@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 || valParams._dblValue >= _dblMaturity || null == mktParams) return null;
org.drip.analytics.definition.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc) return null;
long lStart = System.nanoTime();
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
try {
double dblCashSettle =
null == _settleParams
? valParams._dblCashPay
: _settleParams.cashSettleDate(valParams._dblValue);
double dblUnadjustedAnnuity =
dc.getDF(_dblMaturity) / dc.getDF(_dblEffective) / dc.getDF(dblCashSettle);
double dblAdjustedAnnuity = dblUnadjustedAnnuity / dc.getDF(dblCashSettle);
mapResult.put(
"pv",
dblAdjustedAnnuity * _dblNotional * 0.01 * getNotional(_dblEffective, _dblMaturity));
mapResult.put("price", 100. * dblAdjustedAnnuity);
mapResult.put(
"rate",
((1. / dblUnadjustedAnnuity) - 1.)
/ org.drip.analytics.daycount.Convention.YearFraction(
_dblEffective, _dblMaturity, _strDC, false, _dblMaturity, null, _strCalendar));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
mapResult.put("calctime", (System.nanoTime() - lStart) * 1.e-09);
return mapResult;
}
@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;
}