@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;
}
@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;
}
