ForwardHazardCreditCurve.java

  1. package org.drip.state.nonlinear;

  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.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>ForwardHazardCreditCurve</i> manages the Survival Latent State, using the Hazard Rate as the State
  87.  * Response Representation. It exports the following functionality:
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          Boot Methods - Set/Bump Specific Node Quantification Metric, or Set Flat Value
  93.  *      </li>
  94.  *      <li>
  95.  *          Boot Calibration - Initialize Run, Compute Calibration Metric
  96.  *      </li>
  97.  *      <li>
  98.  *          Compute the survival probability, recovery rate, or the hazard rate from the Hazard Rate Latent
  99.  *              State
  100.  *      </li>
  101.  *      <li>
  102.  *          Retrieve Array of the Calibration Components
  103.  *      </li>
  104.  *      <li>
  105.  *          Retrieve the Curve Construction Input Set
  106.  *      </li>
  107.  *      <li>
  108.  *          Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric
  109.  *      </li>
  110.  *      <li>
  111.  *          Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure
  112.  *      </li>
  113.  *  </ul>
  114.  *
  115.  *  <br><br>
  116.  *  <ul>
  117.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  118.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  119.  *      <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>
  120.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/nonlinear/README.md">Nonlinear (i.e., Boot) Latent State Construction</a></li>
  121.  *  </ul>
  122.  * <br><br>
  123.  *
  124.  * @author Lakshmi Krishnamurthy
  125.  */

  127. public class ForwardHazardCreditCurve extends org.drip.state.credit.ExplicitBootCreditCurve {
  128.     private int[] _aiHazardDate = null;
  129.     private int[] _aiRecoveryDate = null;
  130.     private double[] _adblHazardRate = null;
  131.     private double[] _adblRecoveryRate = null;

  133.     private org.drip.state.credit.CreditCurve createFromBaseMMTP (
  134.         final org.drip.param.definition.ManifestMeasureTweak mmtp)
  135.     {
  136.         double[] adblHazardBumped = org.drip.analytics.support.Helper.TweakManifestMeasure
  137.             (_adblHazardRate, mmtp);

  139.         if (null == adblHazardBumped || _adblHazardRate.length != adblHazardBumped.length) return null;

  141.         try {
  142.             return new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, adblHazardBumped,
  143.                 _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate, _iSpecificDefaultDate);
  144.         } catch (java.lang.Exception e) {
  145.             e.printStackTrace();
  146.         }

  148.         return null;
  149.     }

  151.     /**
  152.      * Create a credit curve from hazard rate and recovery rate term structures
  153.      * 
  154.      * @param iStartDate Curve Epoch date
  155.      * @param label Credit Curve Label
  156.      * @param strCurrency Currency
  157.      * @param adblHazardRate Matched array of hazard rates
  158.      * @param aiHazardDate Matched array of hazard dates
  159.      * @param adblRecoveryRate Matched array of recovery rates
  160.      * @param aiRecoveryDate Matched array of recovery dates
  161.      * @param iSpecificDefaultDate (Optional) Specific Default Date
  162.      * 
  163.      * @throws java.lang.Exception Thrown if inputs are invalid
  164.      */

  166.     public ForwardHazardCreditCurve (
  167.         final int iStartDate,
  168.         final org.drip.state.identifier.EntityCDSLabel label,
  169.         final java.lang.String strCurrency,
  170.         final double adblHazardRate[],
  171.         final int aiHazardDate[],
  172.         final double[] adblRecoveryRate,
  173.         final int[] aiRecoveryDate,
  174.         final int iSpecificDefaultDate)
  175.         throws java.lang.Exception
  176.     {
  177.         super (iStartDate, label, strCurrency);

  179.         if (null == adblHazardRate || 0 == adblHazardRate.length || null == aiHazardDate || 0 ==
  180.             aiHazardDate.length || adblHazardRate.length != aiHazardDate.length || null ==
  181.                 adblRecoveryRate || 0 == adblRecoveryRate.length || null == aiRecoveryDate || 0 ==
  182.                     aiRecoveryDate.length || adblRecoveryRate.length != aiRecoveryDate.length)
  183.             throw new java.lang.Exception ("ForwardHazardCreditCurve ctr: Invalid Params!");

  185.         _iSpecificDefaultDate = iSpecificDefaultDate;
  186.         _adblHazardRate = new double[adblHazardRate.length];
  187.         _adblRecoveryRate = new double[adblRecoveryRate.length];
  188.         _aiHazardDate = new int[aiHazardDate.length];
  189.         _aiRecoveryDate = new int[aiRecoveryDate.length];

  191.         for (int i = 0; i < adblHazardRate.length; ++i)
  192.             _adblHazardRate[i] = adblHazardRate[i];

  194.         for (int i = 0; i < _aiHazardDate.length; ++i)
  195.             _aiHazardDate[i] = aiHazardDate[i];

  197.         for (int i = 0; i < adblRecoveryRate.length; ++i)
  198.             _adblRecoveryRate[i] = adblRecoveryRate[i];

  200.         for (int i = 0; i < aiRecoveryDate.length; ++i)
  201.             _aiRecoveryDate[i] = aiRecoveryDate[i];
  202.     }

  204.     @Override public double survival (
  205.         final int iDate)
  206.         throws java.lang.Exception
  207.     {
  208.         if (iDate <= _iEpochDate) return 1.;

  210.         if (java.lang.Integer.MIN_VALUE != _iSpecificDefaultDate && iDate >= _iSpecificDefaultDate)
  211.             return 0.;

  213.         int i = 0;
  214.         double dblExpArg = 0.;
  215.         int iStartDate = _iEpochDate;

  217.         while (i < _adblHazardRate.length && iDate > _aiHazardDate[i]) {
  218.             dblExpArg -= _adblHazardRate[i] * (_aiHazardDate[i] - iStartDate);
  219.             iStartDate = _aiHazardDate[i++];
  220.         }

  222.         if (i >= _adblHazardRate.length) i = _adblHazardRate.length - 1;

  224.         dblExpArg -= _adblHazardRate[i] * (iDate - iStartDate);

  226.         return java.lang.Math.exp (dblExpArg / 365.25);
  227.     }

  229.     @Override public double recovery (
  230.         final int iDate)
  231.         throws java.lang.Exception
  232.     {
  233.         for (int i = 0; i < _aiRecoveryDate.length; ++i) {
  234.             if (iDate < _aiRecoveryDate[i]) return _adblRecoveryRate[i];
  235.         }

  237.         return _adblRecoveryRate[_aiRecoveryDate.length - 1];
  238.     }

  240.     @Override public ForwardHazardCreditCurve parallelShiftQuantificationMetric (
  241.         final double dblShift)
  242.     {
  243.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

  245.         double[] adblHazard = new double[_adblHazardRate.length];

  247.         for (int i = 0; i < _adblHazardRate.length; ++i)
  248.             adblHazard[i] = _adblHazardRate[i] + dblShift;

  250.         try {
  251.             return new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, adblHazard,
  252.                 _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate, _iSpecificDefaultDate);
  253.         } catch (java.lang.Exception e) {
  254.             e.printStackTrace();
  255.         }

  257.         return null;
  258.     }

  260.     @Override public org.drip.analytics.definition.Curve customTweakQuantificationMetric (
  261.         final org.drip.param.definition.ManifestMeasureTweak rvtp)
  262.     {
  263.         return null;
  264.     }

  266.     @Override public ForwardHazardCreditCurve parallelShiftManifestMeasure (
  267.         final java.lang.String strManifestMeasure,
  268.         final double dblShift)
  269.     {
  270.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

  272.         if (null == _valParam || null == _aCalibInst || 0 == _aCalibInst.length || null == _adblCalibQuote ||
  273.             0 == _adblCalibQuote.length || null == _astrCalibMeasure || 0 == _astrCalibMeasure.length ||
  274.                 _astrCalibMeasure.length != _adblCalibQuote.length || _adblCalibQuote.length !=
  275.                     _aCalibInst.length)
  276.             return parallelShiftQuantificationMetric (dblShift);

  278.         ForwardHazardCreditCurve cc = null;
  279.         double[] adblCalibQuote = new double[_adblCalibQuote.length];

  281.         try {
  282.             cc = new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, _adblHazardRate,
  283.                 _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate, _iSpecificDefaultDate);
  284.         } catch (java.lang.Exception e) {
  285.             e.printStackTrace();

  287.             return null;
  288.         }

  290.         for (int i = 0; i < _adblCalibQuote.length; ++i) {
  291.             try {
  292.                 org.drip.state.nonlinear.NonlinearCurveBuilder.CreditCurve (_valParam, _aCalibInst[i],
  293.                     adblCalibQuote[i] = _adblCalibQuote[i] + dblShift, _astrCalibMeasure[i], _bFlat, i, cc,
  294.                         _dc, _gc, _pricerParam, _lsfc, _quotingParams, null);
  295.             } catch (java.lang.Exception e) {
  296.                 e.printStackTrace();

  298.                 return null;
  299.             }
  300.         }

  302.         cc.setInstrCalibInputs (_valParam, _bFlat, _dc, _gc, _pricerParam, _aCalibInst, adblCalibQuote,
  303.             _astrCalibMeasure, _lsfc, _quotingParams);

  305.         return cc;
  306.     }

  308.     @Override public ForwardHazardCreditCurve shiftManifestMeasure (
  309.         final int iSpanIndex,
  310.         final java.lang.String strManifestMeasure,
  311.         final double dblShift)
  312.     {
  313.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblShift)) return null;

  315.         if (null == _valParam || null == _aCalibInst || 0 == _aCalibInst.length || null == _adblCalibQuote ||
  316.             0 == _adblCalibQuote.length || null == _astrCalibMeasure || 0 == _astrCalibMeasure.length ||
  317.                 _astrCalibMeasure.length != _adblCalibQuote.length || _adblCalibQuote.length !=
  318.                     _aCalibInst.length)
  319.             return parallelShiftQuantificationMetric (dblShift);

  321.         ForwardHazardCreditCurve cc = null;
  322.         double[] adblCalibQuote = new double[_adblCalibQuote.length];

  324.         if (iSpanIndex >= _adblCalibQuote.length) return null;

  326.         try {
  327.             cc = new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, _adblHazardRate,
  328.                 _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate, _iSpecificDefaultDate);
  329.         } catch (java.lang.Exception e) {
  330.             e.printStackTrace();

  332.             return null;
  333.         }

  335.         for (int i = 0; i < _adblCalibQuote.length; ++i) {
  336.             try {
  337.                 org.drip.state.nonlinear.NonlinearCurveBuilder.CreditCurve (_valParam, _aCalibInst[i],
  338.                     adblCalibQuote[i] = _adblCalibQuote[i] + (i == iSpanIndex ? dblShift : 0.),
  339.                         _astrCalibMeasure[i], _bFlat, i, cc, _dc, _gc, _pricerParam, _lsfc,
  340.                             _quotingParams, null);
  341.             } catch (java.lang.Exception e) {
  342.                 e.printStackTrace();

  344.                 return null;
  345.             }
  346.         }

  348.         cc.setInstrCalibInputs (_valParam, _bFlat, _dc, _gc, _pricerParam, _aCalibInst, adblCalibQuote,
  349.             _astrCalibMeasure, _lsfc, _quotingParams);

  351.         return cc;
  352.     }

  354.     @Override public org.drip.state.credit.CreditCurve flatCurve (
  355.         final double dblFlatNodeValue,
  356.         final boolean bSingleNode,
  357.         final double dblRecovery)
  358.     {
  359.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblFlatNodeValue) || 0. >= dblFlatNodeValue || null ==
  360.             _valParam || null == _aCalibInst || 0 == _aCalibInst.length || null == _adblCalibQuote || 0 ==
  361.                 _adblCalibQuote.length || null == _astrCalibMeasure || 0 == _astrCalibMeasure.length ||
  362.                     _astrCalibMeasure.length != _adblCalibQuote.length || _adblCalibQuote.length !=
  363.                         _aCalibInst.length)
  364.             return null;

  366.         org.drip.state.credit.ExplicitBootCreditCurve cc = null;

  368.         try {
  369.             if (bSingleNode)
  370.                 cc = org.drip.state.creator.ScenarioCreditCurveBuilder.Hazard (_iEpochDate,
  371.                     _label.fullyQualifiedName(), _strCurrency, _adblHazardRate[0], _aiHazardDate[0],
  372.                         !org.drip.numerical.common.NumberUtil.IsValid (dblRecovery) ? _adblRecoveryRate[0] :
  373.                             dblRecovery);
  374.             else
  375.                 cc = new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, _adblHazardRate,
  376.                     _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate, _iSpecificDefaultDate);
  377.         } catch (java.lang.Exception e) {
  378.             e.printStackTrace();

  380.             return null;
  381.         }

  383.         for (int i = 0; i < _adblCalibQuote.length; ++i) {
  384.             try {
  385.                 org.drip.state.nonlinear.NonlinearCurveBuilder.CreditCurve (_valParam, _aCalibInst[i],
  386.                     dblFlatNodeValue, _astrCalibMeasure[i], true, i, cc, _dc, _gc, _pricerParam, _lsfc,
  387.                         _quotingParams, null);
  388.             } catch (java.lang.Exception e) {
  389.                 e.printStackTrace();

  391.                 return null;
  392.             }
  393.         }

  395.         if (bSingleNode)
  396.             cc.setInstrCalibInputs (_valParam, true, _dc, _gc, _pricerParam, new
  397.                 org.drip.product.definition.CalibratableComponent[] {_aCalibInst[0]}, new double[]
  398.                     {dblFlatNodeValue}, _astrCalibMeasure, _lsfc, _quotingParams);
  399.         else {
  400.             double[] adblCalibValue = new double[_adblCalibQuote.length];

  402.             for (int i = 0; i < _adblCalibQuote.length; ++i)
  403.                 adblCalibValue[i] = dblFlatNodeValue;

  405.             cc.setInstrCalibInputs (_valParam, true, _dc, _gc, _pricerParam, _aCalibInst, adblCalibValue,
  406.                 _astrCalibMeasure, _lsfc, _quotingParams);
  407.         }

  409.         return cc;
  410.     }

  412.     @Override  public org.drip.state.credit.CreditCurve customTweakManifestMeasure (
  413.         final java.lang.String strManifestMeasure,
  414.         final org.drip.param.definition.ManifestMeasureTweak mmtp)
  415.     {
  416.         if (null == mmtp) return null;

  418.         if (!(mmtp instanceof org.drip.param.definition.CreditManifestMeasureTweak))
  419.             return createFromBaseMMTP (mmtp);

  421.         org.drip.param.definition.CreditManifestMeasureTweak cmmt =
  422.             (org.drip.param.definition.CreditManifestMeasureTweak) mmtp;

  424.         if (org.drip.param.definition.CreditManifestMeasureTweak.CREDIT_TWEAK_NODE_PARAM_RECOVERY.equalsIgnoreCase
  425.             (cmmt.paramType())) {
  426.             double[] adblRecoveryRateBumped = null;

  428.             if (null == (adblRecoveryRateBumped =
  429.                 org.drip.analytics.support.Helper.TweakManifestMeasure (_adblRecoveryRate, cmmt)) ||
  430.                     adblRecoveryRateBumped.length != _adblRecoveryRate.length)
  431.                 return null;

  433.             try {
  434.                 return new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency, _adblHazardRate,
  435.                     _aiHazardDate, adblRecoveryRateBumped, _aiRecoveryDate, _iSpecificDefaultDate);
  436.             } catch (java.lang.Exception e) {
  437.                 e.printStackTrace();
  438.             }
  439.         } else if
  440.             (org.drip.param.definition.CreditManifestMeasureTweak.CREDIT_TWEAK_NODE_PARAM_QUOTE.equalsIgnoreCase
  441.                 (cmmt.paramType())) {
  442.             if (org.drip.param.definition.CreditManifestMeasureTweak.CREDIT_TWEAK_NODE_MEASURE_HAZARD.equalsIgnoreCase
  443.                 (cmmt.measureType())) {
  444.                 double[] adblHazardBumped = null;

  446.                 if (null == (adblHazardBumped =
  447.                     org.drip.analytics.support.Helper.TweakManifestMeasure (_adblHazardRate, cmmt))
  448.                         || adblHazardBumped.length != _adblHazardRate.length)
  449.                     return null;

  451.                 try {
  452.                     return new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency,
  453.                         adblHazardBumped, _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate,
  454.                             _iSpecificDefaultDate);
  455.                 } catch (java.lang.Exception e) {
  456.                     e.printStackTrace();
  457.                 }
  458.             } else if
  459.                 (org.drip.param.definition.CreditManifestMeasureTweak.CREDIT_TWEAK_NODE_MEASURE_QUOTE.equalsIgnoreCase
  460.                     (cmmt.measureType())) {
  461.                 double[] adblQuoteBumped = null;

  463.                 if (null == (adblQuoteBumped =
  464.                     org.drip.analytics.support.Helper.TweakManifestMeasure (_adblHazardRate, cmmt))
  465.                         || adblQuoteBumped.length != _adblHazardRate.length)
  466.                     return null;

  468.                 org.drip.state.credit.ExplicitBootCreditCurve cc = null;

  470.                 try {
  471.                     if (cmmt.singleNodeCalib())
  472.                         cc = org.drip.state.creator.ScenarioCreditCurveBuilder.Hazard (_iEpochDate,
  473.                             _strCurrency, _label.fullyQualifiedName(), _adblHazardRate[0],
  474.                                 _aiHazardDate[0], _adblRecoveryRate[0]);
  475.                     else
  476.                         cc = new ForwardHazardCreditCurve (_iEpochDate, _label, _strCurrency,
  477.                             _adblHazardRate, _aiHazardDate, _adblRecoveryRate, _aiRecoveryDate,
  478.                                 _iSpecificDefaultDate);
  479.                 } catch (java.lang.Exception e) {
  480.                     e.printStackTrace();

  482.                     return null;
  483.                 }

  485.                 for (int i = 0; i < adblQuoteBumped.length; ++i) {
  486.                     try {
  487.                         org.drip.state.nonlinear.NonlinearCurveBuilder.CreditCurve (_valParam,
  488.                             _aCalibInst[i], adblQuoteBumped[i], _astrCalibMeasure[i], _bFlat, i, cc, _dc,
  489.                                 _gc, _pricerParam, _lsfc, _quotingParams, null);
  490.                     } catch (java.lang.Exception e) {
  491.                         e.printStackTrace();

  493.                         return null;
  494.                     }
  495.                 }

  497.                 cc.setInstrCalibInputs (_valParam, _bFlat, _dc, _gc, _pricerParam, _aCalibInst,
  498.                     adblQuoteBumped, _astrCalibMeasure, _lsfc, _quotingParams);

  500.                 return cc;
  501.             }
  502.         }

  504.         return null;
  505.     }

  507.     @Override public boolean setNodeValue (
  508.         final int iNodeIndex,
  509.         final double dblValue)
  510.     {
  511.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex > _adblHazardRate.length)
  512.             return false;

  514.         for (int i = iNodeIndex; i < _adblHazardRate.length; ++i)
  515.             _adblHazardRate[i] = dblValue;

  517.         return true;
  518.     }

  520.     @Override public boolean bumpNodeValue (
  521.         final int iNodeIndex,
  522.         final double dblValue)
  523.     {
  524.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex > _adblHazardRate.length)
  525.             return false;

  527.         for (int i = iNodeIndex; i < _adblHazardRate.length; ++i)
  528.             _adblHazardRate[i] += dblValue;

  530.         return true;
  531.     }

  533.     @Override public boolean setFlatValue (
  534.         final double dblValue)
  535.     {
  536.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;

  538.         for (int i = 0; i < _adblHazardRate.length; ++i)
  539.             _adblHazardRate[i] = dblValue;

  541.         return true;
  542.     }
  543. }
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