CreditCurve.java

  1. package org.drip.state.credit;

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

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>CreditCurve</i> is the stub for the survival curve functionality. It extends the Curve object by
  86.  * exposing the following functions:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Set of curve and market identifiers
  92.  *      </li>
  93.  *      <li>
  94.  *          Recovery to a specific date/tenor, and effective recovery between a date interval
  95.  *      </li>
  96.  *      <li>
  97.  *          Hazard Rate to a specific date/tenor, and effective hazard rate between a date interval
  98.  *      </li>
  99.  *      <li>
  100.  *          Survival to a specific date/tenor, and effective survival between a date interval
  101.  *      </li>
  102.  *      <li>
  103.  *          Set/unset date of specific default
  104.  *      </li>
  105.  *      <li>
  106.  *          Generate scenario curves from the base credit curve (flat/parallel/custom)
  107.  *      </li>
  108.  *      <li>
  109.  *          Set/unset the Curve Construction Inputs, Latent State, and the Manifest Metrics
  110.  *      </li>
  111.  *      <li>
  112.  *          Serialization/De-serialization to and from Byte Arrays
  113.  *      </li>
  114.  *  </ul>
  115.  *
  116.  *  <br><br>
  117.  *  <ul>
  118.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  119.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  120.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
  121.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/credit/README.md">Credit Latent State Curve Representation</a></li>
  122.  *  </ul>
  123.  * <br><br>
  124.  *
  125.  * @author Lakshmi Krishnamurthy
  126.  */

  128. public abstract class CreditCurve implements org.drip.analytics.definition.Curve {
  129.     private static final int NUM_DF_QUADRATURES = 5;

  131.     protected java.lang.String _strCurrency = "";
  132.     protected int _iEpochDate = java.lang.Integer.MIN_VALUE;
  133.     protected org.drip.state.identifier.EntityCDSLabel _label = null;
  134.     protected int _iSpecificDefaultDate = java.lang.Integer.MIN_VALUE;

  136.     /*
  137.      * Manifest Measure Inputs that go into building the Curve Span
  138.      */

  140.     protected boolean _bFlat = false;
  141.     protected double[] _adblCalibQuote = null;
  142.     protected java.lang.String[] _astrCalibMeasure = null;
  143.     protected org.drip.state.govvie.GovvieCurve _gc = null;
  144.     protected org.drip.state.discount.MergedDiscountForwardCurve _dc = null;
  145.     protected org.drip.param.valuation.ValuationParams _valParam = null;
  146.     protected org.drip.param.pricer.CreditPricerParams _pricerParam = null;
  147.     protected org.drip.param.market.LatentStateFixingsContainer _lsfc = null;
  148.     protected org.drip.product.definition.CalibratableComponent[] _aCalibInst = null;
  149.     protected org.drip.param.valuation.ValuationCustomizationParams _quotingParams = null;
  150.     protected org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String> _mapMeasure = null;
  151.     protected org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
  152.         _mapQuote = null;

  154.     protected CreditCurve (
  155.         final int iEpochDate,
  156.         final org.drip.state.identifier.EntityCDSLabel label,
  157.         final java.lang.String strCurrency)
  158.         throws java.lang.Exception
  159.     {
  160.         if (!org.drip.numerical.common.NumberUtil.IsValid (_iEpochDate = iEpochDate) || null == (_label =
  161.             label) || null == (_strCurrency = strCurrency) || _strCurrency.isEmpty())
  162.             throw new java.lang.Exception ("CreditCurve ctr: Invalid Inputs");
  163.     }

  165.     @Override public org.drip.state.identifier.LatentStateLabel label()
  166.     {
  167.         return _label;
  168.     }

  170.     @Override public java.lang.String currency()
  171.     {
  172.         return _strCurrency;
  173.     }

  175.     @Override public org.drip.analytics.date.JulianDate epoch()
  176.     {
  177.         try {
  178.             return new org.drip.analytics.date.JulianDate (_iEpochDate);
  179.         } catch (java.lang.Exception e) {
  180.             e.printStackTrace();
  181.         }

  183.         return null;
  184.     }

  186.     /**
  187.      * Set the Specific Default Date
  188.      * 
  189.      * @param iSpecificDefaultDate Date of Specific Default
  190.      * 
  191.      * @return TRUE if successful
  192.      */

  194.     public boolean setSpecificDefault (
  195.         final int iSpecificDefaultDate)
  196.     {
  197.         _iSpecificDefaultDate = iSpecificDefaultDate;
  198.         return true;
  199.     }

  201.     /**
  202.      * Remove the Specific Default Date
  203.      * 
  204.      * @return TRUE if successful
  205.      */

  207.     public boolean unsetSpecificDefault()
  208.     {
  209.         _iSpecificDefaultDate = java.lang.Integer.MIN_VALUE;
  210.         return true;
  211.     }

  213.     /**
  214.      * Calculate the survival to the given date
  215.      * 
  216.      * @param iDate Date
  217.      * 
  218.      * @return Survival Probability
  219.      * 
  220.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  221.      */

  223.     public abstract double survival (
  224.         final int iDate)
  225.         throws java.lang.Exception;

  227.     /**
  228.      * Calculate the survival to the given date
  229.      * 
  230.      * @param dt Date
  231.      * 
  232.      * @return Survival Probability
  233.      * 
  234.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  235.      */

  237.     public double survival (
  238.         final org.drip.analytics.date.JulianDate dt)
  239.         throws java.lang.Exception
  240.     {
  241.         if (null == dt) throw new java.lang.Exception ("CreditCurve::survival => Invalid Date");

  243.         return survival (dt.julian());
  244.     }

  246.     /**
  247.      * Calculate the survival to the given tenor
  248.      * 
  249.      * @param strTenor Tenor
  250.      * 
  251.      * @return Survival Probability
  252.      * 
  253.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  254.      */

  256.     public double survival (
  257.         final java.lang.String strTenor)
  258.         throws java.lang.Exception
  259.     {
  260.         if (null == strTenor || strTenor.isEmpty())
  261.             throw new java.lang.Exception ("CreditCurve::survival => Bad tenor");

  263.         return survival (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor));
  264.     }

  266.     /**
  267.      * Calculate the time-weighted survival between a pair of 2 dates
  268.      * 
  269.      * @param iDate1 First Date
  270.      * @param iDate2 Second Date
  271.      * 
  272.      * @return Survival Probability
  273.      * 
  274.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  275.      */

  277.     public double effectiveSurvival (
  278.         final int iDate1,
  279.         final int iDate2)
  280.         throws java.lang.Exception
  281.     {
  282.         if (iDate1 == iDate2) return survival (iDate1);

  284.         int iNumQuadratures = 0;
  285.         double dblEffectiveSurvival = 0.;
  286.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

  288.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  289.             ++iNumQuadratures;

  291.             dblEffectiveSurvival += (survival (iDate) + survival (iDate + iQuadratureWidth));
  292.         }

  294.         return dblEffectiveSurvival / (2. * iNumQuadratures);
  295.     }

  297.     /**
  298.      * Calculate the time-weighted survival between a pair of 2 dates
  299.      * 
  300.      * @param dt1 First Date
  301.      * @param dt2 Second Date
  302.      * 
  303.      * @return Survival Probability
  304.      * 
  305.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  306.      */

  308.     public double effectiveSurvival (
  309.         final org.drip.analytics.date.JulianDate dt1,
  310.         final org.drip.analytics.date.JulianDate dt2)
  311.         throws java.lang.Exception
  312.     {
  313.         if (null == dt1 || null == dt2)
  314.             throw new java.lang.Exception ("CreditCurve::effectiveSurvival => Invalid date");

  316.         return effectiveSurvival (dt1.julian(), dt2.julian());
  317.     }

  319.     /**
  320.      * Calculate the time-weighted survival between a pair of 2 tenors
  321.      * 
  322.      * @param strTenor1 First tenor
  323.      * @param strTenor2 Second tenor
  324.      * 
  325.      * @return Survival Probability
  326.      * 
  327.      * @throws java.lang.Exception Thrown if the survival probability cannot be calculated
  328.      */

  330.     public double effectiveSurvival (
  331.         final java.lang.String strTenor1,
  332.         final java.lang.String strTenor2)
  333.         throws java.lang.Exception
  334.     {
  335.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  336.             throw new java.lang.Exception ("CreditCurve::effectiveSurvival => bad tenor");

  338.         return effectiveSurvival (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor
  339.             (strTenor1), new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor2));
  340.     }

  342.     /**
  343.      * Calculate the recovery rate to the given date
  344.      * 
  345.      * @param iDate Date
  346.      * 
  347.      * @return Recovery Rate
  348.      * 
  349.      * @throws java.lang.Exception Thrown if the Recovery rate cannot be calculated
  350.      */

  352.     public abstract double recovery (
  353.         final int iDate)
  354.         throws java.lang.Exception;

  356.     /**
  357.      * Calculate the recovery rate to the given date
  358.      * 
  359.      * @param dt Date
  360.      * 
  361.      * @return Recovery Rate
  362.      * 
  363.      * @throws java.lang.Exception Thrown if the Recovery rate cannot be calculated
  364.      */

  366.     public double recovery (
  367.         final org.drip.analytics.date.JulianDate dt)
  368.         throws java.lang.Exception
  369.     {
  370.         if (null == dt) throw new java.lang.Exception ("CreditCurve::recovery => Invalid Date");

  372.         return recovery (dt.julian());
  373.     }

  375.     /**
  376.      * Calculate the recovery rate to the given tenor
  377.      * 
  378.      * @param strTenor Tenor
  379.      * 
  380.      * @return Recovery Rate
  381.      * 
  382.      * @throws java.lang.Exception Thrown if the Recovery rate cannot be calculated
  383.      */

  385.     public double recovery (
  386.         final java.lang.String strTenor)
  387.         throws java.lang.Exception
  388.     {
  389.         if (null == strTenor || strTenor.isEmpty())
  390.             throw new java.lang.Exception ("CreditCurve::recovery => Invalid Tenor");

  392.         return recovery (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor));
  393.     }

  395.     /**
  396.      * Calculate the time-weighted recovery between a pair of dates
  397.      * 
  398.      * @param iDate1 First Date
  399.      * @param iDate2 Second Date
  400.      * 
  401.      * @return Time-weighted recovery
  402.      * 
  403.      * @throws java.lang.Exception Thrown if the recovery cannot be calculated
  404.      */

  406.     public double effectiveRecovery (
  407.         final int iDate1,
  408.         final int iDate2)
  409.         throws java.lang.Exception
  410.     {
  411.         if (iDate1 == iDate2) return recovery (iDate1);

  413.         int iNumQuadratures = 0;
  414.         double dblEffectiveRecovery = 0.;
  415.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

  417.         if (0 == iQuadratureWidth) iQuadratureWidth = 1;

  419.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  420.             ++iNumQuadratures;

  422.             dblEffectiveRecovery += (recovery (iDate) + recovery (iDate + iQuadratureWidth));
  423.         }

  425.         return dblEffectiveRecovery / (2. * iNumQuadratures);
  426.     }

  428.     /**
  429.      * Calculate the time-weighted recovery between a pair of dates
  430.      * 
  431.      * @param dt1 First Date
  432.      * @param dt2 Second Date
  433.      * 
  434.      * @return Time-weighted recovery
  435.      * 
  436.      * @throws java.lang.Exception Thrown if the recovery cannot be calculated
  437.      */

  439.     public double effectiveRecovery (
  440.         final org.drip.analytics.date.JulianDate dt1,
  441.         final org.drip.analytics.date.JulianDate dt2)
  442.         throws java.lang.Exception
  443.     {
  444.         if (null == dt1 || null == dt2)
  445.             throw new java.lang.Exception ("CreditCurve::effectiveRecovery => Invalid date");

  447.         return effectiveRecovery (dt1.julian(), dt2.julian());
  448.     }

  450.     /**
  451.      * Calculate the time-weighted recovery between a pair of tenors
  452.      * 
  453.      * @param strTenor1 First Tenor
  454.      * @param strTenor2 Second Tenor
  455.      * 
  456.      * @return Time-weighted recovery
  457.      * 
  458.      * @throws java.lang.Exception Thrown if the recovery cannot be calculated
  459.      */

  461.     public double effectiveRecovery (
  462.         final java.lang.String strTenor1,
  463.         final java.lang.String strTenor2)
  464.         throws java.lang.Exception
  465.     {
  466.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  467.             throw new java.lang.Exception ("CreditCurve::effectiveRecovery => Invalid tenor");

  469.         return effectiveRecovery (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor
  470.             (strTenor1), new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor2));
  471.     }

  473.     /**
  474.      * Calculate the hazard rate between a pair of forward dates
  475.      * 
  476.      * @param dt1 First Date
  477.      * @param dt2 Second Date
  478.      * 
  479.      * @return Hazard Rate
  480.      * 
  481.      * @throws java.lang.Exception Thrown if the hazard rate cannot be calculated
  482.      */

  484.     public double hazard (
  485.         final org.drip.analytics.date.JulianDate dt1,
  486.         final org.drip.analytics.date.JulianDate dt2)
  487.         throws java.lang.Exception
  488.     {
  489.         if (null == dt1 || null == dt2)
  490.             throw new java.lang.Exception ("CreditCurve::hazard => Invalid dates");

  492.         if (dt1.julian() < _iEpochDate || dt2.julian() < _iEpochDate) return 0.;

  494.         return 365.25 / (dt2.julian() - dt1.julian()) * java.lang.Math.log (survival (dt1) / survival (dt2));
  495.     }

  497.     /**
  498.      * Calculate the hazard rate to the given date
  499.      * 
  500.      * @param dt Date
  501.      * 
  502.      * @return Hazard Rate
  503.      * 
  504.      * @throws java.lang.Exception Thrown if the hazard rate cannot be calculated
  505.      */

  507.     public double hazard (
  508.         final org.drip.analytics.date.JulianDate dt)
  509.         throws java.lang.Exception
  510.     {
  511.         return hazard (dt, new org.drip.analytics.date.JulianDate (_iEpochDate));
  512.     }

  514.     /**
  515.      * Calculate the hazard rate to the given tenor
  516.      * 
  517.      * @param strTenor Tenor
  518.      * 
  519.      * @return Hazard Rate
  520.      * 
  521.      * @throws java.lang.Exception Thrown if the hazard rate cannot be calculated
  522.      */

  524.     public double hazard (
  525.         final java.lang.String strTenor)
  526.         throws java.lang.Exception
  527.     {
  528.         if (null == strTenor || strTenor.isEmpty())
  529.             throw new java.lang.Exception ("CreditCurve::hazard => Bad Tenor");

  531.         return hazard (new org.drip.analytics.date.JulianDate (_iEpochDate).addTenor (strTenor));
  532.     }

  534.     /**
  535.      * Create a flat hazard curve from the inputs
  536.      * 
  537.      * @param dblFlatNodeValue Flat hazard node value
  538.      * @param bSingleNode Uses a single node for Calibration (True)
  539.      * @param dblRecovery (Optional) Recovery to be used in creation of the flat curve
  540.      * 
  541.      * @return New CreditCurve instance
  542.      */

  544.     public abstract CreditCurve flatCurve (
  545.         final double dblFlatNodeValue,
  546.         final boolean bSingleNode,
  547.         final double dblRecovery);

  549.     /**
  550.      * Set the calibration inputs for the CreditCurve
  551.      * 
  552.      * @param valParam ValuationParams
  553.      * @param bFlat Flat calibration desired (True)
  554.      * @param dc Base Discount Curve
  555.      * @param gc Govvie Curve
  556.      * @param pricerParam PricerParams
  557.      * @param aCalibInst Array of calibration instruments
  558.      * @param adblCalibQuote Array of calibration quotes
  559.      * @param astrCalibMeasure Array of calibration measures
  560.      * @param lsfc Latent State Fixings Container
  561.      * @param quotingParams Quoting Parameters
  562.      */

  564.     public void setInstrCalibInputs (
  565.         final org.drip.param.valuation.ValuationParams valParam,
  566.         final boolean bFlat,
  567.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  568.         final org.drip.state.govvie.GovvieCurve gc,
  569.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  570.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  571.         final double[] adblCalibQuote,
  572.         final java.lang.String[] astrCalibMeasure,
  573.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  574.         final org.drip.param.valuation.ValuationCustomizationParams quotingParams)
  575.     {
  576.         _dc = dc;
  577.         _gc = gc;
  578.         _lsfc = lsfc;
  579.         _bFlat = bFlat;
  580.         _valParam = valParam;
  581.         _aCalibInst = aCalibInst;
  582.         _pricerParam = pricerParam;
  583.         _quotingParams = quotingParams;
  584.         _adblCalibQuote = adblCalibQuote;
  585.         _astrCalibMeasure = astrCalibMeasure;

  587.         _mapQuote = new
  588.             org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>();

  590.         _mapMeasure = new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.String>();

  592.         for (int i = 0; i < aCalibInst.length; ++i) {
  593.             _mapMeasure.put (_aCalibInst[i].primaryCode(), astrCalibMeasure[i]);

  595.             org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapManifestMeasureCalibQuote
  596.                 = new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  598.             mapManifestMeasureCalibQuote.put (_astrCalibMeasure[i], adblCalibQuote[i]);

  600.             _mapQuote.put (_aCalibInst[i].primaryCode(), mapManifestMeasureCalibQuote);

  602.             java.lang.String[] astrSecCode = _aCalibInst[i].secondaryCode();

  604.             if (null != astrSecCode) {
  605.                 for (int j = 0; j < astrSecCode.length; ++j)
  606.                     _mapQuote.put (astrSecCode[j], mapManifestMeasureCalibQuote);
  607.             }
  608.         }
  609.     }

  611.     @Override public boolean setCCIS (
  612.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  613.     {
  614.         return false;
  615.     }

  617.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  618.     {
  619.         return _aCalibInst;
  620.     }

  622.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  623.         final java.lang.String strInstr)
  624.     {
  625.         if (null == _mapQuote || 0 == _mapQuote.size() || null == strInstr || strInstr.isEmpty() ||
  626.             !_mapQuote.containsKey (strInstr))
  627.             return null;

  629.         return _mapQuote.get (strInstr);
  630.     }
  631. }
Created with JaCoCo 0.7.9.201702052155