Пример #1
0
  @Override
  public byte[] serialize() {
    java.lang.StringBuffer sb = new java.lang.StringBuffer();

    sb.append(org.drip.service.stream.Serializer.VERSION + getFieldDelimiter());

    sb.append(_dblNotional + getFieldDelimiter());

    sb.append(_dblSpread + getFieldDelimiter());

    if (null == _strIR || _strIR.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strIR + getFieldDelimiter());

    if (null == _strCode || _strCode.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strCode + getFieldDelimiter());

    sb.append(_bApplyAccEOMAdj + getFieldDelimiter());

    sb.append(_bApplyCpnEOMAdj + getFieldDelimiter());

    sb.append(_dblMaturity + getFieldDelimiter());

    sb.append(_dblEffective + getFieldDelimiter());

    if (null == _fri)
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(new java.lang.String(_fri.serialize()) + getFieldDelimiter());

    if (null == _notlSchedule)
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(new java.lang.String(_notlSchedule.serialize()) + getFieldDelimiter());

    if (null == _settleParams)
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(new java.lang.String(_settleParams.serialize()) + getFieldDelimiter());

    if (null == _lsCouponPeriod) sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING);
    else {
      boolean bFirstEntry = true;

      java.lang.StringBuffer sbPeriods = new java.lang.StringBuffer();

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

        if (bFirstEntry) bFirstEntry = false;
        else sbPeriods.append(getCollectionRecordDelimiter());

        sbPeriods.append(new java.lang.String(p.serialize()));
      }

      if (sbPeriods.toString().isEmpty())
        sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING);
      else sb.append(sbPeriods.toString());
    }

    return sb.append(getObjectTrailer()).toString().getBytes();
  }
Пример #2
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 || 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;
  }
Пример #3
0
  @Override
  public byte[] serialize() {
    java.lang.StringBuffer sb = new java.lang.StringBuffer();

    sb.append(org.drip.service.stream.Serializer.VERSION + getFieldDelimiter());

    sb.append(_dblNotional + getFieldDelimiter());

    if (null == _strIR || _strIR.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strIR + getFieldDelimiter());

    if (null == _strCode || _strCode.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strCode + getFieldDelimiter());

    if (null == _strDC || _strDC.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strDC + getFieldDelimiter());

    if (null == _strCalendar || _strCalendar.isEmpty())
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(_strCalendar + getFieldDelimiter());

    sb.append(_dblMaturity + getFieldDelimiter());

    sb.append(_dblEffective + getFieldDelimiter());

    if (null == _notlSchedule)
      sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
    else sb.append(new java.lang.String(_notlSchedule.serialize()) + getFieldDelimiter());

    if (null == _settleParams) sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING);
    else sb.append(new java.lang.String(_settleParams.serialize()));

    return sb.append(getObjectTrailer()).toString().getBytes();
  }
Пример #4
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;
  }