CDSEuropeanOption.java

  1. package org.drip.product.option;

  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>CDSEuropeanOption</i> implements the Payer/Receiver European Option on a CDS.
  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/option/README.md">Options on Fixed Income Components</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class CDSEuropeanOption extends org.drip.product.option.OptionComponent {
  98.     private boolean _bIsReceiver = false;
  99.     private org.drip.pricer.option.FokkerPlanckGenerator _fpg = null;
  100.     private org.drip.product.definition.CreditDefaultSwap _cds = null;

  102.     /**
  103.      * CDSEuropeanOption constructor
  104.      * 
  105.      * @param strName Name
  106.      * @param cds The Underlying CDS Component
  107.      * @param strManifestMeasure Measure of the Underlying Component
  108.      * @param bIsReceiver Is the Option a Receiver/Payer? TRUE - Receiver
  109.      * @param dblStrike Strike of the Underlying Component's Measure
  110.      * @param ltds Last Trading Date Setting
  111.      * @param fpg The Fokker Planck Pricer Instance
  112.      * @param csp Cash Settle Parameters
  113.      * 
  114.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  115.      */

  117.     public CDSEuropeanOption (
  118.         final java.lang.String strName,
  119.         final org.drip.product.definition.CreditDefaultSwap cds,
  120.         final java.lang.String strManifestMeasure,
  121.         final boolean bIsReceiver,
  122.         final double dblStrike,
  123.         final org.drip.product.params.LastTradingDateSetting ltds,
  124.         final org.drip.pricer.option.FokkerPlanckGenerator fpg,
  125.         final org.drip.param.valuation.CashSettleParams csp)
  126.         throws java.lang.Exception
  127.     {
  128.         super (strName, cds, strManifestMeasure, dblStrike, cds.initialNotional(), ltds, csp);

  130.         if (null == (_fpg = fpg))
  131.             throw new java.lang.Exception ("CDSEuropeanOption ctr: Invalid Option Pricer");

  133.         _cds = cds;
  134.         _bIsReceiver = bIsReceiver;
  135.     }

  137.     /**
  138.      * Generate the Standard CDS European Option Measures from the Integrated Surface Variance
  139.      * 
  140.      * @param valParams The Valuation Parameters
  141.      * @param pricerParams The Pricer Parameters
  142.      * @param csqc The Market Parameters
  143.      * @param vcp The Valuation Customization Parameters
  144.      * @param dblIntegratedSurfaceVariance The Integrated Surface Variance
  145.      * 
  146.      * @return The Standard CDS European Option Measures
  147.      */

  149.     public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> valueFromSurfaceVariance (
  150.         final org.drip.param.valuation.ValuationParams valParams,
  151.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  152.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  153.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  154.         final double dblIntegratedSurfaceVariance)
  155.     {
  156.         if (null == valParams) return null;

  158.         int iValueDate = valParams.valueDate();

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

  162.         try {
  163.             if (null != ltds && iValueDate >= ltds.lastTradingDate (_cds.effectiveDate().julian(),
  164.                 _cds.payCurrency()))
  165.                 return null;
  166.         } catch (java.lang.Exception e) {
  167.             e.printStackTrace();

  169.             return null;
  170.         }

  172.         long lStart = System.nanoTime();

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

  176.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCDSOutput = _cds.value
  177.             (valParams, pricerParams, csqc, vcp);

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

  181.         if (null == mapCDSOutput || !mapCDSOutput.containsKey ("DV01") || !mapCDSOutput.containsKey
  182.             (strManifestMeasure))
  183.             return null;

  185.         double dblCDSDV01 = mapCDSOutput.get ("DV01");

  187.         double dblATMManifestMeasure = mapCDSOutput.get (strManifestMeasure);

  189.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblATMManifestMeasure) ||
  190.             !org.drip.numerical.common.NumberUtil.IsValid (dblCDSDV01))
  191.             return null;

  193.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqc.fundingState
  194.             (_cds.fundingLabel());

  196.         try {
  197.             double dblStrike = strike();

  199.             double dblNotional = notional();

  201.             double dblMoneynessFactor = dblATMManifestMeasure / dblStrike;
  202.             double dblManifestMeasurePriceTransformer = java.lang.Double.NaN;
  203.             double dblManifestMeasureIntrinsic = _bIsReceiver ? dblATMManifestMeasure - dblStrike : dblStrike
  204.                 - dblATMManifestMeasure;

  206.             if (strManifestMeasure.equalsIgnoreCase ("Price") || strManifestMeasure.equalsIgnoreCase ("PV"))
  207.                 dblManifestMeasurePriceTransformer = dcFunding.df (iExerciseDate);
  208.             else if (strManifestMeasure.equalsIgnoreCase ("FairPremium") ||
  209.                 strManifestMeasure.equalsIgnoreCase ("ParSpread") || strManifestMeasure.equalsIgnoreCase
  210.                     ("QuantoAdjustedParSpread"))
  211.                 dblManifestMeasurePriceTransformer = dblCDSDV01;

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

  215.             double dblTTE = (iExerciseDate - iValueDate) / 365.25;

  217.             org.drip.pricer.option.Greeks optGreek = _fpg.greeks (dblStrike, dblTTE, -(java.lang.Math.log
  218.                 (dcFunding.df (iExerciseDate))) / dblTTE, dblATMManifestMeasure, _bIsReceiver, true,
  219.                     java.lang.Math.sqrt (dblIntegratedSurfaceVariance / dblTTE));

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

  224.             double dblForwardIntrinsic = optGreek.expectedPayoff();

  226.             double dblForwardATMIntrinsic = optGreek.expectedATMPayoff();

  228.             double dblSpotPrice = dblForwardIntrinsic * dblManifestMeasurePriceTransformer;

  230.             double dblFPGCharm = optGreek.charm();

  232.             double dblFPGColor = optGreek.color();

  234.             double dblFPGDelta = optGreek.delta();

  236.             double dblFPGGamma = optGreek.gamma();

  238.             double dblFPGRho = optGreek.rho();

  240.             double dblFPGSpeed = optGreek.speed();

  242.             double dblFPGTheta = optGreek.theta();

  244.             double dblFPGUltima = optGreek.ultima();

  246.             double dblFPGVanna = optGreek.vanna();

  248.             double dblFPGVega = optGreek.vega();

  250.             double dblFPGVeta = optGreek.veta();

  252.             double dblFPGVomma = optGreek.vomma();

  254.             mapResult.put ("ATMManifestMeasure", dblATMManifestMeasure);

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

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

  260.             mapResult.put ("Charm", dblFPGCharm * dblManifestMeasurePriceTransformer);

  262.             mapResult.put ("Color", dblFPGColor * dblManifestMeasurePriceTransformer);

  264.             mapResult.put ("Delta", dblFPGDelta * dblManifestMeasurePriceTransformer);

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

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

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

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

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

  276.             mapResult.put ("FPGCharm", dblFPGCharm);

  278.             mapResult.put ("FPGColor", dblFPGColor);

  280.             mapResult.put ("FPGDelta", dblFPGDelta);

  282.             mapResult.put ("FPGGamma", dblFPGGamma);

  284.             mapResult.put ("FPGRho", dblFPGRho);

  286.             mapResult.put ("FPGSpeed", dblFPGSpeed);

  288.             mapResult.put ("FPGTheta", dblFPGTheta);

  290.             mapResult.put ("FPGUltima", dblFPGUltima);

  292.             mapResult.put ("FPGVanna", dblFPGVanna);

  294.             mapResult.put ("FPGVega", dblFPGVega);

  296.             mapResult.put ("FPGVeta", dblFPGVeta);

  298.             mapResult.put ("FPGVomma", dblFPGVomma);

  300.             mapResult.put ("Gamma", dblFPGGamma * dblManifestMeasurePriceTransformer);

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

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

  306.             mapResult.put ("ManifestMeasureIntrinsicValue", dblManifestMeasureIntrinsic *
  307.                 dblManifestMeasurePriceTransformer);

  309.             mapResult.put ("ManifestMeasurePriceTransformer", dblManifestMeasurePriceTransformer);

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

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

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

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

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

  321.             mapResult.put ("Rho", dblFPGRho * dblManifestMeasurePriceTransformer);

  323.             mapResult.put ("Speed", dblFPGSpeed * dblManifestMeasurePriceTransformer);

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

  327.             mapResult.put ("Theta", dblFPGTheta * dblManifestMeasurePriceTransformer);

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

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

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

  335.             mapResult.put ("Vega", dblFPGVega * dblManifestMeasurePriceTransformer);

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

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

  341.             return mapResult;
  342.         } catch (java.lang.Exception e) {
  343.             // e.printStackTrace();
  344.         }

  346.         return null;
  347.     }

  349.     @Override public java.util.Set<java.lang.String> measureNames()
  350.     {
  351.         java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

  353.         setstrMeasureNames.add ("ATMManifestMeasure");

  355.         setstrMeasureNames.add ("ATMPrice");

  357.         setstrMeasureNames.add ("CalcTime");

  359.         setstrMeasureNames.add ("Charm");

  361.         setstrMeasureNames.add ("Color");

  363.         setstrMeasureNames.add ("Delta");

  365.         setstrMeasureNames.add ("EffectiveVolatility");

  367.         setstrMeasureNames.add ("ExpectedATMPayoff");

  369.         setstrMeasureNames.add ("ExpectedPayoff");

  371.         setstrMeasureNames.add ("ForwardATMIntrinsic");

  373.         setstrMeasureNames.add ("ForwardIntrinsic");

  375.         setstrMeasureNames.add ("FPGCharm");

  377.         setstrMeasureNames.add ("FPGColor");

  379.         setstrMeasureNames.add ("FPGDelta");

  381.         setstrMeasureNames.add ("FPGGamma");

  383.         setstrMeasureNames.add ("FPGRho");

  385.         setstrMeasureNames.add ("FPGSpeed");

  387.         setstrMeasureNames.add ("FPGTheta");

  389.         setstrMeasureNames.add ("FPGUltima");

  391.         setstrMeasureNames.add ("FPGVanna");

  393.         setstrMeasureNames.add ("FPGVega");

  395.         setstrMeasureNames.add ("FPGVeta");

  397.         setstrMeasureNames.add ("FPGVomma");

  399.         setstrMeasureNames.add ("Gamma");

  401.         setstrMeasureNames.add ("IntegratedSurfaceVariance");

  403.         setstrMeasureNames.add ("ManifestMeasureIntrinsic");

  405.         setstrMeasureNames.add ("ManifestMeasureIntrinsicValue");

  407.         setstrMeasureNames.add ("ManifestMeasurePriceTransformer");

  409.         setstrMeasureNames.add ("MoneynessFactor");

  411.         setstrMeasureNames.add ("Price");

  413.         setstrMeasureNames.add ("Prob1");

  415.         setstrMeasureNames.add ("Prob2");

  417.         setstrMeasureNames.add ("PV");

  419.         setstrMeasureNames.add ("Rho");

  421.         setstrMeasureNames.add ("Speed");

  423.         setstrMeasureNames.add ("SpotPrice");

  425.         setstrMeasureNames.add ("Theta");

  427.         setstrMeasureNames.add ("Ultima");

  429.         setstrMeasureNames.add ("Upfront");

  431.         setstrMeasureNames.add ("Vanna");

  433.         setstrMeasureNames.add ("Vega");

  435.         setstrMeasureNames.add ("Veta");

  437.         setstrMeasureNames.add ("Vomma");

  439.         return setstrMeasureNames;
  440.     }

  442.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  443.     {
  444.         return _cds.couponCurrency();
  445.     }

  447.     @Override public java.lang.String payCurrency()
  448.     {
  449.         return _cds.payCurrency();
  450.     }

  452.     @Override public java.lang.String principalCurrency()
  453.     {
  454.         return _cds.principalCurrency();
  455.     }

  457.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  458.         final org.drip.param.valuation.ValuationParams valParams,
  459.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  460.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  461.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  462.     {
  463.         if (null == valParams || null == csqs) return null;

  465.         try {
  466.             return valueFromSurfaceVariance (valParams, pricerParams, csqs, vcp,
  467.                 org.drip.analytics.support.OptionHelper.IntegratedSurfaceVariance (csqs.customVolatility
  468.                     (org.drip.state.identifier.CustomLabel.Standard (_cds.name() + "_" + manifestMeasure())),
  469.                         valParams.valueDate(), exerciseDate().julian()));
  470.         } catch (java.lang.Exception e) {
  471.             e.printStackTrace();
  472.         }

  474.         return null;
  475.     }

  477.     @Override public double pv (
  478.         final org.drip.param.valuation.ValuationParams valParams,
  479.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  480.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  481.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  482.         throws java.lang.Exception
  483.     {
  484.         if (null == valParams) throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  486.         int iValueDate = valParams.valueDate();

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

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

  492.         java.lang.String strPayCurrency = payCurrency();

  494.         if (null != ltds && iValueDate >= ltds.lastTradingDate (_cds.effectiveDate().julian(),
  495.             strPayCurrency))
  496.             throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");;

  498.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapCDSOutput = _cds.value
  499.             (valParams, pricerParams, csqs, quotingParams);

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

  503.         if (null == mapCDSOutput || !mapCDSOutput.containsKey (strManifestMeasure))
  504.             throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  506.         double dblFixedCleanDV01 = mapCDSOutput.get ("CleanDV01");

  508.         double dblATMManifestMeasure = mapCDSOutput.get (strManifestMeasure);

  510.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblATMManifestMeasure))
  511.             throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  513.         double dblIntegratedSurfaceVariance =
  514.             org.drip.analytics.support.OptionHelper.IntegratedSurfaceVariance (csqs.customVolatility
  515.                 (org.drip.state.identifier.CustomLabel.Standard (_cds.name() + "_" + strManifestMeasure)),
  516.                     iValueDate, iExerciseDate);

  518.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblIntegratedSurfaceVariance))
  519.             throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  521.         double dblIntegratedSurfaceVolatility = java.lang.Math.sqrt (dblIntegratedSurfaceVariance);

  523.         double dblStrike = strike();

  525.         double dblMoneynessFactor = dblATMManifestMeasure / dblStrike;

  527.         double dblLogMoneynessFactor = java.lang.Math.log (dblMoneynessFactor);

  529.         double dblForwardIntrinsic = java.lang.Double.NaN;
  530.         double dblManifestMeasurePriceTransformer = java.lang.Double.NaN;
  531.         double dblDPlus = (dblLogMoneynessFactor + 0.5 * dblIntegratedSurfaceVariance) /
  532.             dblIntegratedSurfaceVolatility;
  533.         double dblDMinus = (dblLogMoneynessFactor - 0.5 * dblIntegratedSurfaceVariance) /
  534.             dblIntegratedSurfaceVolatility;

  536.         org.drip.state.discount.MergedDiscountForwardCurve dcFunding = csqs.fundingState
  537.             (org.drip.state.identifier.FundingLabel.Standard (strPayCurrency));

  539.         if (null == dcFunding) throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

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

  543.         if (null == cc) throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  545.         if (strManifestMeasure.equalsIgnoreCase ("Price") || strManifestMeasure.equalsIgnoreCase ("PV"))
  546.             dblManifestMeasurePriceTransformer = dcFunding.df (iExerciseDate) * cc.survival (iExerciseDate);
  547.         else if (strManifestMeasure.equalsIgnoreCase ("FairPremium") || strManifestMeasure.equalsIgnoreCase
  548.             ("ParSpread") || strManifestMeasure.equalsIgnoreCase ("Rate"))
  549.             dblManifestMeasurePriceTransformer = dblFixedCleanDV01;

  551.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblManifestMeasurePriceTransformer))
  552.             throw new java.lang.Exception ("CDSEuropeanOption::pv => Invalid Inputs");

  554.         if (_bIsReceiver)
  555.             dblForwardIntrinsic = dblATMManifestMeasure * org.drip.measure.gaussian.NormalQuadrature.CDF (dblDPlus)
  556.                 - dblStrike * org.drip.measure.gaussian.NormalQuadrature.CDF (dblDMinus);
  557.         else
  558.             dblForwardIntrinsic = dblStrike * org.drip.measure.gaussian.NormalQuadrature.CDF (-dblDMinus) -
  559.                 dblATMManifestMeasure * org.drip.measure.gaussian.NormalQuadrature.CDF (-dblDPlus);

  561.         return dblForwardIntrinsic * dblManifestMeasurePriceTransformer;
  562.     }

  564.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  565.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  566.     {
  567.         try {
  568.             return new org.drip.product.calib.ProductQuoteSet (aLSS);
  569.         } catch (java.lang.Exception e) {
  570.             e.printStackTrace();
  571.         }

  573.         return null;
  574.     }

  576.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  577.         final org.drip.param.valuation.ValuationParams valParams,
  578.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  579.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  580.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  581.         final org.drip.product.calib.ProductQuoteSet pqs)
  582.     {
  583.         return null;
  584.     }
  585. }
Created with JaCoCo 0.7.9.201702052155