FloatFloatComponent.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>FloatFloatComponent</i> contains the implementation of the Float-Float Index Basis Swap product
  85.  * contract/valuation details. It is made off one Reference Floating stream and one Derived floating stream.
  86.  * It exports the following functionality:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Standard/Custom Constructor for the FloatFloatComponent
  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 FloatFloatComponent extends org.drip.product.rates.DualStreamComponent {
  135.     private java.lang.String _strCode = "";
  136.     private org.drip.product.rates.Stream _floatDerived = null;
  137.     private org.drip.product.rates.Stream _floatReference = null;
  138.     private org.drip.param.valuation.CashSettleParams _csp = null;

  140.     /**
  141.      * Construct the FloatFloatComponent from the Reference and the Derived Floating Streams.
  142.      * 
  143.      * @param floatReference The Reference Floating Stream (e.g., 6M LIBOR/EURIBOR Leg)
  144.      * @param floatDerived The Derived Floating Stream (e.g., 3M LIBOR/EURIBOR Leg)
  145.      * @param csp Cash Settle Parameters Instance
  146.      * 
  147.      * @throws java.lang.Exception Thrown if the inputs are invalid
  148.      */

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

  159.         _csp = csp;
  160.     }

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

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

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

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

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

  185.         mapCouponCurrency.put ("REFERENCE", _floatReference.couponCurrency());

  187.         return mapCouponCurrency;
  188.     }

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

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

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

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

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

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

  229.     @Override public int freq()
  230.     {
  231.         return _floatReference.freq();
  232.     }

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

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

  247.         mapForwardLabel.put (
  248.             "REFERENCE",
  249.             _floatReference.forwardLabel()
  250.         );

  252.         mapForwardLabel.put (
  253.             "DERIVED",
  254.             _floatDerived.forwardLabel()
  255.         );

  257.         return mapForwardLabel;
  258.     }

  260.     @Override public
  261.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.OTCFixFloatLabel>
  262.             otcFixFloatLabel()
  263.     {
  264.         return null;
  265.     }

  267.     @Override public org.drip.state.identifier.FundingLabel fundingLabel()
  268.     {
  269.         return _floatReference.fundingLabel();
  270.     }

  272.     @Override public org.drip.state.identifier.GovvieLabel govvieLabel()
  273.     {
  274.         return org.drip.state.identifier.GovvieLabel.Standard (payCurrency());
  275.     }

  277.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  278.         fxLabel()
  279.     {
  280.         org.drip.state.identifier.FXLabel fxLabelReference = _floatReference.fxLabel();

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

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

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

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

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

  293.         return mapFXLabel;
  294.     }

  296.     @Override public
  297.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.VolatilityLabel>
  298.             volatilityLabel()
  299.     {
  300.         return null;
  301.     }

  303.     @Override public org.drip.product.rates.Stream referenceStream()
  304.     {
  305.         return _floatReference;
  306.     }

  308.     @Override public org.drip.product.rates.Stream derivedStream()
  309.     {
  310.         return _floatDerived;
  311.     }

  313.     @Override public org.drip.analytics.date.JulianDate effectiveDate()
  314.     {
  315.         org.drip.analytics.date.JulianDate dtFloatReferenceEffective = _floatReference.effective();

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

  319.         if (null == dtFloatReferenceEffective || null == dtFloatDerivedEffective) return null;

  321.         return dtFloatReferenceEffective.julian() < dtFloatDerivedEffective.julian() ?
  322.             dtFloatReferenceEffective : dtFloatDerivedEffective;
  323.     }

  325.     @Override public org.drip.analytics.date.JulianDate maturityDate()
  326.     {
  327.         org.drip.analytics.date.JulianDate dtFloatReferenceMaturity = _floatReference.maturity();

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

  331.         if (null == dtFloatReferenceMaturity || null == dtFloatDerivedMaturity) return null;

  333.         return dtFloatReferenceMaturity.julian() > dtFloatDerivedMaturity.julian() ?
  334.             dtFloatReferenceMaturity : dtFloatDerivedMaturity;
  335.     }

  337.     @Override public org.drip.analytics.date.JulianDate firstCouponDate()
  338.     {
  339.         org.drip.analytics.date.JulianDate dtFloatReferenceFirstCoupon = _floatReference.firstCouponDate();

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

  343.         if (null == dtFloatReferenceFirstCoupon || null == dtFloatDerivedFirstCoupon) return null;

  345.         return dtFloatReferenceFirstCoupon.julian() < dtFloatDerivedFirstCoupon.julian() ?
  346.             dtFloatReferenceFirstCoupon : dtFloatDerivedFirstCoupon;
  347.     }

  349.     @Override public java.util.List<org.drip.analytics.cashflow.CompositePeriod> couponPeriods()
  350.     {
  351.         java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCP = new
  352.             java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  354.         lsCP.addAll (_floatReference.cashFlowPeriod());

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

  358.         return lsCP;
  359.     }

  361.     @Override public org.drip.param.valuation.CashSettleParams cashSettleParams()
  362.     {
  363.         return _csp;
  364.     }

  366.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value (
  367.         final org.drip.param.valuation.ValuationParams valParams,
  368.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  369.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  370.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  371.     {
  372.         long lStart = System.nanoTime();

  374.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFloatReferenceStreamResult =
  375.             _floatReference.value (valParams, pricerParams, csqs, vcp);

  377.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFloatDerivedStreamResult =
  378.             _floatDerived.value (valParams, pricerParams, csqs, vcp);

  380.         if (null == mapFloatReferenceStreamResult || 0 == mapFloatReferenceStreamResult.size() || null ==
  381.             mapFloatDerivedStreamResult || 0 == mapFloatDerivedStreamResult.size())
  382.             return null;

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

  387.         if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult,
  388.             _floatReference.name(), mapFloatReferenceStreamResult))
  389.             return null;

  391.         if (!org.drip.analytics.support.Helper.AccumulateMeasures (mapResult, _floatDerived.name(),
  392.             mapFloatDerivedStreamResult))
  393.             return null;

  395.         mapResult.put ("ReferenceAccrued01", mapFloatReferenceStreamResult.get ("Accrued01"));

  397.         mapResult.put ("ReferenceAccrued", mapFloatReferenceStreamResult.get ("FloatAccrued"));

  399.         double dblReferenceCleanDV01 = mapFloatReferenceStreamResult.get ("CleanDV01");

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

  403.         double dblReferenceCleanPV = mapFloatReferenceStreamResult.get ("CleanPV");

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

  407.         mapResult.put ("ReferenceDirtyDV01", mapFloatReferenceStreamResult.get ("DirtyDV01"));

  409.         double dblReferenceDirtyPV = mapFloatReferenceStreamResult.get ("DirtyPV");

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

  413.         mapResult.put ("ReferenceDV01", mapFloatReferenceStreamResult.get ("DV01"));

  415.         mapResult.put ("ReferenceFixing01", mapFloatReferenceStreamResult.get ("Fixing01"));

  417.         double dblReferencePV = mapFloatReferenceStreamResult.get ("PV");

  419.         mapResult.put ("ReferencePV", dblReferencePV);

  421.         mapResult.put ("ReferenceCumulativeConvexityAdjustmentFactor", mapFloatReferenceStreamResult.get
  422.             ("CumulativeConvexityAdjustmentFactor"));

  424.         double dblReferenceCumulativeConvexityAdjustmentPremium = mapFloatReferenceStreamResult.get
  425.             ("CumulativeConvexityAdjustmentPremiumUpfront");

  427.         mapResult.put ("ReferenceCumulativeConvexityAdjustmentPremium",
  428.             dblReferenceCumulativeConvexityAdjustmentPremium);

  430.         mapResult.put ("ReferenceResetDate", mapFloatReferenceStreamResult.get ("ResetDate"));

  432.         mapResult.put ("ReferenceResetRate", mapFloatReferenceStreamResult.get ("ResetRate"));

  434.         mapResult.put ("DerivedAccrued01", mapFloatDerivedStreamResult.get ("Accrued01"));

  436.         mapResult.put ("DerivedAccrued", mapFloatDerivedStreamResult.get ("FloatAccrued"));

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

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

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

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

  446.         mapResult.put ("DerivedDirtyDV01", mapFloatDerivedStreamResult.get ("DirtyDV01"));

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

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

  452.         mapResult.put ("DerivedDV01", mapFloatDerivedStreamResult.get ("DV01"));

  454.         mapResult.put ("DerivedFixing01", mapFloatDerivedStreamResult.get ("Fixing01"));

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

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

  460.         mapResult.put ("DerivedCumulativeConvexityAdjustmentFactor", mapFloatDerivedStreamResult.get
  461.             ("CumulativeConvexityAdjustmentFactor"));

  463.         double dblDerivedCumulativeConvexityAdjustmentPremium = mapFloatDerivedStreamResult.get
  464.             ("CumulativeConvexityAdjustmentPremiumUpfront");

  466.         mapResult.put ("DerivedCumulativeConvexityAdjustmentPremium",
  467.             dblDerivedCumulativeConvexityAdjustmentPremium);

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

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

  473.         double dblCleanPV = dblReferenceCleanPV + dblDerivedCleanPV;

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

  477.         mapResult.put ("DirtyPV", dblDerivedCleanPV + dblDerivedDirtyPV);

  479.         mapResult.put ("PV", dblReferencePV + dblDerivedPV);

  481.         mapResult.put ("CumulativeConvexityAdjustmentPremium", _floatReference.initialNotional() *
  482.             dblReferenceCumulativeConvexityAdjustmentPremium + _floatDerived.initialNotional() *
  483.                 dblDerivedCumulativeConvexityAdjustmentPremium);

  485.         mapResult.put ("Upfront", mapFloatReferenceStreamResult.get ("Upfront") +
  486.             mapFloatDerivedStreamResult.get ("Upfront"));

  488.         mapResult.put ("ReferenceParBasisSpread", -1. * (dblReferenceCleanPV + dblDerivedCleanPV) /
  489.             dblReferenceCleanDV01);

  491.         mapResult.put ("DerivedParBasisSpread", -1. * (dblReferenceCleanPV + dblDerivedCleanPV) /
  492.             dblDerivedCleanDV01);

  494.         double dblValueNotional = java.lang.Double.NaN;

  496.         try {
  497.             dblValueNotional = notional (valParams.valueDate());
  498.         } catch (java.lang.Exception e) {
  499.             e.printStackTrace();
  500.         }

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

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

  508.                 mapResult.put ("Price", dblCleanPrice);
  509.             }
  510.         } catch (java.lang.Exception e) {
  511.             e.printStackTrace();

  513.             return null;
  514.         }

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

  518.         return mapResult;
  519.     }

  521.     @Override public java.util.Set<java.lang.String> measureNames()
  522.     {
  523.         java.util.Set<java.lang.String> setstrMeasureNames = new java.util.TreeSet<java.lang.String>();

  525.         setstrMeasureNames.add ("CalcTime");

  527.         setstrMeasureNames.add ("CleanPrice");

  529.         setstrMeasureNames.add ("CleanPV");

  531.         setstrMeasureNames.add ("DerivedAccrued01");

  533.         setstrMeasureNames.add ("DerivedAccrued");

  535.         setstrMeasureNames.add ("DerivedCleanDV01");

  537.         setstrMeasureNames.add ("DerivedCleanPV");

  539.         setstrMeasureNames.add ("DerivedDirtyDV01");

  541.         setstrMeasureNames.add ("DerivedDirtyPV");

  543.         setstrMeasureNames.add ("DerivedDV01");

  545.         setstrMeasureNames.add ("DerivedFixing01");

  547.         setstrMeasureNames.add ("DerivedParBasisSpread");

  549.         setstrMeasureNames.add ("DerivedPV");

  551.         setstrMeasureNames.add ("DerivedCumulativeConvexityAdjustmentFactor");

  553.         setstrMeasureNames.add ("DerivedCumulativeConvexityAdjustmentPremium");

  555.         setstrMeasureNames.add ("DerivedResetDate");

  557.         setstrMeasureNames.add ("DerivedResetRate");

  559.         setstrMeasureNames.add ("DirtyPV");

  561.         setstrMeasureNames.add ("Price");

  563.         setstrMeasureNames.add ("PV");

  565.         setstrMeasureNames.add ("CumulativeConvexityAdjustmentPremium");

  567.         setstrMeasureNames.add ("ReferenceAccrued01");

  569.         setstrMeasureNames.add ("ReferenceAccrued");

  571.         setstrMeasureNames.add ("ReferenceCleanDV01");

  573.         setstrMeasureNames.add ("ReferenceCleanPV");

  575.         setstrMeasureNames.add ("ReferenceDirtyDV01");

  577.         setstrMeasureNames.add ("ReferenceDirtyPV");

  579.         setstrMeasureNames.add ("ReferenceDV01");

  581.         setstrMeasureNames.add ("ReferenceFixing01");

  583.         setstrMeasureNames.add ("ReferenceParBasisSpread");

  585.         setstrMeasureNames.add ("ReferenceCumulativeConvexityAdjustmentFactor");

  587.         setstrMeasureNames.add ("ReferenceCumulativeConvexityAdjustmentPremium");

  589.         setstrMeasureNames.add ("ReferencePV");

  591.         setstrMeasureNames.add ("ReferenceResetDate");

  593.         setstrMeasureNames.add ("ReferenceResetRate");

  595.         setstrMeasureNames.add ("Upfront");

  597.         return setstrMeasureNames;
  598.     }

  600.     @Override public double pv (
  601.         final org.drip.param.valuation.ValuationParams valParams,
  602.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  603.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  604.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  605.         throws java.lang.Exception
  606.     {
  607.         org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapFloatReferenceStreamResult =
  608.             _floatReference.value (valParams, pricerParams, csqs, quotingParams);

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

  613.         if (null == mapFloatReferenceStreamResult || !mapFloatReferenceStreamResult.containsKey ("DirtyPV")
  614.             || null == mapFloatDerivedStreamResult || !mapFloatDerivedStreamResult.containsKey ("DirtyPV"))
  615.             throw new java.lang.Exception
  616.                 ("FloatFloatComponent::pv => Cannot Compute Constituent Stream Value Metrics");

  618.         return mapFloatReferenceStreamResult.get ("DirtyPV") + mapFloatDerivedStreamResult.get ("DirtyPV");
  619.     }

  621.     @Override public org.drip.numerical.differentiation.WengertJacobian jackDDirtyPVDManifestMeasure (
  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 quotingParams)
  626.     {
  627.         return null;
  628.     }

  630.     @Override public org.drip.numerical.differentiation.WengertJacobian manifestMeasureDFMicroJack (
  631.         final java.lang.String strManifestMeasure,
  632.         final org.drip.param.valuation.ValuationParams valParams,
  633.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  634.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  635.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  636.     {
  637.         return null;
  638.     }

  640.     @Override public org.drip.product.calib.ProductQuoteSet calibQuoteSet (
  641.         final org.drip.state.representation.LatentStateSpecification[] aLSS)
  642.     {
  643.         try {
  644.             return new org.drip.product.calib.FloatFloatQuoteSet (aLSS);
  645.         } catch (java.lang.Exception e) {
  646.             e.printStackTrace();
  647.         }

  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 quotingParams,
  657.         final org.drip.product.calib.ProductQuoteSet pqs)
  658.     {
  659.         if (null == valParams || null == pqs || !(pqs instanceof org.drip.product.calib.FloatFloatQuoteSet))
  660.             return null;

  662.         if (valParams.valueDate() >= maturityDate().julian()) return null;

  664.         double dblPV = 0.;
  665.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  666.         org.drip.product.calib.FloatingStreamQuoteSet fsqsReference = null;
  667.         org.drip.product.calib.FloatFloatQuoteSet ffqs = (org.drip.product.calib.FloatFloatQuoteSet) pqs;

  669.         if (!ffqs.containsPV() && !ffqs.containsDerivedParBasisSpread() &&
  670.             !ffqs.containsReferenceParBasisSpread())
  671.             return null;

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

  675.         try {
  676.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  678.             fsqsReference = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

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

  682.             if (ffqs.containsDerivedParBasisSpread() && !fsqsDerived.setSpread
  683.                 (ffqs.derivedParBasisSpread()))
  684.                 return null;

  686.             if (ffqs.containsReferenceParBasisSpread() && !fsqsReference.setSpread
  687.                 (ffqs.referenceParBasisSpread()))
  688.                 return null;
  689.         } catch (java.lang.Exception e) {
  690.             e.printStackTrace();

  692.             return null;
  693.         }

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

  698.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference =
  699.             _floatReference.fundingPRWC (valParams, pricerParams, csqs, quotingParams, fsqsReference);

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

  703.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  704.             org.drip.state.estimator.PredictorResponseWeightConstraint();

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

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

  710.         return !prwc.updateValue (dblPV) ? null : prwc;
  711.     }

  713.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint forwardPRWC (
  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 quotingParams,
  718.         final org.drip.product.calib.ProductQuoteSet pqs)
  719.     {
  720.         if (null == valParams || null == pqs || !(pqs instanceof org.drip.product.calib.FloatFloatQuoteSet))
  721.             return null;

  723.         if (valParams.valueDate() >= maturityDate().julian()) return null;

  725.         double dblPV = 0.;
  726.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  727.         org.drip.product.calib.FloatingStreamQuoteSet fsqsReference = null;
  728.         org.drip.product.calib.FloatFloatQuoteSet ffqs = (org.drip.product.calib.FloatFloatQuoteSet) pqs;

  730.         if (!ffqs.containsPV() && !ffqs.containsDerivedParBasisSpread() &&
  731.             !ffqs.containsReferenceParBasisSpread())
  732.             return null;

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

  736.         try {
  737.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  739.             fsqsReference = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

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

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

  745.             if (ffqs.containsReferenceParBasisSpread())
  746.                 fsqsReference.setSpread (ffqs.referenceParBasisSpread());
  747.         } catch (java.lang.Exception e) {
  748.             e.printStackTrace();

  750.             return null;
  751.         }

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

  756.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference =
  757.             _floatReference.forwardPRWC (valParams, pricerParams, csqs, quotingParams, fsqsReference);

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

  761.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  762.             org.drip.state.estimator.PredictorResponseWeightConstraint();

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

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

  768.         if (!prwc.updateValue (dblPV)) return null;

  770.         return prwc;
  771.     }

  773.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fundingForwardPRWC (
  774.         final org.drip.param.valuation.ValuationParams valParams,
  775.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  776.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  777.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  778.         final org.drip.product.calib.ProductQuoteSet pqs)
  779.     {
  780.         if (null == valParams || null == pqs || !(pqs instanceof org.drip.product.calib.FloatFloatQuoteSet))
  781.             return null;

  783.         if (valParams.valueDate() >= maturityDate().julian()) return null;

  785.         double dblPV = 0.;
  786.         org.drip.product.calib.FloatingStreamQuoteSet fsqsDerived = null;
  787.         org.drip.product.calib.FloatingStreamQuoteSet fsqsReference = null;
  788.         org.drip.product.calib.FloatFloatQuoteSet ffqs = (org.drip.product.calib.FloatFloatQuoteSet) pqs;

  790.         if (!ffqs.containsPV() && !ffqs.containsDerivedParBasisSpread() &&
  791.             !ffqs.containsReferenceParBasisSpread())
  792.             return null;

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

  796.         try {
  797.             fsqsDerived = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

  799.             fsqsReference = new org.drip.product.calib.FloatingStreamQuoteSet (aLSS);

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

  803.             if (ffqs.containsDerivedParBasisSpread() && !fsqsDerived.setSpread
  804.                 (ffqs.derivedParBasisSpread()))
  805.                 return null;

  807.             if (ffqs.containsReferenceParBasisSpread() && !fsqsReference.setSpread
  808.                 (ffqs.referenceParBasisSpread()))
  809.                 return null;
  810.         } catch (java.lang.Exception e) {
  811.             e.printStackTrace();

  813.             return null;
  814.         }

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

  819.         org.drip.state.estimator.PredictorResponseWeightConstraint prwcReference =
  820.             _floatReference.fundingForwardPRWC (valParams, pricerParams, csqs, quotingParams, fsqsReference);

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

  824.         org.drip.state.estimator.PredictorResponseWeightConstraint prwc = new
  825.             org.drip.state.estimator.PredictorResponseWeightConstraint();

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

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

  831.         if (!prwc.updateValue (dblPV)) return null;

  833.         return prwc;
  834.     }

  836.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint fxPRWC (
  837.         final org.drip.param.valuation.ValuationParams valParams,
  838.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  839.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  840.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  841.         final org.drip.product.calib.ProductQuoteSet pqs)
  842.     {
  843.         return null;
  844.     }

  846.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint govviePRWC (
  847.         final org.drip.param.valuation.ValuationParams valParams,
  848.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  849.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  850.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  851.         final org.drip.product.calib.ProductQuoteSet pqs)
  852.     {
  853.         return null;
  854.     }

  856.     @Override public org.drip.state.estimator.PredictorResponseWeightConstraint volatilityPRWC (
  857.         final org.drip.param.valuation.ValuationParams valParams,
  858.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  859.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  860.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams,
  861.         final org.drip.product.calib.ProductQuoteSet pqs)
  862.     {
  863.         return null;
  864.     }

  866.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
  867.         final org.drip.param.valuation.ValuationParams valParams,
  868.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  869.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  870.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  871.     {
  872.         return null;
  873.     }
  874. }
Created with JaCoCo 0.7.9.201702052155