@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;
}
@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.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;
}