NonlinearCurveBuilder.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>NonlinearCurveBuilder</i> calibrates the discount and credit/hazard curves from the components and
  87.  * their quotes. NonlinearCurveCalibrator employs a set of techniques for achieving this calibration.
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          It bootstraps the nodes in sequence to calibrate the curve.
  93.  *      </li>
  94.  *      <li>
  95.  *          In conjunction with splining estimation techniques, it may also be used to perform dual sweep
  96.  *              calibration. The inner sweep achieves the calibration of the segment spline parameters, while
  97.  *              the outer sweep calibrates iteratively for the targeted boundary conditions.
  98.  *      </li>
  99.  *      <li>
  100.  *          It may also be used to custom calibrate a single Interest Rate/Hazard Rate Node from the
  101.  *              corresponding Component.
  102.  *      </li>
  103.  *  </ul>
  104.  * 
  105.  * CurveCalibrator bootstraps/cooks both discount curves and credit curves.
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * <br><br>
  115.  *
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class NonlinearCurveBuilder {

  121.     private static final boolean SetNode (
  122.         final org.drip.analytics.definition.ExplicitBootCurve ebc,
  123.         final int iNodeIndex,
  124.         final boolean bFlat,
  125.         final double dblValue)
  126.     {
  127.         return bFlat ? ebc.setFlatValue (dblValue) : ebc.setNodeValue (iNodeIndex, dblValue);
  128.     }

  130.     static class CreditCurveCalibrator extends org.drip.function.definition.R1ToR1 {
  131.         private boolean _bFlat = false;
  132.         private int _iCurveSegmentIndex = -1;
  133.         private java.lang.String _strCalibMeasure = "";
  134.         private double _dblCalibValue = java.lang.Double.NaN;
  135.         private org.drip.state.govvie.GovvieCurve _gc = null;
  136.         private org.drip.param.definition.CalibrationParams _cp = null;
  137.         private org.drip.product.definition.Component _calibComp = null;
  138.         private org.drip.param.valuation.ValuationParams _valParams = null;
  139.         private org.drip.state.credit.ExplicitBootCreditCurve _ebcc = null;
  140.         private org.drip.param.pricer.CreditPricerParams _pricerParams = null;
  141.         private org.drip.state.discount.MergedDiscountForwardCurve _dc = null;
  142.         private org.drip.param.market.LatentStateFixingsContainer _lsfc = null;
  143.         private org.drip.param.valuation.ValuationCustomizationParams _vcp = null;

  145.         CreditCurveCalibrator (
  146.             final org.drip.param.valuation.ValuationParams valParams,
  147.             final org.drip.product.definition.Component calibComp,
  148.             final double dblCalibValue,
  149.             final java.lang.String strCalibMeasure,
  150.             final boolean bFlat,
  151.             final int iCurveSegmentIndex,
  152.             final org.drip.state.credit.ExplicitBootCreditCurve ebcc,
  153.             final org.drip.state.discount.MergedDiscountForwardCurve dc,
  154.             final org.drip.state.govvie.GovvieCurve gc,
  155.             final org.drip.param.pricer.CreditPricerParams pricerParams,
  156.             final org.drip.param.market.LatentStateFixingsContainer lsfc,
  157.             final org.drip.param.valuation.ValuationCustomizationParams vcp,
  158.             final org.drip.param.definition.CalibrationParams cp)
  159.             throws java.lang.Exception
  160.         {
  161.             super (null);

  163.             _dc = dc;
  164.             _gc = gc;
  165.             _vcp = vcp;
  166.             _ebcc = ebcc;
  167.             _lsfc = lsfc;
  168.             _bFlat = bFlat;
  169.             _calibComp = calibComp;
  170.             _valParams = valParams;
  171.             _dblCalibValue = dblCalibValue;
  172.             _strCalibMeasure = strCalibMeasure;
  173.             _iCurveSegmentIndex = iCurveSegmentIndex;

  175.             if (null == (_cp = cp))
  176.                 _cp = new org.drip.param.definition.CalibrationParams (strCalibMeasure, 0, null);

  178.             _pricerParams = new org.drip.param.pricer.CreditPricerParams (pricerParams.unitSize(), _cp,
  179.                 pricerParams.survivalToPayDate(), pricerParams.discretizationScheme());
  180.         }

  182.         @Override public double evaluate (
  183.             final double dblRate)
  184.             throws java.lang.Exception
  185.         {
  186.             if (!SetNode (_ebcc, _iCurveSegmentIndex, _bFlat, dblRate))
  187.                 throw new java.lang.Exception
  188.                     ("NonlinearCurveBuilder::CreditCurveCalibrator::evaluate => Cannot set Rate = " + dblRate
  189.                         + " for node " + _iCurveSegmentIndex);

  191.             return _dblCalibValue - _calibComp.measureValue (_valParams, _pricerParams,
  192.                 org.drip.param.creator.MarketParamsBuilder.Create (_dc, _gc, _ebcc, null, null, null, _lsfc),
  193.                     _vcp, _strCalibMeasure);
  194.         }
  195.     }

  197.     /**
  198.      * Calibrate a single Hazard Rate Node from the corresponding Component
  199.      * 
  200.      * @param valParams Calibration Valuation Parameters
  201.      * @param calibComp The Calibration Component
  202.      * @param dblCalibValue The Value to be Calibrated to
  203.      * @param strCalibMeasure The Calibration Measure
  204.      * @param bFlat TRUE - Calibrate a Flat Curve across all Tenors
  205.      * @param iCurveSegmentIndex The Curve Segment Index
  206.      * @param ebcc The Credit Curve to be calibrated
  207.      * @param dc The discount curve to be bootstrapped
  208.      * @param gc The Govvie Curve
  209.      * @param pricerParams Input Pricer Parameters
  210.      * @param lsfc The Latent State Fixings Container
  211.      * @param vcp Valuation Customization Parameters
  212.      * @param cp The Calibration Parameters
  213.      * 
  214.      * @return The successfully calibrated State Hazard Rate Point
  215.      */

  217.     public static final boolean CreditCurve (
  218.         final org.drip.param.valuation.ValuationParams valParams,
  219.         final org.drip.product.definition.Component calibComp,
  220.         final double dblCalibValue,
  221.         final java.lang.String strCalibMeasure,
  222.         final boolean bFlat,
  223.         final int iCurveSegmentIndex,
  224.         final org.drip.state.credit.ExplicitBootCreditCurve ebcc,
  225.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  226.         final org.drip.state.govvie.GovvieCurve gc,
  227.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  228.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  229.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  230.         final org.drip.param.definition.CalibrationParams cp)
  231.     {
  232.         try {
  233.             org.drip.function.r1tor1solver.FixedPointFinderOutput rfop = new
  234.                 org.drip.function.r1tor1solver.FixedPointFinderZheng (0., new CreditCurveCalibrator
  235.                     (valParams, calibComp, dblCalibValue, strCalibMeasure, bFlat, iCurveSegmentIndex, ebcc,
  236.                         dc, gc, pricerParams, lsfc, vcp, cp), true).findRoot();

  238.             return null != rfop && rfop.containsRoot();
  239.         } catch (java.lang.Exception e) {
  240.             e.printStackTrace();
  241.         }

  243.         return false;
  244.     }

  246.     /**
  247.      * Calibrate a Single Discount Curve Segment from the corresponding Component
  248.      * 
  249.      * @param valParams Calibration Valuation Parameters
  250.      * @param comp The Calibration Component
  251.      * @param dblCalibValue The Value to be Calibrated to
  252.      * @param strCalibMeasure The Calibration Measure
  253.      * @param bFlat TRUE - Calibrate a Flat Curve across all Tenors
  254.      * @param iCurveSegmentIndex The Curve Segment Index
  255.      * @param ebdc The discount curve to be bootstrapped
  256.      * @param gc The Govvie Curve
  257.      * @param lsfc Latent State Fixings Container
  258.      * @param vcp Valuation Customization Parameters
  259.      * 
  260.      * @return The successfully calibrated State IR Point
  261.      * 
  262.      * @throws java.lang.Exception Thrown if the Bootstrapping is unsuccessful
  263.      */

  265.     public static final double DiscountCurveNode (
  266.         final org.drip.param.valuation.ValuationParams valParams,
  267.         final org.drip.product.definition.Component comp,
  268.         final double dblCalibValue,
  269.         final java.lang.String strCalibMeasure,
  270.         final boolean bFlat,
  271.         final int iCurveSegmentIndex,
  272.         final org.drip.state.discount.ExplicitBootDiscountCurve ebdc,
  273.         final org.drip.state.govvie.GovvieCurve gc,
  274.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  275.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  276.         throws java.lang.Exception
  277.     {
  278.         if (null == comp)
  279.             throw new java.lang.Exception ("NonlinearCurveBuilder::DiscountCurveNode => Invalid inputs!");

  281.         org.drip.function.definition.R1ToR1 ofIRNode = new org.drip.function.definition.R1ToR1 (null) {
  282.             @Override public double evaluate (
  283.                 final double dblValue)
  284.                 throws java.lang.Exception
  285.             {
  286.                 if (!SetNode (ebdc, iCurveSegmentIndex, bFlat, dblValue))
  287.                     throw new java.lang.Exception
  288.                         ("NonlinearCurveBuilder::DiscountCurveNode => Cannot set Value = " + dblValue +
  289.                             " for node " + iCurveSegmentIndex);

  291.                 return dblCalibValue - comp.measureValue (valParams, new
  292.                     org.drip.param.pricer.CreditPricerParams (1, new
  293.                         org.drip.param.definition.CalibrationParams (strCalibMeasure, 0, null), true, 0),
  294.                             org.drip.param.creator.MarketParamsBuilder.Create (ebdc, gc, null, null, null,
  295.                                 null, lsfc), vcp, strCalibMeasure);
  296.             }
  297.         };

  299.         org.drip.function.r1tor1solver.FixedPointFinderOutput rfop = new
  300.             org.drip.function.r1tor1solver.FixedPointFinderBrent (0., ofIRNode, true).findRoot();

  302.         if (null == rfop || !rfop.containsRoot())
  303.             throw new java.lang.Exception
  304.                 ("NonlinearCurveBuilder::DiscountCurveNode => Cannot calibrate IR segment for node #" +
  305.                     iCurveSegmentIndex);

  307.         return rfop.getRoot();
  308.     }

  310.     /**
  311.      * Boot-strap a Discount Curve from the set of calibration components
  312.      * 
  313.      * @param valParams Calibration Valuation Parameters
  314.      * @param aCalibComp Array of the calibration components
  315.      * @param adblCalibValue Array of Calibration Values
  316.      * @param astrCalibMeasure Array of Calibration Measures
  317.      * @param dblBump Amount to bump the Quotes by
  318.      * @param bFlat TRUE - Calibrate a Flat Curve across all Tenors
  319.      * @param ebdc The discount curve to be bootstrapped
  320.      * @param gc The Govvie Curve
  321.      * @param lsfc Latent State Fixings Container
  322.      * @param vcp Valuation Customization Parameters
  323.      * 
  324.      * @return TRUE - Bootstrapping was successful
  325.      */

  327.     public static final boolean DiscountCurve (
  328.         final org.drip.param.valuation.ValuationParams valParams,
  329.         final org.drip.product.definition.Component[] aCalibComp,
  330.         final double[] adblCalibValue,
  331.         final java.lang.String[] astrCalibMeasure,
  332.         final double dblBump,
  333.         final boolean bFlat,
  334.         final org.drip.state.discount.ExplicitBootDiscountCurve ebdc,
  335.         final org.drip.state.govvie.GovvieCurve gc,
  336.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  337.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  338.     {
  339.         if (null == adblCalibValue || null == aCalibComp || null == astrCalibMeasure ||
  340.             !org.drip.numerical.common.NumberUtil.IsValid (dblBump))
  341.             return false;

  343.         int iNumCalibComp = aCalibComp.length;

  345.         if (0 == iNumCalibComp || adblCalibValue.length != iNumCalibComp || astrCalibMeasure.length !=
  346.             iNumCalibComp)
  347.             return false;

  349.         for (int i = 0; i < iNumCalibComp; ++i) {
  350.             try {
  351.                 if (!org.drip.numerical.common.NumberUtil.IsValid (DiscountCurveNode (valParams, aCalibComp[i],
  352.                     adblCalibValue[i] + dblBump, astrCalibMeasure[i], bFlat, i, ebdc, gc, lsfc, vcp)))
  353.                     return false;
  354.             } catch (java.lang.Exception e) {
  355.                 e.printStackTrace();

  357.                 return false;
  358.             }
  359.         }

  361.         return true;
  362.     }

  364.     /**
  365.      * Calibrate a Single Volatility Curve Segment from the corresponding Component
  366.      * 
  367.      * @param valParams Calibration Valuation Parameters
  368.      * @param comp The Calibration Component
  369.      * @param dblCalibValue The Value to be Calibrated to
  370.      * @param strCalibMeasure The Calibration Measure
  371.      * @param bFlat TRUE - Calibrate a Flat Curve across all Tenors
  372.      * @param iCurveSegmentIndex The Curve Segment Index
  373.      * @param ebvc The Volatility Curve to be bootstrapped
  374.      * @param dc The Discount Curve
  375.      * @param fc The Forward Curve
  376.      * @param lsfc Latent State Fixings Container
  377.      * @param vcp Valuation Customization Parameters
  378.      * 
  379.      * @return The successfully calibrated State IR Point
  380.      * 
  381.      * @throws java.lang.Exception Thrown if the Bootstrapping is unsuccessful
  382.      */

  384.     public static final double VolatilityCurveNode (
  385.         final org.drip.param.valuation.ValuationParams valParams,
  386.         final org.drip.product.definition.Component comp,
  387.         final double dblCalibValue,
  388.         final java.lang.String strCalibMeasure,
  389.         final boolean bFlat,
  390.         final int iCurveSegmentIndex,
  391.         final org.drip.state.volatility.ExplicitBootVolatilityCurve ebvc,
  392.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  393.         final org.drip.state.forward.ForwardCurve fc,
  394.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  395.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  396.         throws java.lang.Exception
  397.     {
  398.         if (null == comp)
  399.             throw new java.lang.Exception ("NonlinearCurveBuilder::VolatilityCurveNode => Invalid inputs!");

  401.         org.drip.function.definition.R1ToR1 r1r1VolMetric = new org.drip.function.definition.R1ToR1 (null) {
  402.             @Override public double evaluate (
  403.                 final double dblValue)
  404.                 throws java.lang.Exception
  405.             {
  406.                 if (!SetNode (ebvc, iCurveSegmentIndex, bFlat, dblValue))
  407.                     throw new java.lang.Exception
  408.                         ("NonlinearCurveBuilder::VolatilityCurveNode => Cannot set Value = " + dblValue +
  409.                             " for node " + iCurveSegmentIndex);

  411.                 org.drip.param.market.CurveSurfaceQuoteContainer csqs =
  412.                     org.drip.param.creator.MarketParamsBuilder.Create (dc, null, null, null, null, null,
  413.                         lsfc);

  415.                 if (null == csqs || !csqs.setForwardState (fc) || !csqs.setForwardVolatility (ebvc))
  416.                     throw new java.lang.Exception
  417.                         ("NonlinearCurveBuilder::VolatilityCurveNode => Cannot set Value = " + dblValue +
  418.                             " for node " + iCurveSegmentIndex);

  420.                 return dblCalibValue - comp.measureValue (valParams, new
  421.                     org.drip.param.pricer.CreditPricerParams (1, new
  422.                         org.drip.param.definition.CalibrationParams (strCalibMeasure, 0, null), true, 0),
  423.                             csqs, vcp, strCalibMeasure);
  424.             }
  425.         };

  427.         org.drip.function.r1tor1solver.FixedPointFinderOutput fpfo = (new
  428.             org.drip.function.r1tor1solver.FixedPointFinderBrent (0., r1r1VolMetric, true)).findRoot
  429.                 (org.drip.function.r1tor1solver.InitializationHeuristics.FromHardSearchEdges (0.00001, 5.));

  431.         if (null == fpfo || !fpfo.containsRoot())
  432.             throw new java.lang.Exception
  433.                 ("NonlinearCurveBuilder::VolatilityCurveNode => Cannot calibrate segment for node #" +
  434.                     iCurveSegmentIndex + " => " + dblCalibValue);

  436.         return fpfo.getRoot();
  437.     }

  439.     /**
  440.      * Boot-strap a Volatility Curve from the set of calibration components
  441.      * 
  442.      * @param valParams Calibration Valuation Parameters
  443.      * @param aCalibComp Array of the calibration components
  444.      * @param adblCalibValue Array of Calibration Values
  445.      * @param astrCalibMeasure Array of Calibration Measures
  446.      * @param dblBump Amount to bump the Quotes by
  447.      * @param bFlat TRUE - Calibrate a Flat Curve across all Tenors
  448.      * @param ebvc The Volatility Curve to be bootstrapped
  449.      * @param dc The Discount Curve
  450.      * @param fc The Forward Curve
  451.      * @param lsfc Latent State Fixings Container
  452.      * @param vcp Valuation Customization Parameters
  453.      * 
  454.      * @return TRUE - Bootstrapping was successful
  455.      */

  457.     public static final boolean VolatilityCurve (
  458.         final org.drip.param.valuation.ValuationParams valParams,
  459.         final org.drip.product.definition.Component[] aCalibComp,
  460.         final double[] adblCalibValue,
  461.         final java.lang.String[] astrCalibMeasure,
  462.         final double dblBump,
  463.         final boolean bFlat,
  464.         final org.drip.state.volatility.ExplicitBootVolatilityCurve ebvc,
  465.         final org.drip.state.discount.MergedDiscountForwardCurve dc,
  466.         final org.drip.state.forward.ForwardCurve fc,
  467.         final org.drip.param.market.LatentStateFixingsContainer lsfc,
  468.         final org.drip.param.valuation.ValuationCustomizationParams vcp)
  469.     {
  470.         if (null == adblCalibValue || null == aCalibComp || null == astrCalibMeasure ||
  471.             !org.drip.numerical.common.NumberUtil.IsValid (dblBump))
  472.             return false;

  474.         int iNumCalibComp = aCalibComp.length;

  476.         if (0 == iNumCalibComp || adblCalibValue.length != iNumCalibComp || astrCalibMeasure.length !=
  477.             iNumCalibComp)
  478.             return false;

  480.         for (int i = 0; i < iNumCalibComp; ++i) {
  481.             try {
  482.                 if (!org.drip.numerical.common.NumberUtil.IsValid (VolatilityCurveNode (valParams, aCalibComp[i],
  483.                     adblCalibValue[i] + dblBump, astrCalibMeasure[i], bFlat, i, ebvc, dc, fc, lsfc, vcp)))
  484.                     return false;
  485.             } catch (java.lang.Exception e) {
  486.                 e.printStackTrace();

  488.                 return false;
  489.             }
  490.         }

  492.         return true;
  493.     }
  494. }
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