DerivedZeroRate.java

  1. package org.drip.state.curve;

  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>DerivedZeroRate</i> implements the delegated ZeroCurve functionality. Beyond discount factor/zero rate
  86.  * computation at specific cash pay nodes, all other functions are delegated to the embedded discount curve.
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  91.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  92.  *      <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>
  93.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/curve/README.md">Basis Spline Based Latent States</a></li>
  94.  *  </ul>
  95.  * <br><br>
  96.  *
  97.  * @author Lakshmi Krishnamurthy
  98.  */

  100. public class DerivedZeroRate extends org.drip.state.discount.ZeroCurve {
  101.     private static final int NUM_DF_QUADRATURES = 5;

  103.     private org.drip.state.discount.DiscountCurve _dc = null;
  104.     private org.drip.spline.stretch.MultiSegmentSequence _mssDF = null;
  105.     private org.drip.spline.stretch.MultiSegmentSequence _mssZeroRate = null;

  107.     private static final boolean EntryFromDiscountCurve (
  108.         final org.drip.state.discount.DiscountCurve dc,
  109.         final int iDate,
  110.         final int iFreq,
  111.         final double dblYearFraction,
  112.         final double dblShift,
  113.         final java.util.Map<java.lang.Integer, java.lang.Double> mapDF,
  114.         final java.util.Map<java.lang.Integer, java.lang.Double> mapZeroRate)
  115.     {
  116.         try {
  117.             double dblZeroRate = org.drip.analytics.support.Helper.DF2Yield (iFreq, dc.df (iDate),
  118.                 dblYearFraction) + dblShift;

  120.             mapDF.put (iDate, org.drip.analytics.support.Helper.Yield2DF (iFreq, dblZeroRate,
  121.                 dblYearFraction));

  123.             mapZeroRate.put (iDate, dblZeroRate);

  125.             return true;
  126.         } catch (java.lang.Exception e) {
  127.             e.printStackTrace();
  128.         }

  130.         return false;
  131.     }

  133.     private static final boolean EntryFromYield (
  134.         final int iDate,
  135.         final int iFreq,
  136.         final double dblYearFraction,
  137.         final double dblShiftedYield,
  138.         final java.util.Map<java.lang.Integer, java.lang.Double> mapDF,
  139.         final java.util.Map<java.lang.Integer, java.lang.Double> mapZeroRate)
  140.     {
  141.         try {
  142.             mapDF.put (iDate, org.drip.analytics.support.Helper.Yield2DF (iFreq, dblShiftedYield,
  143.                 dblYearFraction));

  145.             mapZeroRate.put (iDate, dblShiftedYield);

  147.             return true;
  148.         } catch (java.lang.Exception e) {
  149.             e.printStackTrace();
  150.         }

  152.         return false;
  153.     }

  155.     /**
  156.      * Construct an Instance from the Discount Curve and the related Parameters
  157.      * 
  158.      * @param iFreqZC Zero Curve Frequency
  159.      * @param strDCZC Zero Curve Day Count
  160.      * @param strCalendarZC Zero Curve Calendar
  161.      * @param bApplyEOMAdjZC Zero Coupon EOM Adjustment Flag
  162.      * @param lsCouponPeriod List of Bond coupon periods
  163.      * @param iWorkoutDate Work-out Date
  164.      * @param iValueDate Value Date
  165.      * @param iCashPayDate Cash-Pay Date
  166.      * @param dc Underlying Discount Curve
  167.      * @param dblZCBump DC Bump
  168.      * @param vcp Valuation Customization Parameters
  169.      * @param scbc Segment Custom Builder Control Parameters
  170.      * 
  171.      * @return The Derived Zero Rate Instance
  172.      */

  174.     public static final DerivedZeroRate FromDiscountCurve (
  175.         final int iFreqZC,
  176.         final java.lang.String strDCZC,
  177.         final java.lang.String strCalendarZC,
  178.         final boolean bApplyEOMAdjZC,
  179.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod,
  180.         final int iWorkoutDate,
  181.         final int iValueDate,
  182.         final int iCashPayDate,
  183.         final org.drip.state.discount.DiscountCurve dc,
  184.         final double dblZCBump,
  185.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  186.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  187.     {
  188.         if (null == lsCouponPeriod || 2 > lsCouponPeriod.size() || null == dc ||
  189.             !org.drip.numerical.common.NumberUtil.IsValid (dblZCBump) || null == scbc)
  190.             return null;

  192.         int iFreq = 0 == iFreqZC ? 2 : iFreqZC;
  193.         java.lang.String strCalendar = strCalendarZC;

  195.         java.lang.String strDC = null == strDCZC || strDCZC.isEmpty() ? "30/360" : strDCZC;

  197.         if (null != vcp) {
  198.             strDC = vcp.yieldDayCount();

  200.             iFreq = vcp.yieldFreq();

  202.             strCalendar = vcp.yieldCalendar();
  203.         }

  205.         java.util.Map<java.lang.Integer, java.lang.Double> mapDF = new java.util.TreeMap<java.lang.Integer,
  206.             java.lang.Double>();

  208.         java.util.Map<java.lang.Integer, java.lang.Double> mapZeroRate = new
  209.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  211.         mapDF.put (iValueDate, 1.);

  213.         mapZeroRate.put (iValueDate, 0.);

  215.         for (org.drip.analytics.cashflow.CompositePeriod period : lsCouponPeriod) {
  216.             int iPeriodPayDate = period.payDate();

  218.             if (iValueDate >= iPeriodPayDate) continue;

  220.             int iPeriodStartDate = period.startDate();

  222.             int iPeriodEndDate = period.endDate();

  224.             try {
  225.                 if (!EntryFromDiscountCurve (dc, iPeriodPayDate, iFreq,
  226.                     org.drip.analytics.daycount.Convention.YearFraction (iValueDate, iPeriodPayDate, strDC,
  227.                         true, new org.drip.analytics.daycount.ActActDCParams (iFreq, iPeriodEndDate -
  228.                             iPeriodStartDate), strCalendar), dblZCBump, mapDF, mapZeroRate))
  229.                     return null;
  230.             } catch (java.lang.Exception e) {
  231.                 e.printStackTrace();

  233.                 return null;
  234.             }
  235.         }

  237.         org.drip.analytics.daycount.ActActDCParams aap =
  238.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  240.         try {
  241.             if (!EntryFromDiscountCurve (dc, iWorkoutDate, iFreq,
  242.                 org.drip.analytics.daycount.Convention.YearFraction (iValueDate, iWorkoutDate, strDC, true,
  243.                     aap, strCalendar), dblZCBump, mapDF, mapZeroRate))
  244.                 return null;

  246.             if (iValueDate != iCashPayDate) {
  247.                 if (!EntryFromDiscountCurve (dc, iCashPayDate, iFreq,
  248.                     org.drip.analytics.daycount.Convention.YearFraction (iValueDate, iCashPayDate, strDC,
  249.                         true, aap, strCalendar), dblZCBump, mapDF, mapZeroRate))
  250.                     return null;
  251.             }
  252.         } catch (java.lang.Exception e) {
  253.             e.printStackTrace();

  255.             return null;
  256.         }

  258.         int iNumNode = mapDF.size();

  260.         int iNode = 0;
  261.         double[] adblDF = new double[iNumNode];
  262.         double[] aiDate = new double[iNumNode];
  263.         double[] adblZeroRate = new double[iNumNode];

  265.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> me : mapDF.entrySet()) {
  266.             adblDF[iNode] = me.getValue();

  268.             aiDate[iNode] = me.getKey();

  270.             adblZeroRate[iNode++] = mapZeroRate.get (me.getKey());
  271.         }

  273.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  274.             org.drip.spline.params.SegmentCustomBuilderControl[adblDF.length - 1]; 

  276.         for (int i = 0; i < adblDF.length - 1; ++i)
  277.             aSCBC[i] = scbc;

  279.         org.drip.spline.stretch.BoundarySettings bsNatural =
  280.             org.drip.spline.stretch.BoundarySettings.NaturalStandard();

  282.         try{
  283.             return new DerivedZeroRate (dc,
  284.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  285.                     ("DF_STRETCH", aiDate, adblDF, aSCBC, null, bsNatural,
  286.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE),
  287.                             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  288.                 ("ZERO_RATE_STRETCH", aiDate, adblZeroRate, aSCBC, null, bsNatural,
  289.                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE));
  290.         } catch (java.lang.Exception e) {
  291.             e.printStackTrace();
  292.         }

  294.         return null;
  295.     }

  297.     /**
  298.      * Construct an Instance from the Govvie Curve and the related Parameters
  299.      * 
  300.      * @param iFreqZC Zero Curve Frequency
  301.      * @param strDCZC Zero Curve Day Count
  302.      * @param strCalendarZC Zero Curve Calendar
  303.      * @param bApplyEOMAdjZC Zero Coupon EOM Adjustment Flag
  304.      * @param lsCouponPeriod List of bond coupon periods
  305.      * @param iWorkoutDate Work-out Date
  306.      * @param iValueDate Value Date
  307.      * @param iCashPayDate Cash-Pay Date
  308.      * @param gc Underlying Govvie Curve
  309.      * @param dblZCBump DC Bump
  310.      * @param vcp Valuation Customization Parameters
  311.      * @param scbc Segment Custom Builder Control Parameters
  312.      * 
  313.      * @return The Derived Zero Rate Instance
  314.      */

  316.     public static final DerivedZeroRate FromGovvieCurve (
  317.         final int iFreqZC,
  318.         final java.lang.String strDCZC,
  319.         final java.lang.String strCalendarZC,
  320.         final boolean bApplyEOMAdjZC,
  321.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod,
  322.         final int iWorkoutDate,
  323.         final int iValueDate,
  324.         final int iCashPayDate,
  325.         final org.drip.state.govvie.GovvieCurve gc,
  326.         final double dblZCBump,
  327.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  328.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  329.     {
  330.         if (null == lsCouponPeriod || 2 > lsCouponPeriod.size() || null == gc ||
  331.             !org.drip.numerical.common.NumberUtil.IsValid (dblZCBump) || null == scbc)
  332.             return null;

  334.         int iFreq = 0 == iFreqZC ? 2 : iFreqZC;
  335.         boolean bApplyCpnEOMAdj = bApplyEOMAdjZC;
  336.         java.lang.String strCalendar = strCalendarZC;
  337.         double dblShiftedYield = java.lang.Double.NaN;

  339.         try {
  340.             dblShiftedYield = gc.yield (iWorkoutDate) + dblZCBump;
  341.         } catch (java.lang.Exception e) {
  342.             e.printStackTrace();

  344.             return null;
  345.         }

  347.         java.lang.String strDC = null == strDCZC || strDCZC.isEmpty() ? "30/360" : strDCZC;

  349.         if (null != vcp) {
  350.             strDC = vcp.yieldDayCount();

  352.             iFreq = vcp.yieldFreq();

  354.             bApplyCpnEOMAdj = vcp.applyYieldEOMAdj();

  356.             strCalendar = vcp.yieldCalendar();
  357.         }

  359.         java.util.Map<java.lang.Integer, java.lang.Double> mapDF = new java.util.TreeMap<java.lang.Integer,
  360.             java.lang.Double>();

  362.         java.util.Map<java.lang.Integer, java.lang.Double> mapZeroRate = new
  363.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  365.         mapDF.put (iValueDate, 1.);

  367.         mapZeroRate.put (iValueDate, 0.);

  369.         for (org.drip.analytics.cashflow.CompositePeriod period : lsCouponPeriod) {
  370.             int iPeriodPayDate = period.payDate();

  372.             if (iValueDate >= iPeriodPayDate) continue;

  374.             int iPeriodStartDate = period.startDate();

  376.             int iPeriodEndDate = period.endDate();

  378.             try {
  379.                 if (!EntryFromYield (iPeriodPayDate, iFreq,
  380.                     org.drip.analytics.daycount.Convention.YearFraction (iValueDate, iPeriodPayDate, strDC,
  381.                         bApplyCpnEOMAdj, new org.drip.analytics.daycount.ActActDCParams (iFreq,
  382.                             iPeriodEndDate - iPeriodStartDate), strCalendar), dblShiftedYield, mapDF,
  383.                                 mapZeroRate))
  384.                     return null;
  385.             } catch (java.lang.Exception e) {
  386.                 e.printStackTrace();

  388.                 return null;
  389.             }
  390.         }

  392.         org.drip.analytics.daycount.ActActDCParams aap =
  393.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (iFreq);

  395.         try {
  396.             if (!EntryFromYield (iWorkoutDate, iFreq, org.drip.analytics.daycount.Convention.YearFraction
  397.                 (iValueDate, iWorkoutDate, strDC, bApplyCpnEOMAdj, aap, strCalendar), dblShiftedYield, mapDF,
  398.                     mapZeroRate))
  399.                 return null;

  401.             if (iCashPayDate != iValueDate) {
  402.                 if (!EntryFromYield (iCashPayDate, iFreq, org.drip.analytics.daycount.Convention.YearFraction
  403.                     (iValueDate, iCashPayDate, strDC, bApplyCpnEOMAdj, aap, strCalendar), dblShiftedYield,
  404.                         mapDF, mapZeroRate))
  405.                     return null;
  406.             }
  407.         } catch (java.lang.Exception e) {
  408.             e.printStackTrace();

  410.             return null;
  411.         }

  413.         int iNumNode = mapDF.size();

  415.         int iNode = 0;
  416.         double[] adblDF = new double[iNumNode];
  417.         double[] aiDate = new double[iNumNode];
  418.         double[] adblZeroRate = new double[iNumNode];

  420.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> me : mapDF.entrySet()) {
  421.             adblDF[iNode] = me.getValue();

  423.             aiDate[iNode] = me.getKey();

  425.             adblZeroRate[iNode++] = mapZeroRate.get (me.getKey());
  426.         }

  428.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  429.             org.drip.spline.params.SegmentCustomBuilderControl[adblDF.length - 1]; 

  431.         for (int i = 0; i < adblDF.length - 1; ++i)
  432.             aSCBC[i] = scbc;

  434.         org.drip.spline.stretch.BoundarySettings bsNatural =
  435.             org.drip.spline.stretch.BoundarySettings.NaturalStandard();

  437.         try {
  438.             return new DerivedZeroRate (gc,
  439.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  440.                     ("DF_STRETCH", aiDate, adblDF, aSCBC, null, bsNatural,
  441.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE),
  442.                             org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  443.                 ("ZERO_RATE_STRETCH", aiDate, adblZeroRate, aSCBC, null, bsNatural,
  444.                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE));
  445.         } catch (java.lang.Exception e) {
  446.             e.printStackTrace();
  447.         }

  449.         return null;
  450.     }

  452.     /**
  453.      * Construct an Instance from the Input Curve and the related Parameters
  454.      * 
  455.      * @param iFreq Zero Curve Frequency
  456.      * @param strDayCount Zero Curve Day Count
  457.      * @param strCalendar Zero Curve Calendar
  458.      * @param bApplyEOMAdj Zero Coupon EOM Adjustment Flag
  459.      * @param lsCouponPeriod List of bond coupon periods
  460.      * @param iWorkoutDate Work-out Date
  461.      * @param iValueDate Value Date
  462.      * @param iCashPayDate Cash-Pay Date
  463.      * @param dc Underlying Discount Curve
  464.      * @param dblBump DC Bump
  465.      * @param vcp Valuation Customization Parameters
  466.      * @param scbc Segment Custom Builder Control Parameters
  467.      * 
  468.      * @return The Derived Zero Rate Instance
  469.      */

  471.     public static final DerivedZeroRate FromBaseCurve (
  472.         final int iFreq,
  473.         final java.lang.String strDayCount,
  474.         final java.lang.String strCalendar,
  475.         final boolean bApplyEOMAdj,
  476.         final java.util.List<org.drip.analytics.cashflow.CompositePeriod> lsCouponPeriod,
  477.         final int iWorkoutDate,
  478.         final int iValueDate,
  479.         final int iCashPayDate,
  480.         final org.drip.state.discount.DiscountCurve dc,
  481.         final double dblBump,
  482.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  483.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  484.     {
  485.         if (null == dc) return null;

  487.         return dc instanceof org.drip.state.govvie.GovvieCurve ? FromGovvieCurve (iFreq, strDayCount,
  488.             strCalendar, bApplyEOMAdj, lsCouponPeriod, iWorkoutDate, iValueDate, iCashPayDate,
  489.                 (org.drip.state.govvie.GovvieCurve) dc, dblBump, vcp, scbc) : FromDiscountCurve (iFreq,
  490.                     strDayCount, strCalendar, bApplyEOMAdj, lsCouponPeriod, iWorkoutDate, iValueDate,
  491.                         iCashPayDate, dc, dblBump, vcp, scbc);
  492.     }

  494.     private DerivedZeroRate (
  495.         final org.drip.state.discount.DiscountCurve dc,
  496.         final org.drip.spline.stretch.MultiSegmentSequence mssDF,
  497.         final org.drip.spline.stretch.MultiSegmentSequence mssZeroRate)
  498.         throws java.lang.Exception
  499.     {
  500.         super (dc.epoch().julian(), dc.currency());

  502.         if (null == (_mssDF = mssDF) || null == (_mssZeroRate = mssZeroRate))
  503.             throw new java.lang.Exception ("DerivedZeroRate Constructor: Invalid Inputs");

  505.         _dc = dc;
  506.     }

  508.     @Override public double df (
  509.         final int iDate)
  510.         throws java.lang.Exception
  511.     {
  512.         if (iDate <= epoch().julian()) return 1.;

  514.         return _mssDF.responseValue (iDate);
  515.     }

  517.     @Override public double df (
  518.         final java.lang.String strTenor)
  519.         throws java.lang.Exception
  520.     {
  521.         return df (epoch().addTenor (strTenor));
  522.     }

  524.     @Override public double zeroRate (
  525.         final int iDate)
  526.         throws java.lang.Exception
  527.     {
  528.         if (iDate <= epoch().julian()) return 1.;

  530.         return _mssZeroRate.responseValue (iDate);
  531.     }

  533.     @Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
  534.         final java.lang.String strInstr)
  535.     {
  536.         return _dc.manifestMeasure (strInstr);
  537.     }

  539.     @Override public org.drip.product.definition.CalibratableComponent[] calibComp()
  540.     {
  541.         return _dc.calibComp();
  542.     }

  544.     @Override public org.drip.state.identifier.LatentStateLabel label()
  545.     {
  546.         return _dc.label();
  547.     }

  549.     @Override public org.drip.analytics.definition.Curve parallelShiftManifestMeasure (
  550.         final java.lang.String strManifestMeasure,
  551.         final double dblShift)
  552.     {
  553.         return null;
  554.     }

  556.     @Override public org.drip.analytics.definition.Curve shiftManifestMeasure (
  557.         final int iSpanIndex,
  558.         final java.lang.String strManifestMeasure,
  559.         final double dblShift)
  560.     {
  561.         return null;
  562.     }

  564.     @Override public org.drip.analytics.definition.Curve customTweakManifestMeasure (
  565.         final java.lang.String strManifestMeasure,
  566.         final org.drip.param.definition.ManifestMeasureTweak mmtp)
  567.     {
  568.         return null;
  569.     }

  571.     @Override public boolean setCCIS (
  572.         final org.drip.analytics.input.CurveConstructionInputSet ccis)
  573.     {
  574.          return _dc.setCCIS (ccis);
  575.     }

  577.     @Override public org.drip.state.representation.LatentState parallelShiftQuantificationMetric (
  578.         final double dblShift)
  579.     {
  580.         return _dc.parallelShiftQuantificationMetric (dblShift);
  581.     }

  583.     @Override public org.drip.state.representation.LatentState customTweakQuantificationMetric (
  584.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  585.     {
  586.         return _dc.customTweakQuantificationMetric (rvtp);
  587.     }

  589.     @Override public double df (
  590.         final org.drip.analytics.date.JulianDate dt)
  591.         throws java.lang.Exception
  592.     {
  593.         if (null == dt) throw new java.lang.Exception ("DerivedZeroRate::df => Invalid Inputs");

  595.         return df (dt.julian());
  596.     }

  598.     @Override public double effectiveDF (
  599.         final int iDate1,
  600.         final int iDate2)
  601.         throws java.lang.Exception
  602.     {
  603.         if (iDate1 == iDate2) return df (iDate1);

  605.         int iNumQuadratures = 0;
  606.         double dblEffectiveDF = 0.;
  607.         int iQuadratureWidth = (iDate2 - iDate1) / NUM_DF_QUADRATURES;

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

  611.         for (int iDate = iDate1; iDate <= iDate2; iDate += iQuadratureWidth) {
  612.             ++iNumQuadratures;

  614.             dblEffectiveDF += (df (iDate) + df (iDate + iQuadratureWidth));
  615.         }

  617.         return dblEffectiveDF / (2. * iNumQuadratures);
  618.     }

  620.     @Override public double effectiveDF (
  621.         final org.drip.analytics.date.JulianDate dt1,
  622.         final org.drip.analytics.date.JulianDate dt2)
  623.         throws java.lang.Exception
  624.     {
  625.         if (null == dt1 || null == dt2)
  626.             throw new java.lang.Exception ("DerivedZeroRate::effectiveDF => Got null for date");

  628.         return effectiveDF (dt1.julian(), dt2.julian());
  629.     }

  631.     @Override public double effectiveDF (
  632.         final java.lang.String strTenor1,
  633.         final java.lang.String strTenor2)
  634.         throws java.lang.Exception
  635.     {
  636.         if (null == strTenor1 || strTenor1.isEmpty() || null == strTenor2 || strTenor2.isEmpty())
  637.             throw new java.lang.Exception ("DerivedZeroRate::effectiveDF => Got bad tenor");

  639.         org.drip.analytics.date.JulianDate dtStart = epoch();

  641.         return effectiveDF (dtStart.addTenor (strTenor1), dtStart.addTenor (strTenor2));
  642.     }
  643. }
Created with JaCoCo 0.7.9.201702052155