@Override
public boolean setNodeValue(final int iNodeIndex, final double dblNodeDF) {
if (!org.drip.quant.common.NumberUtil.IsValid(dblNodeDF)) return false;
int iNumDate = _adblDate.length;
if (iNodeIndex > iNumDate) return false;
if (0 == iNodeIndex) {
_dblLeftFlatForwardRate =
-365.25 * java.lang.Math.log(_dblLeftNodeDF = dblNodeDF) / (_adblDate[0] - _dblEpochDate);
return true;
}
if (1 == iNodeIndex)
return _msr.setLeftNode(_dblLeftNodeDF, _dblLeftNodeDFSlope, dblNodeDF, null);
if (iNumDate - 1 == iNodeIndex) {
try {
_dblRightFlatForwardRate =
-365.25
* java.lang.Math.log(_msr.responseValue(_adblDate[iNodeIndex]))
/ (_adblDate[iNodeIndex] - _dblEpochDate);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
}
return _msr.resetNode(iNodeIndex, dblNodeDF);
}
@Override
public double df(final double dblDate) throws java.lang.Exception {
if (!org.drip.quant.common.NumberUtil.IsValid(dblDate))
throw new java.lang.Exception("NonlinearDiscountFactorDiscountCurve::df => Invalid Inputs");
if (dblDate <= _dblEpochDate) return 1.;
if (dblDate <= _adblDate[0])
return java.lang.Math.exp(-1. * _dblLeftFlatForwardRate * (dblDate - _dblEpochDate) / 365.25);
return (dblDate <= _adblDate[_adblDate.length - 1]
? _msr.responseValue(dblDate)
: java.lang.Math.exp(
-1. * _dblRightFlatForwardRate * (dblDate - _dblEpochDate) / 365.25))
* turnAdjust(epoch().julian(), dblDate);
}
