@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;
}
private static final void CDSAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Flat Credit Curve
*/
CreditCurve cc = CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
/*
* Component Market Parameters built from the Discount and the Credit Curves
*/
ComponentMarketParams cmp = ComponentMarketParamsBuilder.MakeCreditCMP(dc, cc);
/*
* Create an SNAC CDS
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(dtStart, "5Y", 0.1, "CC");
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
/*
* CDS Coupon Cash Flow
*/
for (CashflowPeriodCurveFactors p : cds.getCouponFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(p.getAccrualStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getAccrualEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dc.df(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
System.out.println(
"Loss Start Loss End Pay Date Cpn Notl Rec EffDF StartSurv EndSurv");
System.out.println(
"---------- -------- -------- --- ---- --- ----- --------- -------");
/*
* CDS Loss Cash Flow
*/
for (LossPeriodCurveFactors dp : cds.getLossFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(dp.getStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.startSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.endSurvival(), 1, 4, 1.));
}
@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;
}
private static final Map<String, ForwardCurve> xM6MBasisSample(
final JulianDate dtSpot,
final String strCurrency,
final DiscountCurve dc,
final int iTenorInMonths,
final String[] astrxM6MFwdTenor,
final double[] adblxM6MBasisSwapQuote)
throws Exception {
System.out.println("------------------------------------------------------------");
System.out.println(" SPL => n=4 | | |");
System.out.println("---------------------------------------| LOG DF | LIBOR |");
System.out.println(" MSR => RECALC | REFEREN | DERIVED | | |");
System.out.println("------------------------------------------------------------");
/*
* Construct the 6M-xM float-float basis swap.
*/
FloatFloatComponent[] aFFC =
MakexM6MBasisSwap(dtSpot, strCurrency, astrxM6MFwdTenor, iTenorInMonths);
String strBasisTenor = iTenorInMonths + "M";
ValuationParams valParams = new ValuationParams(dtSpot, dtSpot, strCurrency);
/*
* Calculate the starting forward rate off of the discount curve.
*/
double dblStartingFwd = dc.forward(dtSpot.julian(), dtSpot.addTenor(strBasisTenor).julian());
/*
* Set the discount curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParams =
MarketParamsBuilder.Create(dc, null, null, null, null, null, null);
Map<String, ForwardCurve> mapForward = new HashMap<String, ForwardCurve>();
/*
* Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
*/
ForwardCurve fcxMQuartic =
ScenarioForwardCurveBuilder.ShapePreservingForwardCurve(
"QUARTIC_FWD" + strBasisTenor,
ForwardLabel.Create(strCurrency, strBasisTenor),
valParams,
null,
mktParams,
null,
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams(5),
aFFC,
"ReferenceParBasisSpread",
adblxM6MBasisSwapQuote,
dblStartingFwd);
mapForward.put(" QUARTIC_FWD" + strBasisTenor, fcxMQuartic);
/*
* Set the discount curve + quartic polynomial forward curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParamsQuarticFwd =
MarketParamsBuilder.Create(dc, fcxMQuartic, null, null, null, null, null, null);
int i = 0;
int iFreq = 12 / iTenorInMonths;
/*
* Compute the following forward curve metrics for each of cubic polynomial forward, quartic
* polynomial forward, and KLK Hyperbolic tension forward curves:
* - Reference Basis Par Spread
* - Derived Basis Par Spread
*
* Further compare these with a) the forward rate off of the discount curve, b) the LIBOR rate, and
* c) Input Basis Swap Quote.
*/
for (String strMaturityTenor : astrxM6MFwdTenor) {
double dblFwdEndDate = dtSpot.addTenor(strMaturityTenor).julian();
double dblFwdStartDate =
dtSpot.addTenor(strMaturityTenor).subtractTenor(strBasisTenor).julian();
FloatFloatComponent ffc = aFFC[i++];
CaseInsensitiveTreeMap<Double> mapQuarticValue =
ffc.value(valParams, null, mktParamsQuarticFwd, null);
System.out.println(
" "
+ strMaturityTenor
+ " => "
+ FormatUtil.FormatDouble(fcxMQuartic.forward(strMaturityTenor), 2, 2, 100.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("ReferenceParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("DerivedParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(
iFreq * java.lang.Math.log(dc.df(dblFwdStartDate) / dc.df(dblFwdEndDate)),
1,
2,
100.)
+ " | "
+ FormatUtil.FormatDouble(dc.libor(dblFwdStartDate, dblFwdEndDate), 1, 2, 100.)
+ " | ");
}
return mapForward;
}
