Features:

- Latent State Dynamics Container Ratings (5, 6) - Latent State Dynamics Container Repo (7, 8) - Latent State Dynamics Container Pay Down (9, 10) - Latent State Dynamics Container Custom (11, 12) - Dynamics Container Primary Security ID (13, 14) - Primary Security Dynamics Container CSA (15) - Primary Security Dynamics Container Overnight (16) - Primary Security Dynamics Container Position (17) - Primary Security Dynamics Container Senior (18) - Primary Security Dynamics Container Subordinate (19) - Primary Security Dynamics Container CPTY (20) - Flat Forward Discount Curve Revert (31, 32) - Bond Replicator Funding Curve Basis (33, 34) - Tenor Base Floater Price #1 (35, 36) - Tenor Base Floater Price #2 (37, 38) - Latent State Label Container #1 (79, 80) - Latent State Label Container #2 (81, 82) - Latent State Label Container #3 (83, 84) - Latent State Label Container #4 (85, 86) - Latent State Label Container #5 (87, 88) - Latent State Label Container #6 (89, 90) - Latent State Label Container #7 (91) - Entity Equity Terminal Latent State (92) - Funding Terminal Latent State Evolver (93) - Govvie Terminal Latent State Evolver (94) - FX Terminal Latent State Evolver (95) - Forward Terminal Latent State Evolver (96) - OTC Fix Float Latent Evolver (97) - Overnight Terminal Latent State Evolver (98) - Collateral Terminal Latent State Evolver (99) - CSA Terminal Latent State Evolver (100) - Entity Hazard Latent State Evolver (101) - Entity Credit Latent State Evolver (102) - Entity Recovery Latent State Evolver (103) - Entity Funding Latent State Evolver (104) - Volatility Terminal Latent State Evolver (105) - Rating Terminal Latent State Evolver (106) - Repo Terminal Latent State Evolver (107) - Pay Down Terminal Latent State Evolver (108) - Custom Terminal Latent State Evolver (109) Bug Fixes/Clean-up: - Primary Security Dynamkics Container Rename (1) - Dynamics Container - Evolver Entry Map (2) - Latent State Dynamics Container Maps (3, 4) Samples: - Correlated Numeraire XVA Attribution #1 (21) - Correlated Numeraire XVA Explain #1 (22) - Correlated Numeraire XVA Greeks #1 (23) - Correlated Numeraire XVA Replication Portfolio #1 (24) - Burgard 2011 XVA Market Generation #1 (25) - Burgard 2011 XVA Explain #1 (26) - Burgard 2011 XVA Greeks #1 (27) - Burgard 2011 XVA Replication Portfolio #1 (28) - Euler Trajectory Evolution Scheme (29) - Albanese Andersen Basel Proxy (30) - Alwar Floater Loan Metrics (39) - Avadi Floater Loan Metrics (40) - Bardhaman Floater Loan Metrics (41) - Bijapur Floater Loan Metrics (42) - Bilaspur Floater Loan Metrics (43) - Chandrapur Floater Loan Metrics (44) - Junagadh Floater Loan Metrics (45) - Kadapa Floater Loan Metrics (46) - Kakinada Floater Loan Metrics (47) - Kollam Floater Loan Metrics (48) - Kulti Floater Loan Metrics (49) - Nizamabad Floater Loan Metrics (50) - Rampur Floater Loan Metrics (51) - Sambalpur Floater Loan Metrics (52) - Satara Floater Loan Metrics (53) - Shahjahanpur Floater Loan Metrics (54) - Shivamogga Floater Loan Metrics (55) - Thrissur Floater Loan Metrics (56) - Asansol Floater Loan Metrics (57) - Agartala Floater Loan Metrics (58) - Ahmedabad Floater Loan Metrics (59) - Aizawl Floater Loan Metrics (60) - Ajmer Floater Loan Metrics (61) - Akola Floater Loan Metrics (62) - Ambattur Floater Loan Metrics (63) - Bally Floater Loan Metrics (64) - Belgaum Floater Loan Metrics (65) - Bellary Floater Loan Metrics (66) - Bengaluru Floater Loan Metrics (67) - Bhagalpur Floater Loan Metrics (68) - Bhatpara Floater Loan Metrics (69) - Bhilai Floater Loan Metrics (70) - Bokaro Floater Loan Metrics (71) - Chennai Floater Loan Metrics (72) - Coimbatore Floater Loan Metrics (73) - Darbhanga Floater Loan Metrics (74) - Delhi Floater Loan Metrics (75) - Dewas Floater Loan Metrics (76) - Dumdum Floater Loan Metrics (77) - Durgapur Floater Loan Metrics (78)
lakshmiDRIP · Feb 14, 2018 · 6f125da · 6f125da
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diff --git a/ReleaseNotes/02_26_2018.txt b/ReleaseNotes/02_26_2018.txt
@@ -0,0 +1,104 @@
+
+Features:
+
+	- Latent State Dynamics Container Ratings (5, 6)
+	- Latent State Dynamics Container Repo (7, 8)
+	- Latent State Dynamics Container Pay Down (9, 10)
+	- Latent State Dynamics Container Custom (11, 12)
+	- Dynamics Container Primary Security ID (13, 14)
+	- Primary Security Dynamics Container CSA (15)
+	- Primary Security Dynamics Container Overnight (16)
+	- Primary Security Dynamics Container Position (17)
+	- Primary Security Dynamics Container Senior (18)
+	- Primary Security Dynamics Container Subordinate (19)
+	- Primary Security Dynamics Container CPTY (20)
+	- Flat Forward Discount Curve Revert (31, 32)
+	- Bond Replicator Funding Curve Basis (33, 34)
+	- Tenor Base Floater Price #1 (35, 36)
+	- Tenor Base Floater Price #2 (37, 38)
+	- Latent State Label Container #1 (79, 80)
+	- Latent State Label Container #2 (81, 82)
+	- Latent State Label Container #3 (83, 84)
+	- Latent State Label Container #4 (85, 86)
+	- Latent State Label Container #5 (87, 88)
+	- Latent State Label Container #6 (89, 90)
+	- Latent State Label Container #7 (91)
+	- Entity Equity Terminal Latent State (92)
+	- Funding Terminal Latent State Evolver (93)
+	- Govvie Terminal Latent State Evolver (94)
+	- FX Terminal Latent State Evolver (95)
+	- Forward Terminal Latent State Evolver (96)
+	- OTC Fix Float Latent Evolver (97)
+	- Overnight Terminal Latent State Evolver (98)
+	- Collateral Terminal Latent State Evolver (99)
+	- CSA Terminal Latent State Evolver (100)
+	- Entity Hazard Latent State Evolver (101)
+	- Entity Credit Latent State Evolver (102)
+	- Entity Recovery Latent State Evolver (103)
+	- Entity Funding Latent State Evolver (104)
+	- Volatility Terminal Latent State Evolver (105)
+	- Rating Terminal Latent State Evolver (106)
+	- Repo Terminal Latent State Evolver (107)
+	- Pay Down Terminal Latent State Evolver (108)
+	- Custom Terminal Latent State Evolver (109)
+
+
+Bug Fixes/Clean-up:
+
+	- Primary Security Dynamkics Container Rename (1)
+	- Dynamics Container - Evolver Entry Map (2)
+	- Latent State Dynamics Container Maps (3, 4)
+
+
+Samples:
+
+	- Correlated Numeraire XVA Attribution #1 (21)
+	- Correlated Numeraire XVA Explain #1 (22)
+	- Correlated Numeraire XVA Greeks #1 (23)
+	- Correlated Numeraire XVA Replication Portfolio #1 (24)
+	- Burgard 2011 XVA Market Generation #1 (25)
+	- Burgard 2011 XVA Explain #1 (26)
+	- Burgard 2011 XVA Greeks #1 (27)
+	- Burgard 2011 XVA Replication Portfolio #1 (28)
+	- Euler Trajectory Evolution Scheme (29)
+	- Albanese Andersen Basel Proxy (30)
+	- Alwar Floater Loan Metrics (39)
+	- Avadi Floater Loan Metrics (40)
+	- Bardhaman Floater Loan Metrics (41)
+	- Bijapur Floater Loan Metrics (42)
+	- Bilaspur Floater Loan Metrics (43)
+	- Chandrapur Floater Loan Metrics (44)
+	- Junagadh Floater Loan Metrics (45)
+	- Kadapa Floater Loan Metrics (46)
+	- Kakinada Floater Loan Metrics (47)
+	- Kollam Floater Loan Metrics (48)
+	- Kulti Floater Loan Metrics (49)
+	- Nizamabad Floater Loan Metrics (50)
+	- Rampur Floater Loan Metrics (51)
+	- Sambalpur Floater Loan Metrics (52)
+	- Satara Floater Loan Metrics (53)
+	- Shahjahanpur Floater Loan Metrics (54)
+	- Shivamogga Floater Loan Metrics (55)
+	- Thrissur Floater Loan Metrics (56)
+	- Asansol Floater Loan Metrics (57)
+	- Agartala Floater Loan Metrics (58)
+	- Ahmedabad Floater Loan Metrics (59)
+	- Aizawl Floater Loan Metrics (60)
+	- Ajmer Floater Loan Metrics (61)
+	- Akola Floater Loan Metrics (62)
+	- Ambattur Floater Loan Metrics (63)
+	- Bally Floater Loan Metrics (64)
+	- Belgaum Floater Loan Metrics (65)
+	- Bellary Floater Loan Metrics (66)
+	- Bengaluru Floater Loan Metrics (67)
+	- Bhagalpur Floater Loan Metrics (68)
+	- Bhatpara Floater Loan Metrics (69)
+	- Bhilai Floater Loan Metrics (70)
+	- Bokaro Floater Loan Metrics (71)
+	- Chennai Floater Loan Metrics (72)
+	- Coimbatore Floater Loan Metrics (73)
+	- Darbhanga Floater Loan Metrics (74)
+	- Delhi Floater Loan Metrics (75)
+	- Dewas Floater Loan Metrics (76)
+	- Dumdum Floater Loan Metrics (77)
+	- Durgapur Floater Loan Metrics (78)
diff --git a/src/main/java/org/drip/analytics/date/DateTime.java b/src/main/java/org/drip/analytics/date/DateTime.java
@@ -70,7 +70,7 @@ public class DateTime {
 	/**
 	 * Default constructor initializes the time and date to the current time and current date.
 	 * 
-	 * @throws java.lang.Exception Thrown if the DateTime Instance cnnot be created
+	 * @throws java.lang.Exception Thrown if the DateTime Instance cannot be created
 	 */
 
 	public DateTime()

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java
@@ -429,7 +429,7 @@ public static final void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java
@@ -108,7 +108,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblTime = dblTimeStart + dblTimeWidth;
 
-		PrimarySecurityContainer tc = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tc = tes.tradeablesContainer();
 
 		double dblCollateralSchemeNumeraire = mvStart.csaReplicator();
 
@@ -430,7 +430,7 @@ public static final void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java
@@ -108,7 +108,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblTime = dblTimeStart + dblTimeWidth;
 
-		PrimarySecurityContainer tcm = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tcm = tes.tradeablesContainer();
 
 		double dblCollateralSchemeNumeraire = mvStart.csaReplicator();
 
@@ -428,7 +428,7 @@ public static final void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java
@@ -109,7 +109,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblTime = dblTimeStart + dblTimeWidth;
 
-		PrimarySecurityContainer tc = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tc = tes.tradeablesContainer();
 
 		BurgardKjaerEdgeRun bker = bko.edgeRun (
 			new MarketEdge (
@@ -428,7 +428,7 @@ public static final void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAExplain.java b/src/main/java/org/drip/sample/burgard2011/XVAExplain.java
@@ -107,7 +107,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblTime = dblTimeStart + dblTimeWidth;
 
-		PrimarySecurityContainer tc = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tc = tes.tradeablesContainer();
 
 		double dblCollateralSchemeNumeraire = mvStart.csaReplicator();
 
@@ -430,7 +430,7 @@ public static void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java
@@ -107,7 +107,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblTime = dblTimeStart + dblTimeWidth;
 
-		PrimarySecurityContainer tc = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tc = tes.tradeablesContainer();
 
 		double dblCollateralSchemeNumeraire = mvStart.csaReplicator();
 
@@ -419,7 +419,7 @@ public static void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAMarketGeneration.java b/src/main/java/org/drip/sample/burgard2011/XVAMarketGeneration.java
@@ -299,7 +299,7 @@ public static final void main (
 		MarketVertexGenerator mvg = new MarketVertexGenerator (
 			iSpotDate,
 			aiVertexDate,
-			new PrimarySecurityContainer (
+			new PrimarySecurityDynamicsContainer (
 				tAsset,
 				tOvernightIndex,
 				tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/XVAReplicationPortfolio.java
@@ -109,7 +109,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblCollateralSchemeNumeraire = mvStart.csaReplicator();
 
-		PrimarySecurityContainer tc = tes.tradeablesContainer();
+		PrimarySecurityDynamicsContainer tc = tes.tradeablesContainer();
 
 		BurgardKjaerEdgeRun bker = bko.edgeRun (
 			new MarketEdge (
@@ -429,7 +429,7 @@ public static void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/burgard2012/EulerTrajectoryEvolutionScheme.java b/src/main/java/org/drip/sample/burgard2012/EulerTrajectoryEvolutionScheme.java
@@ -304,7 +304,7 @@ public static final void main (
 			iNumVertex
 		);
 
-		PrimarySecurityContainer tc = new PrimarySecurityContainer (
+		PrimarySecurityDynamicsContainer tc = new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java
@@ -88,7 +88,7 @@
 public class AlbaneseAndersenBaselProxy
 {
 
-	private static final PrimarySecurityContainer GenerateTradeablesContainer (
+	private static final PrimarySecurityDynamicsContainer GenerateTradeablesContainer (
 		final String eventTenor,
 		final int eventCount,
 		final int iTerminationDate,
@@ -228,7 +228,7 @@ private static final PrimarySecurityContainer GenerateTradeablesContainer (
 			dblCounterPartyFundingNumeraireRepo
 		);
 
-		return new PrimarySecurityContainer (
+		return new PrimarySecurityDynamicsContainer (
 			tAsset,
 			tOvernightIndex,
 			tCollateralScheme,

diff --git a/src/main/java/org/drip/service/env/BuildManager.java b/src/main/java/org/drip/service/env/BuildManager.java
@@ -69,6 +69,11 @@ public static final boolean Init()
 
 		try {
 			s_aBuildRecord = new org.drip.service.env.BuildRecord[] {
+				new org.drip.service.env.BuildRecord (
+					"3.32.0",
+					"1.8.0_112",
+					"Sat Feb 10 23:20:26 EST 2018"
+				),
 				new org.drip.service.env.BuildRecord (
 					"3.31.0",
 					"1.8.0_112",

diff --git a/src/main/java/org/drip/service/scenario/BondReplicator.java b/src/main/java/org/drip/service/scenario/BondReplicator.java
@@ -1721,11 +1721,13 @@ public org.drip.service.scenario.BondReplicationRun generateRun()
 						(_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
 							dblParZSpreadToExercise);
 
+				double dblBaseFloaterPrice = 0.5 * (dblTenorFundingDownPrice + dblTenorFundingUpPrice);
+
 				mapFundingKRD.put (strKey, 0.5 * (dblTenorFundingDownPrice - dblTenorFundingUpPrice) /
-					_dblCurrentPrice / _dblTenorBump);
+					(_bond.isFloater() ? dblBaseFloaterPrice : _dblCurrentPrice) / _dblTenorBump);
 
 				mapFundingKPRD.put (strKey, 0.5 * (dblTenorFundingDownParPrice - dblTenorFundingUpParPrice) /
-					_dblIssuePrice / _dblTenorBump);
+					(_bond.isFloater() ? dblBaseFloaterPrice : _dblIssuePrice) / _dblTenorBump);
 			}
 
 			for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>
@@ -1756,11 +1758,13 @@ public org.drip.service.scenario.BondReplicationRun generateRun()
 						(_valParams, csqcTenorDown, null, iWorkoutDate, dblWorkoutFactor,
 							dblParZSpreadToExercise);
 
+				double dblBaseFloaterPrice = 0.5 * (dblTenorForwardDownPrice + dblTenorForwardUpPrice);
+
 				mapLIBORKRD.put (strKey, 0.5 * (dblTenorForwardDownPrice - dblTenorForwardUpPrice) /
-					_dblCurrentPrice / _dblTenorBump);
+					(_bond.isFloater() ? dblBaseFloaterPrice : _dblCurrentPrice) / _dblTenorBump);
 
 				mapLIBORKPRD.put (strKey, 0.5 * (dblTenorForwardDownParPrice - dblTenorForwardUpParPrice) /
-					_dblIssuePrice / _dblTenorBump);
+					(_bond.isFloater() ? dblBaseFloaterPrice : _dblIssuePrice) / _dblTenorBump);
 			}
 
 			for (java.util.Map.Entry<java.lang.String, org.drip.param.market.CurveSurfaceQuoteContainer>

diff --git a/src/main/java/org/drip/state/nonlinear/FlatForwardDiscountCurve.java b/src/main/java/org/drip/state/nonlinear/FlatForwardDiscountCurve.java
@@ -272,9 +272,9 @@ public java.lang.String compoundingDayCount()
 
 		while (i < iNumDate && (int) iDate >= (int) _aiDate[i]) {
 			if (_bDiscreteCompounding)
-				/* dblDF *= java.lang.Math.pow (1. + (_adblForwardRate[i] / _iCompoundingFreq), -1. * yearFract
-					(iStartDate, _aiDate[i]) * _iCompoundingFreq); */
-				dblDF /= (1. + (_adblForwardRate[i] * yearFract (iStartDate, _aiDate[i])));
+				dblDF *= java.lang.Math.pow (1. + (_adblForwardRate[i] / _iCompoundingFreq), -1. * yearFract
+					(iStartDate, _aiDate[i]) * _iCompoundingFreq);
+				// dblDF /= (1. + (_adblForwardRate[i] * yearFract (iStartDate, _aiDate[i])));
 			else
 				dblExpArg -= _adblForwardRate[i] * yearFract (iStartDate, _aiDate[i]);
 
@@ -284,9 +284,9 @@ public java.lang.String compoundingDayCount()
 		if (i >= iNumDate) i = iNumDate - 1;
 
 		if (_bDiscreteCompounding)
-			/* dblDF *= java.lang.Math.pow (1. + (_adblForwardRate[i] / _iCompoundingFreq), -1. * yearFract
-				(iStartDate, iDate) * _iCompoundingFreq); */
-			dblDF /= (1. + (_adblForwardRate[i] * yearFract (iStartDate, iDate)));
+			dblDF *= java.lang.Math.pow (1. + (_adblForwardRate[i] / _iCompoundingFreq), -1. * yearFract
+				(iStartDate, iDate) * _iCompoundingFreq);
+			// dblDF /= (1. + (_adblForwardRate[i] * yearFract (iStartDate, iDate)));
 		else
 			dblExpArg -= _adblForwardRate[i] * yearFract (iStartDate, iDate);