpot, dblMarketFXFwdPrice, bBasisOnDenom);
  352.     }

  354.     @Override public java.lang.String name()
  355.     {
  356.         return _strName;
  357.     }

  359.     @Override public java.lang.String primaryCode()
  360.     {
  361.         return _strCode;
  362.     }

  364.     @Override public void setPrimaryCode (
  365.         final java.lang.String strCode)
  366.     {
  367.         _strCode = strCode;
  368.     }

  370.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  371.     {
  372.         try {
  373.             return new org.drip.analytics.date.JulianDate (_iEffectiveDate);
  374.         } catch (java.lang.Exception e) {
  375.             e.printStackTrace();
  376.         }

  378.         return null;
  379.     }

  381.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  382.     {
  383.         try {
  384.             return new org.drip.analytics.date.JulianDate (_iMaturityDate);
  385.         } catch (java.lang.Exception e) {
  386.             e.printStackTrace();
  387.         }

  389.         return null;
  390.     }

  392.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  393.     {
  394.         return maturityDate();
  395.     }

  397.     @Override public int freq()
  398.     {
  399.         return 1;
  400.     }

  402.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  403.     {
  404.         return null;
  405.     }

  407.     @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
  408.         final int iAccrualEndDate,
  409.         final org.drip.param.valuation.ValuationParams valParams,
  410.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  411.     {
  412.         return null;
  413.     }

  415.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  416.     {
  417.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
  418.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  420.         mapCouponCurrency.put (_strName, _ccyPair.denomCcy());

  422.         return mapCouponCurrency;
  423.     }

  425.     @Override public java.lang.String payCurrency()
  426.     {
  427.         return _ccyPair.denomCcy();
  428.     }

  430.     @Override public java.lang.String principalCurrency()
  431.     {
  432.         return _ccyPair.denomCcy();
  433.     }

  435.     @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
  436.     {
  437.         return null;
  438.     }

  440.     @Override public
  441.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  442.             forwardLabel()
  443.     {
  444.         return null;
  445.     }

  447.     @Override public
  448.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  449.             otcFixFloatLabel()
  450.     {
  451.         return null;
  452.     }

  454.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  455.     {
  456.         return org.drip.state.identifier.FundingLabel.Standard (payCurrency());
  457.     }

  459.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  460.     {
  461.         return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
  462.     }

  464.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  465.         fxLabel()
  466.     {
  467.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel> mapFXLabel = new
  468.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>();

  470.         mapFXLabel.put ("DERIVED", org.drip.state.identifier.FXLabel.Standard (_ccyPair));

  472.         return mapFXLabel;
  473.     }

  475.     @Override public
  476.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  477.             volatilityLabel()
  478.     {
  479.         return null;
  480.     }

  482.     @Override public double initialNotional()
  483.         throws java.lang.Exception
  484.     {
  485.         return _dblNotional;
  486.     }

  488.     @Override public double notional (
  489.         final int iDate)
  490.         throws java.lang.Exception
  491.     {
  492.         return _dblNotional;
  493.     }

  495.     @Override public double notional (
  496.         final int iDate1,
  497.         final int iDate2)
  498.         throws java.lang.Exception
  499.     {
  500.         return _dblNotional;
  501.     }

  503.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  504.     {
  505.         return _csp;
  506.     }

  508.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  509.         final org.drip.param.valuation.ValuationParams valParams,
  510.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  511.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  512.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  513.     {
  514.         if (null == valParams || valParams.valueDate() > _iMaturityDate || null == csqs) return null;

  516.         org.drip.state.identifier.FXLabel fxLabel = org.drip.state.identifier.FXLabel.Standard (_ccyPair);

  518.         org.drip.state.fx.FXCurve fxCurve = csqs.fxState (fxLabel);

  520.         if (null == fxCurve) return null;

  522.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapRes = new
  523.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  525.         double dblFXSpot = java.lang.Double.NaN;
  526.         double dblFXForward = java.lang.Double.NaN;

  528.         try {
  529.             dblFXSpot = fxCurve.fx (_iEffectiveDate);

  531.             dblFXForward = fxCurve.fx (_iMaturityDate);
  532.         } catch (java.lang.Exception e) {
  533.             e.printStackTrace();

  535.             return null;
  536.         }

  538.         double dblPIP = (dblFXForward - dblFXSpot) * _ccyPair.pipFactor();

  540.         mapRes.put ("FXForward", dblFXForward);

  542.         mapRes.put ("FXForwardOutright", dblFXForward);

  544.         mapRes.put ("FXForwardPIP", dblPIP);

  546.         mapRes.put ("FXSpot", dblFXSpot);

  548.         mapRes.put ("Outright", dblFXForward);

  550.         mapRes.put ("PIP", dblPIP);

  552.         mapRes.put ("PV", dblFXForward);

  554.         org.drip.state.discount.MergedDiscountForwardCurve dcNum = csqs.fundingState
  555.             (org.drip.state.identifier.FundingLabel.Standard (_ccyPair.numCcy()));

  557.         org.drip.state.discount.MergedDiscountForwardCurve dcDenom = csqs.fundingState
  558.             (org.drip.state.identifier.FundingLabel.Standard (_ccyPair.denomCcy()));

  560.         if (null != dcNum && null != dcDenom) {
  561.             try {
  562.                 double dblFXForwardOutright = fxForward (valParams, dcNum, dcDenom, dblFXSpot, false);

  564.                 double dblFXForwardPIP = fxForward (valParams, dcNum, dcDenom, dblFXSpot, true);

  566.                 mapRes.put ("DiscountCurveFXForward", dblFXForwardOutright);

  568.                 mapRes.put ("DiscountCurveFXForwardOutright", dblFXForwardOutright);

  570.                 mapRes.put ("DiscountCurveFXForwardPIP", dblFXForwardPIP);
  571.             } catch (java.lang.Exception e) {
  572.                 e.printStackTrace();
  573.             }
  574.         }

  576.         return mapRes;
  577.     }

  579.     @Override public java.util.Set<java.lang.String> measureNames()
  580.     {
  581.         java.util.Set<java.lang.String> setstrMeasures = new java.util.TreeSet<java.lang.String>();

  583.         setstrMeasures.add ("DiscountCurveFXForward");

  585.         setstrMeasures.add ("DiscountCurveFXForwardOutright");

  587.         setstrMeasures.add ("DiscountCurveFXForwardPIP");

  589.         setstrMeasures.add ("FXForward");

  591.         setstrMeasures.add ("FXForwardOutright");

  593.         setstrMeasures.add ("FXForwardPIP");

  595.         setstrMeasures.add ("FXSpot");

  597.         setstrMeasures.add ("Outright");

  599.         setstrMeasures.add ("PIP");

  601.         setstrMeasures.add ("PV");

  603.         return setstrMeasures;
  604.     }

  606.     @Override public double pv (
  607.         final org.drip.param.valuation.ValuationParams valParams,
  608.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  609.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  610.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  611.         throws java.lang.Exception
  612.     {
  613.         org.drip.state.fx.FXCurve fxCurve = csqs.fxState (org.drip.state.identifier.FXLabel.Standard
  614.             (_ccyPair));

  616.         if (null == fxCurve) throw new java.lang.Exception ("FXForwardComponent::pv => Invalid Inputs");

  618.         return fxCurve.fx (_iMaturityDate);
  619.     }

  621.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  622.         final org.drip.param.valuation.ValuationParams valParams,
  623.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  624.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  625.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  626.     {
  627.         return null;
  628.     }

  630.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  631.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  632.     {
  633.         try {
  634.             return new org.drip.product.calib.FXForwardQuoteSet (aLSS);
  635.         } catch (java.lang.Exception e) {
  636.             e.printStackTrace();
  637.         }

  639.         return null;
  640.     }

  642.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  643.         final org.drip.param.valuation.ValuationParams valParams,
  644.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  645.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  646.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  647.         final org.drip.product.calib.ProductQuoteSet pqs)
  648.     {
  649.         return null;
  650.     }

  652.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
  653.         final org.drip.param.valuation.ValuationParams valParams,
  654.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  655.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  656.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  657.         final org.drip.product.calib.ProductQuoteSet pqs)
  658.     {
  659.         return null;
  660.     }

  662.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  663.         final org.drip.param.valuation.ValuationParams valParams,
  664.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  665.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  666.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  667.         final org.drip.product.calib.ProductQuoteSet pqs)
  668.     {
  669.         return null;
  670.     }

  672.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  673.         final org.drip.param.valuation.ValuationParams valParams,
  674.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  675.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  676.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  677.         final org.drip.product.calib.ProductQuoteSet pqs)
  678.     {
  679.         if (null == valParams || null == pqs || !(pqs instanceof org.drip.product.calib.FXForwardQuoteSet))
  680.             return null;

  682.         int iMaturityDate = maturityDate().julian();

  684.         if (valParams.valueDate() > iMaturityDate) return null;

  686.         double dblOutright = java.lang.Double.NaN;
  687.         org.drip.product.calib.FXForwardQuoteSet fxqs = (org.drip.product.calib.FXForwardQuoteSet) pqs;

  689.         if (!fxqs.containsOutright()) return null;

  691.         try {
  692.             dblOutright = fxqs.outright();
  693.         } catch (java.lang.Exception e) {
  694.             e.printStackTrace();

  696.             return null;
  697.         }

  699.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  700.             org.drip.state.estimator.PredictorResponseWeightConstraint();

  702.         if (!prwc.addPredictorResponseWeight (iMaturityDate, 1.)) return null;

  704.         if (!prwc.addDResponseWeightDManifestMeasure ("Outright", iMaturityDate, 1.)) return null;

  706.         if (!prwc.updateValue (dblOutright)) return null;

  708.         if (!prwc.updateDValueDManifestMeasure ("Outright", 1.)) return null;

  710.         return prwc;
  711.     }

  713.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  714.         final org.drip.param.valuation.ValuationParams valParams,
  715.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  716.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  717.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  718.         final org.drip.product.calib.ProductQuoteSet pqs)
  719.     {
  720.         return null;
  721.     }

  723.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  724.         final org.drip.param.valuation.ValuationParams valParams,
  725.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  726.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  727.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  728.         final org.drip.product.calib.ProductQuoteSet pqs)
  729.     {
  730.         return null;
  731.     }

  733.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  734.         final org.drip.param.valuation.ValuationParams valParams,
  735.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  736.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  737.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  738.     {
  739.         return null;
  740.     }

  742.     @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  743.         final java.lang.String strManifestMeasure,
  744.         final org.drip.param.valuation.ValuationParams valParams,
  745.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  746.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  747.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  748.     {
  749.         return null;
  750.     }
  751. }
Created with JaCoCo 0.7.9.201702052155