@Override
public org.drip.quant.calculus.WengertJacobian calcQuoteDFMicroJack(
final java.lang.String strQuote,
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.ComponentMarketParams mktParams,
final org.drip.param.valuation.QuotingParams quotingParams) {
if (null == valParams
|| valParams.valueDate() >= _dblMaturity
|| null == strQuote
|| null == mktParams
|| null == mktParams.getDiscountCurve()) return null;
if ("Rate".equalsIgnoreCase(strQuote) || "SwapRate".equalsIgnoreCase(strQuote)) {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures =
value(valParams, pricerParams, mktParams, quotingParams);
if (null == mapMeasures) return null;
double dblDirtyDV01 = mapMeasures.get("DirtyDV01");
double dblParSwapRate = mapMeasures.get("SwapRate");
try {
org.drip.quant.calculus.WengertJacobian wjSwapRateDFMicroJack = null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
for (org.drip.analytics.period.CashflowPeriod p : _lsCouponPeriod) {
double dblPeriodPayDate = p.getPayDate();
if (dblPeriodPayDate < valParams.valueDate()) continue;
org.drip.quant.calculus.WengertJacobian wjPeriodFwdRateDF =
dc.getForwardRateJack(p.getStartDate(), p.getEndDate());
org.drip.quant.calculus.WengertJacobian wjPeriodPayDFDF =
dc.jackDDFDQuote(dblPeriodPayDate);
if (null == wjPeriodFwdRateDF || null == wjPeriodPayDFDF) continue;
double dblForwardRate = dc.libor(p.getStartDate(), p.getEndDate());
double dblPeriodPayDF = dc.df(dblPeriodPayDate);
if (null == wjSwapRateDFMicroJack)
wjSwapRateDFMicroJack =
new org.drip.quant.calculus.WengertJacobian(1, wjPeriodFwdRateDF.numParameters());
double dblPeriodNotional = getNotional(p.getStartDate(), p.getEndDate());
double dblPeriodDCF = p.getCouponDCF();
for (int k = 0; k < wjPeriodFwdRateDF.numParameters(); ++k) {
double dblPeriodMicroJack =
(dblForwardRate - dblParSwapRate) * wjPeriodPayDFDF.getFirstDerivative(0, k)
+ dblPeriodPayDF * wjPeriodFwdRateDF.getFirstDerivative(0, k);
if (!wjSwapRateDFMicroJack.accumulatePartialFirstDerivative(
0, k, dblPeriodNotional * dblPeriodDCF * dblPeriodMicroJack / dblDirtyDV01))
return null;
}
}
return wjSwapRateDFMicroJack;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
return null;
}
@Override
public org.drip.state.estimator.PredictorResponseWeightConstraint generateCalibPRLC(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.ComponentMarketParams mktParams,
final org.drip.param.valuation.QuotingParams quotingParams,
final org.drip.state.representation.LatentStateMetricMeasure lsmm) {
if (null == valParams
|| valParams.valueDate() >= getMaturityDate().getJulian()
|| null == lsmm
|| !(lsmm instanceof org.drip.analytics.rates.RatesLSMM)
|| !org.drip.analytics.rates.DiscountCurve.LATENT_STATE_DISCOUNT.equalsIgnoreCase(
lsmm.getID())) return null;
if (org.drip.analytics.rates.DiscountCurve.QUANTIFICATION_METRIC_FORWARD_RATE.equalsIgnoreCase(
lsmm.getQuantificationMetric())
|| org.drip.analytics.rates.DiscountCurve.QUANTIFICATION_METRIC_DISCOUNT_FACTOR
.equalsIgnoreCase(lsmm.getQuantificationMetric())) {
if (null == mktParams) return null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc =
new org.drip.state.estimator.PredictorResponseWeightConstraint();
double dblDirtyCV100 = 0.;
boolean bFirstPeriod = true;
try {
for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
if (null == period) continue;
double dblPayDate = period.getPayDate();
if (valParams.valueDate() > dblPayDate) continue;
double dblPeriodDCF = period.getCouponDCF();
if (bFirstPeriod) {
bFirstPeriod = false;
dblPeriodDCF -= period.getAccrualDCF(valParams.valueDate());
}
double dblPeriodCV100 = dblPeriodDCF * dc.df(dblPayDate) * getNotional(dblPayDate);
dblDirtyCV100 += dblPeriodCV100;
if (!prwc.addPredictorResponseWeight(dblPayDate, dblPeriodCV100 * _dblNotional))
return null;
}
return prwc.updateValue(-1. * dblDirtyCV100 * _dblNotional * lsmm.getMeasureQuoteValue())
? prwc
: null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return null;
}
@Override
public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> value(
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.PricerParams pricerParams,
final org.drip.param.definition.ComponentMarketParams mktParams,
final org.drip.param.valuation.QuotingParams quotingParams) {
if (null == valParams || null == mktParams) return null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc) return null;
long lStart = System.nanoTime();
double dblFixing01 = 0.;
double dblAccrued01 = 0.;
double dblDirtyDV01 = 0.;
boolean bFirstPeriod = true;
double dblDirtyFloatingPV = 0.;
double dblCashPayDF = java.lang.Double.NaN;
double dblResetDate = java.lang.Double.NaN;
double dblResetRate = java.lang.Double.NaN;
java.lang.String strFRI = _fri.fullyQualifiedName();
org.drip.analytics.rates.ForwardRateEstimator fc = mktParams.getForwardCurve();
if (null != fc && !_fri.match(fc.index())) fc = null;
for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
double dblFloatingRate = 0.;
double dblDirtyPeriodDV01 = java.lang.Double.NaN;
double dblPeriodPayDate = period.getPayDate();
if (dblPeriodPayDate < valParams.valueDate()) continue;
if (null == fc) fc = dc.forwardRateEstimator(dblPeriodPayDate, _fri);
try {
if (bFirstPeriod) {
bFirstPeriod = false;
if (null == mktParams.getFixings()
|| null
== mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
|| null
== mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
.get(strFRI))
dblResetRate =
dblFloatingRate =
null == fc ? dc.libor(_fri.tenor()) : fc.forward(period.getPayDate());
else
dblResetRate =
dblFloatingRate =
mktParams
.getFixings()
.get(new org.drip.analytics.date.JulianDate(period.getResetDate()))
.get(strFRI);
dblFixing01 =
period.getAccrualDCF(valParams.valueDate())
* 0.0001
* getNotional(period.getAccrualStartDate(), valParams.valueDate());
if (period.getStartDate() < valParams.valueDate()) dblAccrued01 = dblFixing01;
dblResetDate = period.getResetDate();
} else
dblFloatingRate =
null == fc
? dc.libor(period.getStartDate(), period.getEndDate())
: fc.forward(period.getPayDate());
dblDirtyPeriodDV01 =
0.0001
* period.getCouponDCF()
* mktParams.getDiscountCurve().df(dblPeriodPayDate)
* getNotional(period.getAccrualStartDate(), period.getEndDate());
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (s_bBlog) {
try {
System.out.println(
new org.drip.analytics.date.JulianDate(period.getResetDate())
+ " ["
+ new org.drip.analytics.date.JulianDate(period.getStartDate())
+ "->"
+ new org.drip.analytics.date.JulianDate(period.getEndDate())
+ "] => "
+ org.drip.quant.common.FormatUtil.FormatDouble(dblFloatingRate, 1, 4, 100.));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
dblDirtyDV01 += dblDirtyPeriodDV01;
dblDirtyFloatingPV += dblDirtyPeriodDV01 * 10000. * dblFloatingRate;
}
try {
double dblCashSettle = valParams.cashPayDate();
if (null != _settleParams)
dblCashSettle = _settleParams.cashSettleDate(valParams.valueDate());
dblCashPayDF = mktParams.getDiscountCurve().df(dblCashSettle);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
dblDirtyDV01 /= dblCashPayDF;
dblDirtyFloatingPV /= dblCashPayDF;
double dblCleanDV01 = dblDirtyDV01 - dblAccrued01;
double dblCleanFloatingPV = dblDirtyFloatingPV - dblAccrued01 * (dblResetRate + _dblSpread);
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
mapResult.put("ResetDate", dblResetDate);
mapResult.put("ResetRate", dblResetRate);
mapResult.put("Accrued01", dblAccrued01 * _dblNotional);
mapResult.put("Fixing01", dblFixing01 * _dblNotional);
mapResult.put(
"FloatAccrued", dblAccrued01 * 10000. * (dblResetRate + _dblSpread) * _dblNotional);
mapResult.put("DV01", dblCleanDV01 * _dblNotional);
mapResult.put("CleanDV01", dblCleanDV01 * _dblNotional);
mapResult.put("DirtyDV01", dblDirtyDV01 * _dblNotional);
mapResult.put("CleanFloatingPV", dblCleanFloatingPV * _dblNotional);
mapResult.put("DirtyFloatingPV", dblDirtyFloatingPV * _dblNotional);
mapResult.put("PV", dblCleanFloatingPV * _dblNotional);
mapResult.put("CleanPV", dblCleanFloatingPV * _dblNotional);
mapResult.put("DirtyPV", dblDirtyFloatingPV * _dblNotional);
mapResult.put("Upfront", dblCleanFloatingPV * _dblNotional);
mapResult.put("FairPremium", dblCleanFloatingPV / dblCleanDV01);
mapResult.put("Rate", dblCleanFloatingPV / dblCleanDV01);
mapResult.put("ParRate", dblCleanFloatingPV / dblCleanDV01);
double dblValueNotional = java.lang.Double.NaN;
try {
dblValueNotional = getNotional(valParams.valueDate());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
if (org.drip.quant.common.NumberUtil.IsValid(dblValueNotional)) {
double dblPrice = 100. * (1. + (dblCleanFloatingPV / _dblNotional / dblValueNotional));
mapResult.put("Price", dblPrice);
mapResult.put("CleanPrice", dblPrice);
}
mapResult.put("CalcTime", (System.nanoTime() - lStart) * 1.e-09);
return mapResult;
}