コード例 #1
0
  @Override
  public double getCoupon(
      final double dblValueDate, final org.drip.param.definition.ComponentMarketParams mktParams)
      throws java.lang.Exception {
    if (!org.drip.quant.common.NumberUtil.IsValid(dblValueDate) || null == mktParams)
      throw new java.lang.Exception("FloatingStream::getCoupon => Invalid Inputs");

    org.drip.analytics.period.Period currentPeriod = null;

    for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
      if (null == period) continue;

      if (dblValueDate >= period.getStartDate() && dblValueDate < period.getEndDate()) {
        currentPeriod = period;
        break;
      }
    }

    if (null == currentPeriod)
      throw new java.lang.Exception("FloatingStream::getCoupon => Invalid Inputs");

    java.util.Map<
            org.drip.analytics.date.JulianDate,
            org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
        mapFixings = mktParams.getFixings();

    if (null != mapFixings) {
      double dblCurrentResetDate = currentPeriod.getResetDate();

      if (org.drip.quant.common.NumberUtil.IsValid(dblCurrentResetDate)) {
        org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapIndexFixing =
            mapFixings.get(new org.drip.analytics.date.JulianDate(dblCurrentResetDate));

        if (null != mapIndexFixing) {
          java.lang.Double dblFixing = mapIndexFixing.get(_fri.fullyQualifiedName());

          if (null != dblFixing) return dblFixing + _dblSpread;
        }
      }
    }

    org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();

    if (null == dc)
      throw new java.lang.Exception("FloatingStream::getCoupon => cant determine index");

    return dc.libor(currentPeriod.getStartDate(), currentPeriod.getEndDate()) + _dblSpread;
  }
コード例 #2
0
  @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;
  }
コード例 #3
0
  @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;
  }