@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.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) {
if (null == valParams
|| valParams.valueDate() >= getMaturityDate().getJulian()
|| null == lsmm
|| !(lsmm instanceof org.drip.analytics.rates.RatesLSMM)
|| !org.drip.analytics.rates.DiscountCurve.LATENT_STATE_DISCOUNT.equalsIgnoreCase(
lsmm.getID())) return null;
if (org.drip.analytics.rates.DiscountCurve.QUANTIFICATION_METRIC_FORWARD_RATE.equalsIgnoreCase(
lsmm.getQuantificationMetric())
|| org.drip.analytics.rates.DiscountCurve.QUANTIFICATION_METRIC_DISCOUNT_FACTOR
.equalsIgnoreCase(lsmm.getQuantificationMetric())) {
if (null == mktParams) return null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc) return null;
org.drip.state.estimator.PredictorResponseWeightConstraint prwc =
new org.drip.state.estimator.PredictorResponseWeightConstraint();
double dblDirtyCV100 = 0.;
boolean bFirstPeriod = true;
try {
for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
if (null == period) continue;
double dblPayDate = period.getPayDate();
if (valParams.valueDate() > dblPayDate) continue;
double dblPeriodDCF = period.getCouponDCF();
if (bFirstPeriod) {
bFirstPeriod = false;
dblPeriodDCF -= period.getAccrualDCF(valParams.valueDate());
}
double dblPeriodCV100 = dblPeriodDCF * dc.df(dblPayDate) * getNotional(dblPayDate);
dblDirtyCV100 += dblPeriodCV100;
if (!prwc.addPredictorResponseWeight(dblPayDate, dblPeriodCV100 * _dblNotional))
return null;
}
return prwc.updateValue(-1. * dblDirtyCV100 * _dblNotional * lsmm.getMeasureQuoteValue())
? prwc
: null;
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return null;
}
