@Override
public double getCoupon(
final double dblValueDate, final org.drip.param.definition.ComponentMarketParams mktParams)
throws java.lang.Exception {
if (!org.drip.quant.common.NumberUtil.IsValid(dblValueDate) || null == mktParams)
throw new java.lang.Exception("FloatingStream::getCoupon => Invalid Inputs");
org.drip.analytics.period.Period currentPeriod = null;
for (org.drip.analytics.period.CashflowPeriod period : _lsCouponPeriod) {
if (null == period) continue;
if (dblValueDate >= period.getStartDate() && dblValueDate < period.getEndDate()) {
currentPeriod = period;
break;
}
}
if (null == currentPeriod)
throw new java.lang.Exception("FloatingStream::getCoupon => Invalid Inputs");
java.util.Map<
org.drip.analytics.date.JulianDate,
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapFixings = mktParams.getFixings();
if (null != mapFixings) {
double dblCurrentResetDate = currentPeriod.getResetDate();
if (org.drip.quant.common.NumberUtil.IsValid(dblCurrentResetDate)) {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapIndexFixing =
mapFixings.get(new org.drip.analytics.date.JulianDate(dblCurrentResetDate));
if (null != mapIndexFixing) {
java.lang.Double dblFixing = mapIndexFixing.get(_fri.fullyQualifiedName());
if (null != dblFixing) return dblFixing + _dblSpread;
}
}
}
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
if (null == dc)
throw new java.lang.Exception("FloatingStream::getCoupon => cant determine index");
return dc.libor(currentPeriod.getStartDate(), currentPeriod.getEndDate()) + _dblSpread;
}
@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;
}
@Override
public org.drip.quant.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.valueDate() >= _dblMaturity
|| null == strQuote
|| null == mktParams
|| null == mktParams.getDiscountCurve()) return null;
if ("Rate".equalsIgnoreCase(strQuote) || "SwapRate".equalsIgnoreCase(strQuote)) {
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> mapMeasures =
value(valParams, pricerParams, mktParams, quotingParams);
if (null == mapMeasures) return null;
double dblDirtyDV01 = mapMeasures.get("DirtyDV01");
double dblParSwapRate = mapMeasures.get("SwapRate");
try {
org.drip.quant.calculus.WengertJacobian wjSwapRateDFMicroJack = null;
org.drip.analytics.rates.DiscountCurve dc = mktParams.getDiscountCurve();
for (org.drip.analytics.period.CashflowPeriod p : _lsCouponPeriod) {
double dblPeriodPayDate = p.getPayDate();
if (dblPeriodPayDate < valParams.valueDate()) continue;
org.drip.quant.calculus.WengertJacobian wjPeriodFwdRateDF =
dc.getForwardRateJack(p.getStartDate(), p.getEndDate());
org.drip.quant.calculus.WengertJacobian wjPeriodPayDFDF =
dc.jackDDFDQuote(dblPeriodPayDate);
if (null == wjPeriodFwdRateDF || null == wjPeriodPayDFDF) continue;
double dblForwardRate = dc.libor(p.getStartDate(), p.getEndDate());
double dblPeriodPayDF = dc.df(dblPeriodPayDate);
if (null == wjSwapRateDFMicroJack)
wjSwapRateDFMicroJack =
new org.drip.quant.calculus.WengertJacobian(1, wjPeriodFwdRateDF.numParameters());
double dblPeriodNotional = getNotional(p.getStartDate(), p.getEndDate());
double dblPeriodDCF = p.getCouponDCF();
for (int k = 0; k < wjPeriodFwdRateDF.numParameters(); ++k) {
double dblPeriodMicroJack =
(dblForwardRate - dblParSwapRate) * wjPeriodPayDFDF.getFirstDerivative(0, k)
+ dblPeriodPayDF * wjPeriodFwdRateDF.getFirstDerivative(0, k);
if (!wjSwapRateDFMicroJack.accumulatePartialFirstDerivative(
0, k, dblPeriodNotional * dblPeriodDCF * dblPeriodMicroJack / dblDirtyDV01))
return null;
}
}
return wjSwapRateDFMicroJack;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
}
return 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) {
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;
}
@Override
public double[] fxForward(
final org.drip.param.valuation.ValuationParams valParam,
final org.drip.analytics.rates.DiscountCurve dcNum,
final org.drip.analytics.rates.DiscountCurve dcDenom,
final boolean bBasisOnDenom,
final boolean bFwdAsPIP) {
org.drip.analytics.rates.DiscountCurve dcBasisAdj = null;
double[] adblFXFwd = new double[_adblFXBasis.length];
if (bBasisOnDenom) dcBasisAdj = dcDenom;
else dcBasisAdj = dcNum;
for (int i = 0; i < _adblFXBasis.length; ++i) {
try {
org.drip.product.definition.FXForward fxfwd =
org.drip.product.creator.FXForwardBuilder.CreateFXForward(
_cp,
new org.drip.analytics.date.JulianDate(_dblSpotDate),
new org.drip.analytics.date.JulianDate(_adblDate[i]));
if (null == fxfwd) {
System.out.println(
"DerivedFXBasis::getFullFXFwd => Cannot make fxfwd at maturity "
+ org.drip.analytics.date.DateUtil.FromJulian(_adblDate[i]));
return null;
}
if (bBasisOnDenom) {
if (_bIsFXBasisBootstrapped) {
if (!(dcBasisAdj instanceof org.drip.analytics.rates.ExplicitBootDiscountCurve))
return null;
if (((org.drip.analytics.rates.ExplicitBootDiscountCurve) dcBasisAdj)
.bumpNodeValue(i, _adblFXBasis[i])) return null;
;
} else
dcBasisAdj =
(org.drip.analytics.rates.DiscountCurve)
dcDenom.parallelShiftQuantificationMetric(_adblFXBasis[i]);
if (null == dcBasisAdj) {
System.out.println(
"DerivedFXBasis::getFullFXFwd => Cannot create bootstrapped/full denom curve at node "
+ org.drip.analytics.date.DateUtil.FromJulian(_adblDate[i]));
return null;
}
adblFXFwd[i] = fxfwd.imply(valParam, dcNum, dcBasisAdj, _dblFXSpot, bFwdAsPIP);
} else {
if (_bIsFXBasisBootstrapped) {
if (!(dcBasisAdj instanceof org.drip.analytics.rates.ExplicitBootDiscountCurve))
return null;
if (((org.drip.analytics.rates.ExplicitBootDiscountCurve) dcBasisAdj)
.bumpNodeValue(i, _adblFXBasis[i])) return null;
;
} else
dcBasisAdj =
(org.drip.analytics.rates.DiscountCurve)
dcNum.parallelShiftQuantificationMetric(_adblFXBasis[i]);
if (null == dcBasisAdj) {
System.out.println(
"DerivedFXBasis::getFullFXFwd => Cannot create bootstrapped/full num curve at node "
+ org.drip.analytics.date.DateUtil.FromJulian(_adblDate[i]));
return null;
}
adblFXFwd[i] = fxfwd.imply(valParam, dcBasisAdj, dcDenom, _dblFXSpot, bFwdAsPIP);
}
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return adblFXFwd;
}
private static final void CDSAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Flat Credit Curve
*/
CreditCurve cc = CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
/*
* Component Market Parameters built from the Discount and the Credit Curves
*/
ComponentMarketParams cmp = ComponentMarketParamsBuilder.MakeCreditCMP(dc, cc);
/*
* Create an SNAC CDS
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(dtStart, "5Y", 0.1, "CC");
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
/*
* CDS Coupon Cash Flow
*/
for (CashflowPeriodCurveFactors p : cds.getCouponFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(p.getAccrualStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getAccrualEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dc.df(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
System.out.println(
"Loss Start Loss End Pay Date Cpn Notl Rec EffDF StartSurv EndSurv");
System.out.println(
"---------- -------- -------- --- ---- --- ----- --------- -------");
/*
* CDS Loss Cash Flow
*/
for (LossPeriodCurveFactors dp : cds.getLossFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(dp.getStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.startSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.endSurvival(), 1, 4, 1.));
}
private static final Map<String, ForwardCurve> xM6MBasisSample(
final JulianDate dtSpot,
final String strCurrency,
final DiscountCurve dc,
final int iTenorInMonths,
final String[] astrxM6MFwdTenor,
final double[] adblxM6MBasisSwapQuote)
throws Exception {
System.out.println("------------------------------------------------------------");
System.out.println(" SPL => n=4 | | |");
System.out.println("---------------------------------------| LOG DF | LIBOR |");
System.out.println(" MSR => RECALC | REFEREN | DERIVED | | |");
System.out.println("------------------------------------------------------------");
/*
* Construct the 6M-xM float-float basis swap.
*/
FloatFloatComponent[] aFFC =
MakexM6MBasisSwap(dtSpot, strCurrency, astrxM6MFwdTenor, iTenorInMonths);
String strBasisTenor = iTenorInMonths + "M";
ValuationParams valParams = new ValuationParams(dtSpot, dtSpot, strCurrency);
/*
* Calculate the starting forward rate off of the discount curve.
*/
double dblStartingFwd = dc.forward(dtSpot.julian(), dtSpot.addTenor(strBasisTenor).julian());
/*
* Set the discount curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParams =
MarketParamsBuilder.Create(dc, null, null, null, null, null, null);
Map<String, ForwardCurve> mapForward = new HashMap<String, ForwardCurve>();
/*
* Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline.
*/
ForwardCurve fcxMQuartic =
ScenarioForwardCurveBuilder.ShapePreservingForwardCurve(
"QUARTIC_FWD" + strBasisTenor,
ForwardLabel.Create(strCurrency, strBasisTenor),
valParams,
null,
mktParams,
null,
MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new PolynomialFunctionSetParams(5),
aFFC,
"ReferenceParBasisSpread",
adblxM6MBasisSwapQuote,
dblStartingFwd);
mapForward.put(" QUARTIC_FWD" + strBasisTenor, fcxMQuartic);
/*
* Set the discount curve + quartic polynomial forward curve based component market parameters.
*/
CurveSurfaceQuoteSet mktParamsQuarticFwd =
MarketParamsBuilder.Create(dc, fcxMQuartic, null, null, null, null, null, null);
int i = 0;
int iFreq = 12 / iTenorInMonths;
/*
* Compute the following forward curve metrics for each of cubic polynomial forward, quartic
* polynomial forward, and KLK Hyperbolic tension forward curves:
* - Reference Basis Par Spread
* - Derived Basis Par Spread
*
* Further compare these with a) the forward rate off of the discount curve, b) the LIBOR rate, and
* c) Input Basis Swap Quote.
*/
for (String strMaturityTenor : astrxM6MFwdTenor) {
double dblFwdEndDate = dtSpot.addTenor(strMaturityTenor).julian();
double dblFwdStartDate =
dtSpot.addTenor(strMaturityTenor).subtractTenor(strBasisTenor).julian();
FloatFloatComponent ffc = aFFC[i++];
CaseInsensitiveTreeMap<Double> mapQuarticValue =
ffc.value(valParams, null, mktParamsQuarticFwd, null);
System.out.println(
" "
+ strMaturityTenor
+ " => "
+ FormatUtil.FormatDouble(fcxMQuartic.forward(strMaturityTenor), 2, 2, 100.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("ReferenceParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(mapQuarticValue.get("DerivedParBasisSpread"), 2, 2, 1.)
+ " | "
+ FormatUtil.FormatDouble(
iFreq * java.lang.Math.log(dc.df(dblFwdStartDate) / dc.df(dblFwdEndDate)),
1,
2,
100.)
+ " | "
+ FormatUtil.FormatDouble(dc.libor(dblFwdStartDate, dblFwdEndDate), 1, 2, 100.)
+ " | ");
}
return mapForward;
}
@Override
public boolean cookCustomCC(
final java.lang.String strName,
final java.lang.String strCustomName,
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.analytics.rates.DiscountCurve dc,
final org.drip.analytics.rates.DiscountCurve dcTSY,
final org.drip.analytics.rates.DiscountCurve dcEDSF,
final double[] adblQuotes,
final double dblRecovery,
final java.lang.String[] astrCalibMeasure,
final java.util.Map<
org.drip.analytics.date.JulianDate,
org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mmFixings,
final org.drip.param.valuation.QuotingParams quotingParams,
final boolean bFlat,
final org.drip.param.definition.ResponseValueTweakParams mmtpDC,
final org.drip.param.definition.ResponseValueTweakParams mmtpTSY,
final org.drip.param.definition.ResponseValueTweakParams mmtpEDSF,
final org.drip.param.definition.ResponseValueTweakParams mmtpCC) {
if (null == strCustomName
|| strCustomName.isEmpty()
|| null == _ccsg
|| null == dc
|| null == adblQuotes
|| 0 == adblQuotes.length
|| !org.drip.quant.common.NumberUtil.IsValid(dblRecovery)
|| null == astrCalibMeasure
|| 0 == astrCalibMeasure.length
|| astrCalibMeasure.length != adblQuotes.length
|| (null == mmtpDC && null == mmtpTSY && null == mmtpEDSF && null == mmtpCC)) {
if (s_bBlog)
System.out.println("CreditCurveScenarioContainer.cookCustomCC => Bad Input params!");
return false;
}
org.drip.analytics.rates.DiscountCurve dcAdj =
(org.drip.analytics.rates.DiscountCurve) dc.customTweakManifestMeasure(mmtpDC);
org.drip.analytics.rates.DiscountCurve dcTSYAdj =
(org.drip.analytics.rates.DiscountCurve) dcTSY.customTweakManifestMeasure(mmtpTSY);
org.drip.analytics.rates.DiscountCurve dcEDSFAdj =
(org.drip.analytics.rates.DiscountCurve) dcEDSF.customTweakManifestMeasure(mmtpEDSF);
org.drip.analytics.definition.CreditCurve ccBaseCustom =
_ccsg.createCC(
strName,
valParams,
null == dcAdj ? dc : dcAdj,
null == dcTSYAdj ? dcTSY : dcTSYAdj,
null == dcEDSFAdj ? dcEDSF : dcEDSFAdj,
adblQuotes,
dblRecovery,
astrCalibMeasure,
mmFixings,
quotingParams,
bFlat);
if (null == ccBaseCustom) {
if (s_bBlog)
System.out.println(
"CreditCurveScenarioContainer.cookCustomCC => Cannot create ccBaseCustom!");
return false;
}
if (null == _mapCustomCC)
_mapCustomCC =
new org.drip.analytics.support.CaseInsensitiveTreeMap<
org.drip.analytics.definition.CreditCurve>();
org.drip.analytics.definition.CreditCurve ccCustom =
(org.drip.analytics.definition.CreditCurve) ccBaseCustom.customTweakManifestMeasure(mmtpCC);
if (null == ccCustom) _mapCustomCC.put(strCustomName, ccBaseCustom);
else _mapCustomCC.put(strCustomName, ccCustom);
return true;
}