FixFloatComponent.java

  1. package org.drip.product.rates;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>FixFloatComponent</i> contains the implementation of the Fix-Float Index Basis Swap product
  85.  * contract/valuation details. It is made off one Reference Fixed stream and one Derived floating stream. It
  86.  * exports the following functionality:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Standard/Custom Constructor for the FixFloatComponent
  92.  *      </li>
  93.  *      <li>
  94.  *          Dates: Effective, Maturity, Coupon dates and Product settlement Parameters
  95.  *      </li>
  96.  *      <li>
  97.  *          Coupon/Notional Outstanding as well as schedules
  98.  *      </li>
  99.  *      <li>
  100.  *          Retrieve the constituent floating streams
  101.  *      </li>
  102.  *      <li>
  103.  *          Market Parameters: Discount, Forward, Credit, Treasury Curves
  104.  *      </li>
  105.  *      <li>
  106.  *          Cash Flow Periods: Coupon flows and (Optionally) Loss Flows
  107.  *      </li>
  108.  *      <li>
  109.  *          Valuation: Named Measure Generation
  110.  *      </li>
  111.  *      <li>
  112.  *          Calibration: The codes and constraints generation
  113.  *      </li>
  114.  *      <li>
  115.  *          Jacobians: Quote/DF and PV/DF micro-Jacobian generation
  116.  *      </li>
  117.  *      <li>
  118.  *          Serialization into and de-serialization out of byte arrays
  119.  *      </li>
  120.  *  </ul>
  121.  * 
  122.  * <br><br>
  123.  *  <ul>
  124.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  125.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  126.  *      <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>
  127.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/rates/README.md">Fixed Income Multi-Stream Components</a></li>
  128.  *  </ul>
  129.  * <br><br>
  130.  * 
  131.  * @author Lakshmi Krishnamurthy
  132.  */

  134. public class FixFloatComponent extends org.drip.product.rates.DualStreamComponent
  135. {
  136.     private java.lang.String _strCode = "";
  137.     private org.drip.product.rates.Stream _fixReference = null;
  138.     private org.drip.product.rates.Stream _floatDerived = null;
  139.     private org.drip.param.valuation.CashSettleParams _csp = null;

  141.     /**
  142.      * Construct the FixFloatComponent from the Reference Fixed and the Derived Floating Streams.
  143.      * 
  144.      * @param fixReference The Reference Fixed Stream
  145.      * @param floatDerived The Derived Floating Stream
  146.      * @param csp Cash Settle Parameters Instance
  147.      * 
  148.      * @throws java.lang.Exception Thrown if the inputs are invalid
  149.      */

  151.     public FixFloatComponent (
  152.         final org.drip.product.rates.Stream fixReference,
  153.         final org.drip.product.rates.Stream floatDerived,
  154.         final org.drip.param.valuation.CashSettleParams csp)
  155.         throws java.lang.Exception
  156.     {
  157.         if (null == (_fixReference = fixReference) || null == (_floatDerived = floatDerived))
  158.             throw new java.lang.Exception ("FixFloatComponent ctr: Invalid Inputs");

  160.         _csp = csp;
  161.     }

  163.     @Override public void setPrimaryCode (
  164.         final java.lang.String strCode)
  165.     {
  166.         _strCode = strCode;
  167.     }

  169.     @Override public java.lang.String primaryCode()
  170.     {
  171.         return _strCode;
  172.     }

  174.     @Override public java.lang.String name()
  175.     {
  176.         return _strCode;
  177.     }

  179.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> couponCurrency()
  180.     {
  181.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> mapCouponCurrency = new
  182.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  184.         mapCouponCurrency.put ("DERIVED", _floatDerived.couponCurrency());

  186.         mapCouponCurrency.put ("REFERENCE", _fixReference.couponCurrency());

  188.         return mapCouponCurrency;
  189.     }

  191.     @Override public java.lang.String payCurrency()
  192.     {
  193.         return _fixReference.payCurrency();
  194.     }

  196.     @Override public java.lang.String principalCurrency()
  197.     {
  198.         return null;
  199.     }

  201.     @Override public double initialNotional()
  202.         throws java.lang.Exception
  203.     {
  204.         return _fixReference.initialNotional();
  205.     }

  207.     @Override public double notional (
  208.         final int iDate)
  209.         throws java.lang.Exception
  210.     {
  211.         return _fixReference.notional (iDate);
  212.     }

  214.     @Override public double notional (
  215.         final int iDate1,
  216.         final int iDate2)
  217.         throws java.lang.Exception
  218.     {
  219.         return _fixReference.notional (iDate1, iDate2);
  220.     }

  222.     @Override public org.drip.analytics.output.CompositePeriodCouponMetrics couponMetrics (
  223.         final int iAccrualEndDate,
  224.         final org.drip.param.valuation.ValuationParams valParams,
  225.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
  226.     {
  227.         return null;
  228.     }

  230.     @Override public int freq()
  231.     {
  232.         return _fixReference.freq();
  233.     }

  235.     @Override public org.drip.state.identifier.EntityCDSLabel creditLabel()
  236.     {
  237.         return _fixReference.creditLabel();
  238.     }

  240.     @Override public
  241.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  242.             forwardLabel()
  243.     {
  244.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  245.             mapForwardLabel = new
  246.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>();

  248.         mapForwardLabel.put ("DERIVED", _floatDerived.forwardLabel());

  250.         return mapForwardLabel;
  251.     }

  253.     @Override public
  254.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  255.             otcFixFloatLabel()
  256.     {
  257.         return null;
  258.     }

  260.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  261.     {
  262.         return _fixReference.fundingLabel();
  263.     }

  265.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  266.     {
  267.         return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
  268.     }

  270.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  271.         fxLabel()
  272.     {
  273.         org.drip.state.identifier.FXLabel fxLabelReference = _fixReference.fxLabel();

  275.         org.drip.state.identifier.FXLabel fxLabelDerived = _floatDerived.fxLabel();

  277.         if (null != fxLabelReference && null != fxLabelDerived) return null;

  279.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel> mapFXLabel = new
  280.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>();

  282.         if (null != fxLabelReference) mapFXLabel.put ("REFERENCE", fxLabelReference);

  284.         if (null != fxLabelDerived) mapFXLabel.put ("DERIVED", fxLabelDerived);

  286.         return mapFXLabel;
  287.     }

  289.     @Override public
  290.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  291.             volatilityLabel()
  292.     {
  293.         return null;
  294.     }

  296.     @Override public org.drip.product.rates.Stream referenceStream()
  297.     {
  298.         return _fixReference;
  299.     }

  301.     @Override public org.drip.product.rates.Stream derivedStream()
  302.     {
  303.         return _floatDerived;
  304.     }

  306.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  307.     {
  308.         org.drip.analytics.date.JulianDate dtFloatReferenceEffective = _fixReference.effective();

  310.         org.drip.analytics.date.JulianDate dtFloatDerivedEffective = _floatDerived.effective();

  312.         return dtFloatReferenceEffective.julian() < dtFloatDerivedEffective.julian() ?
  313.             dtFloatReferenceEffective : dtFloatDerivedEffective;
  314.     }

  316.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  317.     {
  318.         org.drip.analytics.date.JulianDate dtFixReferenceMaturity = _fixReference.maturity();

  320.         org.drip.analytics.date.JulianDate dtFloatDerivedMaturity = _floatDerived.maturity();

  322.         return dtFixReferenceMaturity.julian() > dtFloatDerivedMaturity.julian() ?
  323.             dtFixReferenceMaturity : dtFloatDerivedMaturity;
  324.     }

  326.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  327.     {
  328.         org.drip.analytics.date.JulianDate dtFloatReferenceFirstCoupon = _fixReference.firstCouponDate();

  330.         org.drip.analytics.date.JulianDate dtFloatDerivedFirstCoupon = _floatDerived.firstCouponDate();

  332.         return dtFloatReferenceFirstCoupon.julian() < dtFloatDerivedFirstCoupon.julian() ?
  333.             dtFloatReferenceFirstCoupon : dtFloatDerivedFirstCoupon;
  334.     }

  336.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  337.     {
  338.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCP = new
  339.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  341.         lsCP.addAll (_fixReference.cashFlowPeriod());

  343.         lsCP.addAll (_floatDerived.cashFlowPeriod());

  345.         return lsCP;
  346.     }

  348.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  349.     {
  350.         return _csp;
  351.     }

  353.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  354.         final org.drip.param.valuation.ValuationParams valParams,
  355.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  356.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  357.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  358.     {
  359.         long lStart = System.nanoTime();

  361.         int iValueDate = valParams.valueDate();

  363.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFixedReferenceStreamResult =
  364.             _fixReference.value (valParams, pricerParams, csqs, quotingParams);

  366.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFloatDerivedStreamResult =
  367.             _floatDerived.value (valParams, pricerParams, csqs, quotingParams);

  369.         if (null == mapFixedReferenceStreamResult || 0 == mapFixedReferenceStreamResult.size() || null ==
  370.             mapFloatDerivedStreamResult || 0 == mapFloatDerivedStreamResult.size())
  371.             return null;

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

  376.         if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult, _fixReference.name(),
  377.             mapFixedReferenceStreamResult))
  378.             return null;

  380.         if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult, _floatDerived.name(),
  381.             mapFloatDerivedStreamResult))
  382.             return null;

  384.         double dblDerivedAccrued = mapFloatDerivedStreamResult.get ("Accrued");

  386.         double dblDerivedAccrued01 = mapFloatDerivedStreamResult.get ("Accrued01");

  388.         double dblDerivedCleanDV01 = mapFloatDerivedStreamResult.get ("CleanDV01");

  390.         double dblDerivedCleanPV = mapFloatDerivedStreamResult.get ("CleanPV");

  392.         double dblDerivedDirtyDV01 = mapFloatDerivedStreamResult.get ("DirtyDV01");

  394.         double dblDerivedDirtyPV = mapFloatDerivedStreamResult.get ("DirtyPV");

  396.         double dblDerivedPV = mapFloatDerivedStreamResult.get ("PV");

  398.         double dblDerivedCumulativeConvexityAdjustmentPremium = mapFloatDerivedStreamResult.get
  399.             ("CumulativeConvexityAdjustmentPremiumUpfront");

  401.         double dblDerivedCumulativeCouponAmount = mapFloatDerivedStreamResult.get ("CumulativeCouponAmount");

  403.         double dblDerivedCumulativeCouponDCF = mapFloatDerivedStreamResult.get ("CumulativeCouponDCF");

  405.         double dblFixing01 = mapFloatDerivedStreamResult.get ("Fixing01");

  407.         double dblReferenceAccrued = mapFixedReferenceStreamResult.get ("Accrued");

  409.         double dblReferenceAccrued01 = mapFixedReferenceStreamResult.get ("Accrued01");

  411.         double dblReferenceCleanDV01 = mapFixedReferenceStreamResult.get ("CleanDV01");

  413.         double dblReferenceCleanPV = mapFixedReferenceStreamResult.get ("CleanPV");

  415.         double dblReferenceDirtyPV = mapFixedReferenceStreamResult.get ("DirtyPV");

  417.         double dblReferenceCumulativeConvexityAdjustmentPremium = mapFixedReferenceStreamResult.get
  418.             ("CumulativeConvexityAdjustmentPremium");

  420.         double dblReferenceCumulativeCouponAmount = mapFixedReferenceStreamResult.get
  421.             ("CumulativeCouponAmount");

  423.         double dblReferenceCumulativeCouponDCF = mapFixedReferenceStreamResult.get ("CumulativeCouponDCF");

  425.         double dblValueNotional = java.lang.Double.NaN;
  426.         double dblAccrued = dblDerivedAccrued + dblReferenceAccrued;
  427.         double dblCleanPV = dblReferenceCleanPV + dblDerivedCleanPV;
  428.         double dblParFixedCoupon = -0.0001 * dblDerivedCleanPV / dblReferenceCleanDV01;

  430.         mapResult.put ("Accrued", dblAccrued);

  432.         mapResult.put ("CleanFixedDV01", dblReferenceCleanDV01);

  434.         mapResult.put ("CleanFloatingDV01", dblDerivedCleanDV01);

  436.         mapResult.put ("CleanFloatingPV", dblDerivedCleanPV);

  438.         mapResult.put ("CleanPV", dblCleanPV);

  440.         mapResult.put ("CumulativeConvexityAdjustmentPremium", _fixReference.initialNotional() *
  441.             dblReferenceCumulativeConvexityAdjustmentPremium + _floatDerived.initialNotional() *
  442.                 dblDerivedCumulativeConvexityAdjustmentPremium);

  444.         mapResult.put ("CumulativeCouponAmount", dblDerivedCumulativeCouponAmount +
  445.             dblReferenceCumulativeCouponAmount);

  447.         mapResult.put ("CumulativeCouponDCF", dblDerivedCumulativeCouponDCF +
  448.             dblReferenceCumulativeCouponDCF);

  450.         mapResult.put ("DerivedAccrued", dblDerivedAccrued);

  452.         mapResult.put ("DerivedAccrued01", dblDerivedAccrued01);

  454.         mapResult.put ("DerivedCleanDV01", dblDerivedCleanDV01);

  456.         mapResult.put ("DerivedCleanPV", dblDerivedCleanPV);

  458.         mapResult.put ("DerivedDirtyDV01", dblDerivedDirtyDV01);

  460.         mapResult.put ("DerivedDirtyPV", dblDerivedDirtyPV);

  462.         mapResult.put ("DerivedDV01", dblDerivedCleanDV01);

  464.         mapResult.put ("DerivedFixing01", dblFixing01);

  466.         mapResult.put ("DerivedParBasisSpread", -1. * dblCleanPV / dblDerivedCleanDV01);

  468.         mapResult.put ("DerivedPV", dblDerivedPV);

  470.         mapResult.put ("DerivedCumulativeConvexityAdjustmentFactor", mapFloatDerivedStreamResult.get
  471.             ("CumulativeConvexityAdjustmentFactor"));

  473.         mapResult.put ("DerivedCumulativeConvexityAdjustmentPremium",
  474.             dblDerivedCumulativeConvexityAdjustmentPremium);

  476.         mapResult.put ("DerivedCumulativeCouponAmount", dblDerivedCumulativeCouponAmount);

  478.         mapResult.put ("DerivedCumulativeCouponDCF", dblDerivedCumulativeCouponDCF);

  480.         mapResult.put ("DerivedResetDate", mapFloatDerivedStreamResult.get ("ResetDate"));

  482.         mapResult.put ("DerivedResetRate", mapFloatDerivedStreamResult.get ("ResetRate"));

  484.         mapResult.put ("DirtyFixedDV01", mapFixedReferenceStreamResult.get ("DirtyDV01"));

  486.         mapResult.put ("DirtyFixedPV", dblReferenceDirtyPV);

  488.         mapResult.put ("DirtyFloatingDV01", dblDerivedDirtyDV01);

  490.         mapResult.put ("DirtyFloatingPV", dblDerivedDirtyPV);

  492.         mapResult.put ("DirtyPV", dblDerivedDirtyPV + dblReferenceDirtyPV);

  494.         mapResult.put ("FairPremium", dblParFixedCoupon);

  496.         mapResult.put ("FixedAccrued", dblReferenceAccrued);

  498.         mapResult.put ("FixedAccrued01", dblReferenceAccrued01);

  500.         mapResult.put ("FixedDV01", dblReferenceCleanDV01);

  502.         mapResult.put ("FloatAccrued", dblDerivedAccrued);

  504.         mapResult.put ("FloatAccrued01", dblDerivedAccrued01);

  506.         mapResult.put ("FloatDV01", dblDerivedCleanDV01);

  508.         mapResult.put ("Fixing01", dblFixing01);

  510.         mapResult.put ("ParFixedCoupon", dblParFixedCoupon);

  512.         mapResult.put ("ParRate", dblParFixedCoupon);

  514.         mapResult.put ("ParSwapRate", dblParFixedCoupon);

  516.         mapResult.put ("PV", dblCleanPV);

  518.         mapResult.put ("Rate", dblParFixedCoupon);

  520.         mapResult.put ("ReferenceAccrued", dblReferenceAccrued);

  522.         mapResult.put ("ReferenceAccrued01", dblReferenceAccrued01);

  524.         mapResult.put ("ReferenceCleanDV01", dblReferenceCleanDV01);

  526.         mapResult.put ("ReferenceCleanPV", dblReferenceCleanPV);

  528.         mapResult.put ("ReferenceCumulativeCouponAmount", dblReferenceCumulativeCouponAmount);

  530.         mapResult.put ("ReferenceCumulativeCouponDCF", dblReferenceCumulativeCouponDCF);

  532.         mapResult.put ("ReferenceDirtyDV01", mapFixedReferenceStreamResult.get ("DirtyDV01"));

  534.         mapResult.put ("ReferenceDirtyPV", dblReferenceDirtyPV);

  536.         mapResult.put ("ReferenceDV01", dblReferenceCleanDV01);

  538.         mapResult.put ("ReferenceParBasisSpread", -1. * dblCleanPV / dblReferenceCleanDV01);

  540.         mapResult.put ("ReferencePV", dblReferenceCleanPV);

  542.         mapResult.put ("ReferenceCumulativeConvexityAdjustmentFactor", mapFixedReferenceStreamResult.get
  543.             ("CumulativeConvexityAdjustmentFactor"));

  545.         mapResult.put ("ReferenceCumulativeConvexityAdjustmentPremium",
  546.             dblReferenceCumulativeConvexityAdjustmentPremium);

  548.         mapResult.put ("ResetDate", mapFloatDerivedStreamResult.get ("ResetDate"));

  550.         mapResult.put ("ResetRate", mapFloatDerivedStreamResult.get ("ResetRate"));

  552.         mapResult.put ("SwapRate", dblParFixedCoupon);

  554.         mapResult.put ("Upfront", mapFixedReferenceStreamResult.get ("Upfront") +
  555.             mapFloatDerivedStreamResult.get ("Upfront"));

  557.         try {
  558.             dblValueNotional = notional (iValueDate);

  560.             mapResult.put ("InitialNotional", initialNotional());
  561.         } catch (java.lang.Exception e) {
  562.             e.printStackTrace();
  563.         }

  565.         try {
  566.             if (org.drip.numerical.common.NumberUtil.IsValid (dblValueNotional)) {
  567.                 double dblCleanPrice = 100. * (1. + (dblCleanPV / initialNotional() / dblValueNotional));

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

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

  573.                 int iStartDate = effectiveDate().julian();

  575.                 double dblTelescopedFloatingPV = dcFunding.df (iStartDate > iValueDate ? iStartDate :
  576.                     iValueDate) - dcFunding.df (maturityDate());

  578.                 mapResult.put ("CalibFloatingPV", dblTelescopedFloatingPV);

  580.                 mapResult.put ("CalibSwapRate", java.lang.Math.abs (0.0001 * dblTelescopedFloatingPV /
  581.                     dblReferenceCleanDV01 * notional (iValueDate)));

  583.                 mapResult.put ("CleanPrice", dblCleanPrice);

  585.                 mapResult.put ("DirtyPrice", dblCleanPrice + dblAccrued);

  587.                 mapResult.put ("Price", dblCleanPrice);
  588.             }
  589.         } catch (java.lang.Exception e) {
  590.             e.printStackTrace();

  592.             return null;
  593.         }

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

  597.         return mapResult;
  598.     }

  600.     @Override public java.util.Set<java.lang.String> measureNames()
  601.     {
  602.         java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

  604.         setstrMeasureNames.add ("Accrued");

  606.         setstrMeasureNames.add ("CalcTime");

  608.         setstrMeasureNames.add ("CalibFloatingPV");

  610.         setstrMeasureNames.add ("CalibSwapRate");

  612.         setstrMeasureNames.add ("CleanFixedDV01");

  614.         setstrMeasureNames.add ("CleanFloatingDV01");

  616.         setstrMeasureNames.add ("CleanFloatingPV");

  618.         setstrMeasureNames.add ("CleanPrice");

  620.         setstrMeasureNames.add ("CleanPV");

  622.         setstrMeasureNames.add ("CumulativeCouponAmount");

  624.         setstrMeasureNames.add ("CumulativeCouponDCF");

  626.         setstrMeasureNames.add ("DerivedAccrued01");

  628.         setstrMeasureNames.add ("DerivedAccrued");

  630.         setstrMeasureNames.add ("DerivedCleanDV01");

  632.         setstrMeasureNames.add ("DerivedCleanPV");

  634.         setstrMeasureNames.add ("DerivedCumulativeCouponAmount");

  636.         setstrMeasureNames.add ("DerivedCumulativeCouponDCF");

  638.         setstrMeasureNames.add ("DerivedDirtyDV01");

  640.         setstrMeasureNames.add ("DerivedDirtyPV");

  642.         setstrMeasureNames.add ("DerivedDV01");

  644.         setstrMeasureNames.add ("DerivedFixing01");

  646.         setstrMeasureNames.add ("DerivedParBasisSpread");

  648.         setstrMeasureNames.add ("DerivedPV");

  650.         setstrMeasureNames.add ("DerivedCumulativeConvexityAdjustmentFactor");

  652.         setstrMeasureNames.add ("DerivedCumulativeConvexityAdjustmentPremium");

  654.         setstrMeasureNames.add ("DerivedResetDate");

  656.         setstrMeasureNames.add ("DerivedResetRate");

  658.         setstrMeasureNames.add ("DirtyFixedDV01");

  660.         setstrMeasureNames.add ("DirtyFixedPV");

  662.         setstrMeasureNames.add ("DirtyFloatingDV01");

  664.         setstrMeasureNames.add ("DirtyFloatingPV");

  666.         setstrMeasureNames.add ("DirtyPrice");

  668.         setstrMeasureNames.add ("DirtyPV");

  670.         setstrMeasureNames.add ("FairPremium");

  672.         setstrMeasureNames.add ("FixedAccrued");

  674.         setstrMeasureNames.add ("FixedAccrued01");

  676.         setstrMeasureNames.add ("FixedDV01");

  678.         setstrMeasureNames.add ("FloatAccrued");

  680.         setstrMeasureNames.add ("FloatAccrued01");

  682.         setstrMeasureNames.add ("FloatDV01");

  684.         setstrMeasureNames.add ("Fixing01");

  686.         setstrMeasureNames.add ("InitialNotional");

  688.         setstrMeasureNames.add ("ParFixedCoupon");

  690.         setstrMeasureNames.add ("ParRate");

  692.         setstrMeasureNames.add ("ParSwapRate");

  694.         setstrMeasureNames.add ("Price");

  696.         setstrMeasureNames.add ("PV");

  698.         setstrMeasureNames.add ("CumulativeConvexityAdjustmentPremium");

  700.         setstrMeasureNames.add ("Rate");

  702.         setstrMeasureNames.add ("ReferenceAccrued");

  704.         setstrMeasureNames.add ("ReferenceAccrued01");

  706.         setstrMeasureNames.add ("ReferenceCleanDV01");

  708.         setstrMeasureNames.add ("ReferenceCleanPV");

  710.         setstrMeasureNames.add ("ReferenceCumulativeCouponAmount");

  712.         setstrMeasureNames.add ("ReferenceCumulativeCouponDCF");

  714.         setstrMeasureNames.add ("ReferenceDirtyDV01");

  716.         setstrMeasureNames.add ("ReferenceDirtyPV");

  718.         setstrMeasureNames.add ("ReferenceDV01");

  720.         setstrMeasureNames.add ("ReferenceParBasisSpread");

  722.         setstrMeasureNames.add ("ReferencePV");

  724.         setstrMeasureNames.add ("ReferenceCumulativeConvexityAdjustmentFactor");

  726.         setstrMeasureNames.add ("ReferenceCumulativeConvexityAdjustmentPremium");

  728.         setstrMeasureNames.add ("ResetDate");

  730.         setstrMeasureNames.add ("ResetRate");

  732.         setstrMeasureNames.add ("SwapRate");

  734.         setstrMeasureNames.add ("Upfront");

  736.         return setstrMeasureNames;
  737.     }

  739.     @Override public double pv (
  740.         final org.drip.param.valuation.ValuationParams valParams,
  741.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  742.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  743.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  744.         throws java.lang.Exception
  745.     {
  746.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFixedReferenceStreamResult =
  747.             _fixReference.value (valParams, pricerParams, csqs, quotingParams);

  749.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFloatDerivedStreamResult =
  750.             _floatDerived.value (valParams, pricerParams, csqs, quotingParams);

  752.         if (null == mapFixedReferenceStreamResult || !mapFixedReferenceStreamResult.containsKey ("DirtyPV")
  753.             || null == mapFloatDerivedStreamResult || !mapFloatDerivedStreamResult.containsKey ("DirtyPV"))
  754.             throw new java.lang.Exception
  755.                 ("FixFloatComponent::pv => Cannot Compute Constituent Stream Value Metrics");

  757.         return mapFixedReferenceStreamResult.get ("DirtyPV") + mapFloatDerivedStreamResult.get ("DirtyPV");
  758.     }

  760.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  761.         final org.drip.param.valuation.ValuationParams valParams,
  762.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  763.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  764.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  765.     {
  766.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = value (valParams,
  767.             pricerParams, csqs, quotingParams);

  769.         if (null == mapMeasures || !mapMeasures.containsKey ("SwapRate")) return null;

  771.         double dblParSwapRate = mapMeasures.get ("SwapRate");

  773.         org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasureFloating =
  774.             _floatDerived.jackDDirtyPVDManifestMeasure (valParams, pricerParams, csqs, quotingParams);

  776.         if (null == jackDDirtyPVDManifestMeasureFloating) return null;

  778.         int iNumQuote = jackDDirtyPVDManifestMeasureFloating.numParameters();

  780.         if (0 == iNumQuote) return null;

  782.         org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasureFixed =
  783.             _fixReference.jackDDirtyPVDManifestMeasure (valParams, pricerParams, csqs, quotingParams);

  785.         if (null == jackDDirtyPVDManifestMeasureFixed || iNumQuote !=
  786.             jackDDirtyPVDManifestMeasureFixed.numParameters())
  787.             return null;

  789.         double dblNotionalScaleDown = java.lang.Double.NaN;
  790.         org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasureIRS = null;

  792.         if (null == jackDDirtyPVDManifestMeasureIRS) {
  793.             try {
  794.                 dblNotionalScaleDown = 1. / initialNotional();

  796.                 jackDDirtyPVDManifestMeasureIRS = new org.drip.numerical.differentiation.WengertJacobian (1, iNumQuote);
  797.             } catch (java.lang.Exception e) {
  798.                 e.printStackTrace();

  800.                 return null;
  801.             }
  802.         }

  804.         for (int i = 0; i < iNumQuote; ++i) {
  805.             if (!jackDDirtyPVDManifestMeasureIRS.accumulatePartialFirstDerivative (0, i, dblNotionalScaleDown
  806.                 * (dblParSwapRate * jackDDirtyPVDManifestMeasureFixed.firstDerivative (0, i) +
  807.                     jackDDirtyPVDManifestMeasureFloating.firstDerivative (0, i))))
  808.                 return null;
  809.         }

  811.         return jackDDirtyPVDManifestMeasureIRS;
  812.     }

  814.     @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  815.         final java.lang.String strManifestMeasure,
  816.         final org.drip.param.valuation.ValuationParams valParams,
  817.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  818.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  819.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  820.     {
  821.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null ==
  822.             strManifestMeasure || null == csqs)
  823.             return null;

  825.         if ("Rate".equalsIgnoreCase (strManifestMeasure) || "SwapRate".equalsIgnoreCase (strManifestMeasure))
  826.         {
  827.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures = value
  828.                 (valParams, pricerParams, csqs, quotingParams);

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

  832.             double dblDirtyDV01 = mapMeasures.get ("DirtyDV01");

  834.             double dblParSwapRate = mapMeasures.get ("SwapRate");

  836.             try {
  837.                 org.drip.numerical.differentiation.WengertJacobian wjSwapRateDFMicroJack = null;

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

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

  843.                 for (org.drip.analytics.cashflow.CompositePeriod p : couponPeriods()) {
  844.                     int iPeriodPayDate = p.payDate();

  846.                     if (iPeriodPayDate < valParams.valueDate()) continue;

  848.                     org.drip.numerical.differentiation.WengertJacobian wjPeriodFwdRateDF =
  849.                         dcFunding.jackDForwardDManifestMeasure (p.startDate(), p.endDate(), "Rate",
  850.                             p.couponDCF());

  852.                     org.drip.numerical.differentiation.WengertJacobian wjPeriodPayDFDF =
  853.                         dcFunding.jackDDFDManifestMeasure (iPeriodPayDate, "Rate");

  855.                     if (null == wjPeriodFwdRateDF || null == wjPeriodPayDFDF) continue;

  857.                     double dblForwardRate = dcFunding.libor (p.startDate(), p.endDate());

  859.                     double dblPeriodPayDF = dcFunding.df (iPeriodPayDate);

  861.                     if (null == wjSwapRateDFMicroJack)
  862.                         wjSwapRateDFMicroJack = new org.drip.numerical.differentiation.WengertJacobian (1,
  863.                             wjPeriodFwdRateDF.numParameters());

  865.                     double dblPeriodNotional = notional (p.startDate(), p.endDate());

  867.                     double dblPeriodDCF = p.couponDCF();

  869.                     for (int k = 0; k < wjPeriodFwdRateDF.numParameters(); ++k) {
  870.                         double dblPeriodMicroJack = (dblForwardRate - dblParSwapRate) *
  871.                             wjPeriodPayDFDF.firstDerivative (0, k) + dblPeriodPayDF *
  872.                                 wjPeriodFwdRateDF.firstDerivative (0, k);

  874.                         if (!wjSwapRateDFMicroJack.accumulatePartialFirstDerivative (0, k, dblPeriodNotional
  875.                             * dblPeriodDCF * dblPeriodMicroJack / dblDirtyDV01))
  876.                             return null;
  877.                     }
  878.                 }

  880.                 return wjSwapRateDFMicroJack;
  881.             } catch (java.lang.Exception e) {
  882.                 e.printStackTrace();
  883.             }
  884.         }

  886.         return null;
  887.     }

  889.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  890.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  891.     {
  892.         try {
  893.             return new org.drip.product.calib.FixFloatQuoteSet (aLSS);
  894.         } catch (java.lang.Exception e) {
  895.             e.printStackTrace();
  896.         }

  898.         return null;
  899.     }

  901.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingPRWC (
  902.         final org.drip.param.valuation.ValuationParams valParams,
  903.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  904.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  905.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  906.         final org.drip.product.calib.ProductQuoteSet pqs)
  907.     {
  908.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null == pqs || !(pqs
  909.             instanceof org.drip.product.calib.FixFloatQuoteSet))
  910.             return null;

  912.         double dblPV = 0.;
  913.         org.drip.product.calib.FixedStreamQuoteSet fsqsReference = null;
  914.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  915.         org.drip.product.calib.FixFloatQuoteSet ffqs = (org.drip.product.calib.FixFloatQuoteSet) pqs;

  917.         if (!ffqs.containsPV() && !ffqs.containsSwapRate() && !ffqs.containsDerivedParBasisSpread() &&
  918.             !ffqs.containsReferenceParBasisSpread())
  919.             return null;

  921.         org.drip.state.representation.LatentStateSpecification[] aLSS = pqs.lss();

  923.         try {
  924.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  926.             fsqsReference = new org.drip.product.calib.FixedStreamQuoteSet (aLSS);

  928.             if (ffqs.containsPV()) dblPV = ffqs.pv();

  930.             if (ffqs.containsSwapRate())
  931.                 fsqsReference.setCoupon (ffqs.swapRate());
  932.             else if (ffqs.containsRate())
  933.                 fsqsReference.setCoupon (ffqs.rate());

  935.             if (ffqs.containsDerivedParBasisSpread()) fsqsDerived.setSpread (ffqs.derivedParBasisSpread());

  937.             if (ffqs.containsReferenceParBasisSpread())
  938.                 fsqsReference.setCouponBasis (ffqs.referenceParBasisSpread());
  939.         } catch (java.lang.Exception e) {
  940.             e.printStackTrace();

  942.             return null;
  943.         }

  945.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcDerived = _floatDerived.fundingPRWC
  946.             (valParams, pricerParams, csqs, quotingParams, fsqsDerived);

  948.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference = _fixReference.fundingPRWC
  949.             (valParams, pricerParams, csqs, quotingParams, fsqsReference);

  951.         if (null == prwcDerived && null == prwcReference) return null;

  953.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  954.             org.drip.state.estimator.PredictorResponseWeightConstraint();

  956.         if (!prwc.absorb (prwcDerived)) return null;

  958.         if (!prwc.absorb (prwcReference)) return null;

  960.         return !prwc.updateValue (dblPV) ? null : prwc;
  961.     }

  963.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  964.         final org.drip.param.valuation.ValuationParams valParams,
  965.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  966.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  967.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  968.         final org.drip.product.calib.ProductQuoteSet pqs)
  969.     {
  970.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null == pqs || !(pqs
  971.             instanceof org.drip.product.calib.FixFloatQuoteSet))
  972.             return null;

  974.         double dblPV = 0.;
  975.         org.drip.product.calib.FixedStreamQuoteSet fsqsReference = null;
  976.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  977.         org.drip.product.calib.FixFloatQuoteSet ffqs = (org.drip.product.calib.FixFloatQuoteSet) pqs;

  979.         if (!ffqs.containsPV() && !ffqs.containsSwapRate() && !ffqs.containsDerivedParBasisSpread() &&
  980.             !ffqs.containsReferenceParBasisSpread())
  981.             return null;

  983.         org.drip.state.representation.LatentStateSpecification[] aLSS = pqs.lss();

  985.         try {
  986.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  988.             fsqsReference = new org.drip.product.calib.FixedStreamQuoteSet (aLSS);

  990.             if (ffqs.containsPV()) dblPV = ffqs.pv();

  992.             if (ffqs.containsSwapRate()) fsqsReference.setCoupon (ffqs.swapRate());

  994.             if (ffqs.containsDerivedParBasisSpread()) fsqsDerived.setSpread (ffqs.derivedParBasisSpread());

  996.             if (ffqs.containsReferenceParBasisSpread())
  997.                 fsqsReference.setCouponBasis (ffqs.referenceParBasisSpread());
  998.         } catch (java.lang.Exception e) {
  999.             e.printStackTrace();

  1001.             return null;
  1002.         }

  1004.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcDerived = _floatDerived.forwardPRWC
  1005.             (valParams, pricerParams, csqs, quotingParams, fsqsDerived);

  1007.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference = _fixReference.forwardPRWC
  1008.             (valParams, pricerParams, csqs, quotingParams, fsqsReference);

  1010.         if (null == prwcDerived && null == prwcReference) return null;

  1012.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  1013.             org.drip.state.estimator.PredictorResponseWeightConstraint();

  1015.         if (!prwc.absorb (prwcDerived)) return null;

  1017.         if (!prwc.absorb (prwcReference)) return null;

  1019.         return !prwc.updateValue (dblPV) ? null : prwc;
  1020.     }

  1022.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  1023.         final org.drip.param.valuation.ValuationParams valParams,
  1024.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1025.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1026.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  1027.         final org.drip.product.calib.ProductQuoteSet pqs)
  1028.     {
  1029.         if (null == valParams || valParams.valueDate() >= maturityDate().julian() || null == pqs || !(pqs
  1030.             instanceof org.drip.product.calib.FixFloatQuoteSet))
  1031.             return null;

  1033.         double dblPV = 0.;
  1034.         org.drip.product.calib.FixedStreamQuoteSet fsqsReference = null;
  1035.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  1036.         org.drip.product.calib.FixFloatQuoteSet ffqs = (org.drip.product.calib.FixFloatQuoteSet) pqs;

  1038.         if (!ffqs.containsPV() && !ffqs.containsSwapRate() && !ffqs.containsDerivedParBasisSpread() &&
  1039.             !ffqs.containsReferenceParBasisSpread())
  1040.             return null;

  1042.         org.drip.state.representation.LatentStateSpecification[] aLSS = pqs.lss();

  1044.         try {
  1045.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  1047.             fsqsReference = new org.drip.product.calib.FixedStreamQuoteSet (aLSS);

  1049.             if (ffqs.containsPV()) dblPV = ffqs.pv();

  1051.             if (ffqs.containsSwapRate())
  1052.                 fsqsReference.setCoupon (ffqs.swapRate());
  1053.             else if (ffqs.containsRate())
  1054.                 fsqsReference.setCoupon (ffqs.rate());

  1056.             if (ffqs.containsDerivedParBasisSpread()) fsqsDerived.setSpread (ffqs.derivedParBasisSpread());

  1058.             if (ffqs.containsReferenceParBasisSpread())
  1059.                 fsqsReference.setCouponBasis (ffqs.referenceParBasisSpread());
  1060.         } catch (java.lang.Exception e) {
  1061.             e.printStackTrace();

  1063.             return null;
  1064.         }

  1066.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcDerived =
  1067.             _floatDerived.fundingForwardPRWC (valParams, pricerParams, csqs, quotingParams, fsqsDerived);

  1069.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference =
  1070.             _fixReference.fundingForwardPRWC (valParams, pricerParams, csqs, quotingParams, fsqsReference);

  1072.         if (null == prwcDerived && null == prwcReference) return null;

  1074.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  1075.             org.drip.state.estimator.PredictorResponseWeightConstraint();

  1077.         if (!prwc.absorb (prwcDerived)) return null;

  1079.         if (!prwc.absorb (prwcReference)) return null;

  1081.         return !prwc.updateValue (dblPV) ? null : prwc;
  1082.     }

  1084.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  1085.         final org.drip.param.valuation.ValuationParams valParams,
  1086.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1087.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1088.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1089.         final org.drip.product.calib.ProductQuoteSet pqs)
  1090.     {
  1091.         return null;
  1092.     }

  1094.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  1095.         final org.drip.param.valuation.ValuationParams valParams,
  1096.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1097.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1098.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  1099.         final org.drip.product.calib.ProductQuoteSet pqs)
  1100.     {
  1101.         return null;
  1102.     }

  1104.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  1105.         final org.drip.param.valuation.ValuationParams valParams,
  1106.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1107.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1108.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  1109.         final org.drip.product.calib.ProductQuoteSet pqs)
  1110.     {
  1111.         return null;
  1112.     }

  1114.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  1115.         final org.drip.param.valuation.ValuationParams valParams,
  1116.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  1117.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  1118.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  1119.     {
  1120.         return null;
  1121.     }
  1122. }
Created with JaCoCo 0.7.9.201702052155