*
* @author Lakshmi Krishnamurthy
*/
-public class FlatForwardFXCurve extends org.drip.state.fx.ExplicitBootFXCurve {
- private int[] _aiPillarDate = null;
- private double[] _adblFXForward = null;
- private double _dblFXSpot = java.lang.Double.NaN;
+public class FlatForwardFXCurve extends ExplicitBootFXCurve
+{
+ private int[] _dateArray = null;
+ private double _fxSpot = Double.NaN;
+ private double[] _fxForwardArray = null;
private double nodeBasis (
- final int iNodeDate,
- final org.drip.param.valuation.ValuationParams valParam,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final boolean bBasisOnDenom)
- throws java.lang.Exception
+ final int nodeDate,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final boolean basisOnDenominator)
+ throws Exception
{
- return new org.drip.product.fx.FXForwardComponent ("FXFWD_" +
- org.drip.service.common.StringUtil.GUID(), currencyPair(), epoch().julian(), iNodeDate, 1.,
- null).discountCurveBasis (valParam, dcNum, dcDenom, _dblFXSpot, fx (iNodeDate),
- bBasisOnDenom);
+ return new FXForwardComponent (
+ "FXFWD_" + StringUtil.GUID(),
+ currencyPair(),
+ epoch().julian(),
+ nodeDate,
+ 1.,
+ null
+ ).discountCurveBasis (
+ valuationParams,
+ numeratorDiscountCurve,
+ denominatorDiscountCurve,
+ _fxSpot,
+ fx (nodeDate),
+ basisOnDenominator
+ );
}
/**
* FlatForwardVolatilityCurve Constructor
*
- * @param iEpochDate Epoch Date
- * @param cp Currency Pair
- * @param dblFXSpot FX Spot
- * @param aiPillarDate Array of the Pillar Dates
- * @param adblFXForward Array of the corresponding FX Forward Nodes
+ * @param epochDate Epoch Date
+ * @param currencyPair Currency Pair
+ * @param fxSpot FX Spot
+ * @param dateArray Array of the Pillar Dates
+ * @param fxForwardArray Array of the corresponding FX Forward Nodes
*
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
+ * @throws Exception Thrown if the Inputs are Invalid
*/
public FlatForwardFXCurve (
- final int iEpochDate,
- final org.drip.product.params.CurrencyPair cp,
- final double dblFXSpot,
- final int[] aiPillarDate,
- final double[] adblFXForward)
- throws java.lang.Exception
+ final int epochDate,
+ final CurrencyPair currencyPair,
+ final double fxSpot,
+ final int[] dateArray,
+ final double[] fxForwardArray)
+ throws Exception
{
- super (iEpochDate, cp);
+ super (epochDate, currencyPair);
- if (!org.drip.numerical.common.NumberUtil.IsValid (_dblFXSpot = dblFXSpot) || null == (_aiPillarDate =
- aiPillarDate) || null == (_adblFXForward = adblFXForward) || _aiPillarDate.length !=
- _adblFXForward.length)
- throw new java.lang.Exception ("FlatForwardFXCurve ctr => Invalid Inputs");
+ if (!NumberUtil.IsValid (_fxSpot = fxSpot) || null == (_dateArray = dateArray) ||
+ null == (_fxForwardArray = fxForwardArray) || _dateArray.length != _fxForwardArray.length) {
+ throw new Exception ("FlatForwardFXCurve ctr => Invalid Inputs");
+ }
- int iNumPillar = _aiPillarDate.length;
+ int dateArrayCount = _dateArray.length;
- for (int i = 0; i < iNumPillar; ++i) {
- if (!org.drip.numerical.common.NumberUtil.IsValid (_adblFXForward[i]))
- throw new java.lang.Exception ("FlatForwardFXCurve ctr => Invalid Inputs");
+ for (int i = 0; i < dateArrayCount; ++i) {
+ if (!NumberUtil.IsValid (_fxForwardArray[i])) {
+ throw new Exception ("FlatForwardFXCurve ctr => Invalid Inputs");
+ }
}
}
@Override public double fx (
- final int iDate)
- throws java.lang.Exception
+ final int date)
+ throws Exception
{
- if (iDate <= _iEpochDate) return _adblFXForward[0];
+ if (date <= _iEpochDate) {
+ return _fxForwardArray[0];
+ }
- int iNumPillar = _adblFXForward.length;
+ int fxForwardArrayCount = _fxForwardArray.length;
- for (int i = 1; i < iNumPillar; ++i) {
- if (_aiPillarDate[i - 1] <= iDate && _aiPillarDate[i] > iDate) return _adblFXForward[i];
+ for (int i = 1; i < fxForwardArrayCount; ++i) {
+ if (_dateArray[i - 1] <= date && _dateArray[i] > date) {
+ return _fxForwardArray[i];
+ }
}
- return _adblFXForward[iNumPillar - 1];
+ return _fxForwardArray[fxForwardArrayCount - 1];
}
/**
@@ -173,130 +209,169 @@ public FlatForwardFXCurve (
public double fxSpot()
{
- return _dblFXSpot;
+ return _fxSpot;
}
@Override public double[] zeroBasis (
- final int[] aiDateNode,
- final org.drip.param.valuation.ValuationParams valParams,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final boolean bBasisOnDenom)
+ final int[] dateNodeArray,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final boolean basisOnDenominator)
{
- if (null == aiDateNode) return null;
+ if (null == dateNodeArray) {
+ return null;
+ }
- int iNumBasis = aiDateNode.length;
- double[] adblBasis = new double[iNumBasis];
+ int dateNodeCount = dateNodeArray.length;
+ double[] basisArray = new double[dateNodeCount];
- if (0 == iNumBasis) return null;
+ if (0 == dateNodeCount) return null;
- for (int i = 0; i < iNumBasis; ++i) {
+ for (int i = 0; i < dateNodeCount; ++i) {
try {
- adblBasis[i] = nodeBasis (aiDateNode[i], valParams, dcNum, dcDenom, bBasisOnDenom);
- } catch (java.lang.Exception e) {
+ basisArray[i] = nodeBasis (
+ dateNodeArray[i],
+ valuationParams,
+ numeratorDiscountCurve,
+ denominatorDiscountCurve,
+ basisOnDenominator
+ );
+ } catch (Exception e) {
e.printStackTrace();
return null;
}
}
- return adblBasis;
+ return basisArray;
}
@Override public double[] impliedNodeRates (
- final int[] aiDateNode,
- final org.drip.param.valuation.ValuationParams valParams,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final boolean bBasisOnDenom)
+ final int[] dateNodeArray,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final boolean basisOnDenominator)
{
- if (null == aiDateNode) return null;
+ if (null == dateNodeArray) {
+ return null;
+ }
- int iNumBasis = aiDateNode.length;
- double[] adblImpliedNodeRate = new double[iNumBasis];
+ int dateNodeCount = dateNodeArray.length;
+ double[] impliedNodeRateArray = new double[dateNodeCount];
- if (0 == iNumBasis) return null;
+ if (0 == dateNodeCount) {
+ return null;
+ }
- for (int i = 0; i < iNumBasis; ++i) {
+ for (int dateNodeIndex = 0; dateNodeIndex < dateNodeCount; ++dateNodeIndex) {
try {
- double dblBaseImpliedRate = java.lang.Double.NaN;
-
- if (bBasisOnDenom)
- dblBaseImpliedRate = dcNum.zero (aiDateNode[i]);
- else
- dblBaseImpliedRate = dcDenom.zero (aiDateNode[i]);
-
- adblImpliedNodeRate[i] = dblBaseImpliedRate + nodeBasis (i, valParams, dcNum, dcDenom,
- bBasisOnDenom);
- } catch (java.lang.Exception e) {
+ impliedNodeRateArray[dateNodeIndex] = (
+ basisOnDenominator ? numeratorDiscountCurve.zero (dateNodeArray[dateNodeIndex]) :
+ denominatorDiscountCurve.zero (dateNodeArray[dateNodeIndex])
+ ) + nodeBasis (
+ dateNodeIndex,
+ valuationParams,
+ numeratorDiscountCurve,
+ denominatorDiscountCurve,
+ basisOnDenominator
+ );
+ } catch (Exception e) {
e.printStackTrace();
}
}
- return adblImpliedNodeRate;
+ return impliedNodeRateArray;
}
@Override public double[] bootstrapBasis (
- final int[] aiDateNode,
- final org.drip.param.valuation.ValuationParams valParams,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final boolean bBasisOnDenom)
+ final int[] dateNodeArray,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final boolean basisOnDenominator)
{
- if (null == aiDateNode) return null;
+ if (null == dateNodeArray) {
+ return null;
+ }
- int iNumBasis = aiDateNode.length;
- double[] adblBasis = new double[iNumBasis];
- org.drip.state.discount.MergedDiscountForwardCurve dcBasis = bBasisOnDenom ? dcDenom : dcNum;
+ int dateNodeCount = dateNodeArray.length;
+ double[] basisArray = new double[dateNodeCount];
+ MergedDiscountForwardCurve basisDiscountCurve = basisOnDenominator ?
+ denominatorDiscountCurve : numeratorDiscountCurve;
- if (0 == iNumBasis || null == dcBasis) return null;
+ if (0 == dateNodeCount || null == basisDiscountCurve) {
+ return null;
+ }
- for (int i = 0; i < iNumBasis; ++i) {
+ for (int dateNodeIndex = 0; dateNodeIndex < dateNodeCount; ++dateNodeIndex) {
try {
- if (bBasisOnDenom)
- adblBasis[i] = nodeBasis (aiDateNode[i], valParams, dcNum, dcBasis, true);
- else
- adblBasis[i] = nodeBasis (aiDateNode[i], valParams, dcBasis, dcDenom, false);
- } catch (java.lang.Exception e) {
+ basisArray[dateNodeIndex] = nodeBasis (
+ dateNodeArray[dateNodeIndex],
+ valuationParams,
+ basisOnDenominator ? numeratorDiscountCurve : basisDiscountCurve,
+ basisOnDenominator ? basisDiscountCurve : denominatorDiscountCurve,
+ true
+ );
+ } catch (Exception e) {
e.printStackTrace();
return null;
}
}
- return adblBasis;
+ return basisArray;
}
- @Override public org.drip.state.discount.MergedDiscountForwardCurve bootstrapBasisDC (
- final int[] aiDateNode,
- final org.drip.param.valuation.ValuationParams valParams,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final boolean bBasisOnDenom)
+ @Override public MergedDiscountForwardCurve bootstrapBasisDC (
+ final int[] dateNodeArray,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final boolean basisOnDenominator)
{
- double[] adblImpliedRate = impliedNodeRates (aiDateNode, valParams, dcNum, dcDenom, bBasisOnDenom);
-
- if (null == adblImpliedRate) return null;
+ double[] impliedRateArray = impliedNodeRates (
+ dateNodeArray,
+ valuationParams,
+ numeratorDiscountCurve,
+ denominatorDiscountCurve,
+ basisOnDenominator
+ );
+
+ if (null == impliedRateArray) {
+ return null;
+ }
- int iNumDF = adblImpliedRate.length;
- double[] adblDF = new double[iNumDF];
- org.drip.state.discount.MergedDiscountForwardCurve dc = bBasisOnDenom ? dcDenom : dcNum;
+ int discountFactorCount = impliedRateArray.length;
+ double[] discountFactorArray = new double[discountFactorCount];
+ MergedDiscountForwardCurve discountCurve = basisOnDenominator ?
+ denominatorDiscountCurve : numeratorDiscountCurve;
- if (0 == iNumDF) return null;
+ if (0 == discountFactorCount) {
+ return null;
+ }
- int iSpotDate = valParams.valueDate();
+ int spotDate = valuationParams.valueDate();
- java.lang.String strCurrency = dc.currency();
+ String currency = discountCurve.currency();
- for (int i = 0; i < iNumDF; ++i)
- adblDF[i] = java.lang.Math.exp (-1. * adblImpliedRate[i] * (aiDateNode[i] - iSpotDate) /
- 365.25);
+ for (int discountFactorIndex = 0; discountFactorIndex < discountFactorCount; ++discountFactorIndex) {
+ discountFactorArray[discountFactorIndex] = Math.exp (
+ -1. * impliedRateArray[discountFactorIndex] * (dateNodeArray[discountFactorIndex] - spotDate)
+ / 365.25
+ );
+ }
try {
- return org.drip.state.creator.ScenarioDiscountCurveBuilder.CubicPolynomialDiscountCurve
- (strCurrency + "::BASIS", new org.drip.analytics.date.JulianDate (iSpotDate), strCurrency,
- aiDateNode, adblDF);
- } catch (java.lang.Exception e) {
+ return ScenarioDiscountCurveBuilder.CubicPolynomialDiscountCurve (
+ currency + "::BASIS",
+ new JulianDate (spotDate),
+ currency,
+ dateNodeArray,
+ discountFactorArray
+ );
+ } catch (Exception e) {
e.printStackTrace();
}
@@ -304,63 +379,76 @@ public double fxSpot()
}
@Override public double rate (
- final int[] aiDateNode,
- final org.drip.param.valuation.ValuationParams valParams,
- final org.drip.state.discount.MergedDiscountForwardCurve dcNum,
- final org.drip.state.discount.MergedDiscountForwardCurve dcDenom,
- final int iDate,
- final boolean bBasisOnDenom)
- throws java.lang.Exception
+ final int[] dateNodeArray,
+ final ValuationParams valuationParams,
+ final MergedDiscountForwardCurve numeratorDiscountCurve,
+ final MergedDiscountForwardCurve denominatorDiscountCurve,
+ final int date,
+ final boolean basisOnDenominator)
+ throws Exception
{
- org.drip.state.discount.MergedDiscountForwardCurve dcImplied = bootstrapBasisDC (aiDateNode, valParams, dcNum,
- dcDenom, bBasisOnDenom);
-
- if (null == dcImplied)
- throw new java.lang.Exception ("BasisSplineFXForward::rate: Cannot imply basis DC!");
+ MergedDiscountForwardCurve impliedDiscountCurve = bootstrapBasisDC (
+ dateNodeArray,
+ valuationParams,
+ numeratorDiscountCurve,
+ denominatorDiscountCurve,
+ basisOnDenominator
+ );
+
+ if (null == impliedDiscountCurve) {
+ throw new Exception ("BasisSplineFXForward::rate: Cannot imply basis DC!");
+ }
- return dcImplied.zero (iDate);
+ return impliedDiscountCurve.zero (date);
}
- @Override public org.drip.numerical.differentiation.WengertJacobian jackDForwardDManifestMeasure (
- final java.lang.String strManifestMeasure,
- final int iDate)
+ @Override public WengertJacobian jackDForwardDManifestMeasure (
+ final String manifestMeasure,
+ final int date)
{
return null;
}
@Override public boolean setNodeValue (
- final int iNodeIndex,
- final double dblValue)
+ final int nodeIndex,
+ final double value)
{
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex > _adblFXForward.length)
+ if (!NumberUtil.IsValid (value) || nodeIndex > _fxForwardArray.length) {
return false;
+ }
- for (int i = iNodeIndex; i < _adblFXForward.length; ++i)
- _adblFXForward[i] = dblValue;
+ for (int fxForwardIndex = nodeIndex; fxForwardIndex < _fxForwardArray.length; ++fxForwardIndex) {
+ _fxForwardArray[fxForwardIndex] = value;
+ }
return true;
}
@Override public boolean bumpNodeValue (
- final int iNodeIndex,
- final double dblValue)
+ final int nodeIndex,
+ final double value)
{
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue) || iNodeIndex > _adblFXForward.length)
+ if (!NumberUtil.IsValid (value) || nodeIndex > _fxForwardArray.length) {
return false;
+ }
- for (int i = iNodeIndex; i < _adblFXForward.length; ++i)
- _adblFXForward[i] += dblValue;
+ for (int fxForwardIndex = nodeIndex; fxForwardIndex < _fxForwardArray.length; ++fxForwardIndex) {
+ _fxForwardArray[fxForwardIndex] += value;
+ }
return true;
}
@Override public boolean setFlatValue (
- final double dblValue)
+ final double value)
{
- if (!org.drip.numerical.common.NumberUtil.IsValid (dblValue)) return false;
+ if (!NumberUtil.IsValid (value)) {
+ return false;
+ }
- for (int i = 0; i < _adblFXForward.length; ++i)
- _adblFXForward[i] = dblValue;
+ for (int fxForwardIndex = 0; fxForwardIndex < _fxForwardArray.length; ++fxForwardIndex) {
+ _fxForwardArray[fxForwardIndex] = value;
+ }
return true;
}
diff --git a/src/main/java/org/drip/state/nonlinear/FlatForwardForwardCurve.java b/src/main/java/org/drip/state/nonlinear/FlatForwardForwardCurve.java
index 27f1c138519..4fdd2d79154 100644
--- a/src/main/java/org/drip/state/nonlinear/FlatForwardForwardCurve.java
+++ b/src/main/java/org/drip/state/nonlinear/FlatForwardForwardCurve.java
@@ -1,11 +1,20 @@
package org.drip.state.nonlinear;
+import org.drip.analytics.date.JulianDate;
+import org.drip.numerical.common.NumberUtil;
+import org.drip.numerical.differentiation.WengertJacobian;
+import org.drip.state.forward.ForwardCurve;
+import org.drip.state.identifier.ForwardLabel;
+
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
+ * Copyright (C) 2025 Lakshmi Krishnamurthy
+ * Copyright (C) 2024 Lakshmi Krishnamurthy
+ * Copyright (C) 2023 Lakshmi Krishnamurthy
* Copyright (C) 2022 Lakshmi Krishnamurthy
* Copyright (C) 2021 Lakshmi Krishnamurthy
* Copyright (C) 2020 Lakshmi Krishnamurthy
@@ -85,53 +94,60 @@
/**
*