BondReplicator.java

  1. package org.drip.service.scenario;

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

  79. /**
  80.  * <i>BondReplicator</i> generates a Target Set of Sensitivity and Relative Value Runs.
  81.  * 
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  86.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/scenario/README.md">Custom Scenario Service Metric Generator</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  * 
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class BondReplicator
  95. {

  97.     /**
  98.      * Subordinate Corporate Recovery Rate
  99.      */

  101.     public static final double CORPORATE_SUBORDINATE_RECOVERY_RATE = 0.20;

  103.     /**
  104.      * Senior Corporate Recovery Rate
  105.      */

  107.     public static final double CORPORATE_SENIOR_RECOVERY_RATE = 0.40;

  109.     /**
  110.      * Loan Corporate Recovery Rate
  111.      */

  113.     public static final double CORPORATE_LOAN_RECOVERY_RATE = 0.70;

  115.     private int _iSettleLag = -1;
  116.     private double[] _adblGovvieQuote = null;
  117.     private double[] _adblCreditQuote = null;
  118.     private double[] _adblDepositQuote = null;
  119.     private double[] _adblFuturesQuote = null;
  120.     private double[] _adblFixFloatQuote = null;
  121.     private double _dblFX = java.lang.Double.NaN;
  122.     private java.lang.String _strGovvieCode = "";
  123.     private boolean _bMarketPriceCreditMetrics = false;
  124.     private java.lang.String[] _astrCreditTenor = null;
  125.     private java.lang.String[] _astrGovvieTenor = null;
  126.     private double _dblTenorBump = java.lang.Double.NaN;
  127.     private java.lang.String[] _astrDepositTenor = null;
  128.     private java.lang.String[] _astrFixFloatTenor = null;
  129.     private double _dblIssuePrice = java.lang.Double.NaN;
  130.     private double _dblIssueAmount = java.lang.Double.NaN;
  131.     private double _dblZSpreadBump = java.lang.Double.NaN;
  132.     private double _dblCurrentPrice = java.lang.Double.NaN;
  133.     private double _dblRecoveryRate = java.lang.Double.NaN;
  134.     private double _dblCustomYieldBump = java.lang.Double.NaN;
  135.     private org.drip.analytics.date.JulianDate _dtValue = null;
  136.     private org.drip.product.credit.BondComponent _bond = null;
  137.     private double _dblCustomCreditBasisBump = java.lang.Double.NaN;
  138.     private double _dblSpreadDurationMultiplier = java.lang.Double.NaN;

  140.     private double _dblLogNormalVolatility = 0.1;
  141.     private double _dblResetRate = java.lang.Double.NaN;
  142.     private int _iResetDate = java.lang.Integer.MIN_VALUE;
  143.     private org.drip.analytics.date.JulianDate _dtSettle = null;
  144.     private org.drip.param.valuation.ValuationParams _valParams = null;
  145.     private org.drip.service.scenario.EOSMetricsReplicator _emr = null;
  146.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqcCreditBase = null;
  147.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqcCredit01Up = null;
  148.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqcFundingBase = null;
  149.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqcFunding01Up = null;
  150.     private org.drip.param.market.CurveSurfaceQuoteContainer _csqcFundingEuroDollar = null;
  151.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  152.         _mapCSQCCredit = null;

  154.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  155.         _mapCSQCGovvieUp = new
  156.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  158.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  159.         _mapCSQCGovvieDown = new
  160.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  162.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  163.         _mapCSQCFundingUp = new
  164.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  166.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  167.         _mapCSQCFundingDown = new
  168.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  170.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  171.         _mapCSQCForwardFundingUp = new
  172.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  174.     private java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  175.         _mapCSQCForwardFundingDown = new
  176.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  178.     /**
  179.      * Generate a Standard Subordinate Corporate BondReplicator Instance
  180.      * 
  181.      * @param dblCurrentPrice Current Price
  182.      * @param dblIssuePrice Issue Price
  183.      * @param dblIssueAmount Issue Amount
  184.      * @param dtSpot Spot Date
  185.      * @param astrDepositTenor Array of Deposit Tenors
  186.      * @param adblDepositQuote Array of Deposit Quotes
  187.      * @param adblFuturesQuote Array of Futures Quotes
  188.      * @param astrFixFloatTenor Array of Fix-Float Tenors
  189.      * @param adblFixFloatQuote Array of Fix-Float Quotes
  190.      * @param dblSpreadBump Yield/Spread Bump
  191.      * @param dblSpreadDurationMultiplier Spread Duration Multiplier
  192.      * @param strGovvieCode Govvie Code
  193.      * @param astrGovvieTenor Array of Govvie Tenor
  194.      * @param adblGovvieQuote Array of Govvie Quotes
  195.      * @param astrCreditTenor Array of Credit Tenors
  196.      * @param adblCreditQuote Array of Credit Quotes
  197.      * @param dblFX FX Rate Applicable
  198.      * @param dblResetRate Reset Rate Applicable
  199.      * @param iSettleLag Settlement Lag
  200.      * @param bond Bond Component Instance
  201.      * 
  202.      * @return The Standard Subordinate BondReplicator Instance
  203.      */

  205.     public static final BondReplicator CorporateSubordinate (
  206.         final double dblCurrentPrice,
  207.         final double dblIssuePrice,
  208.         final double dblIssueAmount,
  209.         final org.drip.analytics.date.JulianDate dtSpot,
  210.         final java.lang.String[] astrDepositTenor,
  211.         final double[] adblDepositQuote,
  212.         final double[] adblFuturesQuote,
  213.         final java.lang.String[] astrFixFloatTenor,
  214.         final double[] adblFixFloatQuote,
  215.         final double dblSpreadBump,
  216.         final double dblSpreadDurationMultiplier,
  217.         final java.lang.String strGovvieCode,
  218.         final java.lang.String[] astrGovvieTenor,
  219.         final double[] adblGovvieQuote,
  220.         final java.lang.String[] astrCreditTenor,
  221.         final double[] adblCreditQuote,
  222.         final double dblFX,
  223.         final double dblResetRate,
  224.         final int iSettleLag,
  225.         final org.drip.product.credit.BondComponent bond)
  226.     {
  227.         try {
  228.             return new BondReplicator (
  229.                 dblCurrentPrice,
  230.                 dblIssuePrice,
  231.                 dblIssueAmount,
  232.                 dtSpot,
  233.                 astrDepositTenor,
  234.                 adblDepositQuote,
  235.                 adblFuturesQuote,
  236.                 astrFixFloatTenor,
  237.                 adblFixFloatQuote,
  238.                 dblSpreadBump,
  239.                 dblSpreadBump,
  240.                 dblSpreadBump,
  241.                 dblSpreadBump,
  242.                 dblSpreadDurationMultiplier,
  243.                 strGovvieCode,
  244.                 astrGovvieTenor,
  245.                 adblGovvieQuote,
  246.                 true,
  247.                 astrCreditTenor,
  248.                 adblCreditQuote,
  249.                 dblFX,
  250.                 dblResetRate,
  251.                 iSettleLag,
  252.                 CORPORATE_SUBORDINATE_RECOVERY_RATE,
  253.                 bond
  254.             );
  255.         } catch (java.lang.Exception e) {
  256.             e.printStackTrace();
  257.         }

  259.         return null;
  260.     }

  262.     /**
  263.      * Generate a Standard Senior Corporate BondReplicator Instance
  264.      * 
  265.      * @param dblCurrentPrice Current Price
  266.      * @param dblIssuePrice Issue Price
  267.      * @param dblIssueAmount Issue Amount
  268.      * @param dtSpot Spot Date
  269.      * @param astrDepositTenor Array of Deposit Tenors
  270.      * @param adblDepositQuote Array of Deposit Quotes
  271.      * @param adblFuturesQuote Array of Futures Quotes
  272.      * @param astrFixFloatTenor Array of Fix-Float Tenors
  273.      * @param adblFixFloatQuote Array of Fix-Float Quotes
  274.      * @param dblSpreadBump Yield/Spread Bump
  275.      * @param dblSpreadDurationMultiplier Spread Duration Multiplier
  276.      * @param strGovvieCode Govvie Code
  277.      * @param astrGovvieTenor Array of Govvie Tenor
  278.      * @param adblGovvieQuote Array of Govvie Quotes
  279.      * @param astrCreditTenor Array of Credit Tenors
  280.      * @param adblCreditQuote Array of Credit Quotes
  281.      * @param dblFX FX Rate Applicable
  282.      * @param dblResetRate Reset Rate Applicable
  283.      * @param iSettleLag Settlement Lag
  284.      * @param bond Bond Component Instance
  285.      * 
  286.      * @return The Standard Senior BondReplicator Instance
  287.      */

  289.     public static final BondReplicator CorporateSenior (
  290.         final double dblCurrentPrice,
  291.         final double dblIssuePrice,
  292.         final double dblIssueAmount,
  293.         final org.drip.analytics.date.JulianDate dtSpot,
  294.         final java.lang.String[] astrDepositTenor,
  295.         final double[] adblDepositQuote,
  296.         final double[] adblFuturesQuote,
  297.         final java.lang.String[] astrFixFloatTenor,
  298.         final double[] adblFixFloatQuote,
  299.         final double dblSpreadBump,
  300.         final double dblSpreadDurationMultiplier,
  301.         final java.lang.String strGovvieCode,
  302.         final java.lang.String[] astrGovvieTenor,
  303.         final double[] adblGovvieQuote,
  304.         final java.lang.String[] astrCreditTenor,
  305.         final double[] adblCreditQuote,
  306.         final double dblFX,
  307.         final double dblResetRate,
  308.         final int iSettleLag,
  309.         final org.drip.product.credit.BondComponent bond)
  310.     {
  311.         try {
  312.             return new BondReplicator (
  313.                 dblCurrentPrice,
  314.                 dblIssuePrice,
  315.                 dblIssueAmount,
  316.                 dtSpot,
  317.                 astrDepositTenor,
  318.                 adblDepositQuote,
  319.                 adblFuturesQuote,
  320.                 astrFixFloatTenor,
  321.                 adblFixFloatQuote,
  322.                 dblSpreadBump,
  323.                 dblSpreadBump,
  324.                 dblSpreadBump,
  325.                 dblSpreadBump,
  326.                 dblSpreadDurationMultiplier,
  327.                 strGovvieCode,
  328.                 astrGovvieTenor,
  329.                 adblGovvieQuote,
  330.                 true,
  331.                 astrCreditTenor,
  332.                 adblCreditQuote,
  333.                 dblFX,
  334.                 dblResetRate,
  335.                 iSettleLag,
  336.                 CORPORATE_SENIOR_RECOVERY_RATE,
  337.                 bond
  338.             );
  339.         } catch (java.lang.Exception e) {
  340.             e.printStackTrace();
  341.         }

  343.         return null;
  344.     }

  346.     /**
  347.      * Generate a Standard Corporate Loan BondReplicator Instance
  348.      * 
  349.      * @param dblCurrentPrice Current Price
  350.      * @param dblIssuePrice Issue Price
  351.      * @param dblIssueAmount Issue Amount
  352.      * @param dtSpot Spot Date
  353.      * @param astrDepositTenor Array of Deposit Tenors
  354.      * @param adblDepositQuote Array of Deposit Quotes
  355.      * @param adblFuturesQuote Array of Futures Quotes
  356.      * @param astrFixFloatTenor Array of Fix-Float Tenors
  357.      * @param adblFixFloatQuote Array of Fix-Float Quotes
  358.      * @param dblSpreadBump Yield/Spread Bump
  359.      * @param dblSpreadDurationMultiplier Spread Duration Multiplier
  360.      * @param strGovvieCode Govvie Code
  361.      * @param astrGovvieTenor Array of Govvie Tenor
  362.      * @param adblGovvieQuote Array of Govvie Quotes
  363.      * @param astrCreditTenor Array of Credit Tenors
  364.      * @param adblCreditQuote Array of Credit Quotes
  365.      * @param dblFX FX Rate Applicable
  366.      * @param dblResetRate Reset Rate Applicable
  367.      * @param iSettleLag Settlement Lag
  368.      * @param bond Bond Component Instance
  369.      * 
  370.      * @return The Standard Senior BondReplicator Instance
  371.      */

  373.     public static final BondReplicator CorporateLoan (
  374.         final double dblCurrentPrice,
  375.         final double dblIssuePrice,
  376.         final double dblIssueAmount,
  377.         final org.drip.analytics.date.JulianDate dtSpot,
  378.         final java.lang.String[] astrDepositTenor,
  379.         final double[] adblDepositQuote,
  380.         final double[] adblFuturesQuote,
  381.         final java.lang.String[] astrFixFloatTenor,
  382.         final double[] adblFixFloatQuote,
  383.         final double dblSpreadBump,
  384.         final double dblSpreadDurationMultiplier,
  385.         final java.lang.String strGovvieCode,
  386.         final java.lang.String[] astrGovvieTenor,
  387.         final double[] adblGovvieQuote,
  388.         final java.lang.String[] astrCreditTenor,
  389.         final double[] adblCreditQuote,
  390.         final double dblFX,
  391.         final double dblResetRate,
  392.         final int iSettleLag,
  393.         final org.drip.product.credit.BondComponent bond)
  394.     {
  395.         try {
  396.             return new BondReplicator (
  397.                 dblCurrentPrice,
  398.                 dblIssuePrice,
  399.                 dblIssueAmount,
  400.                 dtSpot,
  401.                 astrDepositTenor,
  402.                 adblDepositQuote,
  403.                 adblFuturesQuote,
  404.                 astrFixFloatTenor,
  405.                 adblFixFloatQuote,
  406.                 dblSpreadBump,
  407.                 dblSpreadBump,
  408.                 dblSpreadBump,
  409.                 dblSpreadBump,
  410.                 dblSpreadDurationMultiplier,
  411.                 strGovvieCode,
  412.                 astrGovvieTenor,
  413.                 adblGovvieQuote,
  414.                 true,
  415.                 astrCreditTenor,
  416.                 adblCreditQuote,
  417.                 dblFX,
  418.                 dblResetRate,
  419.                 iSettleLag,
  420.                 CORPORATE_LOAN_RECOVERY_RATE,
  421.                 bond
  422.             );
  423.         } catch (java.lang.Exception e) {
  424.             e.printStackTrace();
  425.         }

  427.         return null;
  428.     }

  430.     /**
  431.      * BondReplicator Constructor
  432.      * 
  433.      * @param dblCurrentPrice Current Price
  434.      * @param dblIssuePrice Issue Price
  435.      * @param dblIssueAmount Issue Amount
  436.      * @param dtValue Value Date
  437.      * @param astrDepositTenor Array of Deposit Tenors
  438.      * @param adblDepositQuote Array of Deposit Quotes
  439.      * @param adblFuturesQuote Array of Futures Quotes
  440.      * @param astrFixFloatTenor Array of Fix-Float Tenors
  441.      * @param adblFixFloatQuote Array of Fix-Float Quotes
  442.      * @param dblCustomYieldBump Custom Yield Bump
  443.      * @param dblCustomCreditBasisBump Custom Credit Basis Bump
  444.      * @param dblZSpreadBump Z Spread Bump
  445.      * @param dblTenorBump Tenor Bump
  446.      * @param dblSpreadDurationMultiplier Spread Duration Multiplier
  447.      * @param strGovvieCode Govvie Code
  448.      * @param astrGovvieTenor Array of Govvie Tenor
  449.      * @param adblGovvieQuote Array of Govvie Quotes
  450.      * @param bMarketPriceCreditMetrics Generate the Credit Metrics from the Market Price
  451.      * @param astrCreditTenor Array of Credit Tenors
  452.      * @param adblCreditQuote Array of Credit Quotes
  453.      * @param dblFX FX Rate Applicable
  454.      * @param dblResetRate Reset Rate Applicable
  455.      * @param iSettleLag Settlement Lag
  456.      * @param dblRecoveryRate Recovery Rate
  457.      * @param bond Bond Component Instance
  458.      * 
  459.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  460.      */

  462.     public BondReplicator (
  463.         final double dblCurrentPrice,
  464.         final double dblIssuePrice,
  465.         final double dblIssueAmount,
  466.         final org.drip.analytics.date.JulianDate dtValue,
  467.         final java.lang.String[] astrDepositTenor,
  468.         final double[] adblDepositQuote,
  469.         final double[] adblFuturesQuote,
  470.         final java.lang.String[] astrFixFloatTenor,
  471.         final double[] adblFixFloatQuote,
  472.         final double dblCustomYieldBump,
  473.         final double dblCustomCreditBasisBump,
  474.         final double dblZSpreadBump,
  475.         final double dblTenorBump,
  476.         final double dblSpreadDurationMultiplier,
  477.         final java.lang.String strGovvieCode,
  478.         final java.lang.String[] astrGovvieTenor,
  479.         final double[] adblGovvieQuote,
  480.         final boolean bMarketPriceCreditMetrics,
  481.         final java.lang.String[] astrCreditTenor,
  482.         final double[] adblCreditQuote,
  483.         final double dblFX,
  484.         final double dblResetRate,
  485.         final int iSettleLag,
  486.         final double dblRecoveryRate,
  487.         final org.drip.product.credit.BondComponent bond)
  488.         throws java.lang.Exception
  489.     {
  490.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCurrentPrice = dblCurrentPrice) ||
  491.             !org.drip.numerical.common.NumberUtil.IsValid (_dblIssuePrice = dblIssuePrice) ||
  492.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblIssueAmount = dblIssueAmount) || null ==
  493.                     (_dtValue = dtValue) || !org.drip.numerical.common.NumberUtil.IsValid (_dblFX = dblFX) || 0.
  494.                         >= _dblFX || 0 > (_iSettleLag = iSettleLag) ||
  495.                             !org.drip.numerical.common.NumberUtil.IsValid (_dblRecoveryRate = dblRecoveryRate) ||
  496.                                 0. >= _dblRecoveryRate || null == (_bond = bond))
  497.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  499.         _dblResetRate = dblResetRate;
  500.         _dblTenorBump = dblTenorBump;
  501.         _strGovvieCode = strGovvieCode;
  502.         _dblZSpreadBump = dblZSpreadBump;
  503.         _adblCreditQuote = adblCreditQuote;
  504.         _astrCreditTenor = astrCreditTenor;
  505.         _adblGovvieQuote = adblGovvieQuote;
  506.         _astrGovvieTenor = astrGovvieTenor;
  507.         _adblDepositQuote = adblDepositQuote;
  508.         _astrDepositTenor = astrDepositTenor;
  509.         _adblFuturesQuote = adblFuturesQuote;
  510.         _adblFixFloatQuote = adblFixFloatQuote;
  511.         _astrFixFloatTenor = astrFixFloatTenor;
  512.         _dblCustomYieldBump = dblCustomYieldBump;
  513.         _dblCustomCreditBasisBump = dblCustomCreditBasisBump;
  514.         _bMarketPriceCreditMetrics = bMarketPriceCreditMetrics;
  515.         _dblSpreadDurationMultiplier = dblSpreadDurationMultiplier;

  517.         java.lang.String strCurrency = _bond.currency();

  519.         if (null == (_dtSettle = _dtValue.addBusDays (_iSettleLag, strCurrency)))
  520.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  522.         _valParams = new org.drip.param.valuation.ValuationParams (_dtValue, _dtSettle, strCurrency);

  524.         org.drip.analytics.date.JulianDate dtSpot = dtValue;

  526.         org.drip.state.discount.MergedDiscountForwardCurve mdfc =
  527.             org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  528.                 strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate", _adblFuturesQuote,
  529.                     "ForwardRate", _astrFixFloatTenor, _adblFixFloatQuote, "SwapRate");

  531.         if (null == mdfc) throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  533.         org.drip.analytics.date.JulianDate[] adtSpot = org.drip.analytics.support.Helper.SpotDateArray
  534.             (dtSpot, null == _astrGovvieTenor ? 0 : _astrGovvieTenor.length);

  536.         org.drip.analytics.date.JulianDate[] adtMaturity = org.drip.analytics.support.Helper.FromTenor
  537.             (dtSpot, _astrGovvieTenor);

  539.         org.drip.state.govvie.GovvieCurve gc = org.drip.service.template.LatentMarketStateBuilder.GovvieCurve
  540.             (_strGovvieCode, dtSpot, adtSpot, adtMaturity, _adblGovvieQuote, _adblGovvieQuote, "Yield",
  541.                 org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);

  543.         if (null == gc) throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  545.         if (_bond.isFloater()) {
  546.             org.drip.analytics.cashflow.CompositePeriod cp = _bond.stream().containingPeriod
  547.                 (dtSpot.julian());

  549.             if (null != cp && cp instanceof org.drip.analytics.cashflow.CompositeFloatingPeriod) {
  550.                 org.drip.analytics.cashflow.CompositeFloatingPeriod cfp =
  551.                     (org.drip.analytics.cashflow.CompositeFloatingPeriod) cp;

  553.                 _iResetDate = ((org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) (cfp.periods().get
  554.                     (0))).referenceIndexPeriod().fixingDate();
  555.             }
  556.         }

  558.         if (null == (_csqcFundingBase = org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc, null,
  559.             null, null, null, null)))
  560.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  562.         org.drip.state.identifier.FloaterLabel fl = _bond.isFloater() ? _bond.floaterSetting().fri() : null;

  564.         if (_bond.isFloater() && java.lang.Integer.MIN_VALUE != _iResetDate) {
  565.             if (fl instanceof org.drip.state.identifier.ForwardLabel) {
  566.                 if (!_csqcFundingBase.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel) fl,
  567.                     _dblResetRate))
  568.                     throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  569.             } else if (fl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  570.             if (!_csqcFundingBase.setFixing (_iResetDate, (org.drip.state.identifier.OTCFixFloatLabel) fl,
  571.                 _dblResetRate))
  572.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  573.             }
  574.         }

  576.         if (null == (_csqcFunding01Up = org.drip.param.creator.MarketParamsBuilder.Create
  577.             (org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  578.                 strCurrency, _astrDepositTenor, org.drip.analytics.support.Helper.ParallelNodeBump
  579.                     (_adblDepositQuote, 0.0001), "ForwardRate",
  580.                         org.drip.analytics.support.Helper.ParallelNodeBump (_adblFuturesQuote, 0.0001),
  581.                             "ForwardRate", _astrFixFloatTenor,
  582.                                 org.drip.analytics.support.Helper.ParallelNodeBump (_adblFixFloatQuote,
  583.                                     0.0001), "SwapRate"), gc, null, null, null, null, null)))
  584.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  586.         if (_bond.isFloater() && java.lang.Integer.MIN_VALUE != _iResetDate) {
  587.             if (fl instanceof org.drip.state.identifier.ForwardLabel) {
  588.                 if (!_csqcFunding01Up.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel) fl,
  589.                     _dblResetRate /* + 0.0001 */))
  590.                     throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  591.             } else if (fl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  592.             if (!_csqcFunding01Up.setFixing (_iResetDate, (org.drip.state.identifier.OTCFixFloatLabel) fl,
  593.                 _dblResetRate /* + 0.0001 */))
  594.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  595.             }
  596.         }

  598.         if (null == (_csqcFundingEuroDollar = org.drip.param.creator.MarketParamsBuilder.Create
  599.             (org.drip.service.template.LatentMarketStateBuilder.SmoothFundingCurve (dtSpot,
  600.                 strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate", _adblFuturesQuote,
  601.                     "ForwardRate", null, null, "SwapRate"), gc, null, null, null, null, null)))
  602.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  604.         if (_bond.isFloater() && java.lang.Integer.MIN_VALUE != _iResetDate) {
  605.             if (fl instanceof org.drip.state.identifier.ForwardLabel) {
  606.                 if (!_csqcFundingEuroDollar.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel) fl,
  607.                     _dblResetRate))
  608.                     throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  609.             } else if (fl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  610.             if (!_csqcFundingEuroDollar.setFixing (_iResetDate, (org.drip.state.identifier.OTCFixFloatLabel) fl,
  611.                 _dblResetRate))
  612.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  613.             }
  614.         }

  616.         java.util.Map<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  617.             mapTenorForwardFundingUp =
  618.                 org.drip.service.template.LatentMarketStateBuilder.BumpedForwardFundingCurve (dtSpot,
  619.                     strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate", _adblFuturesQuote,
  620.                         "ForwardRate", _astrFixFloatTenor, _adblFixFloatQuote, "SwapRate",
  621.                             org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, 0.0001 *
  622.                                 _dblTenorBump, false);

  624.         java.util.Map<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  625.             mapTenorForwardFundingDown =
  626.                 org.drip.service.template.LatentMarketStateBuilder.BumpedForwardFundingCurve (dtSpot,
  627.                     strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate", _adblFuturesQuote,
  628.                         "ForwardRate", _astrFixFloatTenor, _adblFixFloatQuote, "SwapRate",
  629.                             org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, -0.0001 *
  630.                                 _dblTenorBump, false);

  632.         if (null == mapTenorForwardFundingUp || null == mapTenorForwardFundingDown)
  633.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  635.         for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  636.             meTenorForwardFundingUp : mapTenorForwardFundingUp.entrySet()) {
  637.             java.lang.String strKey = meTenorForwardFundingUp.getKey();

  639.             org.drip.param.market.CurveSurfaceQuoteContainer csqcForwardFundingTenorUp =
  640.                 org.drip.param.creator.MarketParamsBuilder.Create (meTenorForwardFundingUp.getValue(), gc,
  641.                     null, null, null, null, null);

  643.             org.drip.param.market.CurveSurfaceQuoteContainer csqcForwardFundingTenorDown =
  644.                 org.drip.param.creator.MarketParamsBuilder.Create (mapTenorForwardFundingDown.get (strKey),
  645.                     gc, null, null, null, null, null);

  647.             if (null == csqcForwardFundingTenorUp || null == csqcForwardFundingTenorDown)
  648.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  650.             _mapCSQCForwardFundingUp.put (strKey, csqcForwardFundingTenorUp);

  652.             _mapCSQCForwardFundingDown.put (strKey, csqcForwardFundingTenorDown);
  653.         }

  655.         java.util.Map<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  656.             mapTenorFundingUp = org.drip.service.template.LatentMarketStateBuilder.BumpedFundingCurve
  657.                 (dtSpot, strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate",
  658.                     _adblFuturesQuote, "ForwardRate", _astrFixFloatTenor, _adblFixFloatQuote, "SwapRate",
  659.                         org.drip.service.template.LatentMarketStateBuilder.SMOOTH, 0.0001 *
  660.                             _dblTenorBump, false);

  662.         java.util.Map<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  663.             mapTenorFundingDown = org.drip.service.template.LatentMarketStateBuilder.BumpedFundingCurve
  664.                 (dtSpot, strCurrency, _astrDepositTenor, _adblDepositQuote, "ForwardRate",
  665.                     _adblFuturesQuote, "ForwardRate", _astrFixFloatTenor, _adblFixFloatQuote, "SwapRate",
  666.                         org.drip.service.template.LatentMarketStateBuilder.SMOOTH, -0.0001 *
  667.                             _dblTenorBump, false);

  669.         if (null == mapTenorFundingUp || null == mapTenorFundingDown)
  670.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  672.         for (java.util.Map.Entry<java.lang.String, org.drip.state.discount.MergedDiscountForwardCurve>
  673.             meTenorFundingUp : mapTenorFundingUp.entrySet()) {
  674.             java.lang.String strKey = meTenorFundingUp.getKey();

  676.             org.drip.param.market.CurveSurfaceQuoteContainer csqcFundingTenorUp =
  677.                 org.drip.param.creator.MarketParamsBuilder.Create (meTenorFundingUp.getValue(), gc, null,
  678.                     null, null, null, null);

  680.             org.drip.param.market.CurveSurfaceQuoteContainer csqcFundingTenorDown =
  681.                 org.drip.param.creator.MarketParamsBuilder.Create (mapTenorFundingDown.get (strKey), gc,
  682.                     null, null, null, null, null);

  684.             if (null == csqcFundingTenorUp || null == csqcFundingTenorDown)
  685.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  687.             if (_bond.isFloater() && java.lang.Integer.MIN_VALUE != _iResetDate) {
  688.                 if (fl instanceof org.drip.state.identifier.ForwardLabel) {
  689.                     if (!csqcFundingTenorUp.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel)
  690.                         fl, _dblResetRate /* + 0.0001 * _dblTenorBump */))
  691.                         throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  693.                     if (!csqcFundingTenorDown.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel)
  694.                         fl, _dblResetRate /* - 0.0001 * _dblTenorBump */))
  695.                         throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  696.                 } else if (fl instanceof org.drip.state.identifier.OTCFixFloatLabel) {
  697.                     if (!csqcFundingTenorUp.setFixing (_iResetDate,
  698.                         (org.drip.state.identifier.OTCFixFloatLabel) fl, _dblResetRate + 0.0001 *
  699.                             _dblTenorBump))
  700.                         throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  702.                     if (!csqcFundingTenorDown.setFixing (_iResetDate,
  703.                         (org.drip.state.identifier.OTCFixFloatLabel) fl, _dblResetRate - 0.0001 *
  704.                         _dblTenorBump))
  705.                         throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  706.                 }
  707.             }

  709.             _mapCSQCFundingUp.put (strKey, csqcFundingTenorUp);

  711.             _mapCSQCFundingDown.put (strKey, csqcFundingTenorDown);
  712.         }

  714.         java.util.Map<java.lang.String, org.drip.state.govvie.GovvieCurve> mapTenorGovvieUp =
  715.             org.drip.service.template.LatentMarketStateBuilder.BumpedGovvieCurve (_strGovvieCode, dtSpot,
  716.                 adtSpot, adtMaturity,_adblGovvieQuote, _adblGovvieQuote, "Yield",
  717.                     org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, 0.0001 *
  718.                         _dblTenorBump, false);

  720.         java.util.Map<java.lang.String, org.drip.state.govvie.GovvieCurve> mapTenorGovvieDown =
  721.             org.drip.service.template.LatentMarketStateBuilder.BumpedGovvieCurve (_strGovvieCode, dtSpot,
  722.                 adtSpot, adtMaturity,_adblGovvieQuote, _adblGovvieQuote, "Yield",
  723.                     org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING, -0.0001 *
  724.                         _dblTenorBump, false);

  726.         if (null == mapTenorGovvieUp || null == mapTenorGovvieDown)
  727.             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  729.         for (java.util.Map.Entry<java.lang.String, org.drip.state.govvie.GovvieCurve> meTenorGovvieUp :
  730.             mapTenorGovvieUp.entrySet()) {
  731.             java.lang.String strKey = meTenorGovvieUp.getKey();

  733.             org.drip.param.market.CurveSurfaceQuoteContainer csqcGovvieTenorUp =
  734.                 org.drip.param.creator.MarketParamsBuilder.Create (mdfc, meTenorGovvieUp.getValue(), null,
  735.                     null, null, null, null);

  737.             org.drip.param.market.CurveSurfaceQuoteContainer csqcGovvieTenorDown =
  738.                 org.drip.param.creator.MarketParamsBuilder.Create (mdfc, mapTenorGovvieDown.get (strKey),
  739.                     null, null, null, null, null);

  741.             if (null == csqcGovvieTenorUp || null == csqcGovvieTenorDown)
  742.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  744.             _mapCSQCGovvieUp.put (strKey, csqcGovvieTenorUp);

  746.             _mapCSQCGovvieDown.put (strKey, csqcGovvieTenorDown);

  748.             if ((_bond.isFloater() && java.lang.Integer.MIN_VALUE != _iResetDate) &&
  749.                 (!csqcGovvieTenorUp.setFixing (_iResetDate, fl, _dblResetRate) ||
  750.                     !csqcGovvieTenorDown.setFixing (_iResetDate, fl, _dblResetRate)))
  751.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  752.         }

  754.         org.drip.state.identifier.EntityCDSLabel cl = _bond.creditLabel();

  756.         java.lang.String strReferenceEntity = null != cl ? cl.referenceEntity() : null;

  758.         if (null == strReferenceEntity) return;

  760.         if (!_bMarketPriceCreditMetrics) {
  761.             if (null == (_csqcCreditBase = org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc,
  762.                 org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dtSpot, strReferenceEntity,
  763.                     _astrCreditTenor, _adblCreditQuote, _adblCreditQuote, "FairPremium", mdfc), null, null,
  764.                         null, null)))
  765.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  767.             if (_bond.isFloater() && !_csqcCreditBase.setFixing (_iResetDate,
  768.                 (org.drip.state.identifier.ForwardLabel) fl, _dblResetRate))
  769.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  771.             if (null == (_csqcCredit01Up = org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc,
  772.                 org.drip.service.template.LatentMarketStateBuilder.CreditCurve (dtSpot, strReferenceEntity,
  773.                     _astrCreditTenor, _adblCreditQuote, org.drip.analytics.support.Helper.ParallelNodeBump
  774.                         (_adblCreditQuote, _dblTenorBump), "FairPremium", mdfc), null, null, null, null)))
  775.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  777.             if (_bond.isFloater() && !_csqcCredit01Up.setFixing (_iResetDate, fl, _dblResetRate))
  778.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  780.             java.util.Map<java.lang.String, org.drip.state.credit.CreditCurve> mapTenorCredit =
  781.                 org.drip.service.template.LatentMarketStateBuilder.BumpedCreditCurve (dtSpot,
  782.                     strReferenceEntity, _astrCreditTenor, _adblCreditQuote, _adblCreditQuote, "FairPremium",
  783.                         mdfc, _dblTenorBump, false);

  785.             if (null == mapTenorCredit)
  786.                 throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  788.             _mapCSQCCredit = new
  789.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.param.market.CurveSurfaceQuoteContainer>();

  791.             for (java.util.Map.Entry<java.lang.String, org.drip.state.credit.CreditCurve> meTenorCredit :
  792.                 mapTenorCredit.entrySet()) {
  793.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcCreditTenor =
  794.                     org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc, meTenorCredit.getValue(),
  795.                         null, null, null, null);

  797.                 if (null == csqcCreditTenor)
  798.                     throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");

  800.                 _mapCSQCCredit.put (meTenorCredit.getKey(), csqcCreditTenor);

  802.                 if (_bond.isFloater() && !csqcCreditTenor.setFixing (_iResetDate, fl, _dblResetRate))
  803.                     throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  804.             }
  805.         } else {
  806.             org.drip.state.credit.CreditCurve ccBase =
  807.                 org.drip.state.creator.ScenarioCreditCurveBuilder.Custom (strReferenceEntity, dtSpot, new
  808.                     org.drip.product.definition.CalibratableComponent[] {bond}, mdfc, new double[]
  809.                         {_dblCurrentPrice}, new java.lang.String[] {"Price"}, _dblRecoveryRate, false, new
  810.                             org.drip.param.definition.CalibrationParams ("Price", 0,
  811.                                 _bond.exerciseYieldFromPrice (_valParams, _csqcFundingBase, null,
  812.                                     _dblCurrentPrice)));

  814.             if (null == ccBase || null == (_csqcCreditBase =
  815.                 org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc, ccBase, null, null, null,
  816.                     null)))
  817.                 return;

  819.             if (_bond.isFloater())
  820.             {
  821.                 if (null != fl && org.drip.numerical.common.NumberUtil.IsValid (_dblResetRate))
  822.                 {
  823.                     if (fl instanceof org.drip.state.identifier.ForwardLabel)
  824.                     {
  825.                         if (!_csqcCreditBase.setFixing (_iResetDate, (org.drip.state.identifier.ForwardLabel)
  826.                             fl, _dblResetRate))
  827.                         {
  828.                             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  829.                         }
  830.                     } else if (fl instanceof org.drip.state.identifier.OTCFixFloatLabel)
  831.                     {
  832.                         if (!_csqcCreditBase.setFixing (_iResetDate,
  833.                             (org.drip.state.identifier.OTCFixFloatLabel) fl, _dblResetRate))
  834.                         {
  835.                             throw new java.lang.Exception ("BondReplicator Constructor => Invalid Inputs");
  836.                         }
  837.                     }
  838.                 }
  839.             }

  841.             _csqcCredit01Up = org.drip.param.creator.MarketParamsBuilder.Create (mdfc, gc,
  842.                 org.drip.state.creator.ScenarioCreditCurveBuilder.FlatHazard (dtSpot.julian(),
  843.                     strReferenceEntity, strCurrency, ccBase.hazard (bond.maturityDate()) + 0.0001,
  844.                         _dblRecoveryRate), null, null, null, null);
  845.         }

  847.         _emr = !_bond.callable() && _bond.putable() ? null :
  848.             org.drip.service.scenario.EOSMetricsReplicator.Standard (
  849.                 _bond,
  850.                 _valParams,
  851.                 _csqcFundingBase,
  852.                 new org.drip.state.sequence.GovvieBuilderSettings (
  853.                     dtSpot,
  854.                     _strGovvieCode,
  855.                     _astrGovvieTenor,
  856.                     _adblGovvieQuote,
  857.                     _adblGovvieQuote
  858.                 ),
  859.                 _dblLogNormalVolatility,
  860.                 _dblCurrentPrice
  861.             );
  862.     }

  864.     /**
  865.      * Retrieve the Bond Current Market Price
  866.      * 
  867.      * @return The Bond Current Market Price
  868.      */

  870.     public double currentPrice()
  871.     {
  872.         return _dblCurrentPrice;
  873.     }

  875.     /**
  876.      * Retrieve the Bond Issue Price
  877.      * 
  878.      * @return The Bond Issue Price
  879.      */

  881.     public double issuePrice()
  882.     {
  883.         return _dblIssuePrice;
  884.     }

  886.     /**
  887.      * Retrieve the Bond Issue Amount
  888.      * 
  889.      * @return The Bond Issue Amount
  890.      */

  892.     public double issueAmount()
  893.     {
  894.         return _dblIssueAmount;
  895.     }

  897.     /**
  898.      * Retrieve the Value Date
  899.      * 
  900.      * @return The Value Date
  901.      */

  903.     public org.drip.analytics.date.JulianDate valueDate()
  904.     {
  905.         return _dtValue;
  906.     }

  908.     /**
  909.      * Retrieve the Array of Deposit Instrument Maturity Tenors
  910.      * 
  911.      * @return The Array of Deposit Instrument Maturity Tenors
  912.      */

  914.     public java.lang.String[] depositTenor()
  915.     {
  916.         return _astrDepositTenor;
  917.     }

  919.     /**
  920.      * Retrieve the Array of Deposit Instrument Quotes
  921.      * 
  922.      * @return The Array of Deposit Instrument Quotes
  923.      */

  925.     public double[] depositQuote()
  926.     {
  927.         return _adblDepositQuote;
  928.     }

  930.     /**
  931.      * Retrieve the Array of Futures Instrument Quotes
  932.      * 
  933.      * @return The Array of Futures Instrument Quotes
  934.      */

  936.     public double[] futuresQuote()
  937.     {
  938.         return _adblFuturesQuote;
  939.     }

  941.     /**
  942.      * Retrieve the Array of Fix-Float IRS Instrument Maturity Tenors
  943.      * 
  944.      * @return The Array of Fix-Float IRS Instrument Maturity Tenors
  945.      */

  947.     public java.lang.String[] fixFloatTenor()
  948.     {
  949.         return _astrFixFloatTenor;
  950.     }

  952.     /**
  953.      * Retrieve the Array of Fix-Float IRS Instrument Quotes
  954.      * 
  955.      * @return The Array of Fix-Float IRS Instrument Quotes
  956.      */

  958.     public double[] fixFloatQuote()
  959.     {
  960.         return _adblFixFloatQuote;
  961.     }

  963.     /**
  964.      * Retrieve the Recovery Rate
  965.      * 
  966.      * @return The Recovery Rate
  967.      */

  969.     public double recoveryRate()
  970.     {
  971.         return _dblRecoveryRate;
  972.     }

  974.     /**
  975.      * Retrieve the Custom Yield Bump
  976.      * 
  977.      * @return The Custom Yield Bump
  978.      */

  980.     public double customYieldBump()
  981.     {
  982.         return _dblCustomYieldBump;
  983.     }

  985.     /**
  986.      * Retrieve the Custom Credit Basis Bump
  987.      * 
  988.      * @return The Custom Credit Basis Bump
  989.      */

  991.     public double customCreditBasisBump()
  992.     {
  993.         return _dblCustomCreditBasisBump;
  994.     }

  996.     /**
  997.      * Retrieve the Z Spread Bump
  998.      * 
  999.      * @return The Z Spread Bump
  1000.      */

  1002.     public double zSpreadBump()
  1003.     {
  1004.         return _dblZSpreadBump;
  1005.     }

  1007.     /**
  1008.      * Retrieve the Tenor Quote Bump
  1009.      * 
  1010.      * @return The Tenor Quote Bump
  1011.      */

  1013.     public double tenorBump()
  1014.     {
  1015.         return _dblTenorBump;
  1016.     }

  1018.     /**
  1019.      * Retrieve the Spread Duration Multiplier
  1020.      * 
  1021.      * @return The Spread Duration Multiplier
  1022.      */

  1024.     public double spreadDurationMultiplier()
  1025.     {
  1026.         return _dblSpreadDurationMultiplier;
  1027.     }

  1029.     /**
  1030.      * Retrieve the Govvie Code
  1031.      * 
  1032.      * @return The Govvie Code
  1033.      */

  1035.     public java.lang.String govvieCode()
  1036.     {
  1037.         return _strGovvieCode;
  1038.     }

  1040.     /**
  1041.      * Retrieve the Array of Govvie Instrument Maturity Tenors
  1042.      * 
  1043.      * @return The Array of Govvie Instrument Maturity Tenors
  1044.      */

  1046.     public java.lang.String[] govvieTenor()
  1047.     {
  1048.         return _astrGovvieTenor;
  1049.     }

  1051.     /**
  1052.      * Retrieve the Array of Govvie Yield Quotes
  1053.      * 
  1054.      * @return The Array of Govvie Yield Quotes
  1055.      */

  1057.     public double[] govvieQuote()
  1058.     {
  1059.         return _adblGovvieQuote;
  1060.     }

  1062.     /**
  1063.      * Retrieve the Flag that indicates the Generation the Credit Metrics from the Market Price
  1064.      * 
  1065.      * @return TRUE - Generate the Credit Metrics from the Market Price
  1066.      */

  1068.     public boolean creditMetricsFromMarketPrice()
  1069.     {
  1070.         return _bMarketPriceCreditMetrics;
  1071.     }

  1073.     /**
  1074.      * Retrieve the Array of CDS Instrument Maturity Tenors
  1075.      * 
  1076.      * @return The Array of CDS Instrument Maturity Tenors
  1077.      */

  1079.     public java.lang.String[] creditTenor()
  1080.     {
  1081.         return _astrCreditTenor;
  1082.     }

  1084.     /**
  1085.      * Retrieve the Array of CDS Quotes
  1086.      * 
  1087.      * @return The Array of CDS Quotes
  1088.      */

  1090.     public double[] creditQuote()
  1091.     {
  1092.         return _adblCreditQuote;
  1093.     }

  1095.     /**
  1096.      * Retrieve the FX Rate
  1097.      * 
  1098.      * @return The FX Rate
  1099.      */

  1101.     public double fx()
  1102.     {
  1103.         return _dblFX;
  1104.     }

  1106.     /**
  1107.      * Retrieve the Settle Lag
  1108.      * 
  1109.      * @return The Settle Lag
  1110.      */

  1112.     public double settleLag()
  1113.     {
  1114.         return _iSettleLag;
  1115.     }

  1117.     /**
  1118.      * Retrieve the Bond Component Instance
  1119.      * 
  1120.      * @return The Bond Component Instance
  1121.      */

  1123.     public org.drip.product.credit.BondComponent bond()
  1124.     {
  1125.         return _bond;
  1126.     }

  1128.     /**
  1129.      * Retrieve the Settle Date
  1130.      * 
  1131.      * @return The Settle Date
  1132.      */

  1134.     public org.drip.analytics.date.JulianDate settleDate()
  1135.     {
  1136.         return _dtSettle;
  1137.     }

  1139.     /**
  1140.      * Retrieve the Valuation Parameters
  1141.      * 
  1142.      * @return The Valuation Parameters
  1143.      */

  1145.     public org.drip.param.valuation.ValuationParams valuationParameters()
  1146.     {
  1147.         return _valParams;
  1148.     }

  1150.     /**
  1151.      * Retrieve the Map of the Tenor Bumped Up Instances of the Funding Curve CSQC
  1152.      * 
  1153.      * @return The Map of the Tenor Bumped Up Instances of the Funding Curve CSQC
  1154.      */

  1156.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1157.         fundingTenorCSQCUp()
  1158.     {
  1159.         return _mapCSQCFundingUp;
  1160.     }

  1162.     /**
  1163.      * Retrieve the Map of the Tenor Bumped Down Instances of the Funding Curve CSQC
  1164.      * 
  1165.      * @return The Map of the Tenor Bumped Down Instances of the Funding Curve CSQC
  1166.      */

  1168.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1169.         fundingTenorCSQCDown()
  1170.     {
  1171.         return _mapCSQCFundingDown;
  1172.     }

  1174.     /**
  1175.      * Retrieve the Map of the Tenor Bumped Up Instances of the Forward Funding Curve CSQC
  1176.      * 
  1177.      * @return The Map of the Tenor Bumped Up Instances of the Forward Funding Curve CSQC
  1178.      */

  1180.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1181.         forwardFundingTenorCSQCUp()
  1182.     {
  1183.         return _mapCSQCForwardFundingUp;
  1184.     }

  1186.     /**
  1187.      * Retrieve the Map of the Tenor Bumped Down Instances of the Forward Funding Curve CSQC
  1188.      * 
  1189.      * @return The Map of the Tenor Bumped Down Instances of the Forward Funding Curve CSQC
  1190.      */

  1192.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1193.         forwardFundingTenorCSQCDown()
  1194.     {
  1195.         return _mapCSQCForwardFundingDown;
  1196.     }

  1198.     /**
  1199.      * Retrieve the Map of the Tenor Bumped Up Instances of the Govvie Curve CSQC
  1200.      * 
  1201.      * @return The Map of the Tenor Bumped Up Instances of the Govvie Curve CSQC
  1202.      */

  1204.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1205.         govvieTenorCSQCUp()
  1206.     {
  1207.         return _mapCSQCGovvieUp;
  1208.     }

  1210.     /**
  1211.      * Retrieve the Map of the Tenor Bumped Down Instances of the Govvie Curve CSQC
  1212.      * 
  1213.      * @return The Map of the Tenor Bumped Down Instances of the Govvie Curve CSQC
  1214.      */

  1216.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1217.         govvieTenorCSQCDown()
  1218.     {
  1219.         return _mapCSQCGovvieDown;
  1220.     }

  1222.     /**
  1223.      * Retrieve the Map of the Tenor Bumped Instances of the Credit Curve CSQC
  1224.      * 
  1225.      * @return The Map of the Tenor Bumped Instances of the Credit Curve CSQC
  1226.      */

  1228.     public java.util.Map<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1229.         creditTenorCSQC()
  1230.     {
  1231.         return _mapCSQCCredit;
  1232.     }

  1234.     /**
  1235.      * Retrieve the CSQC built out of the Base Funding Curve
  1236.      * 
  1237.      * @return The CSQC built out of the Base Funding Curve
  1238.      */

  1240.     public org.drip.param.market.CurveSurfaceQuoteContainer fundingBaseCSQC()
  1241.     {
  1242.         return _csqcFundingBase;
  1243.     }

  1245.     /**
  1246.      * Retrieve the CSQC built out of the Base Euro Dollar Curve
  1247.      * 
  1248.      * @return The CSQC built out of the Base Euro Dollar Curve
  1249.      */

  1251.     public org.drip.param.market.CurveSurfaceQuoteContainer fundingEuroDollarCSQC()
  1252.     {
  1253.         return _csqcFundingEuroDollar;
  1254.     }

  1256.     /**
  1257.      * Retrieve the CSQC built out of the Base Credit Curve
  1258.      * 
  1259.      * @return The CSQC built out of the Base Credit Curve
  1260.      */

  1262.     public org.drip.param.market.CurveSurfaceQuoteContainer creditBaseCSQC()
  1263.     {
  1264.         return _csqcCreditBase;
  1265.     }

  1267.     /**
  1268.      * Retrieve the CSQC built out of the Funding Curve Flat Bumped 1 bp
  1269.      * 
  1270.      * @return The CSQC built out of the Funding Curve Flat Bumped 1 bp
  1271.      */

  1273.     public org.drip.param.market.CurveSurfaceQuoteContainer funding01UpCSQC()
  1274.     {
  1275.         return _csqcFunding01Up;
  1276.     }

  1278.     /**
  1279.      * Retrieve the CSQC built out of the Credit Curve Flat Bumped 1 bp
  1280.      * 
  1281.      * @return The CSQC built out of the Credit Curve Flat Bumped 1 bp
  1282.      */

  1284.     public org.drip.param.market.CurveSurfaceQuoteContainer credit01UpCSQC()
  1285.     {
  1286.         return _csqcCredit01Up;
  1287.     }

  1289.     /**
  1290.      * Retrieve the Reset Date
  1291.      * 
  1292.      * @return The Reset Date
  1293.      */

  1295.     public int resetDate()
  1296.     {
  1297.         return _iResetDate;
  1298.     }

  1300.     /**
  1301.      * Retrieve the Reset Rate
  1302.      * 
  1303.      * @return The Reset Rate
  1304.      */

  1306.     public double resetRate()
  1307.     {
  1308.         return _dblResetRate;
  1309.     }

  1311.     /**
  1312.      * Retrieve the EOS Metrics Replicator
  1313.      * 
  1314.      * @return The EOS Metrics Replicator
  1315.      */

  1317.     public org.drip.service.scenario.EOSMetricsReplicator eosMetricsReplicator()
  1318.     {
  1319.         return _emr;
  1320.     }

  1322.     /**
  1323.      * Generate an Instance of a Replication Run
  1324.      * 
  1325.      * @return Instance of a Replication Run
  1326.      */

  1328.     public org.drip.service.scenario.BondReplicationRun generateRun()
  1329.     {
  1330.         int iMaturityDate = _bond.maturityDate().julian();

  1332.         double dblNextPutFactor = 1.;
  1333.         double dblNextCallFactor = 1.;
  1334.         int iNextPutDate = iMaturityDate;
  1335.         int iNextCallDate = iMaturityDate;
  1336.         double dblCV01 = java.lang.Double.NaN;
  1337.         double dblAccrued = java.lang.Double.NaN;
  1338.         double dblYield01 = java.lang.Double.NaN;
  1339.         double dblNominalYield = java.lang.Double.NaN;
  1340.         double dblBEYToMaturity = java.lang.Double.NaN;
  1341.         double dblOASToExercise = java.lang.Double.NaN;
  1342.         double dblOASToMaturity = java.lang.Double.NaN;
  1343.         double dblSpreadDuration = java.lang.Double.NaN;
  1344.         double dblYieldToMaturity = java.lang.Double.NaN;
  1345.         double dblParOASToExercise = java.lang.Double.NaN;
  1346.         double dblESpreadToExercise = java.lang.Double.NaN;
  1347.         double dblISpreadToExercise = java.lang.Double.NaN;
  1348.         double dblJSpreadToExercise = java.lang.Double.NaN;
  1349.         double dblNSpreadToExercise = java.lang.Double.NaN;
  1350.         double dblZSpreadToExercise = java.lang.Double.NaN;
  1351.         double dblZSpreadToMaturity = java.lang.Double.NaN;
  1352.         double dblBondBasisToExercise = java.lang.Double.NaN;
  1353.         double dblBondBasisToMaturity = java.lang.Double.NaN;
  1354.         double dblConvexityToExercise = java.lang.Double.NaN;
  1355.         double dblWALCreditToExercise = java.lang.Double.NaN;
  1356.         double dblParZSpreadToExercise = java.lang.Double.NaN;
  1357.         double dblCreditBasisToExercise = java.lang.Double.NaN;
  1358.         double dblWALLossOnlyToExercise = java.lang.Double.NaN;
  1359.         double dblYieldFromPriceNextPut = java.lang.Double.NaN;
  1360.         double dblYieldFromPriceNextCall = java.lang.Double.NaN;
  1361.         double dblWALCouponOnlyToExercise = java.lang.Double.NaN;
  1362.         double dblDiscountMarginToExercise = java.lang.Double.NaN;
  1363.         double dblParCreditBasisToExercise = java.lang.Double.NaN;
  1364.         double dblYieldToMaturityFwdCoupon = java.lang.Double.NaN;
  1365.         double dblEffectiveDurationAdjusted = java.lang.Double.NaN;
  1366.         double dblMacaulayDurationToMaturity = java.lang.Double.NaN;
  1367.         double dblModifiedDurationToExercise = java.lang.Double.NaN;
  1368.         double dblModifiedDurationToMaturity = java.lang.Double.NaN;
  1369.         double dblWALPrincipalOnlyToExercise = java.lang.Double.NaN;
  1370.         double dblWALPrincipalOnlyToMaturity = java.lang.Double.NaN;
  1371.         java.util.Map<java.lang.String, java.lang.Double> mapCreditKRD = null;
  1372.         java.util.Map<java.lang.String, java.lang.Double> mapCreditKPRD = null;

  1374.         int iValueDate = _dtValue.julian();

  1376.         java.lang.String strCurrency = _bond.currency();

  1378.         org.drip.product.params.EmbeddedOptionSchedule eosPut = _bond.putSchedule();

  1380.         org.drip.product.params.EmbeddedOptionSchedule eosCall = _bond.callSchedule();

  1382.         org.drip.service.scenario.BondReplicationRun arr = new
  1383.             org.drip.service.scenario.BondReplicationRun();

  1385.         org.drip.param.valuation.WorkoutInfo wi = _bond.exerciseYieldFromPrice (_valParams, _csqcFundingBase,
  1386.             null, _dblCurrentPrice);

  1388.         if (null == wi) return null;

  1390.         int iWorkoutDate = wi.date();

  1392.         double dblWorkoutFactor = wi.factor();

  1394.         double dblYieldToExercise = wi.yield();

  1396.         java.util.Map<java.lang.String, java.lang.Double> mapLIBORKRD = new
  1397.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1399.         java.util.Map<java.lang.String, java.lang.Double> mapLIBORKPRD = new
  1400.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1402.         java.util.Map<java.lang.String, java.lang.Double> mapFundingKRD = new
  1403.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1405.         java.util.Map<java.lang.String, java.lang.Double> mapFundingKPRD = new
  1406.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1408.         java.util.Map<java.lang.String, java.lang.Double> mapGovvieKRD = new
  1409.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1411.         java.util.Map<java.lang.String, java.lang.Double> mapGovvieKPRD = new
  1412.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1414.         try {
  1415.             if (null != eosCall) {
  1416.                 iNextCallDate = eosCall.nextDate (iValueDate);

  1418.                 dblNextCallFactor = eosCall.nextFactor (iValueDate);
  1419.             }

  1421.             if (null != eosPut) {
  1422.                 iNextPutDate = eosPut.nextDate (iValueDate);

  1424.                 dblNextPutFactor = eosPut.nextFactor (iValueDate);
  1425.             }
  1426.         } catch (java.lang.Exception e) {
  1427.             e.printStackTrace();

  1429.             return null;
  1430.         }

  1432.         try {
  1433.             dblAccrued = _bond.accrued (_dtSettle.julian(), _csqcFundingBase);
  1434.         } catch (java.lang.Exception e) {
  1435.             e.printStackTrace();

  1437.             return null;
  1438.         }

  1440.         try {
  1441.             dblYieldToMaturity = _bond.yieldFromPrice (_valParams, _csqcFundingBase, null, _dblCurrentPrice);
  1442.         } catch (java.lang.Exception e) {
  1443.             e.printStackTrace();

  1445.             return null;
  1446.         }

  1448.         try {
  1449.             dblBEYToMaturity = _bond.yieldFromPrice (_valParams, _csqcFundingBase,
  1450.                 org.drip.param.valuation.ValuationCustomizationParams.BondEquivalent (strCurrency),
  1451.                     _dblCurrentPrice);
  1452.         } catch (java.lang.Exception e) {
  1453.             e.printStackTrace();

  1455.             return null;
  1456.         }

  1458.         try {
  1459.             dblYieldToMaturityFwdCoupon = _bond.yieldFromPrice (_valParams, _csqcFundingBase, new
  1460.                 org.drip.param.valuation.ValuationCustomizationParams (_bond.couponDC(), _bond.freq(), false,
  1461.                     null, strCurrency, false, true), _dblCurrentPrice);
  1462.         } catch (java.lang.Exception e) {
  1463.             e.printStackTrace();

  1465.             return null;
  1466.         }

  1468.         try {
  1469.             dblYieldFromPriceNextCall = _bond.yieldFromPrice (_valParams, _csqcFundingBase, null,
  1470.                 iNextCallDate, dblNextCallFactor, _dblCurrentPrice);
  1471.         } catch (java.lang.Exception e) {
  1472.             e.printStackTrace();

  1474.             return null;
  1475.         }

  1477.         try {
  1478.             dblYieldFromPriceNextPut = _bond.yieldFromPrice (_valParams, _csqcFundingBase, null,
  1479.                 iNextPutDate, dblNextPutFactor, _dblCurrentPrice);
  1480.         } catch (java.lang.Exception e) {
  1481.             e.printStackTrace();

  1483.             return null;
  1484.         }

  1486.         try {
  1487.             dblNominalYield = _bond.yieldFromPrice (_valParams, _csqcFundingBase, null, _dblIssuePrice);
  1488.         } catch (java.lang.Exception e) {
  1489.             e.printStackTrace();

  1491.             return null;
  1492.         }

  1494.         try {
  1495.             dblOASToMaturity = _bond.oasFromPrice (_valParams, _csqcFundingBase, null, _dblCurrentPrice);
  1496.         } catch (java.lang.Exception e) {
  1497.             e.printStackTrace();
  1498.         }

  1500.         try {
  1501.             dblZSpreadToMaturity = _bond.isFloater() ? _bond.discountMarginFromPrice (_valParams,
  1502.                 _csqcFundingBase, null, _dblCurrentPrice) : _bond.zSpreadFromPrice (_valParams,
  1503.                     _csqcFundingBase, null, _dblCurrentPrice);
  1504.         } catch (java.lang.Exception e) {
  1505.             e.printStackTrace();
  1506.         }

  1508.         try {
  1509.              dblZSpreadToExercise = _bond.isFloater() ? _bond.discountMarginFromPrice (_valParams,
  1510.                 _csqcFundingBase, null, iWorkoutDate, dblWorkoutFactor, _dblCurrentPrice) :
  1511.                     _bond.zSpreadFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1512.                         dblWorkoutFactor, _dblCurrentPrice);
  1513.         } catch (java.lang.Exception e) {
  1514.             e.printStackTrace();
  1515.         }

  1517.         try {
  1518.              dblParZSpreadToExercise = _bond.isFloater() ? _bond.discountMarginFromPrice (_valParams,
  1519.                 _csqcFundingBase, null, iWorkoutDate, dblWorkoutFactor, _dblIssuePrice) :
  1520.                     _bond.zSpreadFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1521.                         dblWorkoutFactor, _dblIssuePrice);
  1522.         } catch (java.lang.Exception e) {
  1523.             e.printStackTrace();
  1524.         }

  1526.         try {
  1527.             dblBondBasisToMaturity = _bond.bondBasisFromPrice (_valParams, _csqcFundingBase, null,
  1528.                 _dblCurrentPrice);
  1529.         } catch (java.lang.Exception e) {
  1530.             e.printStackTrace();
  1531.         }

  1533.         try {
  1534.             dblBondBasisToExercise = _bond.bondBasisFromPrice (_valParams, _csqcFundingBase, null,
  1535.                 iWorkoutDate, dblWorkoutFactor, _dblCurrentPrice);
  1536.         } catch (java.lang.Exception e) {
  1537.             e.printStackTrace();
  1538.         }

  1540.         try {
  1541.             dblModifiedDurationToMaturity = (_dblCurrentPrice - _bond.priceFromBondBasis (_valParams,
  1542.                 _csqcFunding01Up, null, dblBondBasisToMaturity)) / _dblCurrentPrice;
  1543.         } catch (java.lang.Exception e) {
  1544.             e.printStackTrace();
  1545.         }

  1547.         try {
  1548.             dblMacaulayDurationToMaturity = _bond.macaulayDurationFromPrice (_valParams, _csqcFundingBase,
  1549.                 null, _dblCurrentPrice);
  1550.         } catch (java.lang.Exception e) {
  1551.             e.printStackTrace();
  1552.         }

  1554.         try {
  1555.             dblModifiedDurationToExercise = (_dblCurrentPrice - _bond.priceFromBondBasis (_valParams,
  1556.                 _csqcFunding01Up, null, iWorkoutDate, dblWorkoutFactor, dblBondBasisToExercise)) /
  1557.                     _dblCurrentPrice;
  1558.         } catch (java.lang.Exception e) {
  1559.             e.printStackTrace();
  1560.         }

  1562.         try {
  1563.             dblYield01 = 0.5 * (_bond.priceFromYield (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1564.                 dblWorkoutFactor, dblYieldToExercise - 0.0001 * _dblCustomYieldBump) - _bond.priceFromYield
  1565.                     (_valParams, _csqcFundingBase, null, iWorkoutDate, dblWorkoutFactor, dblYieldToExercise +
  1566.                         0.0001 * _dblCustomYieldBump)) / _dblCustomYieldBump;
  1567.         } catch (java.lang.Exception e) {
  1568.             e.printStackTrace();
  1569.         }

  1571.         try {
  1572.             if (null != _csqcCreditBase)
  1573.                 dblCreditBasisToExercise = _bMarketPriceCreditMetrics ? 0. : _bond.creditBasisFromPrice
  1574.                     (_valParams, _csqcCreditBase, null, iWorkoutDate, dblWorkoutFactor, _dblCurrentPrice);
  1575.         } catch (java.lang.Exception e) {
  1576.             e.printStackTrace();
  1577.         }

  1579.         try {
  1580.             if (null != _csqcCreditBase)
  1581.                 dblParCreditBasisToExercise = _bond.creditBasisFromPrice (_valParams, _csqcCreditBase, null,
  1582.                     iWorkoutDate, dblWorkoutFactor, _dblIssuePrice);
  1583.         } catch (java.lang.Exception e) {
  1584.             e.printStackTrace();
  1585.         }

  1587.         try {
  1588.             if (null != _csqcCreditBase) {
  1589.                 if (!_bMarketPriceCreditMetrics)
  1590.                     dblEffectiveDurationAdjusted = (_dblCurrentPrice - _bond.priceFromCreditBasis
  1591.                         (_valParams, _csqcCreditBase, null, iWorkoutDate, dblWorkoutFactor,
  1592.                             dblCreditBasisToExercise + 0.0001 * _dblCustomCreditBasisBump)) /
  1593.                                 _dblCurrentPrice / _dblCustomCreditBasisBump;
  1594.                 else {
  1595.                     org.drip.state.identifier.EntityCDSLabel cl = _bond.creditLabel();

  1597.                     org.drip.state.credit.CreditCurve ccBase = _csqcCreditBase.creditState (cl);

  1599.                     org.drip.state.credit.CreditCurve ccAdj =
  1600.                         org.drip.state.creator.ScenarioCreditCurveBuilder.FlatHazard (_dtValue.julian(),
  1601.                             cl.referenceEntity(), strCurrency, ccBase.hazard (_bond.maturityDate()) + 0.0001
  1602.                                 * _dblCustomCreditBasisBump, _dblRecoveryRate);

  1604.                     if (null != ccAdj)
  1605.                         dblEffectiveDurationAdjusted = (_dblCurrentPrice - _bond.priceFromCreditBasis
  1606.                             (_valParams, org.drip.param.creator.MarketParamsBuilder.Create
  1607.                                 (_csqcCreditBase.fundingState (_bond.fundingLabel()),
  1608.                                     _csqcCreditBase.govvieState (_bond.govvieLabel()), ccAdj, "", null, null,
  1609.                                         _csqcCreditBase.fixings()), null, iWorkoutDate, dblWorkoutFactor,
  1610.                                             0.)) / _dblCurrentPrice / _dblCustomCreditBasisBump;
  1611.                 }
  1612.             }
  1613.         } catch (java.lang.Exception e) {
  1614.             e.printStackTrace();
  1615.         }

  1617.         try {
  1618.             dblSpreadDuration = _dblSpreadDurationMultiplier * (_dblCurrentPrice - (_bond.isFloater() ?
  1619.                 _bond.priceFromDiscountMargin (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1620.                     dblWorkoutFactor, dblZSpreadToExercise + 0.0001 * _dblZSpreadBump) :
  1621.                         _bond.priceFromZSpread (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1622.                             dblWorkoutFactor, dblZSpreadToExercise + 0.0001 * _dblZSpreadBump))) /
  1623.                                 _dblCurrentPrice;
  1624.         } catch (java.lang.Exception e) {
  1625.             e.printStackTrace();
  1626.         }

  1628.         try {
  1629.             if (null != _csqcCredit01Up)
  1630.                 dblCV01 = _dblCurrentPrice - _bond.priceFromCreditBasis (_valParams, _csqcCredit01Up, null,
  1631.                     iWorkoutDate, dblWorkoutFactor, dblCreditBasisToExercise);
  1632.         } catch (java.lang.Exception e) {
  1633.             e.printStackTrace();
  1634.         }

  1636.         try {
  1637.             dblConvexityToExercise = _bond.convexityFromPrice (_valParams, _csqcFundingBase, null,
  1638.                 iWorkoutDate, dblWorkoutFactor, _dblCurrentPrice);
  1639.         } catch (java.lang.Exception e) {
  1640.             e.printStackTrace();
  1641.         }

  1643.         try {
  1644.             dblDiscountMarginToExercise = dblYieldToExercise - _csqcFundingBase.fundingState
  1645.                 (_bond.fundingLabel()).libor (_valParams.valueDate(), "1M");
  1646.         } catch (java.lang.Exception e) {
  1647.             e.printStackTrace();
  1648.         }

  1650.         try {
  1651.             dblESpreadToExercise = _bond.isFloater() ? _bond.discountMarginFromPrice (_valParams,
  1652.                 _csqcFundingEuroDollar, null, iWorkoutDate, dblWorkoutFactor, _dblCurrentPrice) :
  1653.                     _bond.zSpreadFromPrice (_valParams, _csqcFundingEuroDollar, null, iWorkoutDate,
  1654.                         dblWorkoutFactor, _dblCurrentPrice);
  1655.         } catch (java.lang.Exception e) {
  1656.             e.printStackTrace();
  1657.         }

  1659.         try {
  1660.             dblISpreadToExercise = _bond.iSpreadFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1661.                 dblWorkoutFactor, _dblCurrentPrice);
  1662.         } catch (java.lang.Exception e) {
  1663.             e.printStackTrace();
  1664.         }

  1666.         try {
  1667.             dblJSpreadToExercise = _bond.jSpreadFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1668.                 dblWorkoutFactor, _dblCurrentPrice);
  1669.         } catch (java.lang.Exception e) {
  1670.             e.printStackTrace();
  1671.         }

  1673.         try {
  1674.             dblNSpreadToExercise = _bond.nSpreadFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1675.                 dblWorkoutFactor, _dblCurrentPrice);
  1676.         } catch (java.lang.Exception e) {
  1677.             e.printStackTrace();
  1678.         }

  1680.         try {
  1681.             dblWALPrincipalOnlyToExercise = _bond.weightedAverageLifePrincipalOnly (_valParams,
  1682.                 _csqcFundingBase, iWorkoutDate, dblWorkoutFactor);
  1683.         } catch (java.lang.Exception e) {
  1684.             e.printStackTrace();
  1685.         }

  1687.         try {
  1688.             dblWALPrincipalOnlyToMaturity = _bond.weightedAverageLifePrincipalOnly (_valParams,
  1689.                 _csqcFundingBase, iMaturityDate, 1.);
  1690.         } catch (java.lang.Exception e) {
  1691.             e.printStackTrace();
  1692.         }

  1694.         try {
  1695.             if (null != _csqcCreditBase)
  1696.                 dblWALLossOnlyToExercise = _bond.weightedAverageLifeLossOnly (_valParams, _csqcCreditBase,
  1697.                     iWorkoutDate, dblWorkoutFactor);
  1698.         } catch (java.lang.Exception e) {
  1699.             e.printStackTrace();
  1700.         }

  1702.         try {
  1703.             dblWALCouponOnlyToExercise = _bond.weightedAverageLifeCouponOnly (_valParams, _csqcFundingBase,
  1704.                 iWorkoutDate, dblWorkoutFactor);
  1705.         } catch (java.lang.Exception e) {
  1706.             e.printStackTrace();
  1707.         }

  1709.         try {
  1710.             if (null != _csqcCreditBase)
  1711.                 dblWALCreditToExercise = _bond.weightedAverageLifeCredit (_valParams, _csqcCreditBase,
  1712.                     iWorkoutDate, dblWorkoutFactor);
  1713.         } catch (java.lang.Exception e) {
  1714.             e.printStackTrace();
  1715.         }

  1717.         try {
  1718.             dblOASToExercise = _bond.oasFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1719.                 dblWorkoutFactor, _dblCurrentPrice);
  1720.         } catch (java.lang.Exception e) {
  1721.             e.printStackTrace();
  1722.         }

  1724.         try {
  1725.             dblParOASToExercise = _bond.oasFromPrice (_valParams, _csqcFundingBase, null, iWorkoutDate,
  1726.                 dblWorkoutFactor, _dblIssuePrice);
  1727.         } catch (java.lang.Exception e) {
  1728.             e.printStackTrace();
  1729.         }

  1731.         double dblEffectiveDuration = dblYield01 / _dblCurrentPrice;

  1733.         try {
  1734.             for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1735.                 meCSQCUp : _mapCSQCFundingUp.entrySet()) {
  1736.                 java.lang.String strKey = meCSQCUp.getKey();

  1738.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorUp = meCSQCUp.getValue();

  1740.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorDown = _mapCSQCFundingDown.get
  1741.                     (strKey);

  1743.                 double dblTenorFundingUpPrice = _bond.isFloater() ? _bond.priceFromFundingCurve (_valParams,
  1744.                     csqcTenorUp, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread (_valParams,
  1745.                         csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor, dblZSpreadToExercise);

  1747.                 double dblTenorFundingUpParPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1748.                     (_valParams, csqcTenorUp, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1749.                         (_valParams, csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor,
  1750.                             dblParZSpreadToExercise);

  1752.                 double dblTenorFundingDownPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1753.                     (_valParams, csqcTenorDown, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1754.                         (_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
  1755.                             dblZSpreadToExercise);

  1757.                 double dblTenorFundingDownParPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1758.                     (_valParams, csqcTenorDown, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1759.                         (_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
  1760.                             dblParZSpreadToExercise);

  1762.                 double dblBaseFloaterPrice = 0.5 * (dblTenorFundingDownPrice + dblTenorFundingUpPrice);

  1764.                 mapFundingKRD.put (strKey, 0.5 * (dblTenorFundingDownPrice - dblTenorFundingUpPrice) /
  1765.                     (_bond.isFloater() ? dblBaseFloaterPrice : _dblCurrentPrice) / _dblTenorBump);

  1767.                 mapFundingKPRD.put (strKey, 0.5 * (dblTenorFundingDownParPrice - dblTenorFundingUpParPrice) /
  1768.                     (_bond.isFloater() ? dblBaseFloaterPrice : _dblIssuePrice) / _dblTenorBump);
  1769.             }

  1771.             for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1772.                 meCSQCUp : _mapCSQCForwardFundingUp.entrySet()) {
  1773.                 java.lang.String strKey = meCSQCUp.getKey();

  1775.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorUp = meCSQCUp.getValue();

  1777.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorDown =
  1778.                     _mapCSQCForwardFundingDown.get (strKey);

  1780.                 double dblTenorForwardUpPrice = _bond.isFloater() ? _bond.priceFromFundingCurve (_valParams,
  1781.                     csqcTenorUp, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread (_valParams,
  1782.                         csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor, dblZSpreadToExercise);

  1784.                 double dblTenorForwardUpParPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1785.                     (_valParams, csqcTenorUp, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1786.                         (_valParams, csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor,
  1787.                             dblParZSpreadToExercise);

  1789.                 double dblTenorForwardDownPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1790.                     (_valParams, csqcTenorDown, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1791.                         (_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
  1792.                             dblZSpreadToExercise);

  1794.                 double dblTenorForwardDownParPrice = _bond.isFloater() ? _bond.priceFromFundingCurve
  1795.                     (_valParams, csqcTenorDown, iWorkoutDate, dblWorkoutFactor, 0.) : _bond.priceFromZSpread
  1796.                         (_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
  1797.                             dblParZSpreadToExercise);

  1799.                 double dblBaseFloaterPrice = 0.5 * (dblTenorForwardDownPrice + dblTenorForwardUpPrice);

  1801.                 mapLIBORKRD.put (strKey, 0.5 * (dblTenorForwardDownPrice - dblTenorForwardUpPrice) /
  1802.                     (_bond.isFloater() ? dblBaseFloaterPrice : _dblCurrentPrice) / _dblTenorBump);

  1804.                 mapLIBORKPRD.put (strKey, 0.5 * (dblTenorForwardDownParPrice - dblTenorForwardUpParPrice) /
  1805.                     (_bond.isFloater() ? dblBaseFloaterPrice : _dblIssuePrice) / _dblTenorBump);
  1806.             }

  1808.             for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1809.                 meCSQCUp : _mapCSQCGovvieUp.entrySet()) {
  1810.                 java.lang.String strKey = meCSQCUp.getKey();

  1812.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorUp = meCSQCUp.getValue();

  1814.                 org.drip.param.market.CurveSurfaceQuoteContainer csqcTenorDown = _mapCSQCGovvieDown.get
  1815.                     (strKey);

  1817.                 mapGovvieKRD.put (strKey, 0.5 * (_bond.priceFromOAS (_valParams, csqcTenorDown, null,
  1818.                     iWorkoutDate, dblWorkoutFactor, dblOASToExercise) - _bond.priceFromOAS (_valParams,
  1819.                         csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor, dblOASToExercise)) /
  1820.                             _dblCurrentPrice / _dblTenorBump);

  1822.                 mapGovvieKPRD.put (strKey, 0.5 * (_bond.priceFromOAS (_valParams, csqcTenorDown, null,
  1823.                     iWorkoutDate, dblWorkoutFactor, dblParOASToExercise) - _bond.priceFromOAS (_valParams,
  1824.                         csqcTenorUp, null, iWorkoutDate, dblWorkoutFactor, dblParOASToExercise)) /
  1825.                             _dblIssuePrice / _dblTenorBump);
  1826.             }

  1828.             if (null != _mapCSQCCredit) {
  1829.                 mapCreditKRD = new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1831.                 mapCreditKPRD = new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  1833.                 for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
  1834.                     meCSQC : _mapCSQCCredit.entrySet()) {
  1835.                     java.lang.String strKey = meCSQC.getKey();

  1837.                     org.drip.param.market.CurveSurfaceQuoteContainer csqcTenor = meCSQC.getValue();

  1839.                     mapCreditKRD.put (strKey, (_dblCurrentPrice - _bond.priceFromCreditBasis (_valParams,
  1840.                         csqcTenor, null, iWorkoutDate, dblWorkoutFactor, dblCreditBasisToExercise)) /
  1841.                             _dblCurrentPrice);

  1843.                     mapCreditKPRD.put (strKey, (_dblIssuePrice - _bond.priceFromCreditBasis (_valParams,
  1844.                         csqcTenor, null, iWorkoutDate, dblWorkoutFactor, dblParCreditBasisToExercise)) /
  1845.                             _dblIssuePrice);
  1846.                 }
  1847.             }

  1849.             org.drip.analytics.output.BondEOSMetrics bem = null == _emr ? null : _emr.generateRun();

  1851.             if (null != bem)
  1852.             {
  1853.                 if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MCOAS", bem.oas())))
  1854.                     return null;

  1856.                 if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MCDuration",
  1857.                     bem.oasDuration())))
  1858.                     return null;

  1860.                 if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MCConvexity",
  1861.                     bem.oasConvexity())))
  1862.                     return null;
  1863.             }

  1865.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Price", _dblCurrentPrice)))
  1866.                 return null;

  1868.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Market Value",
  1869.                 _dblCurrentPrice * _dblIssueAmount)))
  1870.                 return null;

  1872.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Accrued", dblAccrued)))
  1873.                 return null;

  1875.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Accrued$", dblAccrued *
  1876.                 _dblIssueAmount)))
  1877.                 return null;

  1879.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Accrued Interest Factor",
  1880.                 dblAccrued * _dblFX)))
  1881.                 return null;

  1883.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Yield To Maturity",
  1884.                 dblYieldToMaturity)))
  1885.                 return null;

  1887.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Yield To Maturity CBE",
  1888.                 dblBEYToMaturity)))
  1889.                 return null;

  1891.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("YTM fwdCpn",
  1892.                 dblYieldToMaturityFwdCoupon)))
  1893.                 return null;

  1895.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Yield To Worst",
  1896.                 dblYieldToExercise)))
  1897.                 return null;

  1899.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("YIELD TO CALL",
  1900.                 dblYieldFromPriceNextCall)))
  1901.                 return null;

  1903.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("YIELD TO PUT",
  1904.                 dblYieldFromPriceNextPut)))
  1905.                 return null;

  1907.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Nominal Yield",
  1908.                 dblNominalYield)))
  1909.                 return null;

  1911.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Z_Spread", dblOASToExercise)))
  1912.                 return null;

  1914.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Z_Vol_OAS",
  1915.                 dblZSpreadToExercise)))
  1916.                 return null;

  1918.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("OAS", dblZSpreadToMaturity)))
  1919.                 return null;

  1921.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("TSY OAS", dblOASToMaturity)))
  1922.                 return null;

  1924.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MOD DUR",
  1925.                 dblModifiedDurationToMaturity)))
  1926.                 return null;

  1928.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MACAULAY DURATION",
  1929.                 dblMacaulayDurationToMaturity)))
  1930.                 return null;

  1932.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("MOD DUR TO WORST",
  1933.                 dblModifiedDurationToExercise)))
  1934.                 return null;

  1936.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Funding DURATION",
  1937.                 mapFundingKRD.get ("bump"))))
  1938.                 return null;

  1940.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("LIBOR DURATION",
  1941.                 mapLIBORKRD.get ("bump"))))
  1942.                 return null;

  1944.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("TREASURY DURATION",
  1945.                 mapGovvieKRD.get ("bump"))))
  1946.                 return null;

  1948.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("EFFECTIVE DURATION",
  1949.                 dblEffectiveDuration)))
  1950.                 return null;

  1952.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("EFFECTIVE DURATION ADJ",
  1953.                 dblEffectiveDurationAdjusted)))
  1954.                 return null;

  1956.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("OAD MULT",
  1957.                 dblEffectiveDurationAdjusted / dblEffectiveDuration)))
  1958.                 return null;

  1960.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Spread Dur",
  1961.                 dblSpreadDuration)))
  1962.                 return null;

  1964.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Spread Dur $",
  1965.                 dblSpreadDuration * _dblIssueAmount)))
  1966.                 return null;

  1968.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("DV01", dblYield01)))
  1969.                 return null;

  1971.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("CV01", dblCV01))) return null;

  1973.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Convexity",
  1974.                 dblConvexityToExercise)))
  1975.                 return null;

  1977.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("Modified Convexity",
  1978.                 dblConvexityToExercise)))
  1979.                 return null;

  1981.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("DISCOUNT MARGIN",
  1982.                 dblDiscountMarginToExercise)))
  1983.                 return null;

  1985.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("E-Spread",
  1986.                 dblESpreadToExercise)))
  1987.                 return null;

  1989.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("I-Spread",
  1990.                 dblISpreadToExercise)))
  1991.                 return null;

  1993.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("J-Spread",
  1994.                 dblJSpreadToExercise)))
  1995.                 return null;

  1997.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("N-Spread",
  1998.                 dblNSpreadToExercise)))
  1999.                 return null;

  2001.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL To Worst",
  2002.                 dblWALPrincipalOnlyToExercise)))
  2003.                 return null;

  2005.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL",
  2006.                 dblWALPrincipalOnlyToMaturity)))
  2007.                 return null;

  2009.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL2",
  2010.                 dblWALLossOnlyToExercise)))
  2011.                 return null;

  2013.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL3",
  2014.                 !org.drip.numerical.common.NumberUtil.IsValid (dblWALCouponOnlyToExercise) ? 0. :
  2015.                     dblWALCouponOnlyToExercise)))
  2016.                 return null;

  2018.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL4",
  2019.                 dblWALPrincipalOnlyToMaturity)))
  2020.                 return null;

  2022.             if (!arr.addNamedField (new org.drip.service.scenario.NamedField ("WAL_Adj",
  2023.                 dblWALCreditToExercise)))
  2024.                 return null;

  2026.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Funding KRD",
  2027.                 mapFundingKRD)))
  2028.                 return null;

  2030.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Funding KPRD",
  2031.                 mapFundingKPRD)))
  2032.                 return null;

  2034.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("LIBOR KRD",
  2035.                 mapLIBORKRD)))
  2036.                 return null;

  2038.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("LIBOR KPRD",
  2039.                 mapLIBORKPRD)))
  2040.                 return null;

  2042.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Govvie KRD",
  2043.                 mapGovvieKRD)))
  2044.                 return null;

  2046.             if (!arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Govvie KPRD",
  2047.                 mapGovvieKPRD)))
  2048.                 return null;
  2049.         } catch (java.lang.Exception e) {
  2050.             e.printStackTrace();

  2052.             return null;
  2053.         }

  2055.         try {
  2056.             if (null != mapCreditKRD)
  2057.                 arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Credit KRD",
  2058.                     mapCreditKRD));

  2060.             if (null != mapCreditKPRD)
  2061.                 arr.addNamedFieldMap (new org.drip.service.scenario.NamedFieldMap ("Credit KPRD",
  2062.                     mapCreditKPRD));
  2063.         } catch (java.lang.Exception e) {
  2064.             e.printStackTrace();
  2065.         }

  2067.         System.out.println ("Workout        : " + new org.drip.analytics.date.JulianDate (iWorkoutDate));

  2069.         System.out.println ("Next Call Date : " + new org.drip.analytics.date.JulianDate (iNextCallDate) +
  2070.             " | " + dblNextCallFactor);

  2072.         System.out.println ("Maturity Date  : " + new org.drip.analytics.date.JulianDate (iMaturityDate) +
  2073.             " | 1.0");

  2075.         return arr;
  2076.     }
  2077. }
Created with JaCoCo 0.7.9.201702052155