@Override
public org.drip.math.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._dblValue >= _dblMaturity
|| null == strQuote
|| null == mktParams
|| null == mktParams.getDiscountCurve()) return null;
if ("Rate".equalsIgnoreCase(strQuote)) {
try {
org.drip.analytics.definition.DiscountCurve dc = mktParams.getDiscountCurve();
org.drip.math.calculus.WengertJacobian wjDF = dc.getDFJacobian(_dblMaturity);
if (null == wjDF) return null;
org.drip.math.calculus.WengertJacobian wjDFMicroJack =
new org.drip.math.calculus.WengertJacobian(1, wjDF.numParameters());
for (int k = 0; k < wjDF.numParameters(); ++k) {
if (!wjDFMicroJack.accumulatePartialFirstDerivative(
0,
k,
-365.25
/ (_dblMaturity - _dblEffective)
/ dc.getDF(_dblMaturity)
* wjDF.getFirstDerivative(0, k))) return null;
}
return wjDFMicroJack;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
return null;
}
@Override
public org.drip.math.calculus.WengertJacobian calcPVDFMicroJack(
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
|| null == mktParams.getDiscountCurve()) return null;
try {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures =
value(valParams, pricerParams, mktParams, quotingParams);
if (null == mapMeasures) return null;
double dblPV = mapMeasures.get("PV");
org.drip.analytics.definition.DiscountCurve dc = mktParams.getDiscountCurve();
org.drip.math.calculus.WengertJacobian wjDFDF = dc.getDFJacobian(_dblMaturity);
if (null == wjDFDF) return null;
org.drip.math.calculus.WengertJacobian wjPVDFMicroJack =
new org.drip.math.calculus.WengertJacobian(1, wjDFDF.numParameters());
for (int k = 0; k < wjDFDF.numParameters(); ++k) {
if (!wjPVDFMicroJack.accumulatePartialFirstDerivative(
0, k, wjDFDF.getFirstDerivative(0, k))) return null;
}
return adjustPVDFMicroJackForCashSettle(valParams._dblCashPay, dblPV, dc, wjPVDFMicroJack)
? wjPVDFMicroJack
: null;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
