LatentMarketStateBuilder.java

  1. package org.drip.service.template;

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

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

  81. /**
  82.  * <i>LatentMarketStateBuilder</i> contains static Helper API to facilitate Construction of the Latent Market
  83.  * States as Curves/Surfaces.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/template/README.md">Curve Construction Product Builder Templates</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class LatentMarketStateBuilder {

  99.     /**
  100.      * Shape Preserving Latent State
  101.      */

  103.     public static final int SHAPE_PRESERVING = 0;

  105.     /**
  106.      * Smoothened Latent State
  107.      */

  109.     public static final int SMOOTH = 1;

  111.     /**
  112.      * Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified
  113.      *  Spline
  114.      * 
  115.      * @param dtSpot The Spot Date
  116.      * @param strCurrency Currency
  117.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  118.      * @param adblDepositQuote Array of Deposit Quotes
  119.      * @param strDepositMeasure Deposit Calibration Measure
  120.      * @param adblFuturesQuote Array of Futures Quotes
  121.      * @param strFuturesMeasure Futures Calibration Measure
  122.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  123.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  124.      * @param strFixFloatMeasure Fix Float Calibration Measure
  125.      * @param scbc Segment Custom Builder Control
  126.      * 
  127.      * @return The Funding Curve Instance
  128.      */

  130.     public static final org.drip.state.discount.MergedDiscountForwardCurve FundingCurve (
  131.         final org.drip.analytics.date.JulianDate dtSpot,
  132.         final java.lang.String strCurrency,
  133.         final java.lang.String[] astrDepositMaturityTenor,
  134.         final double[] adblDepositQuote,
  135.         final java.lang.String strDepositMeasure,
  136.         final double[] adblFuturesQuote,
  137.         final java.lang.String strFuturesMeasure,
  138.         final java.lang.String[] astrFixFloatMaturityTenor,
  139.         final double[] adblFixFloatQuote,
  140.         final java.lang.String strFixFloatMeasure,
  141.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  142.     {
  143.         if (null == dtSpot || null == strCurrency || strCurrency.isEmpty()) return null;

  145.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  147.         org.drip.state.inference.LatentStateStretchSpec lsssDeposit = null;
  148.         org.drip.state.inference.LatentStateStretchSpec lsssFutures = null;
  149.         org.drip.state.inference.LatentStateStretchSpec lsssFixFloat = null;
  150.         int iNumFuturesComp = null == adblFuturesQuote ? 0 : adblFuturesQuote.length;
  151.         int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  152.         int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
  153.         int iNumDepositComp = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  154.         int iNumFixFloatComp = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;

  156.         if (iNumDepositQuote != iNumDepositComp || iNumFixFloatQuote != iNumFixFloatComp) return null;

  158.         if (0 != iNumDepositComp)
  159.             lsssDeposit = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  160.                 ("DEPOSIT", org.drip.service.template.OTCInstrumentBuilder.FundingDeposit (dtEffective,
  161.                     strCurrency, astrDepositMaturityTenor), strDepositMeasure, adblDepositQuote);

  163.         if (0 != iNumFuturesComp)
  164.             lsssFutures = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  165.                 ("FUTURES", org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFuturesPack
  166.                     (dtEffective, iNumFuturesComp, strCurrency), strFuturesMeasure, adblFuturesQuote);

  168.         if (0 != iNumFixFloatComp)
  169.             lsssFixFloat = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  170.                 ("FIXFLOAT", org.drip.service.template.OTCInstrumentBuilder.FixFloatStandard (dtEffective,
  171.                     strCurrency, "ALL", astrFixFloatMaturityTenor, "MAIN", 0.), strFixFloatMeasure,
  172.                         adblFixFloatQuote);

  174.         try {
  175.             org.drip.state.inference.LinearLatentStateCalibrator lcc = new
  176.                 org.drip.state.inference.LinearLatentStateCalibrator (scbc,
  177.                     org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  178.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  180.             return org.drip.state.creator.ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (strCurrency,
  181.                 lcc, new org.drip.state.inference.LatentStateStretchSpec[] {lsssDeposit, lsssFutures,
  182.                     lsssFixFloat}, org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null,
  183.                         null, null, 1.);
  184.         } catch (java.lang.Exception e) {
  185.             e.printStackTrace();
  186.         }

  188.         return null;
  189.     }

  191.     /**
  192.      * Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using
  193.      *  the specified Spline
  194.      * 
  195.      * @param dtSpot The Spot Date
  196.      * @param strCurrency Currency
  197.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  198.      * @param adblDepositQuote Array of Deposit Quotes
  199.      * @param strDepositMeasure Deposit Calibration Measure
  200.      * @param adblFuturesQuote Array of Futures Quotes
  201.      * @param strFuturesMeasure Futures Calibration Measure
  202.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  203.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  204.      * @param strFixFloatMeasure Fix Float Calibration Measure
  205.      * @param scbc Segment Custom Builder Control
  206.      * 
  207.      * @return The Funding Curve Instance
  208.      */

  210.     public static final org.drip.state.discount.MergedDiscountForwardCurve SingleStretchFundingCurve (
  211.         final org.drip.analytics.date.JulianDate dtSpot,
  212.         final java.lang.String strCurrency,
  213.         final java.lang.String[] astrDepositMaturityTenor,
  214.         final double[] adblDepositQuote,
  215.         final java.lang.String strDepositMeasure,
  216.         final double[] adblFuturesQuote,
  217.         final java.lang.String strFuturesMeasure,
  218.         final java.lang.String[] astrFixFloatMaturityTenor,
  219.         final double[] adblFixFloatQuote,
  220.         final java.lang.String strFixFloatMeasure,
  221.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  222.     {
  223.         if (null == dtSpot || null == strCurrency || strCurrency.isEmpty()) return null;

  225.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  227.         int iNumFixFloatComp = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;
  228.         int iNumDepositComp = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  229.         int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
  230.         int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  231.         int iNumFuturesComp = null == adblFuturesQuote ? 0 : adblFuturesQuote.length;
  232.         org.drip.state.inference.LatentStateStretchSpec lsssDepositFutures = null;
  233.         org.drip.state.inference.LatentStateStretchSpec lsssFixFloat = null;
  234.         int iNumDepositFuturesComp = iNumDepositComp + iNumFuturesComp;
  235.         double[] adblDepositFuturesQuote = new double[iNumDepositFuturesComp];

  237.         if (iNumDepositQuote != iNumDepositComp || iNumFixFloatQuote != iNumFixFloatComp) return null;

  239.         for (int i = 0; i < iNumDepositFuturesComp; ++i)
  240.             adblDepositFuturesQuote[i] = i < iNumDepositComp ? adblDepositQuote[i] :
  241.                 adblFuturesQuote[i - iNumDepositComp];

  243.         if (0 != iNumDepositComp)
  244.             lsssDepositFutures = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  245.                 ("DEPOSIT", org.drip.service.template.OTCInstrumentBuilder.FundingDepositFutures
  246.                     (dtEffective, strCurrency, astrDepositMaturityTenor, iNumFuturesComp), strDepositMeasure,
  247.                         adblDepositFuturesQuote);

  249.         if (0 != iNumFixFloatComp)
  250.             lsssFixFloat = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  251.                 ("FIXFLOAT", org.drip.service.template.OTCInstrumentBuilder.FixFloatStandard (dtEffective,
  252.                     strCurrency, "ALL", astrFixFloatMaturityTenor, "MAIN", 0.), strFixFloatMeasure,
  253.                         adblFixFloatQuote);

  255.         try {
  256.             org.drip.state.inference.LinearLatentStateCalibrator lcc = new
  257.                 org.drip.state.inference.LinearLatentStateCalibrator (scbc,
  258.                     org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  259.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  261.             return org.drip.state.creator.ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (strCurrency,
  262.                 lcc, new org.drip.state.inference.LatentStateStretchSpec[] {lsssDepositFutures,
  263.                     lsssFixFloat}, org.drip.param.valuation.ValuationParams.Spot (dtSpot.julian()), null,
  264.                         null, null, 1.);
  265.         } catch (java.lang.Exception e) {
  266.             e.printStackTrace();
  267.         }

  269.         return null;
  270.     }

  272.     /**
  273.      * Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market
  274.      *  Instruments
  275.      * 
  276.      * @param dtSpot The Spot Date
  277.      * @param strCurrency Currency
  278.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  279.      * @param adblDepositQuote Array of Deposit Quotes
  280.      * @param strDepositMeasure Deposit Calibration Measure
  281.      * @param adblFuturesQuote Array of Futures Quotes
  282.      * @param strFuturesMeasure Futures Calibration Measure
  283.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  284.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  285.      * @param strFixFloatMeasure Fix Float Calibration Measure
  286.      * 
  287.      * @return The Single Stretch Funding Curve Instance
  288.      */

  290.     public static final org.drip.state.discount.MergedDiscountForwardCurve SingleStretchShapePreservingFundingCurve (
  291.         final org.drip.analytics.date.JulianDate dtSpot,
  292.         final java.lang.String strCurrency,
  293.         final java.lang.String[] astrDepositMaturityTenor,
  294.         final double[] adblDepositQuote,
  295.         final java.lang.String strDepositMeasure,
  296.         final double[] adblFuturesQuote,
  297.         final java.lang.String strFuturesMeasure,
  298.         final java.lang.String[] astrFixFloatMaturityTenor,
  299.         final double[] adblFixFloatQuote,
  300.         final java.lang.String strFixFloatMeasure)
  301.     {
  302.         try {
  303.             return SingleStretchFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  304.                 strDepositMeasure, adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  305.                     adblFixFloatQuote, strFixFloatMeasure, new
  306.                         org.drip.spline.params.SegmentCustomBuilderControl
  307.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  308.                                 org.drip.spline.basis.PolynomialFunctionSetParams (2),
  309.                                     org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), new
  310.                                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  311.                                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  312.                                                 null));
  313.         } catch (java.lang.Exception e) {
  314.             e.printStackTrace();
  315.         }

  317.         return null;
  318.     }

  320.     /**
  321.      * Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
  322.      * 
  323.      * @param dtSpot The Spot Date
  324.      * @param strCurrency Currency
  325.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  326.      * @param adblDepositQuote Array of Deposit Quotes
  327.      * @param strDepositMeasure Deposit Calibration Measure
  328.      * @param adblFuturesQuote Array of Futures Quotes
  329.      * @param strFuturesMeasure Futures Calibration Measure
  330.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  331.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  332.      * @param strFixFloatMeasure Fix Float Calibration Measure
  333.      * 
  334.      * @return The Funding Curve Instance
  335.      */

  337.     public static final org.drip.state.discount.MergedDiscountForwardCurve ShapePreservingFundingCurve (
  338.         final org.drip.analytics.date.JulianDate dtSpot,
  339.         final java.lang.String strCurrency,
  340.         final java.lang.String[] astrDepositMaturityTenor,
  341.         final double[] adblDepositQuote,
  342.         final java.lang.String strDepositMeasure,
  343.         final double[] adblFuturesQuote,
  344.         final java.lang.String strFuturesMeasure,
  345.         final java.lang.String[] astrFixFloatMaturityTenor,
  346.         final double[] adblFixFloatQuote,
  347.         final java.lang.String strFixFloatMeasure)
  348.     {
  349.         try {
  350.             return FundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  351.                 strDepositMeasure, adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  352.                     adblFixFloatQuote, strFixFloatMeasure, new
  353.                         org.drip.spline.params.SegmentCustomBuilderControl
  354.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  355.                                 org.drip.spline.basis.PolynomialFunctionSetParams (2),
  356.                                     org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), new
  357.                                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  358.                                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  359.                                                 null));
  360.         } catch (java.lang.Exception e) {
  361.             e.printStackTrace();
  362.         }

  364.         return null;
  365.     }

  367.     /**
  368.      * Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
  369.      * 
  370.      * @param dtSpot The Spot Date
  371.      * @param strCurrency Currency
  372.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  373.      * @param adblDepositQuote Array of Deposit Quotes
  374.      * @param strDepositMeasure Deposit Calibration Measure
  375.      * @param adblFuturesQuote Array of Futures Quotes
  376.      * @param strFuturesMeasure Futures Calibration Measure
  377.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  378.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  379.      * @param strFixFloatMeasure Fix Float Calibration Measure
  380.      * 
  381.      * @return The Funding Curve Instance
  382.      */

  384.     public static final org.drip.state.discount.MergedDiscountForwardCurve SmoothFundingCurve (
  385.         final org.drip.analytics.date.JulianDate dtSpot,
  386.         final java.lang.String strCurrency,
  387.         final java.lang.String[] astrDepositMaturityTenor,
  388.         final double[] adblDepositQuote,
  389.         final java.lang.String strDepositMeasure,
  390.         final double[] adblFuturesQuote,
  391.         final java.lang.String strFuturesMeasure,
  392.         final java.lang.String[] astrFixFloatMaturityTenor,
  393.         final double[] adblFixFloatQuote,
  394.         final java.lang.String strFixFloatMeasure)
  395.     {
  396.         try {
  397.             return FundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  398.                 strDepositMeasure, adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  399.                     adblFixFloatQuote, strFixFloatMeasure, new
  400.                         org.drip.spline.params.SegmentCustomBuilderControl
  401.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  402.                                 org.drip.spline.basis.PolynomialFunctionSetParams (4),
  403.                                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  404.                                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  405.                                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  406.                                                 null));
  407.         } catch (java.lang.Exception e) {
  408.             e.printStackTrace();
  409.         }

  411.         return null;
  412.     }

  414.     /**
  415.      * Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
  416.      * 
  417.      * @param dtSpot The Spot Date
  418.      * @param strCurrency Currency
  419.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  420.      * @param adblDepositQuote Array of Deposit Quotes
  421.      * @param strDepositMeasure Deposit Calibration Measure
  422.      * @param adblFuturesQuote Array of Futures Quotes
  423.      * @param strFuturesMeasure Futures Calibration Measure
  424.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  425.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  426.      * @param strFixFloatMeasure Fix Float Calibration Measure
  427.      * 
  428.      * @return The Single Stretch Funding Curve Instance
  429.      */

  431.     public static final org.drip.state.discount.MergedDiscountForwardCurve SingleStretchSmoothFundingCurve (
  432.         final org.drip.analytics.date.JulianDate dtSpot,
  433.         final java.lang.String strCurrency,
  434.         final java.lang.String[] astrDepositMaturityTenor,
  435.         final double[] adblDepositQuote,
  436.         final java.lang.String strDepositMeasure,
  437.         final double[] adblFuturesQuote,
  438.         final java.lang.String strFuturesMeasure,
  439.         final java.lang.String[] astrFixFloatMaturityTenor,
  440.         final double[] adblFixFloatQuote,
  441.         final java.lang.String strFixFloatMeasure)
  442.     {
  443.         try {
  444.             return SingleStretchFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor,
  445.                 adblDepositQuote, strDepositMeasure, adblFuturesQuote, strFuturesMeasure,
  446.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure, new
  447.                         org.drip.spline.params.SegmentCustomBuilderControl
  448.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  449.                                 org.drip.spline.basis.PolynomialFunctionSetParams (4),
  450.                                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  451.                                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  452.                                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  453.                                                 null));
  454.         } catch (java.lang.Exception e) {
  455.             e.printStackTrace();
  456.         }

  458.         return null;
  459.     }

  461.     /**
  462.      * Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
  463.      * 
  464.      * @param dtSpot The Spot Date
  465.      * @param strCurrency Currency
  466.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  467.      * @param adblDepositQuote Array of Deposit Quotes
  468.      * @param strDepositMeasure Deposit Calibration Measure
  469.      * @param adblFuturesQuote Array of Futures Quotes
  470.      * @param strFuturesMeasure Futures Calibration Measure
  471.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  472.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  473.      * @param strFixFloatMeasure Fix Float Calibration Measure
  474.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  475.      * 
  476.      * @return The Funding Curve Instance
  477.      */

  479.     public static final org.drip.state.discount.MergedDiscountForwardCurve FundingCurve (
  480.         final org.drip.analytics.date.JulianDate dtSpot,
  481.         final java.lang.String strCurrency,
  482.         final java.lang.String[] astrDepositMaturityTenor,
  483.         final double[] adblDepositQuote,
  484.         final java.lang.String strDepositMeasure,
  485.         final double[] adblFuturesQuote,
  486.         final java.lang.String strFuturesMeasure,
  487.         final java.lang.String[] astrFixFloatMaturityTenor,
  488.         final double[] adblFixFloatQuote,
  489.         final java.lang.String strFixFloatMeasure,
  490.         final int iLatentStateType)
  491.     {
  492.         if (SHAPE_PRESERVING == iLatentStateType)
  493.             return ShapePreservingFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  494.                 strDepositMeasure, adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  495.                     adblFixFloatQuote, strFixFloatMeasure);

  497.         if (SMOOTH == iLatentStateType)
  498.             return SmoothFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  499.                 strDepositMeasure, adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  500.                     adblFixFloatQuote, strFixFloatMeasure);

  502.         return null;
  503.     }

  505.     /**
  506.      * Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
  507.      * 
  508.      * @param dtSpot The Spot Date
  509.      * @param strCurrency Currency
  510.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  511.      * @param adblDepositQuote Array of Deposit Quotes
  512.      * @param strDepositMeasure Deposit Calibration Measure
  513.      * @param adblFuturesQuote Array of Futures Quotes
  514.      * @param strFuturesMeasure Futures Calibration Measure
  515.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  516.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  517.      * @param strFixFloatMeasure Fix Float Calibration Measure
  518.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  519.      * 
  520.      * @return The Single Stretch Funding Curve Instance
  521.      */

  523.     public static final org.drip.state.discount.MergedDiscountForwardCurve SingleStretchFundingCurve (
  524.         final org.drip.analytics.date.JulianDate dtSpot,
  525.         final java.lang.String strCurrency,
  526.         final java.lang.String[] astrDepositMaturityTenor,
  527.         final double[] adblDepositQuote,
  528.         final java.lang.String strDepositMeasure,
  529.         final double[] adblFuturesQuote,
  530.         final java.lang.String strFuturesMeasure,
  531.         final java.lang.String[] astrFixFloatMaturityTenor,
  532.         final double[] adblFixFloatQuote,
  533.         final java.lang.String strFixFloatMeasure,
  534.         final int iLatentStateType)
  535.     {
  536.         if (SHAPE_PRESERVING == iLatentStateType)
  537.             return SingleStretchShapePreservingFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor,
  538.                 adblDepositQuote, strDepositMeasure, adblFuturesQuote, strFuturesMeasure,
  539.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure);

  541.         if (SMOOTH == iLatentStateType)
  542.             return SingleStretchSmoothFundingCurve (dtSpot, strCurrency, astrDepositMaturityTenor,
  543.                 adblDepositQuote, strDepositMeasure, adblFuturesQuote, strFuturesMeasure,
  544.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure);

  546.         return null;
  547.     }

  549.     /**
  550.      * Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
  551.      * 
  552.      * @param dtSpot Spot Date
  553.      * @param forwardLabel Forward Label
  554.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  555.      * @param adblDepositQuote Array of the Deposit Instrument Quotes
  556.      * @param strDepositMeasure The Deposit Instrument Calibration Measure
  557.      * @param astrFRAMaturityTenor Array of FRA Maturity Tenors
  558.      * @param adblFRAQuote Array of the FRA Instrument Quotes
  559.      * @param strFRAMeasure The FRA Instrument Calibration Measure
  560.      * @param astrFixFloatMaturityTenor Array of Fix-Float Maturity Tenors
  561.      * @param adblFixFloatQuote Array of the Fix-Float Quotes
  562.      * @param strFixFloatMeasure The Fix-Float Calibration Measure
  563.      * @param astrFloatFloatMaturityTenor Array of Float-Float Maturity Tenors
  564.      * @param adblFloatFloatQuote Array of the Float-Float Quotes
  565.      * @param strFloatFloatMeasure The Float-Float Calibration Measure
  566.      * @param astrSyntheticFloatFloatMaturityTenor Array of Synthetic Float-Float Maturity Tenors
  567.      * @param adblSyntheticFloatFloatQuote Array of the Synthetic Float-Float Quotes
  568.      * @param strSyntheticFloatFloatMeasure The Synthetic Float-Float Calibration Measure
  569.      * @param dc The Base Discount Curve
  570.      * @param fcReference The Reference Forward Curve
  571.      * @param scbc Segment Custom Builder Control Parameters
  572.      * 
  573.      * @return Instance of the Forward Curve
  574.      */

  576.     public static final org.drip.state.forward.ForwardCurve ForwardCurve (
  577.         final org.drip.analytics.date.JulianDate dtSpot,
  578.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  579.         final java.lang.String[] astrDepositMaturityTenor,
  580.         final double[] adblDepositQuote,
  581.         final java.lang.String strDepositMeasure,
  582.         final java.lang.String[] astrFRAMaturityTenor,
  583.         final double[] adblFRAQuote,
  584.         final java.lang.String strFRAMeasure,
  585.         final java.lang.String[] astrFixFloatMaturityTenor,
  586.         final double[] adblFixFloatQuote,
  587.         final java.lang.String strFixFloatMeasure,
  588.         final java.lang.String[] astrFloatFloatMaturityTenor,
  589.         final double[] adblFloatFloatQuote,
  590.         final java.lang.String strFloatFloatMeasure,
  591.         final java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
  592.         final double[] adblSyntheticFloatFloatQuote,
  593.         final java.lang.String strSyntheticFloatFloatMeasure,
  594.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  595.         final org.drip.state.forward.ForwardCurve fcReference,
  596.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  597.     {
  598.         if (null == dtSpot || null == forwardLabel || null == dc) return null;

  600.         java.lang.String strCurrency = forwardLabel.currency();

  602.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  604.         org.drip.state.inference.LatentStateStretchSpec lsssFRA = null;
  605.         org.drip.state.inference.LinearLatentStateCalibrator lcc = null;
  606.         int iNumFRAQuote = null == adblFRAQuote ? 0 : adblFRAQuote.length;
  607.         org.drip.state.inference.LatentStateStretchSpec lsssDeposit = null;
  608.         org.drip.state.inference.LatentStateStretchSpec lsssFixFloat = null;
  609.         org.drip.state.inference.LatentStateStretchSpec lsssFloatFloat = null;
  610.         int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  611.         org.drip.state.inference.LatentStateStretchSpec lsssSyntheticFloatFloat = null;
  612.         int iNumFRAComp = null == astrFRAMaturityTenor ? 0 : astrFRAMaturityTenor.length;
  613.         int iNumFixFloatQuote = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
  614.         int iNumFloatFloatQuote = null == adblFloatFloatQuote ? 0 : adblFloatFloatQuote.length;
  615.         int iNumDepositComp = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  616.         int iNumFixFloatComp = null == astrFixFloatMaturityTenor ? 0 : astrFixFloatMaturityTenor.length;
  617.         int iNumFloatFloatComp = null == astrFloatFloatMaturityTenor ? 0 :
  618.             astrFloatFloatMaturityTenor.length;
  619.         int iNumSyntheticFloatFloatQuote = null == adblSyntheticFloatFloatQuote ? 0 :
  620.             adblSyntheticFloatFloatQuote.length;
  621.         int iNumSyntheticFloatFloatComp = null == astrSyntheticFloatFloatMaturityTenor ? 0 :
  622.             astrSyntheticFloatFloatMaturityTenor.length;

  624.         if (iNumDepositQuote != iNumDepositComp || iNumFRAQuote != iNumFRAComp || iNumFixFloatQuote !=
  625.             iNumFixFloatComp || iNumFloatFloatQuote != iNumFloatFloatComp || iNumSyntheticFloatFloatQuote !=
  626.                 iNumSyntheticFloatFloatComp)
  627.             return null;

  629.         if (0 != iNumDepositComp)
  630.             lsssDeposit = org.drip.state.estimator.LatentStateStretchBuilder.ForwardStretchSpec ("DEPOSIT",
  631.                 org.drip.service.template.OTCInstrumentBuilder.ForwardRateDeposit (dtEffective,
  632.                     astrDepositMaturityTenor, forwardLabel), strDepositMeasure, adblDepositQuote);

  634.         if (0 != iNumFRAComp)
  635.             lsssFRA = org.drip.state.estimator.LatentStateStretchBuilder.ForwardStretchSpec ("FRA",
  636.                 org.drip.service.template.OTCInstrumentBuilder.FRAStandard (dtEffective, forwardLabel,
  637.                     astrFRAMaturityTenor, adblFRAQuote), strFRAMeasure, adblFRAQuote);

  639.         if (0 != iNumFixFloatComp)
  640.             lsssFixFloat = org.drip.state.estimator.LatentStateStretchBuilder.ForwardStretchSpec ("FIXFLOAT",
  641.                 org.drip.service.template.OTCInstrumentBuilder.FixFloatCustom (dtEffective, forwardLabel,
  642.                     astrFixFloatMaturityTenor), strFixFloatMeasure, adblFixFloatQuote);

  644.         if (0 != iNumFloatFloatComp)
  645.             lsssFloatFloat = org.drip.state.estimator.LatentStateStretchBuilder.ForwardStretchSpec
  646.                 ("FLOATFLOAT", org.drip.service.template.OTCInstrumentBuilder.FloatFloat (dtEffective,
  647.                     strCurrency, forwardLabel.tenor(), astrFloatFloatMaturityTenor, 0.),
  648.                         strFloatFloatMeasure, adblFloatFloatQuote);

  650.         if (0 != iNumSyntheticFloatFloatComp)
  651.             lsssSyntheticFloatFloat = org.drip.state.estimator.LatentStateStretchBuilder.ForwardStretchSpec
  652.                 ("SYNTHETICFLOATFLOAT", org.drip.service.template.OTCInstrumentBuilder.FloatFloat
  653.                     (dtEffective, strCurrency, forwardLabel.tenor(), astrSyntheticFloatFloatMaturityTenor,
  654.                         0.), strSyntheticFloatFloatMeasure, adblSyntheticFloatFloatQuote);

  656.         org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = new
  657.             org.drip.state.inference.LatentStateStretchSpec[] {lsssDeposit, lsssFRA, lsssFixFloat,
  658.                 lsssFloatFloat, lsssSyntheticFloatFloat};

  660.         try {
  661.             lcc = new org.drip.state.inference.LinearLatentStateCalibrator (scbc,
  662.                 org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  663.                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  665.             return org.drip.state.creator.ScenarioForwardCurveBuilder.ShapePreservingForwardCurve (lcc,
  666.                 aStretchSpec, forwardLabel, org.drip.param.valuation.ValuationParams.Spot
  667.                     (dtEffective.julian()), null, org.drip.param.creator.MarketParamsBuilder.Create (dc,
  668.                         fcReference, null, null, null, null, null, null), null, 0 == iNumDepositComp ?
  669.                             adblFRAQuote[0] : adblDepositQuote[0]);
  670.         } catch (java.lang.Exception e) {
  671.             e.printStackTrace();
  672.         }

  674.         return null;
  675.     }

  677.     /**
  678.      * Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
  679.      * 
  680.      * @param dtSpot Spot Date
  681.      * @param forwardLabel Forward Label
  682.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  683.      * @param adblDepositQuote Array of the Deposit Instrument Quotes
  684.      * @param strDepositMeasure The Deposit Instrument Calibration Measure
  685.      * @param astrFRAMaturityTenor Array of FRA Maturity Tenors
  686.      * @param adblFRAQuote Array of the FRA Instrument Quotes
  687.      * @param strFRAMeasure The FRA Instrument Calibration Measure
  688.      * @param astrFixFloatMaturityTenor Array of Fix-Float Maturity Tenors
  689.      * @param adblFixFloatQuote Array of the Fix-Float Quotes
  690.      * @param strFixFloatMeasure The Fix-Float Calibration Measure
  691.      * @param astrFloatFloatMaturityTenor Array of Float-Float Maturity Tenors
  692.      * @param adblFloatFloatQuote Array of the Float-Float Quotes
  693.      * @param strFloatFloatMeasure The Float-Float Calibration Measure
  694.      * @param astrSyntheticFloatFloatMaturityTenor Array of Synthetic Float-Float Maturity Tenors
  695.      * @param adblSyntheticFloatFloatQuote Array of the Synthetic Float-Float Quotes
  696.      * @param strSyntheticFloatFloatMeasure The Synthetic Float-Float Calibration Measure
  697.      * @param dc The Base Discount Curve
  698.      * @param fcReference The Reference Forward Curve
  699.      * 
  700.      * @return Instance of the Forward Curve
  701.      */

  703.     public static final org.drip.state.forward.ForwardCurve ShapePreservingForwardCurve (
  704.         final org.drip.analytics.date.JulianDate dtSpot,
  705.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  706.         final java.lang.String[] astrDepositMaturityTenor,
  707.         final double[] adblDepositQuote,
  708.         final java.lang.String strDepositMeasure,
  709.         final java.lang.String[] astrFRAMaturityTenor,
  710.         final double[] adblFRAQuote,
  711.         final java.lang.String strFRAMeasure,
  712.         final java.lang.String[] astrFixFloatMaturityTenor,
  713.         final double[] adblFixFloatQuote,
  714.         final java.lang.String strFixFloatMeasure,
  715.         final java.lang.String[] astrFloatFloatMaturityTenor,
  716.         final double[] adblFloatFloatQuote,
  717.         final java.lang.String strFloatFloatMeasure,
  718.         final java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
  719.         final double[] adblSyntheticFloatFloatQuote,
  720.         final java.lang.String strSyntheticFloatFloatMeasure,
  721.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  722.         final org.drip.state.forward.ForwardCurve fcReference)
  723.     {
  724.         try {
  725.             return ForwardCurve (dtSpot, forwardLabel, astrDepositMaturityTenor, adblDepositQuote,
  726.                 strDepositMeasure, astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure,
  727.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  728.                         astrFloatFloatMaturityTenor, adblFloatFloatQuote, strFloatFloatMeasure,
  729.                             astrSyntheticFloatFloatMaturityTenor, adblSyntheticFloatFloatQuote,
  730.                                 strSyntheticFloatFloatMeasure, dc, fcReference, new
  731.                                     org.drip.spline.params.SegmentCustomBuilderControl
  732.                                         (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  733.                 new org.drip.spline.basis.PolynomialFunctionSetParams (2),
  734.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), new
  735.                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  736.                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null));
  737.         } catch (java.lang.Exception e) {
  738.             e.printStackTrace();
  739.         }

  741.         return null;
  742.     }

  744.     /**
  745.      * Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
  746.      * 
  747.      * @param dtSpot Spot Date
  748.      * @param forwardLabel Forward Label
  749.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  750.      * @param adblDepositQuote Array of the Deposit Instrument Quotes
  751.      * @param strDepositMeasure The Deposit Instrument Calibration Measure
  752.      * @param astrFRAMaturityTenor Array of FRA Maturity Tenors
  753.      * @param adblFRAQuote Array of the FRA Instrument Quotes
  754.      * @param strFRAMeasure The FRA Instrument Calibration Measure
  755.      * @param astrFixFloatMaturityTenor Array of Fix-Float Maturity Tenors
  756.      * @param adblFixFloatQuote Array of the Fix-Float Quotes
  757.      * @param strFixFloatMeasure The Fix-Float Calibration Measure
  758.      * @param astrFloatFloatMaturityTenor Array of Float-Float Maturity Tenors
  759.      * @param adblFloatFloatQuote Array of the Float-Float Quotes
  760.      * @param strFloatFloatMeasure The Float-Float Calibration Measure
  761.      * @param astrSyntheticFloatFloatMaturityTenor Array of Synthetic Float-Float Maturity Tenors
  762.      * @param adblSyntheticFloatFloatQuote Array of the Synthetic Float-Float Quotes
  763.      * @param strSyntheticFloatFloatMeasure The Synthetic Float-Float Calibration Measure
  764.      * @param dc The Base Discount Curve
  765.      * @param fcReference The Reference Forward Curve
  766.      * 
  767.      * @return Instance of the Forward Curve
  768.      */

  770.     public static final org.drip.state.forward.ForwardCurve SmoothForwardCurve (
  771.         final org.drip.analytics.date.JulianDate dtSpot,
  772.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  773.         final java.lang.String[] astrDepositMaturityTenor,
  774.         final double[] adblDepositQuote,
  775.         final java.lang.String strDepositMeasure,
  776.         final java.lang.String[] astrFRAMaturityTenor,
  777.         final double[] adblFRAQuote,
  778.         final java.lang.String strFRAMeasure,
  779.         final java.lang.String[] astrFixFloatMaturityTenor,
  780.         final double[] adblFixFloatQuote,
  781.         final java.lang.String strFixFloatMeasure,
  782.         final java.lang.String[] astrFloatFloatMaturityTenor,
  783.         final double[] adblFloatFloatQuote,
  784.         final java.lang.String strFloatFloatMeasure,
  785.         final java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
  786.         final double[] adblSyntheticFloatFloatQuote,
  787.         final java.lang.String strSyntheticFloatFloatMeasure,
  788.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  789.         final org.drip.state.forward.ForwardCurve fcReference)
  790.     {
  791.         try {
  792.             return ForwardCurve (dtSpot, forwardLabel, astrDepositMaturityTenor, adblDepositQuote,
  793.                 strDepositMeasure, astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure,
  794.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  795.                         astrFloatFloatMaturityTenor, adblFloatFloatQuote, strFloatFloatMeasure,
  796.                             astrSyntheticFloatFloatMaturityTenor, adblSyntheticFloatFloatQuote,
  797.                                 strSyntheticFloatFloatMeasure, dc, fcReference, new
  798.                                     org.drip.spline.params.SegmentCustomBuilderControl
  799.                                         (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  800.                 new org.drip.spline.basis.PolynomialFunctionSetParams (4),
  801.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  802.                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  803.                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null));
  804.         } catch (java.lang.Exception e) {
  805.             e.printStackTrace();
  806.         }

  808.         return null;
  809.     }

  811.     /**
  812.      * Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market
  813.      *  Instruments
  814.      * 
  815.      * @param dtSpot Spot Date
  816.      * @param forwardLabel Forward Label
  817.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  818.      * @param adblDepositQuote Array of the Deposit Instrument Quotes
  819.      * @param strDepositMeasure The Deposit Instrument Calibration Measure
  820.      * @param astrFRAMaturityTenor Array of FRA Maturity Tenors
  821.      * @param adblFRAQuote Array of the FRA Instrument Quotes
  822.      * @param strFRAMeasure The FRA Instrument Calibration Measure
  823.      * @param astrFixFloatMaturityTenor Array of Fix-Float Maturity Tenors
  824.      * @param adblFixFloatQuote Array of the Fix-Float Quotes
  825.      * @param strFixFloatMeasure The Fix-Float Calibration Measure
  826.      * @param astrFloatFloatMaturityTenor Array of Float-Float Maturity Tenors
  827.      * @param adblFloatFloatQuote Array of the Float-Float Quotes
  828.      * @param strFloatFloatMeasure The Float-Float Calibration Measure
  829.      * @param astrSyntheticFloatFloatMaturityTenor Array of Synthetic Float-Float Maturity Tenors
  830.      * @param adblSyntheticFloatFloatQuote Array of the Synthetic Float-Float Quotes
  831.      * @param strSyntheticFloatFloatMeasure The Synthetic Float-Float Calibration Measure
  832.      * @param dc The Base Discount Curve
  833.      * @param fcReference The Reference Forward Curve
  834.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  835.      * 
  836.      * @return Instance of the Forward Curve
  837.      */

  839.     public static final org.drip.state.forward.ForwardCurve ForwardCurve (
  840.         final org.drip.analytics.date.JulianDate dtSpot,
  841.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  842.         final java.lang.String[] astrDepositMaturityTenor,
  843.         final double[] adblDepositQuote,
  844.         final java.lang.String strDepositMeasure,
  845.         final java.lang.String[] astrFRAMaturityTenor,
  846.         final double[] adblFRAQuote,
  847.         final java.lang.String strFRAMeasure,
  848.         final java.lang.String[] astrFixFloatMaturityTenor,
  849.         final double[] adblFixFloatQuote,
  850.         final java.lang.String strFixFloatMeasure,
  851.         final java.lang.String[] astrFloatFloatMaturityTenor,
  852.         final double[] adblFloatFloatQuote,
  853.         final java.lang.String strFloatFloatMeasure,
  854.         final java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
  855.         final double[] adblSyntheticFloatFloatQuote,
  856.         final java.lang.String strSyntheticFloatFloatMeasure,
  857.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  858.         final org.drip.state.forward.ForwardCurve fcReference,
  859.         final int iLatentStateType)
  860.     {
  861.         if (SHAPE_PRESERVING == iLatentStateType)
  862.             return ShapePreservingForwardCurve (dtSpot, forwardLabel, astrDepositMaturityTenor,
  863.                 adblDepositQuote, strDepositMeasure, astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure,
  864.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  865.                         astrFloatFloatMaturityTenor, adblFloatFloatQuote, strFloatFloatMeasure,
  866.                             astrSyntheticFloatFloatMaturityTenor, adblSyntheticFloatFloatQuote,
  867.                                 strSyntheticFloatFloatMeasure, dc, fcReference);

  869.         if (SMOOTH == iLatentStateType)
  870.             return SmoothForwardCurve (dtSpot, forwardLabel, astrDepositMaturityTenor, adblDepositQuote,
  871.                 strDepositMeasure, astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure,
  872.                     astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  873.                         astrFloatFloatMaturityTenor, adblFloatFloatQuote, strFloatFloatMeasure,
  874.                             astrSyntheticFloatFloatMaturityTenor, adblSyntheticFloatFloatQuote,
  875.                                 strSyntheticFloatFloatMeasure, dc, fcReference);

  877.         return null;
  878.     }

  880.     /**
  881.      * Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
  882.      * 
  883.      * @param dtSpot Spot Date
  884.      * @param strCurrency Currency
  885.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  886.      * @param adblDepositQuote Array of Deposit Quotes
  887.      * @param strDepositMeasure Deposit Measure
  888.      * @param astrShortEndOISMaturityTenor Array of Short End OIS Maturity Tenors
  889.      * @param adblShortEndOISQuote Array of Short End OIS Quotes
  890.      * @param strShortEndOISMeasure Short End OIS Measure
  891.      * @param astrOISFuturesEffectiveTenor Array of OIS Futures Effective Tenors
  892.      * @param astrOISFuturesMaturityTenor Array of OIS Futures Maturity Tenors
  893.      * @param adblOISFuturesQuote Array of OIS Futures Quotes
  894.      * @param strOISFuturesMeasure OIS Futures Measure
  895.      * @param astrLongEndOISMaturityTenor Array of Long End OIS Maturity Tenors
  896.      * @param adblLongEndOISQuote Array of Long End OIS Quotes
  897.      * @param strLongEndOISMeasure Long End OIS Measure
  898.      * @param scbc Segment Custom Builder Control
  899.      * 
  900.      * @return Overnight Curve from Overnight OTC Instruments
  901.      */

  903.     public static final org.drip.state.discount.MergedDiscountForwardCurve OvernightCurve (
  904.         final org.drip.analytics.date.JulianDate dtSpot,
  905.         final String strCurrency,
  906.         final java.lang.String[] astrDepositMaturityTenor,
  907.         final double[] adblDepositQuote,
  908.         final java.lang.String strDepositMeasure,
  909.         final java.lang.String[] astrShortEndOISMaturityTenor,
  910.         final double[] adblShortEndOISQuote,
  911.         final java.lang.String strShortEndOISMeasure,
  912.         final java.lang.String[] astrOISFuturesEffectiveTenor,
  913.         final java.lang.String[] astrOISFuturesMaturityTenor,
  914.         final double[] adblOISFuturesQuote,
  915.         final java.lang.String strOISFuturesMeasure,
  916.         final java.lang.String[] astrLongEndOISMaturityTenor,
  917.         final double[] adblLongEndOISQuote,
  918.         final java.lang.String strLongEndOISMeasure,
  919.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  920.     {
  921.         if (null == dtSpot) return null;

  923.         org.drip.state.inference.LatentStateStretchSpec lsssDeposit = null;
  924.         org.drip.state.inference.LatentStateStretchSpec lsssOISFutures = null;
  925.         org.drip.state.inference.LatentStateStretchSpec lsssLongEndOIS = null;
  926.         org.drip.state.inference.LatentStateStretchSpec lsssShortEndOIS = null;
  927.         int iNumDepositQuote = null == adblDepositQuote ? 0 : adblDepositQuote.length;
  928.         int iNumOISFuturesQuote = null == adblOISFuturesQuote ? 0 : adblOISFuturesQuote.length;
  929.         int iNumLongEndOISQuote = null == adblLongEndOISQuote ? 0 : adblLongEndOISQuote.length;
  930.         int iNumShortEndOISQuote = null == adblShortEndOISQuote ? 0 : adblShortEndOISQuote.length;
  931.         int iNumDepositComp = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  932.         int iNumOISFuturesComp = null == astrOISFuturesMaturityTenor ? 0 :
  933.             astrOISFuturesMaturityTenor.length;
  934.         int iNumOISFuturesComp2 = null == astrOISFuturesEffectiveTenor ? 0 :
  935.             astrOISFuturesEffectiveTenor.length;
  936.         int iNumLongEndOISComp = null == astrLongEndOISMaturityTenor ? 0 :
  937.             astrLongEndOISMaturityTenor.length;
  938.         int iNumShortEndOISComp = null == astrShortEndOISMaturityTenor ? 0 :
  939.             astrShortEndOISMaturityTenor.length;

  941.         if (iNumDepositQuote != iNumDepositComp || iNumShortEndOISQuote != iNumShortEndOISComp ||
  942.             iNumOISFuturesQuote != iNumOISFuturesComp || iNumOISFuturesComp2 != iNumOISFuturesComp ||
  943.                 iNumLongEndOISQuote != iNumLongEndOISComp)
  944.             return null;

  946.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  948.         if (0 != iNumDepositComp)
  949.             lsssDeposit = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  950.                 ("DEPOSIT", org.drip.service.template.OTCInstrumentBuilder.OvernightDeposit (dtEffective,
  951.                     strCurrency, astrDepositMaturityTenor), strDepositMeasure, adblDepositQuote);

  953.         if (0 != iNumShortEndOISComp)
  954.             lsssShortEndOIS = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  955.                 ("SHORTENDOIS", org.drip.service.template.OTCInstrumentBuilder.OISFixFloat (dtEffective,
  956.                     strCurrency, astrShortEndOISMaturityTenor, adblShortEndOISQuote, false),
  957.                         strShortEndOISMeasure, adblShortEndOISQuote);

  959.         if (0 != iNumOISFuturesComp)
  960.             lsssOISFutures = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  961.                 ("OISFUTURES", org.drip.service.template.OTCInstrumentBuilder.OISFixFloatFutures
  962.                     (dtEffective, strCurrency, astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  963.                         adblOISFuturesQuote, false), strOISFuturesMeasure, adblOISFuturesQuote);

  965.         if (0 != iNumLongEndOISComp)
  966.             lsssLongEndOIS = org.drip.state.estimator.LatentStateStretchBuilder.ForwardFundingStretchSpec
  967.                 ("LONGENDOIS", org.drip.service.template.OTCInstrumentBuilder.OISFixFloat (dtEffective,
  968.                     strCurrency, astrLongEndOISMaturityTenor, adblLongEndOISQuote, false),
  969.                         strLongEndOISMeasure, adblLongEndOISQuote);

  971.         try {
  972.             org.drip.state.inference.LinearLatentStateCalibrator lcc = new
  973.                 org.drip.state.inference.LinearLatentStateCalibrator (scbc,
  974.                     org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  975.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  977.             return org.drip.state.creator.ScenarioDiscountCurveBuilder.ShapePreservingDFBuild (strCurrency,
  978.                 lcc, new org.drip.state.inference.LatentStateStretchSpec[] {lsssDeposit, lsssShortEndOIS,
  979.                     lsssOISFutures, lsssLongEndOIS}, org.drip.param.valuation.ValuationParams.Spot
  980.                         (dtEffective.julian()), null, null, null, 1.);
  981.         } catch (java.lang.Exception e) {
  982.             e.printStackTrace();
  983.         }

  985.         return null;
  986.     }

  988.     /**
  989.      * Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
  990.      * 
  991.      * @param dtSpot Spot Date
  992.      * @param strCurrency Currency
  993.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  994.      * @param adblDepositQuote Array of Deposit Quotes
  995.      * @param strDepositMeasure Deposit Measure
  996.      * @param astrShortEndOISMaturityTenor Array of Short End OIS Maturity Tenors
  997.      * @param adblShortEndOISQuote Array of Short End OIS Quotes
  998.      * @param strShortEndOISMeasure Short End OIS Measure
  999.      * @param astrOISFuturesEffectiveTenor Array of OIS Futures Effective Tenors
  1000.      * @param astrOISFuturesMaturityTenor Array of OIS Futures Maturity Tenors
  1001.      * @param adblOISFuturesQuote Array of OIS Futures Quotes
  1002.      * @param strOISFuturesMeasure OIS Futures Measure
  1003.      * @param astrLongEndOISMaturityTenor Array of Long End OIS Maturity Tenors
  1004.      * @param adblLongEndOISQuote Array of Long End OIS Quotes
  1005.      * @param strLongEndOISMeasure Long End OIS Measure
  1006.      * 
  1007.      * @return Overnight Curve from Overnight OTC Instruments
  1008.      */

  1010.     public static final org.drip.state.discount.MergedDiscountForwardCurve ShapePreservingOvernightCurve (
  1011.         final org.drip.analytics.date.JulianDate dtSpot,
  1012.         final String strCurrency,
  1013.         final java.lang.String[] astrDepositMaturityTenor,
  1014.         final double[] adblDepositQuote,
  1015.         final java.lang.String strDepositMeasure,
  1016.         final java.lang.String[] astrShortEndOISMaturityTenor,
  1017.         final double[] adblShortEndOISQuote,
  1018.         final java.lang.String strShortEndOISMeasure,
  1019.         final java.lang.String[] astrOISFuturesEffectiveTenor,
  1020.         final java.lang.String[] astrOISFuturesMaturityTenor,
  1021.         final double[] adblOISFuturesQuote,
  1022.         final java.lang.String strOISFuturesMeasure,
  1023.         final java.lang.String[] astrLongEndOISMaturityTenor,
  1024.         final double[] adblLongEndOISQuote,
  1025.         final java.lang.String strLongEndOISMeasure)
  1026.     {
  1027.         try {
  1028.             return OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  1029.                 strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  1030.                     astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  1031.                         strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  1032.                             strLongEndOISMeasure, new org.drip.spline.params.SegmentCustomBuilderControl
  1033.                                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  1034.                                     new org.drip.spline.basis.PolynomialFunctionSetParams (2),
  1035.                                         org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2),
  1036.                                             new org.drip.spline.params.ResponseScalingShapeControl (true, new
  1037.                                                 org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  1038.                                                     null));
  1039.         } catch (java.lang.Exception e) {
  1040.             e.printStackTrace();
  1041.         }

  1043.         return null;
  1044.     }

  1046.     /**
  1047.      * Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments
  1048.      * 
  1049.      * @param dtSpot Spot Date
  1050.      * @param strCurrency Currency
  1051.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  1052.      * @param adblDepositQuote Array of Deposit Quotes
  1053.      * @param strDepositMeasure Deposit Measure
  1054.      * @param astrShortEndOISMaturityTenor Array of Short End OIS Maturity Tenors
  1055.      * @param adblShortEndOISQuote Array of Short End OIS Quotes
  1056.      * @param strShortEndOISMeasure Short End OIS Measure
  1057.      * @param astrOISFuturesEffectiveTenor Array of OIS Futures Effective Tenors
  1058.      * @param astrOISFuturesMaturityTenor Array of OIS Futures Maturity Tenors
  1059.      * @param adblOISFuturesQuote Array of OIS Futures Quotes
  1060.      * @param strOISFuturesMeasure OIS Futures Measure
  1061.      * @param astrLongEndOISMaturityTenor Array of Long End OIS Maturity Tenors
  1062.      * @param adblLongEndOISQuote Array of Long End OIS Quotes
  1063.      * @param strLongEndOISMeasure Long End OIS Measure
  1064.      * 
  1065.      * @return Overnight Curve from Overnight OTC Instruments
  1066.      */

  1068.     public static final org.drip.state.discount.MergedDiscountForwardCurve SmoothOvernightCurve (
  1069.         final org.drip.analytics.date.JulianDate dtSpot,
  1070.         final String strCurrency,
  1071.         final java.lang.String[] astrDepositMaturityTenor,
  1072.         final double[] adblDepositQuote,
  1073.         final java.lang.String strDepositMeasure,
  1074.         final java.lang.String[] astrShortEndOISMaturityTenor,
  1075.         final double[] adblShortEndOISQuote,
  1076.         final java.lang.String strShortEndOISMeasure,
  1077.         final java.lang.String[] astrOISFuturesEffectiveTenor,
  1078.         final java.lang.String[] astrOISFuturesMaturityTenor,
  1079.         final double[] adblOISFuturesQuote,
  1080.         final java.lang.String strOISFuturesMeasure,
  1081.         final java.lang.String[] astrLongEndOISMaturityTenor,
  1082.         final double[] adblLongEndOISQuote,
  1083.         final java.lang.String strLongEndOISMeasure)
  1084.     {
  1085.         try {
  1086.             return OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  1087.                 strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  1088.                     astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  1089.                         strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  1090.                             strLongEndOISMeasure, new org.drip.spline.params.SegmentCustomBuilderControl
  1091.                                 (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  1092.                                     new org.drip.spline.basis.PolynomialFunctionSetParams (4),
  1093.                                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2),
  1094.                                             new org.drip.spline.params.ResponseScalingShapeControl (true, new
  1095.                                                 org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  1096.                                                     null));
  1097.         } catch (java.lang.Exception e) {
  1098.             e.printStackTrace();
  1099.         }

  1101.         return null;
  1102.     }

  1104.     /**
  1105.      * Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
  1106.      * 
  1107.      * @param dtSpot Spot Date
  1108.      * @param strCurrency Currency
  1109.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  1110.      * @param adblDepositQuote Array of Deposit Quotes
  1111.      * @param strDepositMeasure Deposit Measure
  1112.      * @param astrShortEndOISMaturityTenor Array of Short End OIS Maturity Tenors
  1113.      * @param adblShortEndOISQuote Array of Short End OIS Quotes
  1114.      * @param strShortEndOISMeasure Short End OIS Measure
  1115.      * @param astrOISFuturesEffectiveTenor Array of OIS Futures Effective Tenors
  1116.      * @param astrOISFuturesMaturityTenor Array of OIS Futures Maturity Tenors
  1117.      * @param adblOISFuturesQuote Array of OIS Futures Quotes
  1118.      * @param strOISFuturesMeasure OIS Futures Measure
  1119.      * @param astrLongEndOISMaturityTenor Array of Long End OIS Maturity Tenors
  1120.      * @param adblLongEndOISQuote Array of Long End OIS Quotes
  1121.      * @param strLongEndOISMeasure Long End OIS Measure
  1122.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  1123.      * 
  1124.      * @return Overnight Curve from Overnight OTC Instruments
  1125.      */

  1127.     public static final org.drip.state.discount.MergedDiscountForwardCurve OvernightCurve (
  1128.         final org.drip.analytics.date.JulianDate dtSpot,
  1129.         final String strCurrency,
  1130.         final java.lang.String[] astrDepositMaturityTenor,
  1131.         final double[] adblDepositQuote,
  1132.         final java.lang.String strDepositMeasure,
  1133.         final java.lang.String[] astrShortEndOISMaturityTenor,
  1134.         final double[] adblShortEndOISQuote,
  1135.         final java.lang.String strShortEndOISMeasure,
  1136.         final java.lang.String[] astrOISFuturesEffectiveTenor,
  1137.         final java.lang.String[] astrOISFuturesMaturityTenor,
  1138.         final double[] adblOISFuturesQuote,
  1139.         final java.lang.String strOISFuturesMeasure,
  1140.         final java.lang.String[] astrLongEndOISMaturityTenor,
  1141.         final double[] adblLongEndOISQuote,
  1142.         final java.lang.String strLongEndOISMeasure,
  1143.         final int iLatentStateType)
  1144.     {
  1145.         if (SHAPE_PRESERVING == iLatentStateType)
  1146.             return ShapePreservingOvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor,
  1147.                 adblDepositQuote, strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote,
  1148.                     strShortEndOISMeasure, astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  1149.                         adblOISFuturesQuote, strOISFuturesMeasure, astrLongEndOISMaturityTenor,
  1150.                             adblLongEndOISQuote, strLongEndOISMeasure);

  1152.         if (SMOOTH == iLatentStateType)
  1153.             return SmoothOvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  1154.                 strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  1155.                     astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  1156.                         strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  1157.                             strLongEndOISMeasure);

  1159.         return null;
  1160.     }

  1162.     /**
  1163.      * Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
  1164.      * 
  1165.      * @param dtSpot Spot Date
  1166.      * @param strCredit Credit Curve
  1167.      * @param astrMaturityTenor Maturity Tenor
  1168.      * @param adblCoupon Coupon Array
  1169.      * @param adblQuote Array of Market Quotes
  1170.      * @param strMeasure Calibration Measure
  1171.      * @param dc Discount Curve
  1172.      * 
  1173.      * @return The Credit Curve Instance
  1174.      */

  1176.     public static final org.drip.state.credit.CreditCurve CreditCurve (
  1177.         final org.drip.analytics.date.JulianDate dtSpot,
  1178.         final java.lang.String strCredit,
  1179.         final java.lang.String[] astrMaturityTenor,
  1180.         final double[] adblCoupon,
  1181.         final double[] adblQuote,
  1182.         final java.lang.String strMeasure,
  1183.         final org.drip.state.discount.MergedDiscountForwardCurve dc)
  1184.     {
  1185.         if (null == dtSpot || null == dc) return null;

  1187.         java.lang.String strCurrency = dc.currency();

  1189.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, strCurrency);

  1191.         org.drip.product.definition.CreditDefaultSwap[] aCDS =
  1192.             org.drip.service.template.OTCInstrumentBuilder.CDS (dtEffective, astrMaturityTenor, adblCoupon,
  1193.                 strCurrency, strCredit);

  1195.         if (null == aCDS) return null;

  1197.         int iNumCDS = aCDS.length;
  1198.         java.lang.String[] astrMeasure = new java.lang.String[iNumCDS];

  1200.         if (0 == iNumCDS) return null;

  1202.         for (int i = 0; i < iNumCDS; ++i)
  1203.             astrMeasure[i] = strMeasure;

  1205.         return org.drip.state.creator.ScenarioCreditCurveBuilder.Custom (strCredit, dtEffective, aCDS, dc,
  1206.             adblQuote, astrMeasure, "CAD".equalsIgnoreCase (strCurrency) || "EUR".equalsIgnoreCase
  1207.                 (strCurrency) || "GBP".equalsIgnoreCase (strCurrency) || "HKD".equalsIgnoreCase (strCurrency)
  1208.                     || "USD".equalsIgnoreCase (strCurrency) ? 0.40 : 0.25, "QuotedSpread".equals
  1209.                         (strMeasure));
  1210.     }

  1212.     /**
  1213.      * Construct a Credit Curve from the specified Calibration CDS Instruments
  1214.      * 
  1215.      * @param dtSpot Spot Date
  1216.      * @param aCDS Array of the Calibration CDS Instruments
  1217.      * @param adblQuote Array of Market Quotes
  1218.      * @param strMeasure Calibration Measure
  1219.      * @param dc Discount Curve
  1220.      * 
  1221.      * @return The Credit Curve Instance
  1222.      */

  1224.     public static final org.drip.state.credit.CreditCurve CreditCurve (
  1225.         final org.drip.analytics.date.JulianDate dtSpot,
  1226.         final org.drip.product.definition.CreditDefaultSwap[] aCDS,
  1227.         final double[] adblQuote,
  1228.         final java.lang.String strMeasure,
  1229.         final org.drip.state.discount.MergedDiscountForwardCurve dc)
  1230.     {
  1231.         if (null == dtSpot || null == dc) return null;

  1233.         java.lang.String strCurrency = dc.currency();

  1235.         if (null == aCDS) return null;

  1237.         int iNumCDS = aCDS.length;
  1238.         java.lang.String[] astrMeasure = new java.lang.String[iNumCDS];

  1240.         if (0 == iNumCDS) return null;

  1242.         for (int i = 0; i < iNumCDS; ++i)
  1243.             astrMeasure[i] = strMeasure;

  1245.         return org.drip.state.creator.ScenarioCreditCurveBuilder.Custom
  1246.             (aCDS[0].creditLabel().referenceEntity(), dtSpot, aCDS, dc, adblQuote, astrMeasure,
  1247.                 "CAD".equalsIgnoreCase (strCurrency) || "EUR".equalsIgnoreCase (strCurrency) ||
  1248.                     "GBP".equalsIgnoreCase (strCurrency) || "HKD".equalsIgnoreCase (strCurrency) ||
  1249.                         "USD".equalsIgnoreCase (strCurrency) ? 0.40 : 0.25, "QuotedSpread".equals
  1250.                             (strMeasure));
  1251.     }

  1253.     /**
  1254.      * Construct a Govvie Curve from the Treasury Instruments
  1255.      * 
  1256.      * @param strCode Treasury Code
  1257.      * @param dtSpot Spot Date
  1258.      * @param adtEffective Array of Effective Dates
  1259.      * @param adtMaturity Array of Maturity Dates
  1260.      * @param adblCoupon Array of Coupons
  1261.      * @param adblQuote Array of Market Quotes
  1262.      * @param strMeasure Calibration Measure
  1263.      * @param scbc Segment Custom Builder Control Parameters
  1264.      * 
  1265.      * @return The Govvie Curve Instance
  1266.      */

  1268.     public static final org.drip.state.govvie.GovvieCurve GovvieCurve (
  1269.         final java.lang.String strCode,
  1270.         final org.drip.analytics.date.JulianDate dtSpot,
  1271.         final org.drip.analytics.date.JulianDate[] adtEffective,
  1272.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  1273.         final double[] adblCoupon,
  1274.         final double[] adblQuote,
  1275.         final java.lang.String strMeasure,
  1276.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  1277.     {
  1278.         org.drip.product.credit.BondComponent[] aTreasury =
  1279.             org.drip.service.template.TreasuryBuilder.FromCode (strCode, adtEffective, adtMaturity,
  1280.                 adblCoupon);

  1282.         if (null == aTreasury) return null;

  1284.         int iNumTreasury = aTreasury.length;
  1285.         int[] aiDate = new int[iNumTreasury];

  1287.         if (0 == iNumTreasury || adblQuote.length != iNumTreasury) return null;

  1289.         for (int i = 0; i < iNumTreasury; ++i)
  1290.             aiDate[i] = adtMaturity[i].julian();

  1292.         java.lang.String strCurrency = aTreasury[0].currency();

  1294.         java.lang.String strBenchmarkTreasuryCode =
  1295.             org.drip.market.issue.TreasurySettingContainer.CurrencyBenchmarkCode (strCurrency);

  1297.         return null == strBenchmarkTreasuryCode || strBenchmarkTreasuryCode.isEmpty() ? null :
  1298.             org.drip.state.creator.ScenarioGovvieCurveBuilder.CustomSplineCurve (strBenchmarkTreasuryCode,
  1299.                 dtSpot, strBenchmarkTreasuryCode, strCurrency, aiDate, adblQuote, scbc);
  1300.     }

  1302.     /**
  1303.      * Construct a Shape Preserving Govvie Curve from the Treasury Instruments
  1304.      * 
  1305.      * @param strCode Treasury Code
  1306.      * @param dtSpot Spot Date
  1307.      * @param adtEffective Array of Effective Dates
  1308.      * @param adtMaturity Array of Maturity Dates
  1309.      * @param adblCoupon Array of Coupons
  1310.      * @param adblQuote Array of Market Quotes
  1311.      * @param strMeasure Calibration Measure
  1312.      * 
  1313.      * @return The Govvie Curve Instance
  1314.      */

  1316.     public static final org.drip.state.govvie.GovvieCurve ShapePreservingGovvieCurve (
  1317.         final java.lang.String strCode,
  1318.         final org.drip.analytics.date.JulianDate dtSpot,
  1319.         final org.drip.analytics.date.JulianDate[] adtEffective,
  1320.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  1321.         final double[] adblCoupon,
  1322.         final double[] adblQuote,
  1323.         final java.lang.String strMeasure)
  1324.     {
  1325.         try {
  1326.             return GovvieCurve (strCode, dtSpot, adtEffective, adtMaturity, adblCoupon, adblQuote,
  1327.                 strMeasure, new org.drip.spline.params.SegmentCustomBuilderControl
  1328.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1329.                         org.drip.spline.basis.PolynomialFunctionSetParams (2),
  1330.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), null, null));
  1331.         } catch (java.lang.Exception e) {
  1332.             e.printStackTrace();
  1333.         }

  1335.         return null;
  1336.     }

  1338.     /**
  1339.      * Construct a Smooth Govvie Curve from the Treasury Instruments
  1340.      * 
  1341.      * @param strCode Treasury Code
  1342.      * @param dtSpot Spot Date
  1343.      * @param adtEffective Array of Effective Dates
  1344.      * @param adtMaturity Array of Maturity Dates
  1345.      * @param adblCoupon Array of Coupons
  1346.      * @param adblQuote Array of Market Quotes
  1347.      * @param strMeasure Calibration Measure
  1348.      * 
  1349.      * @return The Govvie Curve Instance
  1350.      */

  1352.     public static final org.drip.state.govvie.GovvieCurve SmoothGovvieCurve (
  1353.         final java.lang.String strCode,
  1354.         final org.drip.analytics.date.JulianDate dtSpot,
  1355.         final org.drip.analytics.date.JulianDate[] adtEffective,
  1356.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  1357.         final double[] adblCoupon,
  1358.         final double[] adblQuote,
  1359.         final java.lang.String strMeasure)
  1360.     {
  1361.         try {
  1362.             return GovvieCurve (strCode, dtSpot, adtEffective, adtMaturity, adblCoupon, adblQuote,
  1363.                 strMeasure, new org.drip.spline.params.SegmentCustomBuilderControl
  1364.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1365.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  1366.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1367.         } catch (java.lang.Exception e) {
  1368.             e.printStackTrace();
  1369.         }

  1371.         return null;
  1372.     }

  1374.     /**
  1375.      * Construct a Govvie Curve from the Treasury Instruments
  1376.      * 
  1377.      * @param strCode Treasury Code
  1378.      * @param dtSpot Spot Date
  1379.      * @param adtEffective Array of Effective Dates
  1380.      * @param adtMaturity Array of Maturity Dates
  1381.      * @param adblCoupon Array of Coupons
  1382.      * @param adblQuote Array of Market Quotes
  1383.      * @param strMeasure Calibration Measure
  1384.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  1385.      * 
  1386.      * @return The Govvie Curve Instance
  1387.      */

  1389.     public static final org.drip.state.govvie.GovvieCurve GovvieCurve (
  1390.         final java.lang.String strCode,
  1391.         final org.drip.analytics.date.JulianDate dtSpot,
  1392.         final org.drip.analytics.date.JulianDate[] adtEffective,
  1393.         final org.drip.analytics.date.JulianDate[] adtMaturity,
  1394.         final double[] adblCoupon,
  1395.         final double[] adblQuote,
  1396.         final java.lang.String strMeasure,
  1397.         final int iLatentStateType)
  1398.     {
  1399.         if (SHAPE_PRESERVING == iLatentStateType)
  1400.             return ShapePreservingGovvieCurve (strCode, dtSpot, adtEffective, adtMaturity, adblCoupon,
  1401.                 adblQuote, strMeasure);

  1403.         if (SMOOTH == iLatentStateType)
  1404.             return SmoothGovvieCurve (strCode, dtSpot, adtEffective, adtMaturity, adblCoupon, adblQuote,
  1405.                 strMeasure);

  1407.         return null;
  1408.     }

  1410.     /**
  1411.      * Construct an FX Curve from the FX Forward Instruments
  1412.      * 
  1413.      * @param dtSpot Spot Date
  1414.      * @param cp The FX Currency Pair
  1415.      * @param astrMaturityTenor Array of Maturity Tenors
  1416.      * @param adblQuote Array of FX Forwards
  1417.      * @param strMeasure Calibration Measure
  1418.      * @param dblFXSpot FX Spot
  1419.      * @param scbc Segment Custom Builder Builder Parameters
  1420.      * 
  1421.      * @return The FX Curve Instance
  1422.      */

  1424.     public static final org.drip.state.fx.FXCurve FXCurve (
  1425.         final org.drip.analytics.date.JulianDate dtSpot,
  1426.         final org.drip.product.params.CurrencyPair cp,
  1427.         final java.lang.String[] astrMaturityTenor,
  1428.         final double[] adblQuote,
  1429.         final java.lang.String strMeasure,
  1430.         final double dblFXSpot,
  1431.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  1432.     {
  1433.         if (null == dtSpot || null == cp) return null;

  1435.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, cp.denomCcy());

  1437.         org.drip.product.fx.FXForwardComponent[] aFXFC =
  1438.             org.drip.service.template.OTCInstrumentBuilder.FXForward (dtEffective, cp, astrMaturityTenor);

  1440.         if (null == aFXFC) return null;

  1442.         int iNumFXFC = aFXFC.length;

  1444.         if (0 == iNumFXFC || adblQuote.length != iNumFXFC) return null;

  1446.         return org.drip.state.creator.ScenarioFXCurveBuilder.ShapePreservingFXCurve ( cp.code(), cp,
  1447.             org.drip.param.valuation.ValuationParams.Spot (dtEffective.julian()), null, null, null, aFXFC,
  1448.                 strMeasure, adblQuote, dblFXSpot, scbc);
  1449.     }

  1451.     /**
  1452.      * Construct a Shape Preserving FX Curve from the FX Forward Instruments
  1453.      * 
  1454.      * @param dtSpot Spot Date
  1455.      * @param cp The FX Currency Pair
  1456.      * @param astrMaturityTenor Array of Maturity Tenors
  1457.      * @param adblQuote Array of FX Forwards
  1458.      * @param strMeasure Calibration Measure
  1459.      * @param dblFXSpot FX Spot
  1460.      * 
  1461.      * @return The FX Curve Instance
  1462.      */

  1464.     public static final org.drip.state.fx.FXCurve ShapePreservingFXCurve (
  1465.         final org.drip.analytics.date.JulianDate dtSpot,
  1466.         final org.drip.product.params.CurrencyPair cp,
  1467.         final java.lang.String[] astrMaturityTenor,
  1468.         final double[] adblQuote,
  1469.         final java.lang.String strMeasure,
  1470.         final double dblFXSpot)
  1471.     {
  1472.         try {
  1473.             return FXCurve (dtSpot, cp, astrMaturityTenor, adblQuote, strMeasure, dblFXSpot, new
  1474.                 org.drip.spline.params.SegmentCustomBuilderControl
  1475.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1476.                         org.drip.spline.basis.PolynomialFunctionSetParams (2),
  1477.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), null, null));
  1478.         } catch (java.lang.Exception e) {
  1479.             e.printStackTrace();
  1480.         }

  1482.         return null;
  1483.     }

  1485.     /**
  1486.      * Construct a Smooth FX Curve from the FX Forward Instruments
  1487.      * 
  1488.      * @param dtSpot Spot Date
  1489.      * @param cp The FX Currency Pair
  1490.      * @param astrMaturityTenor Array of Maturity Tenors
  1491.      * @param adblQuote Array of FX Forwards
  1492.      * @param strMeasure Calibration Measure
  1493.      * @param dblFXSpot FX Spot
  1494.      * 
  1495.      * @return The FX Curve Instance
  1496.      */

  1498.     public static final org.drip.state.fx.FXCurve SmoothFXCurve (
  1499.         final org.drip.analytics.date.JulianDate dtSpot,
  1500.         final org.drip.product.params.CurrencyPair cp,
  1501.         final java.lang.String[] astrMaturityTenor,
  1502.         final double[] adblQuote,
  1503.         final java.lang.String strMeasure,
  1504.         final double dblFXSpot)
  1505.     {
  1506.         try {
  1507.             return FXCurve (dtSpot, cp, astrMaturityTenor, adblQuote, strMeasure, dblFXSpot, new
  1508.                 org.drip.spline.params.SegmentCustomBuilderControl
  1509.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1510.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  1511.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1512.         } catch (java.lang.Exception e) {
  1513.             e.printStackTrace();
  1514.         }

  1516.         return null;
  1517.     }

  1519.     /**
  1520.      * Construct an FX Curve from the FX Forward Instruments
  1521.      * 
  1522.      * @param dtSpot Spot Date
  1523.      * @param cp The FX Currency Pair
  1524.      * @param astrMaturityTenor Array of Maturity Tenors
  1525.      * @param adblQuote Array of FX Forwards
  1526.      * @param strMeasure Calibration Measure
  1527.      * @param dblFXSpot FX Spot
  1528.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  1529.      * 
  1530.      * @return The FX Curve Instance
  1531.      */

  1533.     public static final org.drip.state.fx.FXCurve FXCurve (
  1534.         final org.drip.analytics.date.JulianDate dtSpot,
  1535.         final org.drip.product.params.CurrencyPair cp,
  1536.         final java.lang.String[] astrMaturityTenor,
  1537.         final double[] adblQuote,
  1538.         final java.lang.String strMeasure,
  1539.         final double dblFXSpot,
  1540.         final int iLatentStateType)
  1541.     {
  1542.         if (SHAPE_PRESERVING == iLatentStateType)
  1543.             return ShapePreservingFXCurve (dtSpot, cp, astrMaturityTenor, adblQuote, strMeasure, dblFXSpot);

  1545.         if (SMOOTH == iLatentStateType)
  1546.             return SmoothFXCurve (dtSpot, cp, astrMaturityTenor, adblQuote, strMeasure, dblFXSpot);

  1548.         return null;
  1549.     }

  1551.     /**
  1552.      * Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
  1553.      * 
  1554.      * @param dtSpot Spot Date
  1555.      * @param forwardLabel Forward Label
  1556.      * @param bIsCap TRUE - Create and Use Array of Caps
  1557.      * @param astrMaturityTenor Array of Cap/floor Maturities
  1558.      * @param adblStrike Array of Cap/Floor Strikes
  1559.      * @param adblQuote Array of Cap/Floor Quotes
  1560.      * @param strMeasure Calibration Measure
  1561.      * @param dc Discount Curve Instance
  1562.      * @param fc Forward Curve Instance
  1563.      * 
  1564.      * @return Instance of the Forward Rate Volatility Curve
  1565.      */

  1567.     public static final org.drip.state.volatility.VolatilityCurve ForwardRateVolatilityCurve (
  1568.         final org.drip.analytics.date.JulianDate dtSpot,
  1569.         final org.drip.state.identifier.ForwardLabel forwardLabel,
  1570.         final boolean bIsCap,
  1571.         final java.lang.String[] astrMaturityTenor,
  1572.         final double[] adblStrike,
  1573.         final double[] adblQuote,
  1574.         final java.lang.String strMeasure,
  1575.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  1576.         final org.drip.state.forward.ForwardCurve fc)
  1577.     {
  1578.         if (null == dtSpot || null == astrMaturityTenor || null == dc) return null;

  1580.         org.drip.analytics.date.JulianDate dtEffective = dtSpot.addBusDays (0, dc.currency());

  1582.         int iNumComp = astrMaturityTenor.length;
  1583.         java.lang.String[] astrCalibMeasure = new java.lang.String[iNumComp];

  1585.         if (0 == iNumComp) return null;

  1587.         for (int i = 0; i < iNumComp; ++i)
  1588.             astrCalibMeasure[i] = strMeasure;

  1590.         return org.drip.state.creator.ScenarioLocalVolatilityBuilder.NonlinearBuild
  1591.             (forwardLabel.fullyQualifiedName() + "::VOL", dtEffective, forwardLabel,
  1592.                 org.drip.service.template.OTCInstrumentBuilder.CapFloor (dtEffective, forwardLabel,
  1593.                     astrMaturityTenor, adblStrike, bIsCap), adblQuote, astrCalibMeasure, dc, fc, null);
  1594.     }

  1596.     /**
  1597.      * Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
  1598.      * 
  1599.      * @param dtSpot The Spot Date
  1600.      * @param strCurrency Currency
  1601.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  1602.      * @param adblDepositQuote Array of Deposit Quotes
  1603.      * @param strDepositMeasure Deposit Calibration Measure
  1604.      * @param adblFuturesQuote Array of Futures Quotes
  1605.      * @param strFuturesMeasure Futures Calibration Measure
  1606.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  1607.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  1608.      * @param strFixFloatMeasure Fix Float Calibration Measure
  1609.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  1610.      * @param dblBump The Tenor Node Bump Amount
  1611.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  1612.      * 
  1613.      * @return The Tenor Bumped Funding Curve Map
  1614.      */

  1616.     public static final
  1617.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  1618.             BumpedFundingCurve (
  1619.                 final org.drip.analytics.date.JulianDate dtSpot,
  1620.                 final java.lang.String strCurrency,
  1621.                 final java.lang.String[] astrDepositMaturityTenor,
  1622.                 final double[] adblDepositQuote,
  1623.                 final java.lang.String strDepositMeasure,
  1624.                 final double[] adblFuturesQuote,
  1625.                 final java.lang.String strFuturesMeasure,
  1626.                 final java.lang.String[] astrFixFloatMaturityTenor,
  1627.                 final double[] adblFixFloatQuote,
  1628.                 final java.lang.String strFixFloatMeasure,
  1629.                 final int iLatentStateType,
  1630.                 final double dblBump,
  1631.                 final boolean bIsProportional)
  1632.     {
  1633.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  1635.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  1636.             mapBumpedCurve = new
  1637.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  1639.         try {
  1640.             org.drip.param.definition.ManifestMeasureTweak mmtFLAT = new
  1641.                 org.drip.param.definition.ManifestMeasureTweak
  1642.                     (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump);

  1644.             if (null != adblDepositQuote) {
  1645.                 int iNumDeposit = adblDepositQuote.length;

  1647.                 for (int i = 0; i < iNumDeposit; ++i) {
  1648.                     org.drip.state.discount.MergedDiscountForwardCurve dcDepositQuoteBumped = FundingCurve
  1649.                         (dtSpot, strCurrency, astrDepositMaturityTenor,
  1650.                             org.drip.analytics.support.Helper.TweakManifestMeasure (adblDepositQuote, new
  1651.                                 org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  1652.                                     dblBump)), strDepositMeasure, adblFuturesQuote, strFuturesMeasure,
  1653.                                         astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  1654.                                             iLatentStateType);

  1656.                     if (null != dcDepositQuoteBumped)
  1657.                         mapBumpedCurve.put ("DEPOSIT::" + astrDepositMaturityTenor[i],
  1658.                             dcDepositQuoteBumped);
  1659.                 }
  1660.             }

  1662.             double[] adblDepositParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  1663.                 (adblDepositQuote, mmtFLAT);

  1665.             org.drip.state.discount.MergedDiscountForwardCurve dcDepositQuoteBumped = FundingCurve (dtSpot,
  1666.                 strCurrency, astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure,
  1667.                     adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1668.                         strFixFloatMeasure, iLatentStateType);

  1670.             if (null != dcDepositQuoteBumped) mapBumpedCurve.put ("DEPOSIT::PLL", dcDepositQuoteBumped);

  1672.             if (null != adblFuturesQuote) {
  1673.                 int iNumFutures = adblFuturesQuote.length;

  1675.             for (int i = 0; i < iNumFutures; ++i) {
  1676.                 org.drip.state.discount.MergedDiscountForwardCurve dcFuturesQuoteBumped = FundingCurve
  1677.                     (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1678.                         org.drip.analytics.support.Helper.TweakManifestMeasure (adblFuturesQuote, new
  1679.                             org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional, dblBump)),
  1680.                                 strFuturesMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1681.                                     strFixFloatMeasure, iLatentStateType);

  1683.                 if (null != dcFuturesQuoteBumped) mapBumpedCurve.put ("FUTURES::" + i, dcFuturesQuoteBumped);
  1684.                 }
  1685.             }

  1687.             double[] adblFuturesParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  1688.                 (adblFuturesQuote, mmtFLAT);

  1690.             org.drip.state.discount.MergedDiscountForwardCurve dcFuturesQuoteBumped = FundingCurve (dtSpot,
  1691.                 strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1692.                     adblFuturesParallelBump, strFuturesMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1693.                         strFixFloatMeasure, iLatentStateType);

  1695.             if (null != dcFuturesQuoteBumped) mapBumpedCurve.put ("FUTURES::P", dcFuturesQuoteBumped);

  1697.             if (null != adblFixFloatQuote) {
  1698.                 int iNumFixFloat = adblFixFloatQuote.length;

  1700.                 for (int i = 0; i < iNumFixFloat; ++i) {
  1701.                     org.drip.state.discount.MergedDiscountForwardCurve dcFixFloatQuoteBumped = FundingCurve
  1702.                         (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1703.                             adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  1704.                                 org.drip.analytics.support.Helper.TweakManifestMeasure (adblFixFloatQuote,
  1705.                                     new org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  1706.                                         dblBump)), strFixFloatMeasure, iLatentStateType);

  1708.                     if (null != dcFixFloatQuoteBumped)
  1709.                         mapBumpedCurve.put ("FIXFLOAT::" + astrFixFloatMaturityTenor[i],
  1710.                             dcFixFloatQuoteBumped);
  1711.                 }

  1713.                 double[] adblFixFloatParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  1714.                     (adblFixFloatQuote, mmtFLAT);

  1716.                 org.drip.state.discount.MergedDiscountForwardCurve dcFixFloatQuoteBumped = FundingCurve
  1717.                     (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1718.                         adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor,
  1719.                             adblFixFloatParallelBump, strFixFloatMeasure, iLatentStateType);

  1721.                 if (null != dcFixFloatQuoteBumped)
  1722.                     mapBumpedCurve.put ("FIXFLOAT::PLL", dcFixFloatQuoteBumped);

  1724.                 org.drip.state.discount.MergedDiscountForwardCurve dcFundingBase = FundingCurve (dtSpot,
  1725.                     strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1726.                         adblFuturesQuote, strFuturesMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1727.                             strFixFloatMeasure, iLatentStateType);

  1729.                 if (null != dcFundingBase) mapBumpedCurve.put ("BASE", dcFundingBase);

  1731.                 org.drip.state.discount.MergedDiscountForwardCurve dcFundingBumped = FundingCurve (dtSpot,
  1732.                     strCurrency, astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure,
  1733.                         adblFuturesParallelBump, strFuturesMeasure, astrFixFloatMaturityTenor,
  1734.                             adblFixFloatParallelBump, strFixFloatMeasure, iLatentStateType);

  1736.                 if (null != dcFundingBumped) mapBumpedCurve.put ("BUMP", dcFundingBumped);
  1737.             }
  1738.         } catch (java.lang.Exception e) {
  1739.             e.printStackTrace();
  1740.         }

  1742.         return mapBumpedCurve;
  1743.     }

  1745.     /**
  1746.      * Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
  1747.      * 
  1748.      * @param dtSpot The Spot Date
  1749.      * @param strCurrency Currency
  1750.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  1751.      * @param adblDepositQuote Array of Deposit Quotes
  1752.      * @param strDepositMeasure Deposit Calibration Measure
  1753.      * @param adblFuturesQuote Array of Futures Quotes
  1754.      * @param strFuturesMeasure Futures Calibration Measure
  1755.      * @param astrFixFloatMaturityTenor Array of Fix Float Swap Maturity Tenors
  1756.      * @param adblFixFloatQuote Array of Fix Float Swap Quotes
  1757.      * @param strFixFloatMeasure Fix Float Calibration Measure
  1758.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  1759.      * @param dblBump The Tenor Node Bump Amount
  1760.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  1761.      * 
  1762.      * @return The Tenor Bumped Funding Curve Map
  1763.      */

  1765.     public static final
  1766.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  1767.             BumpedForwardFundingCurve (
  1768.                 final org.drip.analytics.date.JulianDate dtSpot,
  1769.                 final java.lang.String strCurrency,
  1770.                 final java.lang.String[] astrDepositMaturityTenor,
  1771.                 final double[] adblDepositQuote,
  1772.                 final java.lang.String strDepositMeasure,
  1773.                 final double[] adblFuturesQuote,
  1774.                 final java.lang.String strFuturesMeasure,
  1775.                 final java.lang.String[] astrFixFloatMaturityTenor,
  1776.                 final double[] adblFixFloatQuote,
  1777.                 final java.lang.String strFixFloatMeasure,
  1778.                 final int iLatentStateType,
  1779.                 final double dblBump,
  1780.                 final boolean bIsProportional)
  1781.     {
  1782.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  1784.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  1785.             mapBumpedCurve = new
  1786.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  1788.         org.drip.state.discount.MergedDiscountForwardCurve dcFundingBase = SingleStretchFundingCurve (dtSpot, strCurrency,
  1789.             astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure, adblFuturesQuote,
  1790.                 strFuturesMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote, strFixFloatMeasure,
  1791.                     iLatentStateType);

  1793.         if (null == dcFundingBase) return null;

  1795.         int iNumDeposit = null == astrDepositMaturityTenor ? 0 : astrDepositMaturityTenor.length;
  1796.         int iNumFixFloat = null == adblFixFloatQuote ? 0 : adblFixFloatQuote.length;
  1797.         int iNumFutures = null == adblFuturesQuote ? 0 : adblFuturesQuote.length;
  1798.         int iNumDepositFutures = iNumDeposit + iNumFutures;
  1799.         int iNumDepositFuturesFixFloat = iNumDepositFutures + iNumFixFloat;
  1800.         int[] aiDate = new int[iNumDepositFuturesFixFloat];

  1802.         org.drip.product.rates.SingleStreamComponent[] aSSC =
  1803.             org.drip.service.template.ExchangeInstrumentBuilder.ForwardRateFuturesPack (dtSpot, iNumFutures,
  1804.                 strCurrency);

  1806.         for (int i = 0; i < iNumDeposit; ++i)
  1807.             aiDate[i] = dtSpot.addTenor (astrDepositMaturityTenor[i]).julian();

  1809.         for (int i = iNumDeposit; i < iNumDepositFutures; ++i)
  1810.             aiDate[i] = aSSC[i - iNumDeposit].maturityDate().julian();

  1812.         for (int i = iNumDepositFutures; i < iNumDepositFuturesFixFloat; ++i)
  1813.             aiDate[i] = dtSpot.addTenor (astrFixFloatMaturityTenor[i - iNumDepositFutures]).julian();

  1815.         org.drip.state.nonlinear.FlatForwardDiscountCurve ffdc = dcFundingBase.flatNativeForward (aiDate,
  1816.             0.);

  1818.         if (null == ffdc) return null;

  1820.         mapBumpedCurve.put ("base", ffdc);

  1822.         org.drip.state.nonlinear.FlatForwardDiscountCurve ffdcBumped = dcFundingBase.flatNativeForward
  1823.             (aiDate, dblBump);

  1825.         if (null == ffdcBumped) return null;

  1827.         mapBumpedCurve.put ("bump", ffdcBumped);

  1829.         for (int i = 0; i < iNumDepositFuturesFixFloat; ++i) {
  1830.             org.drip.state.nonlinear.FlatForwardDiscountCurve ffdcTenorBumped =
  1831.                 dcFundingBase.flatNativeForwardEI (aiDate, i, dblBump);

  1833.             if (null == ffdcTenorBumped) return null;

  1835.             mapBumpedCurve.put ("tenor::" + i, ffdcTenorBumped);
  1836.         }

  1838.         return mapBumpedCurve;
  1839.     }

  1841.     /**
  1842.      * Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
  1843.      * 
  1844.      * @param dtSpot Spot Date
  1845.      * @param forwardLabel Forward Label
  1846.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  1847.      * @param adblDepositQuote Array of the Deposit Instrument Quotes
  1848.      * @param strDepositMeasure The Deposit Instrument Calibration Measure
  1849.      * @param astrFRAMaturityTenor Array of FRA Maturity Tenors
  1850.      * @param adblFRAQuote Array of the FRA Instrument Quotes
  1851.      * @param strFRAMeasure The FRA Instrument Calibration Measure
  1852.      * @param astrFixFloatMaturityTenor Array of Fix-Float Maturity Tenors
  1853.      * @param adblFixFloatQuote Array of the Fix-Float Quotes
  1854.      * @param strFixFloatMeasure The Fix-Float Calibration Measure
  1855.      * @param astrFloatFloatMaturityTenor Array of Float-Float Maturity Tenors
  1856.      * @param adblFloatFloatQuote Array of the Float-Float Quotes
  1857.      * @param strFloatFloatMeasure The Float-Float Calibration Measure
  1858.      * @param astrSyntheticFloatFloatMaturityTenor Array of Synthetic Float-Float Maturity Tenors
  1859.      * @param adblSyntheticFloatFloatQuote Array of the Synthetic Float-Float Quotes
  1860.      * @param strSyntheticFloatFloatMeasure The Synthetic Float-Float Calibration Measure
  1861.      * @param dc The Base Discount Curve
  1862.      * @param fcReference The Reference Forward Curve
  1863.      * @param iLatentStateType SHAPE_PRESERVING/SMOOTH
  1864.      * @param dblBump The Tenor Node Bump Amount
  1865.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  1866.      * 
  1867.      * @return The Tenor Bumped Forward Curve Map
  1868.      */

  1870.     public static final
  1871.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.forward.ForwardCurve>
  1872.             BumpedForwardCurve (
  1873.                 final org.drip.analytics.date.JulianDate dtSpot,
  1874.                 final org.drip.state.identifier.ForwardLabel forwardLabel,
  1875.                 final java.lang.String[] astrDepositMaturityTenor,
  1876.                 final double[] adblDepositQuote,
  1877.                 final java.lang.String strDepositMeasure,
  1878.                 final java.lang.String[] astrFRAMaturityTenor,
  1879.                 final double[] adblFRAQuote,
  1880.                 final java.lang.String strFRAMeasure,
  1881.                 final java.lang.String[] astrFixFloatMaturityTenor,
  1882.                 final double[] adblFixFloatQuote,
  1883.                 final java.lang.String strFixFloatMeasure,
  1884.                 final java.lang.String[] astrFloatFloatMaturityTenor,
  1885.                 final double[] adblFloatFloatQuote,
  1886.                 final java.lang.String strFloatFloatMeasure,
  1887.                 final java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
  1888.                 final double[] adblSyntheticFloatFloatQuote,
  1889.                 final java.lang.String strSyntheticFloatFloatMeasure,
  1890.                 final org.drip.state.discount.MergedDiscountForwardCurve dc,
  1891.                 final org.drip.state.forward.ForwardCurve fcReference,
  1892.                 final int iLatentStateType,
  1893.                 final double dblBump,
  1894.                 final boolean bIsProportional)
  1895.     {
  1896.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  1898.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.forward.ForwardCurve>
  1899.             mapBumpedCurve = new
  1900.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.forward.ForwardCurve>();

  1902.         try {
  1903.             org.drip.param.definition.ManifestMeasureTweak mmtFLAT = new
  1904.                 org.drip.param.definition.ManifestMeasureTweak
  1905.                     (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump);

  1907.             if (null != adblDepositQuote) {
  1908.                 int iNumDeposit = adblDepositQuote.length;

  1910.                 for (int i = 0; i < iNumDeposit; ++i) {
  1911.                     org.drip.state.forward.ForwardCurve fcDepositQuoteBumped = ForwardCurve (dtSpot,
  1912.                         forwardLabel, astrDepositMaturityTenor,
  1913.                             org.drip.analytics.support.Helper.TweakManifestMeasure (adblDepositQuote, new
  1914.                                 org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  1915.                                     dblBump)), strDepositMeasure, astrFRAMaturityTenor, adblFRAQuote,
  1916.                                         strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1917.                                             strFixFloatMeasure, astrFloatFloatMaturityTenor,
  1918.                                                 adblFloatFloatQuote, strFloatFloatMeasure,
  1919.                                                     astrSyntheticFloatFloatMaturityTenor,
  1920.                                                         adblSyntheticFloatFloatQuote,
  1921.                                                             strSyntheticFloatFloatMeasure, dc, fcReference,
  1922.                                                                 iLatentStateType);

  1924.                     if (null != fcDepositQuoteBumped)
  1925.                         mapBumpedCurve.put ("DEPOSIT::" + astrDepositMaturityTenor[i],
  1926.                             fcDepositQuoteBumped);
  1927.                 }
  1928.             }

  1930.             double[] adblDepositParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  1931.                 (adblDepositQuote, mmtFLAT);

  1933.             org.drip.state.forward.ForwardCurve fcDepositQuoteBumped = ForwardCurve (dtSpot, forwardLabel,
  1934.                 astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure, astrFRAMaturityTenor,
  1935.                     adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1936.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatQuote,
  1937.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  1938.                                 adblSyntheticFloatFloatQuote, strSyntheticFloatFloatMeasure, dc,
  1939.                                     fcReference, iLatentStateType);

  1941.             if (null != fcDepositQuoteBumped) mapBumpedCurve.put ("DEPOSIT::PLL", fcDepositQuoteBumped);

  1943.             if (null != adblFRAQuote) {
  1944.                 int iNumFRA = adblFRAQuote.length;

  1946.                 for (int i = 0; i < iNumFRA; ++i) {
  1947.                     org.drip.state.forward.ForwardCurve fcFRAQuoteBumped = ForwardCurve (dtSpot,
  1948.                         forwardLabel, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1949.                             astrFRAMaturityTenor, org.drip.analytics.support.Helper.TweakManifestMeasure
  1950.                                 (adblFRAQuote, new org.drip.param.definition.ManifestMeasureTweak (i,
  1951.                                     bIsProportional, dblBump)), strFRAMeasure, astrFixFloatMaturityTenor,
  1952.                                         adblFixFloatQuote, strFixFloatMeasure, astrFloatFloatMaturityTenor,
  1953.                                             adblFloatFloatQuote, strFloatFloatMeasure,
  1954.                                                 astrSyntheticFloatFloatMaturityTenor,
  1955.                                                     adblSyntheticFloatFloatQuote,
  1956.                                                         strSyntheticFloatFloatMeasure, dc, fcReference,
  1957.                                                             iLatentStateType);

  1959.                     if (null != fcFRAQuoteBumped)
  1960.                         mapBumpedCurve.put ("FRA::" + astrFRAMaturityTenor[i], fcFRAQuoteBumped);
  1961.                 }
  1962.             }

  1964.             double[] adblFRAParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  1965.                 (adblFRAQuote, mmtFLAT);

  1967.             org.drip.state.forward.ForwardCurve fcFRAQuoteBumped = ForwardCurve (dtSpot, forwardLabel,
  1968.                 astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure, astrFRAMaturityTenor,
  1969.                     adblFRAParallelBump, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  1970.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatQuote,
  1971.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  1972.                                 adblSyntheticFloatFloatQuote, strSyntheticFloatFloatMeasure, dc,
  1973.                                     fcReference, iLatentStateType);

  1975.             if (null != fcFRAQuoteBumped) mapBumpedCurve.put ("FRA::PLL", fcFRAQuoteBumped);

  1977.             if (null != adblFixFloatQuote) {
  1978.                 int iNumFixFloat = adblFixFloatQuote.length;

  1980.                 for (int i = 0; i < iNumFixFloat; ++i) {
  1981.                     org.drip.state.forward.ForwardCurve fcFixFloatQuoteBumped = ForwardCurve (dtSpot,
  1982.                         forwardLabel, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  1983.                             astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor,
  1984.                                 org.drip.analytics.support.Helper.TweakManifestMeasure (adblFixFloatQuote,
  1985.                                     new org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  1986.                                         dblBump)), strFixFloatMeasure, astrFloatFloatMaturityTenor,
  1987.                                             adblFloatFloatQuote, strFloatFloatMeasure,
  1988.                                                 astrSyntheticFloatFloatMaturityTenor,
  1989.                                                     adblSyntheticFloatFloatQuote,
  1990.                                                         strSyntheticFloatFloatMeasure, dc, fcReference,
  1991.                                                             iLatentStateType);

  1993.                     if (null != fcFixFloatQuoteBumped)
  1994.                         mapBumpedCurve.put ("FIXFLOAT::" + astrFixFloatMaturityTenor[i],
  1995.                             fcFixFloatQuoteBumped);
  1996.                 }
  1997.             }

  1999.             double[] adblFixFloatParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2000.                 (adblFixFloatQuote, mmtFLAT);

  2002.             org.drip.state.forward.ForwardCurve fcFixFloatQuoteBumped = ForwardCurve (dtSpot, forwardLabel,
  2003.                 astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure, astrFRAMaturityTenor,
  2004.                     adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatParallelBump,
  2005.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatQuote,
  2006.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  2007.                                 adblSyntheticFloatFloatQuote, strSyntheticFloatFloatMeasure, dc,
  2008.                                     fcReference, iLatentStateType);

  2010.             if (null != fcFixFloatQuoteBumped) mapBumpedCurve.put ("FIXFLOAT::PLL", fcFixFloatQuoteBumped);

  2012.             if (null != adblFloatFloatQuote) {
  2013.                 int iNumFloatFloat = adblFloatFloatQuote.length;

  2015.                 for (int i = 0; i < iNumFloatFloat; ++i) {
  2016.                     org.drip.state.forward.ForwardCurve fcFloatFloatQuoteBumped = ForwardCurve (dtSpot,
  2017.                         forwardLabel, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2018.                             astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor,
  2019.                                 adblFRAQuote, strFixFloatMeasure, astrFloatFloatMaturityTenor,
  2020.                                     org.drip.analytics.support.Helper.TweakManifestMeasure
  2021.                                         (adblFloatFloatQuote, new
  2022.                                             org.drip.param.definition.ManifestMeasureTweak (i,
  2023.                                                 bIsProportional, dblBump)), strFloatFloatMeasure,
  2024.                                                     astrSyntheticFloatFloatMaturityTenor,
  2025.                                                         adblSyntheticFloatFloatQuote,
  2026.                                                             strSyntheticFloatFloatMeasure, dc, fcReference,
  2027.                                                                 iLatentStateType);

  2029.                     if (null != fcFloatFloatQuoteBumped)
  2030.                         mapBumpedCurve.put ("FLOATFLOAT::" + astrFloatFloatMaturityTenor[i],
  2031.                             fcFloatFloatQuoteBumped);
  2032.                 }
  2033.             }

  2035.             double[] adblFloatFloatParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2036.                 (adblFloatFloatQuote, mmtFLAT);

  2038.             org.drip.state.forward.ForwardCurve fcFloatFloatQuoteBumped = ForwardCurve (dtSpot, forwardLabel,
  2039.                 astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure, astrFRAMaturityTenor,
  2040.                     adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  2041.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatParallelBump,
  2042.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  2043.                                 adblSyntheticFloatFloatQuote, strSyntheticFloatFloatMeasure, dc,
  2044.                                     fcReference, iLatentStateType);

  2046.             if (null != fcFloatFloatQuoteBumped)
  2047.                 mapBumpedCurve.put ("FLOATFLOAT::PLL", fcFloatFloatQuoteBumped);

  2049.             if (null != adblSyntheticFloatFloatQuote) {
  2050.                 int iNumSyntheticFloatFloat = adblSyntheticFloatFloatQuote.length;

  2052.                 for (int i = 0; i < iNumSyntheticFloatFloat; ++i) {
  2053.                     org.drip.state.forward.ForwardCurve fcSyntheticFloatFloatQuoteBumped = ForwardCurve
  2054.                         (dtSpot, forwardLabel, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2055.                             astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor,
  2056.                                 adblFixFloatQuote, strFixFloatMeasure, astrFloatFloatMaturityTenor,
  2057.                                     adblFloatFloatQuote, strFloatFloatMeasure,
  2058.                                         astrSyntheticFloatFloatMaturityTenor,
  2059.                                             org.drip.analytics.support.Helper.TweakManifestMeasure
  2060.                                                 (adblSyntheticFloatFloatQuote, new
  2061.                                                     org.drip.param.definition.ManifestMeasureTweak (i,
  2062.                                                         bIsProportional, dblBump)),
  2063.                                                             strSyntheticFloatFloatMeasure, dc, fcReference,
  2064.                                                                 iLatentStateType);

  2066.                     if (null != fcSyntheticFloatFloatQuoteBumped)
  2067.                         mapBumpedCurve.put ("SYNTHETICFLOATFLOAT::" +
  2068.                             astrSyntheticFloatFloatMaturityTenor[i], fcSyntheticFloatFloatQuoteBumped);
  2069.                 }
  2070.             }

  2072.             double[] adblSyntheticFloatFloatParallelBump =
  2073.                 org.drip.analytics.support.Helper.TweakManifestMeasure (adblSyntheticFloatFloatQuote,
  2074.                     mmtFLAT);

  2076.             org.drip.state.forward.ForwardCurve fcSyntheticFloatFloatQuoteBumped = ForwardCurve (dtSpot,
  2077.                 forwardLabel, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2078.                     astrFRAMaturityTenor, adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor,
  2079.                         adblFixFloatQuote, strFixFloatMeasure, astrFloatFloatMaturityTenor,
  2080.                             adblFloatFloatQuote, strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  2081.                                 adblSyntheticFloatFloatParallelBump, strSyntheticFloatFloatMeasure, dc,
  2082.                                     fcReference, iLatentStateType);

  2084.             if (null != fcSyntheticFloatFloatQuoteBumped)
  2085.                 mapBumpedCurve.put ("SYNTHETICFLOATFLOAT::PLL", fcSyntheticFloatFloatQuoteBumped);

  2087.             org.drip.state.forward.ForwardCurve fcQuoteBase = ForwardCurve (dtSpot, forwardLabel,
  2088.                 astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure, astrFRAMaturityTenor,
  2089.                     adblFRAQuote, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatQuote,
  2090.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatQuote,
  2091.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  2092.                                 adblSyntheticFloatFloatQuote, strSyntheticFloatFloatMeasure, dc,
  2093.                                     fcReference, iLatentStateType);

  2095.             if (null != fcQuoteBase) mapBumpedCurve.put ("BASE", fcQuoteBase);

  2097.             org.drip.state.forward.ForwardCurve fcQuoteBump = ForwardCurve (dtSpot, forwardLabel,
  2098.                 astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure, astrFRAMaturityTenor,
  2099.                     adblFRAParallelBump, strFRAMeasure, astrFixFloatMaturityTenor, adblFixFloatParallelBump,
  2100.                         strFixFloatMeasure, astrFloatFloatMaturityTenor, adblFloatFloatParallelBump,
  2101.                             strFloatFloatMeasure, astrSyntheticFloatFloatMaturityTenor,
  2102.                                 adblSyntheticFloatFloatParallelBump, strSyntheticFloatFloatMeasure, dc,
  2103.                                     fcReference, iLatentStateType);

  2105.             if (null != fcQuoteBump) mapBumpedCurve.put ("BUMP", fcQuoteBump);
  2106.         } catch (java.lang.Exception e) {
  2107.             e.printStackTrace();
  2108.         }

  2110.         return mapBumpedCurve;
  2111.     }

  2113.     /**
  2114.      * Construct a Map of Tenor + Parallel Bumped Overnight Curves
  2115.      * 
  2116.      * @param dtSpot Spot Date
  2117.      * @param strCurrency Currency
  2118.      * @param astrDepositMaturityTenor Array of Deposit Maturity Tenors
  2119.      * @param adblDepositQuote Array of Deposit Quotes
  2120.      * @param strDepositMeasure Deposit Measure
  2121.      * @param astrShortEndOISMaturityTenor Array of Short End OIS Maturity Tenors
  2122.      * @param adblShortEndOISQuote Array of Short End OIS Quotes
  2123.      * @param strShortEndOISMeasure Short End OIS Measure
  2124.      * @param astrOISFuturesEffectiveTenor Array of OIS Futures Effective Tenors
  2125.      * @param astrOISFuturesMaturityTenor Array of OIS Futures Maturity Tenors
  2126.      * @param adblOISFuturesQuote Array of OIS Futures Quotes
  2127.      * @param strOISFuturesMeasure OIS Futures Measure
  2128.      * @param astrLongEndOISMaturityTenor Array of Long End OIS Maturity Tenors
  2129.      * @param adblLongEndOISQuote Array of Long End OIS Quotes
  2130.      * @param strLongEndOISMeasure Long End OIS Measure
  2131.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  2132.      * @param dblBump The Tenor Node Bump Amount
  2133.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  2134.      * 
  2135.      * @return Map of Overnight Curves
  2136.      */

  2138.     public static final
  2139.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  2140.             BumpedOvernightCurve (
  2141.         final org.drip.analytics.date.JulianDate dtSpot,
  2142.         final String strCurrency,
  2143.         final java.lang.String[] astrDepositMaturityTenor,
  2144.         final double[] adblDepositQuote,
  2145.         final java.lang.String strDepositMeasure,
  2146.         final java.lang.String[] astrShortEndOISMaturityTenor,
  2147.         final double[] adblShortEndOISQuote,
  2148.         final java.lang.String strShortEndOISMeasure,
  2149.         final java.lang.String[] astrOISFuturesEffectiveTenor,
  2150.         final java.lang.String[] astrOISFuturesMaturityTenor,
  2151.         final double[] adblOISFuturesQuote,
  2152.         final java.lang.String strOISFuturesMeasure,
  2153.         final java.lang.String[] astrLongEndOISMaturityTenor,
  2154.         final double[] adblLongEndOISQuote,
  2155.         final java.lang.String strLongEndOISMeasure,
  2156.         final int iLatentStateType,
  2157.         final double dblBump,
  2158.         final boolean bIsProportional)
  2159.     {
  2160.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  2162.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>
  2163.             mapBumpedCurve = new
  2164.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.discount.MergedDiscountForwardCurve>();

  2166.         try {
  2167.             org.drip.param.definition.ManifestMeasureTweak mmtFLAT = new
  2168.                 org.drip.param.definition.ManifestMeasureTweak
  2169.                     (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump);

  2171.             if (null != adblDepositQuote) {
  2172.                 int iNumDeposit = adblDepositQuote.length;

  2174.                 for (int i = 0; i < iNumDeposit; ++i) {
  2175.                     org.drip.state.discount.MergedDiscountForwardCurve dcOvernightDepositBumped =
  2176.                         OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor,
  2177.                             org.drip.analytics.support.Helper.TweakManifestMeasure (adblDepositQuote, new
  2178.                                 org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  2179.                                     dblBump)), strDepositMeasure, astrShortEndOISMaturityTenor,
  2180.                                         adblShortEndOISQuote, strShortEndOISMeasure,
  2181.                                             astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  2182.                                                 adblOISFuturesQuote, strOISFuturesMeasure,
  2183.                                                     astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  2184.                                                         strLongEndOISMeasure, iLatentStateType);

  2186.                     if (null != dcOvernightDepositBumped)
  2187.                         mapBumpedCurve.put ("DEPOSIT::" + astrDepositMaturityTenor[i],
  2188.                             dcOvernightDepositBumped);
  2189.                 }
  2190.             }

  2192.             double[] adblDepositParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2193.                 (adblDepositQuote, mmtFLAT);

  2195.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightDepositBumped = OvernightCurve
  2196.                 (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure,
  2197.                     astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  2198.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  2199.                             strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  2200.                                 strLongEndOISMeasure, iLatentStateType);

  2202.             if (null != dcOvernightDepositBumped)
  2203.                 mapBumpedCurve.put ("DEPOSIT::PLL", dcOvernightDepositBumped);

  2205.             if (null != adblShortEndOISQuote) {
  2206.                 int iNumShortEndOIS = adblShortEndOISQuote.length;

  2208.                 for (int i = 0; i < iNumShortEndOIS; ++i) {
  2209.                     org.drip.state.discount.MergedDiscountForwardCurve dcOvernightShortEndOISBumped =
  2210.                         OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  2211.                             strDepositMeasure, astrShortEndOISMaturityTenor,
  2212.                                 org.drip.analytics.support.Helper.TweakManifestMeasure (adblShortEndOISQuote,
  2213.                                     new org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  2214.                                         dblBump)), strShortEndOISMeasure, astrOISFuturesEffectiveTenor,
  2215.                                             astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  2216.                                                 strOISFuturesMeasure, astrLongEndOISMaturityTenor,
  2217.                                                     adblLongEndOISQuote, strLongEndOISMeasure,
  2218.                                                         iLatentStateType);

  2220.                     if (null != dcOvernightShortEndOISBumped)
  2221.                         mapBumpedCurve.put ("SHORTENDOIS::" + astrShortEndOISMaturityTenor[i],
  2222.                             dcOvernightShortEndOISBumped);
  2223.                 }
  2224.             }

  2226.             double[] adblShortEndOISParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2227.                 (adblShortEndOISQuote, mmtFLAT);

  2229.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightShortEndOISBumped = OvernightCurve
  2230.                 (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2231.                     astrShortEndOISMaturityTenor, adblShortEndOISParallelBump, strShortEndOISMeasure,
  2232.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  2233.                             adblOISFuturesQuote, strOISFuturesMeasure, astrLongEndOISMaturityTenor,
  2234.                                 adblLongEndOISQuote, strLongEndOISMeasure, iLatentStateType);

  2236.             if (null != dcOvernightShortEndOISBumped)
  2237.                 mapBumpedCurve.put ("SHORTENDOIS::PLL", dcOvernightShortEndOISBumped);

  2239.             if (null != adblOISFuturesQuote) {
  2240.                 int iNumOISFutures = adblOISFuturesQuote.length;

  2242.                 for (int i = 0; i < iNumOISFutures; ++i) {
  2243.                     org.drip.state.discount.MergedDiscountForwardCurve dcOvernightOISFuturesBumped =
  2244.                         OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  2245.                             strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote,
  2246.                                 strShortEndOISMeasure, astrOISFuturesEffectiveTenor,
  2247.                                     astrOISFuturesMaturityTenor,
  2248.                                         org.drip.analytics.support.Helper.TweakManifestMeasure
  2249.                                             (adblOISFuturesQuote, new
  2250.                                                 org.drip.param.definition.ManifestMeasureTweak (i,
  2251.                                                     bIsProportional, dblBump)), strOISFuturesMeasure,
  2252.                                                         astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  2253.                                                             strLongEndOISMeasure, iLatentStateType);

  2255.                     if (null != dcOvernightOISFuturesBumped)
  2256.                         mapBumpedCurve.put ("OISFUTURES::" + astrOISFuturesEffectiveTenor[i] + " x " +
  2257.                             astrOISFuturesMaturityTenor[i], dcOvernightOISFuturesBumped);
  2258.                 }
  2259.             }

  2261.             double[] adblOISFuturesParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2262.                 (adblOISFuturesQuote, mmtFLAT);

  2264.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightOISFuturesBumped = OvernightCurve
  2265.                 (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2266.                     astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  2267.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  2268.                             adblOISFuturesParallelBump, strOISFuturesMeasure, astrLongEndOISMaturityTenor,
  2269.                                 adblLongEndOISQuote, strLongEndOISMeasure, iLatentStateType);

  2271.             if (null != dcOvernightOISFuturesBumped)
  2272.                 mapBumpedCurve.put ("OISFUTURES::PARALLEL", dcOvernightOISFuturesBumped);

  2274.             if (null != adblLongEndOISQuote) {
  2275.                 int iNumLongEndOIS = adblLongEndOISQuote.length;

  2277.                 for (int i = 0; i < iNumLongEndOIS; ++i) {
  2278.                     org.drip.state.discount.MergedDiscountForwardCurve dcOvernightLongEndOISBumped =
  2279.                         OvernightCurve (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote,
  2280.                             strDepositMeasure, astrShortEndOISMaturityTenor, adblShortEndOISQuote,
  2281.                                 strShortEndOISMeasure, astrOISFuturesEffectiveTenor,
  2282.                                     astrOISFuturesMaturityTenor, adblOISFuturesQuote, strOISFuturesMeasure,
  2283.                                         astrLongEndOISMaturityTenor,
  2284.                                             org.drip.analytics.support.Helper.TweakManifestMeasure
  2285.                                                 (adblLongEndOISQuote, new
  2286.                                                     org.drip.param.definition.ManifestMeasureTweak (i,
  2287.                                                         bIsProportional, dblBump)), strLongEndOISMeasure,
  2288.                                                             iLatentStateType);

  2290.                     if (null != dcOvernightLongEndOISBumped)
  2291.                         mapBumpedCurve.put ("LONGENDOIS::" + astrLongEndOISMaturityTenor[i],
  2292.                             dcOvernightLongEndOISBumped);
  2293.                 }
  2294.             }

  2296.             double[] adblLongEndOISParallelBump = org.drip.analytics.support.Helper.TweakManifestMeasure
  2297.                 (adblLongEndOISQuote, mmtFLAT);

  2299.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightLongEndOISBumped = OvernightCurve
  2300.                 (dtSpot, strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2301.                     astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  2302.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  2303.                             strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISParallelBump,
  2304.                                 strLongEndOISMeasure, iLatentStateType);

  2306.             if (null != dcOvernightLongEndOISBumped)
  2307.                 mapBumpedCurve.put ("LONGENDOIS::PLL", dcOvernightLongEndOISBumped);

  2309.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightBase = OvernightCurve (dtSpot,
  2310.                 strCurrency, astrDepositMaturityTenor, adblDepositQuote, strDepositMeasure,
  2311.                     astrShortEndOISMaturityTenor, adblShortEndOISQuote, strShortEndOISMeasure,
  2312.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor, adblOISFuturesQuote,
  2313.                             strOISFuturesMeasure, astrLongEndOISMaturityTenor, adblLongEndOISQuote,
  2314.                                 strLongEndOISMeasure, iLatentStateType);

  2316.             if (null != dcOvernightBase) mapBumpedCurve.put ("BASE", dcOvernightBase);

  2318.             org.drip.state.discount.MergedDiscountForwardCurve dcOvernightBump = OvernightCurve (dtSpot,
  2319.                 strCurrency, astrDepositMaturityTenor, adblDepositParallelBump, strDepositMeasure,
  2320.                     astrShortEndOISMaturityTenor, adblShortEndOISParallelBump, strShortEndOISMeasure,
  2321.                         astrOISFuturesEffectiveTenor, astrOISFuturesMaturityTenor,
  2322.                             adblOISFuturesParallelBump, strOISFuturesMeasure, astrLongEndOISMaturityTenor,
  2323.                                 adblLongEndOISParallelBump, strLongEndOISMeasure, iLatentStateType);

  2325.             if (null != dcOvernightBump) mapBumpedCurve.put ("BUMP", dcOvernightBump);
  2326.         } catch (java.lang.Exception e) {
  2327.             e.printStackTrace();

  2329.             return null;
  2330.         }

  2332.         return mapBumpedCurve;
  2333.     }

  2335.     /**
  2336.      * Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
  2337.      * 
  2338.      * @param dtSpot Spot Date
  2339.      * @param strCredit Credit Curve
  2340.      * @param astrMaturityTenor Maturity Tenor
  2341.      * @param adblCoupon Coupon Array
  2342.      * @param adblQuote Array of Market Quotes
  2343.      * @param strMeasure Calibration Measure
  2344.      * @param dc Discount Curve
  2345.      * @param dblBump The Tenor Node Bump Amount
  2346.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  2347.      * 
  2348.      * @return Map of Bumped Credit Curves
  2349.      */

  2351.     public static final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>
  2352.         BumpedCreditCurve (
  2353.             final org.drip.analytics.date.JulianDate dtSpot,
  2354.             final java.lang.String strCredit,
  2355.             final java.lang.String[] astrMaturityTenor,
  2356.             final double[] adblCoupon,
  2357.             final double[] adblQuote,
  2358.             final java.lang.String strMeasure,
  2359.             final org.drip.state.discount.MergedDiscountForwardCurve dc,
  2360.             final double dblBump,
  2361.             final boolean bIsProportional)
  2362.     {
  2363.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  2365.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve> mapBumpedCurve =
  2366.             new org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.credit.CreditCurve>();

  2368.         if (null != adblQuote) {
  2369.             int iNumComp = adblQuote.length;

  2371.             for (int i = 0; i < iNumComp; ++i) {
  2372.                 try {
  2373.                     org.drip.state.credit.CreditCurve ccBumped = CreditCurve (dtSpot, strCredit,
  2374.                         astrMaturityTenor, adblCoupon, org.drip.analytics.support.Helper.TweakManifestMeasure
  2375.                             (adblQuote, new org.drip.param.definition.ManifestMeasureTweak (i,
  2376.                                 bIsProportional, dblBump)), strMeasure, dc);

  2378.                     if (null != ccBumped) mapBumpedCurve.put ("CDS::" + astrMaturityTenor[i], ccBumped);
  2379.                 } catch (java.lang.Exception e) {
  2380.                     e.printStackTrace();
  2381.                 }
  2382.             }
  2383.         }

  2385.         try {
  2386.             org.drip.state.credit.CreditCurve ccBase = CreditCurve (dtSpot, strCredit, astrMaturityTenor,
  2387.                 adblCoupon, adblQuote, strMeasure, dc);

  2389.             if (null != ccBase) mapBumpedCurve.put ("BASE", ccBase);

  2391.             org.drip.state.credit.CreditCurve ccBumped = CreditCurve (dtSpot, strCredit, astrMaturityTenor,
  2392.                 adblCoupon, org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote, new
  2393.                     org.drip.param.definition.ManifestMeasureTweak
  2394.                         (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump)),
  2395.                             strMeasure, dc);

  2397.             if (null != ccBumped) mapBumpedCurve.put ("BUMP", ccBumped);
  2398.         } catch (java.lang.Exception e) {
  2399.             e.printStackTrace();
  2400.         }

  2402.         return mapBumpedCurve;
  2403.     }

  2405.     /**
  2406.      * Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
  2407.      * 
  2408.      * @param strCode The Govvie Code
  2409.      * @param dtSpot Spot Date
  2410.      * @param adtEffective Array of Effective Dates
  2411.      * @param adtMaturity Array of Maturity Dates
  2412.      * @param adblCoupon Array of Coupons
  2413.      * @param adblQuote Array of Market Quotes
  2414.      * @param strMeasure Calibration Measure
  2415.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  2416.      * @param dblBump The Tenor Node Bump Amount
  2417.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  2418.      * 
  2419.      * @return Map of Govvie Curve Instance
  2420.      */

  2422.     public static final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.govvie.GovvieCurve>
  2423.         BumpedGovvieCurve (
  2424.             final java.lang.String strCode,
  2425.             final org.drip.analytics.date.JulianDate dtSpot,
  2426.             final org.drip.analytics.date.JulianDate[] adtEffective,
  2427.             final org.drip.analytics.date.JulianDate[] adtMaturity,
  2428.             final double[] adblCoupon,
  2429.             final double[] adblQuote,
  2430.             final java.lang.String strMeasure,
  2431.             final int iLatentStateType,
  2432.             final double dblBump,
  2433.             final boolean bIsProportional)
  2434.     {
  2435.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  2437.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.govvie.GovvieCurve> mapBumpedCurve =
  2438.             new org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.govvie.GovvieCurve>();

  2440.         if (null != adblQuote) {
  2441.             int iNumComp = adblQuote.length;

  2443.             for (int i = 0; i < iNumComp; ++i) {
  2444.                 try {
  2445.                     org.drip.state.govvie.GovvieCurve gcBumped = GovvieCurve (strCode, dtSpot, adtEffective,
  2446.                         adtMaturity, adblCoupon, org.drip.analytics.support.Helper.TweakManifestMeasure
  2447.                             (adblQuote, new org.drip.param.definition.ManifestMeasureTweak (i,
  2448.                                 bIsProportional, dblBump)), strMeasure, iLatentStateType);

  2450.                     if (null != gcBumped) mapBumpedCurve.put ("TSY::" + adtMaturity[i], gcBumped);
  2451.                 } catch (java.lang.Exception e) {
  2452.                     e.printStackTrace();
  2453.                 }
  2454.             }
  2455.         }

  2457.         try {
  2458.             org.drip.state.govvie.GovvieCurve gcBase = GovvieCurve (strCode, dtSpot, adtEffective,
  2459.                 adtMaturity, adblCoupon, adblQuote, strMeasure, iLatentStateType);

  2461.             if (null != gcBase) mapBumpedCurve.put ("BASE", gcBase);

  2463.             org.drip.state.govvie.GovvieCurve gcBumped = GovvieCurve (strCode, dtSpot, adtEffective,
  2464.                 adtMaturity, adblCoupon, org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote,
  2465.                     new org.drip.param.definition.ManifestMeasureTweak
  2466.                         (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump)),
  2467.                             strMeasure, iLatentStateType);

  2469.             if (null != gcBumped) mapBumpedCurve.put ("BUMP", gcBumped);
  2470.         } catch (java.lang.Exception e) {
  2471.             e.printStackTrace();
  2472.         }

  2474.         return mapBumpedCurve;
  2475.     }

  2477.     /**
  2478.      * Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
  2479.      * 
  2480.      * @param dtSpot Spot Date
  2481.      * @param cp The FX Currency Pair
  2482.      * @param astrMaturityTenor Array of Maturity Tenors
  2483.      * @param adblQuote Array of FX Forwards
  2484.      * @param strMeasure Calibration Measure
  2485.      * @param dblFXSpot FX Spot
  2486.      * @param iLatentStateType SHAPE PRESERVING/SMOOTH
  2487.      * @param dblBump The Tenor Node Bump Amount
  2488.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  2489.      * 
  2490.      * @return Map of FX Curve Instance
  2491.      */

  2493.     public static final org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.fx.FXCurve>
  2494.         BumpedFXCurve (
  2495.             final org.drip.analytics.date.JulianDate dtSpot,
  2496.             final org.drip.product.params.CurrencyPair cp,
  2497.             final java.lang.String[] astrMaturityTenor,
  2498.             final double[] adblQuote,
  2499.             final java.lang.String strMeasure,
  2500.             final double dblFXSpot,
  2501.             final int iLatentStateType,
  2502.             final double dblBump,
  2503.             final boolean bIsProportional)
  2504.     {
  2505.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  2507.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.fx.FXCurve> mapBumpedCurve = new
  2508.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.fx.FXCurve>();

  2510.         if (null != adblQuote) {
  2511.             int iNumComp = adblQuote.length;

  2513.             for (int i = 0; i < iNumComp; ++i) {
  2514.                 try {
  2515.                     org.drip.state.fx.FXCurve fxCurveBumped = FXCurve (dtSpot, cp, astrMaturityTenor,
  2516.                         org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote, new
  2517.                             org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional, dblBump)),
  2518.                                 strMeasure, dblFXSpot, iLatentStateType);

  2520.                     if (null != fxCurveBumped)
  2521.                         mapBumpedCurve.put ("FXFWD::" + astrMaturityTenor[i], fxCurveBumped);
  2522.                 } catch (java.lang.Exception e) {
  2523.                     e.printStackTrace();
  2524.                 }
  2525.             }
  2526.         }

  2528.         try {
  2529.             org.drip.state.fx.FXCurve fxCurveBase = FXCurve (dtSpot, cp, astrMaturityTenor, adblQuote,
  2530.                 strMeasure, dblFXSpot, iLatentStateType);

  2532.             if (null != fxCurveBase) mapBumpedCurve.put ("BASE", fxCurveBase);

  2534.             org.drip.state.fx.FXCurve fxCurveBump = FXCurve (dtSpot, cp, astrMaturityTenor,
  2535.                 org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote, new
  2536.                     org.drip.param.definition.ManifestMeasureTweak
  2537.                         (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump)),
  2538.                             strMeasure, dblFXSpot, iLatentStateType);

  2540.             if (null != fxCurveBump) mapBumpedCurve.put ("BUMP", fxCurveBump);
  2541.         } catch (java.lang.Exception e) {
  2542.             e.printStackTrace();
  2543.         }

  2545.         return mapBumpedCurve;
  2546.     }

  2548.     /**
  2549.      * Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
  2550.      * 
  2551.      * @param dtSpot Spot Date
  2552.      * @param forwardLabel Forward Label
  2553.      * @param bIsCap TRUE - Create and Use Array of Caps
  2554.      * @param astrMaturityTenor Array of Cap/floor Maturities
  2555.      * @param adblStrike Array of Cap/Floor Strikes
  2556.      * @param adblQuote Array of Cap/Floor Quotes
  2557.      * @param strMeasure Calibration Measure
  2558.      * @param dc Discount Curve Instance
  2559.      * @param fc Forward Curve Instance
  2560.      * @param dblBump The Tenor Node Bump Amount
  2561.      * @param bIsProportional TRUE - The Bump Applied is Proportional
  2562.      * 
  2563.      * @return Map of Forward Volatility Curve Instance
  2564.      */

  2566.     public static final
  2567.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.volatility.VolatilityCurve>
  2568.             BumpedForwardVolatilityCurve (
  2569.                 final org.drip.analytics.date.JulianDate dtSpot,
  2570.                 final org.drip.state.identifier.ForwardLabel forwardLabel,
  2571.                 final boolean bIsCap,
  2572.                 final java.lang.String[] astrMaturityTenor,
  2573.                 final double[] adblStrike,
  2574.                 final double[] adblQuote,
  2575.                 final java.lang.String strMeasure,
  2576.                 final org.drip.state.discount.MergedDiscountForwardCurve dc,
  2577.                 final org.drip.state.forward.ForwardCurve fc,
  2578.                 final double dblBump,
  2579.                 final boolean bIsProportional)
  2580.     {
  2581.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblBump)) return null;

  2583.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.volatility.VolatilityCurve>
  2584.             mapBumpedCurve = new
  2585.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.volatility.VolatilityCurve>();

  2587.         if (null != adblQuote) {
  2588.             int iNumComp = adblQuote.length;

  2590.             for (int i = 0; i < iNumComp; ++i) {
  2591.                 try {
  2592.                     org.drip.state.volatility.VolatilityCurve forwardVolatilityCurveBumped =
  2593.                         ForwardRateVolatilityCurve (dtSpot, forwardLabel, bIsCap, astrMaturityTenor,
  2594.                             adblStrike, org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote,
  2595.                                 new org.drip.param.definition.ManifestMeasureTweak (i, bIsProportional,
  2596.                                     dblBump)), strMeasure, dc, fc);

  2598.                     if (null != forwardVolatilityCurveBumped)
  2599.                         mapBumpedCurve.put ("CAPFLOOR::" + astrMaturityTenor[i],
  2600.                             forwardVolatilityCurveBumped);
  2601.                 } catch (java.lang.Exception e) {
  2602.                     e.printStackTrace();
  2603.                 }
  2604.             }
  2605.         }

  2607.         try {
  2608.             org.drip.state.volatility.VolatilityCurve forwardVolatilityCurveBase = ForwardRateVolatilityCurve
  2609.                 (dtSpot, forwardLabel, bIsCap, astrMaturityTenor, adblStrike, adblQuote, strMeasure, dc, fc);

  2611.             if (null != forwardVolatilityCurveBase) mapBumpedCurve.put ("BASE", forwardVolatilityCurveBase);

  2613.             org.drip.state.volatility.VolatilityCurve forwardVolatilityCurveBumped =
  2614.                 ForwardRateVolatilityCurve (dtSpot, forwardLabel, bIsCap, astrMaturityTenor, adblStrike,
  2615.                     org.drip.analytics.support.Helper.TweakManifestMeasure (adblQuote, new
  2616.                         org.drip.param.definition.ManifestMeasureTweak
  2617.                             (org.drip.param.definition.ManifestMeasureTweak.FLAT, bIsProportional, dblBump)),
  2618.                                 strMeasure, dc, fc);

  2620.             if (null != forwardVolatilityCurveBumped)
  2621.                 mapBumpedCurve.put ("BUMP", forwardVolatilityCurveBumped);
  2622.         } catch (java.lang.Exception e) {
  2623.             e.printStackTrace();
  2624.         }

  2626.         return mapBumpedCurve;
  2627.     }
  2628. }
Created with JaCoCo 0.7.9.201702052155