@Override
public org.drip.analytics.date.JulianDate getMaturityDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceMaturity = _floatReference.getMaturityDate();
org.drip.analytics.date.JulianDate dtFloatDerivedMaturity = _floatDerived.getMaturityDate();
if (null == dtFloatReferenceMaturity || null == dtFloatDerivedMaturity) return null;
return dtFloatReferenceMaturity.getJulian() > dtFloatDerivedMaturity.getJulian()
? dtFloatReferenceMaturity
: dtFloatDerivedMaturity;
}
@Override
public org.drip.analytics.date.JulianDate getEffectiveDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceEffective =
_floatReference.getEffectiveDate();
org.drip.analytics.date.JulianDate dtFloatDerivedEffective = _floatDerived.getEffectiveDate();
if (null == dtFloatReferenceEffective || null == dtFloatDerivedEffective) return null;
return dtFloatReferenceEffective.getJulian() < dtFloatDerivedEffective.getJulian()
? dtFloatReferenceEffective
: dtFloatDerivedEffective;
}
@Override
public org.drip.analytics.date.JulianDate getFirstCouponDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceFirstCoupon =
_floatReference.getFirstCouponDate();
org.drip.analytics.date.JulianDate dtFloatDerivedFirstCoupon =
_floatDerived.getFirstCouponDate();
if (null == dtFloatReferenceFirstCoupon || null == dtFloatDerivedFirstCoupon) return null;
return dtFloatReferenceFirstCoupon.getJulian() < dtFloatDerivedFirstCoupon.getJulian()
? dtFloatReferenceFirstCoupon
: dtFloatDerivedFirstCoupon;
}
@Override
public byte[] serialize() {
java.lang.StringBuffer sb = new java.lang.StringBuffer();
sb.append(org.drip.service.stream.Serializer.VERSION + getFieldDelimiter());
if (null == _floatReference)
sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
else sb.append(new java.lang.String(_floatReference.serialize()) + getFieldDelimiter());
if (null == _floatDerived)
sb.append(org.drip.service.stream.Serializer.NULL_SER_STRING + getFieldDelimiter());
else sb.append(new java.lang.String(_floatDerived.serialize()));
return sb.append(getObjectTrailer()).toString().getBytes();
}
@Override
public org.drip.state.estimator.PredictorResponseWeightConstraint generateCalibPRLC(
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,
final org.drip.state.representation.LatentStateMetricMeasure lsmm) {
org.drip.state.estimator.PredictorResponseWeightConstraint prwc =
_floatDerived.generateCalibPRLC(valParams, pricerParams, mktParams, quotingParams, lsmm);
if (null == prwc) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapReferenceValue =
_floatReference.value(valParams, null, mktParams, quotingParams);
if (null == mapReferenceValue || !mapReferenceValue.containsKey("CleanPV")) return null;
return prwc.updateValue(-1. * mapReferenceValue.get("CleanPV")) ? prwc : 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) {
long lStart = System.nanoTime();
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
mapFloatReferenceStreamResult =
_floatReference.value(valParams, pricerParams, mktParams, quotingParams);
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>
mapFloatDerivedStreamResult =
_floatDerived.value(valParams, pricerParams, mktParams, quotingParams);
if (null == mapFloatReferenceStreamResult
|| 0 == mapFloatReferenceStreamResult.size()
|| null == mapFloatDerivedStreamResult
|| 0 == mapFloatDerivedStreamResult.size()) return null;
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapResult =
new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();
mapResult.put("ReferenceAccrued01", mapFloatReferenceStreamResult.get("Accrued01"));
mapResult.put("ReferenceAccrued", mapFloatReferenceStreamResult.get("FloatAccrued"));
double dblReferenceCleanDV01 = mapFloatReferenceStreamResult.get("CleanDV01");
mapResult.put("ReferenceCleanDV01", dblReferenceCleanDV01);
double dblReferenceCleanPV = mapFloatReferenceStreamResult.get("CleanPV");
mapResult.put("ReferenceCleanPV", dblReferenceCleanPV);
mapResult.put("ReferenceDirtyDV01", mapFloatReferenceStreamResult.get("DirtyDV01"));
double dblReferenceDirtyPV = mapFloatReferenceStreamResult.get("DirtyPV");
mapResult.put("ReferenceDirtyPV", dblReferenceDirtyPV);
mapResult.put("ReferenceDV01", mapFloatReferenceStreamResult.get("DV01"));
mapResult.put("ReferenceFixing01", mapFloatReferenceStreamResult.get("Fixing01"));
double dblReferencePV = mapFloatReferenceStreamResult.get("PV");
mapResult.put("ReferencePV", dblReferencePV);
mapResult.put("ReferenceResetDate", mapFloatReferenceStreamResult.get("ResetDate"));
mapResult.put("ReferenceResetRate", mapFloatReferenceStreamResult.get("ResetRate"));
mapResult.put("DerivedAccrued01", mapFloatDerivedStreamResult.get("Accrued01"));
mapResult.put("DerivedAccrued", mapFloatDerivedStreamResult.get("FloatAccrued"));
double dblDerivedCleanDV01 = mapFloatDerivedStreamResult.get("CleanDV01");
mapResult.put("DerivedCleanDV01", dblDerivedCleanDV01);
double dblDerivedCleanPV = mapFloatDerivedStreamResult.get("CleanPV");
mapResult.put("DerivedCleanPV", dblDerivedCleanPV);
mapResult.put("DerivedDirtyDV01", mapFloatDerivedStreamResult.get("DirtyDV01"));
double dblDerivedDirtyPV = mapFloatDerivedStreamResult.get("DirtyPV");
mapResult.put("DerivedDirtyPV", dblDerivedDirtyPV);
mapResult.put("DerivedDV01", mapFloatDerivedStreamResult.get("DV01"));
mapResult.put("DerivedFixing01", mapFloatDerivedStreamResult.get("Fixing01"));
double dblDerivedPV = mapFloatDerivedStreamResult.get("PV");
mapResult.put("DerivedPV", dblDerivedPV);
mapResult.put("DerivedResetDate", mapFloatDerivedStreamResult.get("ResetDate"));
mapResult.put("DerivedResetRate", mapFloatDerivedStreamResult.get("ResetRate"));
double dblCleanPV = dblReferenceCleanPV + dblDerivedCleanPV;
mapResult.put("CleanPV", dblCleanPV);
mapResult.put("DirtyPV", dblDerivedCleanPV + dblDerivedDirtyPV);
mapResult.put("PV", dblReferencePV + dblDerivedPV);
mapResult.put(
"Upfront",
mapFloatReferenceStreamResult.get("Upfront") + mapFloatDerivedStreamResult.get("Upfront"));
mapResult.put(
"ReferenceParBasisSpread",
-1. * (dblReferenceCleanPV + dblDerivedCleanPV) / dblReferenceCleanDV01);
mapResult.put(
"DerivedParBasisSpread",
-1. * (dblReferenceCleanPV + dblDerivedCleanPV) / dblDerivedCleanDV01);
double dblValueNotional = java.lang.Double.NaN;
try {
dblValueNotional = getNotional(valParams.valueDate());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
try {
if (org.drip.quant.common.NumberUtil.IsValid(dblValueNotional)) {
double dblCleanPrice = 100. * (1. + (dblCleanPV / getInitialNotional() / dblValueNotional));
mapResult.put("Price", dblCleanPrice);
mapResult.put("CleanPrice", dblCleanPrice);
}
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
mapResult.put("CalcTime", (System.nanoTime() - lStart) * 1.e-09);
return mapResult;
}
@Override
public org.drip.param.valuation.CashSettleParams getCashSettleParams() {
return _floatReference.getCashSettleParams();
}
@Override
public java.util.List<org.drip.analytics.period.CashflowPeriod> getCashFlowPeriod() {
return org.drip.analytics.support.AnalyticsHelper.MergePeriodLists(
_floatReference.getCashFlowPeriod(), _floatDerived.getCashFlowPeriod());
}
@Override
public java.lang.String getForwardCurveName() {
return _floatDerived.getForwardCurveName();
}
@Override
public java.lang.String getIRCurveName() {
return _floatReference.getIRCurveName();
}
@Override
public double getCoupon(
final double dblValue, final org.drip.param.definition.ComponentMarketParams mktParams)
throws java.lang.Exception {
return _floatReference.getCoupon(dblValue, mktParams);
}
@Override
public boolean setCurves(
final java.lang.String strIR, final java.lang.String strIRTSY, final java.lang.String strCC) {
return _floatReference.setCurves(strIR, strIRTSY, strCC)
&& _floatDerived.setCurves(strIR, strIRTSY, strCC);
}
@Override
public double getNotional(final double dblDate1, final double dblDate2)
throws java.lang.Exception {
return _floatReference.getNotional(dblDate1, dblDate2);
}
@Override
public double getInitialNotional() throws java.lang.Exception {
return _floatReference.getInitialNotional();
}