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	- State Discount Zero Count - Epoch (1, 2)
	- State Discount Zero Count - Currency (3, 4)
	- State Discount Zero Count - Constructor (5, 6)
	- State Discount Zero Count (7)
	- State Discount Merged Forward Curve #1 (8, 9, 10)
	- State Discount Merged Forward Curve - NUM_DF_QUADRATURES (11)
	- State Discount Merged Forward Curve - Currency (12, 13)
	- State Discount Merged Forward Curve - Epoch Date (14, 15)
	- State Discount Merged Forward Curve - Turn List Factor (16)
	- State Discount Merged Forward Curve - Constructor (17, 18)
	- State Discount Merged Forward Curve - Latent Label (19)
	- State Discount Merged Forward Curve - Epoch (20)
	- State Discount Merged Forward Curve - Set Turn List Factor (21)
	- State Discount Merged Forward Curve - Turn Adjust (22)
	- State Discount Merged Forward Curve - Native #1 (23, 24, 25)
	- State Discount Merged Forward Curve - Native #2 (26, 27)
	- State Discount Merged Forward Curve - Factor (28, 29, 30)
	- State Discount Merged Forward Curve - Effective Factor #1 (31, 32, 33)
	- State Discount Merged Forward Curve - Effective Factor #2 (34, 35)
	- State Discount Merged Forward Curve - Effective Factor #3 (36, 37)
	- State Discount Merged Forward Curve #2 (38, 39, 40)
	- State Discount Merged Forward Curve - Zero (41, 42, 43)
	- State Discount Merged Forward Curve - LIBOR #1 (44, 45)
	- State Discount Merged Forward Curve - LIBOR #2 (46, 47)
	- State Discount Merged Forward Curve - LIBOR #3 (48, 49)
	- State Discount Merged Forward Curve - LIBOR #4 (50, 51)
	- State Discount Merged Forward Curve - Par Swap DV01 (52, 53, 54)
	- State Discount Merged Forward Curve - Estimate Manifest Measure (55, 56, 57)
	- State Discount Merged Forward Curve - Proxy Manifest Measure (58, 59, 60)


Bug Fixes/Re-organization:

Samples:

IdeaDRIP:
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@Lakshmik
Lakshmik committed Dec 25, 2023
1 parent e849365 commit 4bdc951
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Showing 9 changed files with 573 additions and 421 deletions.
39 changes: 39 additions & 0 deletions ReleaseNotes/02_27_2023.txt
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Original file line number Diff line number Diff line change
@@ -0,0 +1,39 @@

Features:

- State Discount Zero Count - Epoch (1, 2)
- State Discount Zero Count - Currency (3, 4)
- State Discount Zero Count - Constructor (5, 6)
- State Discount Zero Count (7)
- State Discount Merged Forward Curve #1 (8, 9, 10)
- State Discount Merged Forward Curve - NUM_DF_QUADRATURES (11)
- State Discount Merged Forward Curve - Currency (12, 13)
- State Discount Merged Forward Curve - Epoch Date (14, 15)
- State Discount Merged Forward Curve - Turn List Factor (16)
- State Discount Merged Forward Curve - Constructor (17, 18)
- State Discount Merged Forward Curve - Latent Label (19)
- State Discount Merged Forward Curve - Epoch (20)
- State Discount Merged Forward Curve - Set Turn List Factor (21)
- State Discount Merged Forward Curve - Turn Adjust (22)
- State Discount Merged Forward Curve - Native #1 (23, 24, 25)
- State Discount Merged Forward Curve - Native #2 (26, 27)
- State Discount Merged Forward Curve - Factor (28, 29, 30)
- State Discount Merged Forward Curve - Effective Factor #1 (31, 32, 33)
- State Discount Merged Forward Curve - Effective Factor #2 (34, 35)
- State Discount Merged Forward Curve - Effective Factor #3 (36, 37)
- State Discount Merged Forward Curve #2 (38, 39, 40)
- State Discount Merged Forward Curve - Zero (41, 42, 43)
- State Discount Merged Forward Curve - LIBOR #1 (44, 45)
- State Discount Merged Forward Curve - LIBOR #2 (46, 47)
- State Discount Merged Forward Curve - LIBOR #3 (48, 49)
- State Discount Merged Forward Curve - LIBOR #4 (50, 51)
- State Discount Merged Forward Curve - Par Swap DV01 (52, 53, 54)
- State Discount Merged Forward Curve - Estimate Manifest Measure (55, 56, 57)
- State Discount Merged Forward Curve - Proxy Manifest Measure (58, 59, 60)


Bug Fixes/Re-organization:

Samples:

IdeaDRIP:
Binary file modified ScheduleSheet.xlsx
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10 changes: 5 additions & 5 deletions src/main/java/org/drip/state/curve/DeterministicCollateralChoiceDiscountCurve.java
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Original file line number Diff line number Diff line change
Expand Up @@ -139,10 +139,10 @@ public DeterministicCollateralChoiceDiscountCurve (

if (0 == iNumCollateralizer) return _dcDomesticCollateralized.df (iDate);

if (iDate <= _iEpochDate) return 1.;
if (iDate <= _epochDate) return 1.;

double dblDF = 1.;
int iWorkoutDate = _iEpochDate;
int iWorkoutDate = _epochDate;

while (java.lang.Math.abs (iDate - iWorkoutDate) > _iDiscreteCollateralizationIncrement) {
int iWorkoutEndDate = iWorkoutDate + _iDiscreteCollateralizationIncrement;
Expand Down Expand Up @@ -184,7 +184,7 @@ public DeterministicCollateralChoiceDiscountCurve (
final int iDate2)
throws java.lang.Exception
{
if (iDate1 < _iEpochDate || iDate2 < _iEpochDate) return 0.;
if (iDate1 < _epochDate || iDate2 < _epochDate) return 0.;

return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
}
Expand All @@ -193,9 +193,9 @@ public DeterministicCollateralChoiceDiscountCurve (
final int iDate)
throws java.lang.Exception
{
if (iDate < _iEpochDate) return 0.;
if (iDate < _epochDate) return 0.;

return -365.25 / (iDate - _iEpochDate) * java.lang.Math.log (df (iDate));
return -365.25 / (iDate - _epochDate) * java.lang.Math.log (df (iDate));
}

@Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
Expand Down
8 changes: 4 additions & 4 deletions src/main/java/org/drip/state/curve/DiscountFactorDiscountCurve.java
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Expand Up @@ -296,7 +296,7 @@ public DiscountFactorDiscountCurve (
if (null == aCC) return null;

org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote = _ccis.quoteMap();
mapQuote = _curveConstructionInputSet.quoteMap();

int iNumComp = aCC.length;
double[] adblQuote = new double[iNumComp];
Expand Down Expand Up @@ -331,16 +331,16 @@ public DiscountFactorDiscountCurve (

@Override public org.drip.product.definition.CalibratableComponent[] calibComp()
{
return null == _ccis ? null : _ccis.components();
return null == _curveConstructionInputSet ? null : _curveConstructionInputSet.components();
}

@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
final java.lang.String strInstrumentCode)
{
if (null == _ccis) return null;
if (null == _curveConstructionInputSet) return null;

org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote = _ccis.quoteMap();
mapQuote = _curveConstructionInputSet.quoteMap();

if (null == mapQuote || !mapQuote.containsKey (strInstrumentCode)) return null;

Expand Down
10 changes: 5 additions & 5 deletions src/main/java/org/drip/state/curve/ForeignCollateralizedDiscountCurve.java
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Original file line number Diff line number Diff line change
Expand Up @@ -140,17 +140,17 @@ public ForeignCollateralizedDiscountCurve (
final int iDate)
throws java.lang.Exception
{
return iDate <= _iEpochDate ? 1. : _dcCollateralForeign.df (iDate) * _fxForward.fx (iDate) *
return iDate <= _epochDate ? 1. : _dcCollateralForeign.df (iDate) * _fxForward.fx (iDate) *
java.lang.Math.exp (-1. * org.drip.analytics.support.OptionHelper.IntegratedCrossVolQuanto
(_vcFX, _vcCollateralForeign, _r1r1CollateralForeignFXCorrelation, _iEpochDate, iDate));
(_vcFX, _vcCollateralForeign, _r1r1CollateralForeignFXCorrelation, _epochDate, iDate));
}

@Override public double forward (
final int iDate1,
final int iDate2)
throws java.lang.Exception
{
if (iDate1 < _iEpochDate || iDate2 < _iEpochDate) return 0.;
if (iDate1 < _epochDate || iDate2 < _epochDate) return 0.;

return 365.25 / (iDate2 - iDate1) * java.lang.Math.log (df (iDate1) / df (iDate2));
}
Expand All @@ -159,9 +159,9 @@ public ForeignCollateralizedDiscountCurve (
final int iDate)
throws java.lang.Exception
{
if (iDate < _iEpochDate) return 0.;
if (iDate < _epochDate) return 0.;

return -365.25 / (iDate - _iEpochDate) * java.lang.Math.log (df (iDate));
return -365.25 / (iDate - _epochDate) * java.lang.Math.log (df (iDate));
}

@Override public org.drip.state.forward.ForwardRateEstimator forwardRateEstimator (
Expand Down
8 changes: 4 additions & 4 deletions src/main/java/org/drip/state/discount/ExplicitBootDiscountCurve.java
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Original file line number Diff line number Diff line change
Expand Up @@ -143,21 +143,21 @@ public abstract ExplicitBootDiscountCurve createBasisRateShiftedCurve (
@Override public boolean setCCIS (
final org.drip.analytics.input.CurveConstructionInputSet ccis)
{
return null != (_ccis = ccis);
return null != (_curveConstructionInputSet = ccis);
}

@Override public org.drip.product.definition.CalibratableComponent[] calibComp()
{
return null == _ccis ? null : _ccis.components();
return null == _curveConstructionInputSet ? null : _curveConstructionInputSet.components();
}

@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure (
final java.lang.String strInstrumentCode)
{
if (null == _ccis) return null;
if (null == _curveConstructionInputSet) return null;

org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>>
mapQuote = _ccis.quoteMap();
mapQuote = _curveConstructionInputSet.quoteMap();

if (null == mapQuote || !mapQuote.containsKey (strInstrumentCode)) return null;

Expand Down
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