Features:

- Smoothing vs Shape Preserving Investigations (7, 8) - Convert Default Builds to SMOOTH (9, 10) - Natve Forward IE EI #1 (15, 16) - Natve Forward IE EI #2 (17, 18) - Latent State Tradeable - Shell Implementation (22) - Latent State Tradeable - Repo Rate (23) - Latent State Tradeable - Cash Rate (24) - Tradeable Latent State Evolver Contructor (26, 27, 28) - Latent State Evolver Tradeable Instance (29, 30) - Tradeable Security Repoable Indicator Flag (31) - Primary Security Container Position #1 (33, 34) - Primary Security Container Position #2 (35, 36) - XVA Equity Primary Security Evolver (43) - Scaling Numeraire XVA Evolver Shell (44) - Scaling Numeraire XVA Diffusive Evolver (45) - Scaling Numeraire XVA Evolver Constructor (46, 47) - XVA Evolver Primary Security Numeraire (48) - XVA Evolver Primary Security Label (49, 50) Bug Fixes/Clean-up: - Switch Funding Default -> Financial Spline (11, 12) - Tradeable Latent State Evolver Rename (25) - Tradeable to Primary Security Conversion (32) - XVA Securities and State Evolvers (37) - Primary Security Latent State Evolvers (38, 39) - XVA Latent State Evolution Container (40) - Terminal XVA Latent State Evolver (41, 42) - Vertex Date Builder Analytics Support (44) Samples: - Aizawl Bond Metrics #1 (1, 2) - Aizawl Bond Metrics #2 (3, 4) - Aizawl Bond Metrics #3 (5, 6) - QUARTIC/QUINTIC Funding Spline Curves (13, 14) - Aizawl Bond Metrics #4 (19, 20, 21) - Correlated Numeraire XVA Attribution (51, 52) - Correlated Numeraire XVA Greeks (53, 54) - Correlated Numeraire XVA Explain (55, 56) - Correlated Numeraire XVA Replication Portfolio (57, 58) - Burgard 2011 XVA Explain (59, 60) - Burgard 2011 XVA Greeks (61, 62) - Burgard 2011 XVA Market Generation (63, 64) - Burgard 2011 XVA Replication Portfolio (65, 66)
lakshmiDRIP · Feb 2, 2018 · 9b5f783 · 9b5f783
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diff --git a/ReleaseNotes/02_12_2018.txt b/ReleaseNotes/02_12_2018.txt
@@ -0,0 +1,50 @@
+
+Features:
+
+	- Smoothing vs Shape Preserving Investigations (7, 8)
+	- Convert Default Builds to SMOOTH (9, 10)
+	- Natve Forward IE EI #1 (15, 16)
+	- Natve Forward IE EI #2 (17, 18)
+	- Latent State Tradeable - Shell Implementation (22)
+	- Latent State Tradeable - Repo Rate (23)
+	- Latent State Tradeable - Cash Rate (24)
+	- Tradeable Latent State Evolver Contructor (26, 27, 28)
+	- Latent State Evolver Tradeable Instance (29, 30)
+	- Tradeable Security Repoable Indicator Flag (31)
+	- Primary Security Container Position #1 (33, 34)
+	- Primary Security Container Position #2 (35, 36)
+	- XVA Equity Primary Security Evolver (43)
+	- Scaling Numeraire XVA Evolver Shell (44)
+	- Scaling Numeraire XVA Diffusive Evolver (45)
+	- Scaling Numeraire XVA Evolver Constructor (46, 47)
+	- XVA Evolver Primary Security Numeraire (48)
+	- XVA Evolver Primary Security Label (49, 50)
+
+
+Bug Fixes/Clean-up:
+
+	- Switch Funding Default -> Financial Spline (11, 12)
+	- Tradeable Latent State Evolver Rename (25)
+	- Tradeable to Primary Security Conversion (32)
+	- XVA Securities and State Evolvers (37)
+	- Primary Security Latent State Evolvers (38, 39)
+	- XVA Latent State Evolution Container (40)
+	- Terminal XVA Latent State Evolver (41, 42)
+	- Vertex Date Builder Analytics Support (44)
+
+
+Samples:
+
+	- Aizawl Bond Metrics #1 (1, 2)
+	- Aizawl Bond Metrics #2 (3, 4)
+	- Aizawl Bond Metrics #3 (5, 6)
+	- QUARTIC/QUINTIC Funding Spline Curves (13, 14)
+	- Aizawl Bond Metrics #4 (19, 20, 21)
+	- Correlated Numeraire XVA Attribution (51, 52)
+	- Correlated Numeraire XVA Greeks (53, 54)
+	- Correlated Numeraire XVA Explain (55, 56)
+	- Correlated Numeraire XVA Replication Portfolio (57, 58)
+	- Burgard 2011 XVA Explain (59, 60)
+	- Burgard 2011 XVA Greeks (61, 62)
+	- Burgard 2011 XVA Market Generation (63, 64)
+	- Burgard 2011 XVA Replication Portfolio (65, 66)
diff --git a/.../drip/xva/universe/VertexDateBuilder.java → .../analytics/support/VertexDateBuilder.java b/.../drip/xva/universe/VertexDateBuilder.java → .../analytics/support/VertexDateBuilder.java
@@ -1,5 +1,5 @@
 
-package org.drip.xva.universe;
+package org.drip.analytics.support;
 
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-

diff --git a/src/main/java/org/drip/sample/bondmetrics/Aizawl.java b/src/main/java/org/drip/sample/bondmetrics/Aizawl.java
@@ -0,0 +1,247 @@
+
+package org.drip.sample.bondmetrics;
+
+import org.drip.analytics.date.*;
+import org.drip.product.creator.BondBuilder;
+import org.drip.product.credit.BondComponent;
+import org.drip.service.env.EnvManager;
+import org.drip.service.scenario.*;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ *  	libraries targeting analysts and developers
+ *  	https://lakshmidrip.github.io/DRIP/
+ *  
+ *  DRIP is composed of four main libraries:
+ *  
+ *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ *  	Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ *  	Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ *  	Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ *  	Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ *  	Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ *  Licensed under the Apache License, Version 2.0 (the "License");
+ *   	you may not use this file except in compliance with the License.
+ *   
+ *  You may obtain a copy of the License at
+ *  	http://www.apache.org/licenses/LICENSE-2.0
+ *  
+ *  Unless required by applicable law or agreed to in writing, software
+ *  	distributed under the License is distributed on an "AS IS" BASIS,
+ *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ *  
+ *  See the License for the specific language governing permissions and
+ *  	limitations under the License.
+ */
+
+/**
+ * Aizawl demonstrates the Analytics Calculation/Reconciliation for the Bond Aizawl.
+ * 
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class Aizawl {
+
+	public static final void main (
+		final String[] astArgs)
+		throws Exception
+	{
+		EnvManager.InitEnv (
+			"",
+			true
+		);
+
+		JulianDate dtSpot = DateUtil.CreateFromYMD (
+			2018,
+			DateUtil.JANUARY,
+			30
+		);
+
+		String[] astrDepositTenor = new String[] {
+			"2D"
+		};
+
+		double[] adblDepositQuote = new double[] {
+			0.0130411 // 2D
+		};
+
+		double[] adblFuturesQuote = new double[] {
+			0.01345,	// 98.655
+			0.01470,	// 98.530
+			0.01575,	// 98.425
+			0.01660,	// 98.340
+			0.01745,    // 98.255
+			0.01845     // 98.155
+		};
+
+		String[] astrFixFloatTenor = new String[] {
+			"02Y",
+			"03Y",
+			"04Y",
+			"05Y",
+			"06Y",
+			"07Y",
+			"08Y",
+			"09Y",
+			"10Y",
+			"11Y",
+			"12Y",
+			"15Y",
+			"20Y",
+			"25Y",
+			"30Y",
+			"40Y",
+			"50Y"
+		};
+
+		String[] astrGovvieTenor = new String[] {
+			"1Y",
+			"2Y",
+			"3Y",
+			"5Y",
+			"7Y",
+			"10Y",
+			"20Y",
+			"30Y"
+		};
+
+		double[] adblFixFloatQuote = new double[] {
+			0.016410, //  2Y
+			0.017863, //  3Y
+			0.019030, //  4Y
+			0.020035, //  5Y
+			0.020902, //  6Y
+			0.021660, //  7Y
+			0.022307, //  8Y
+			0.022879, //  9Y
+			0.023363, // 10Y
+			0.023820, // 11Y
+			0.024172, // 12Y
+			0.024934, // 15Y
+			0.025581, // 20Y
+			0.025906, // 25Y
+			0.025973, // 30Y
+			0.025838, // 40Y
+			0.025560  // 50Y
+		};
+
+		double[] adblGovvieYield = new double[] {
+			0.01219, //  1Y
+			0.01391, //  2Y
+			0.01590, //  3Y
+			0.01937, //  5Y
+			0.02200, //  7Y
+			0.02378, // 10Y
+			0.02677, // 20Y
+			0.02927  // 30Y
+		};
+
+		String[] astrCreditTenor = new String[] {
+			"06M",
+			"01Y",
+			"02Y",
+			"03Y",
+			"04Y",
+			"05Y",
+			"07Y",
+			"10Y"
+		};
+
+		double[] adblCreditQuote = new double[] {
+			 60.,	//  6M
+			 68.,	//  1Y
+			 88.,	//  2Y
+			102.,	//  3Y
+			121.,	//  4Y
+			138.,	//  5Y
+			168.,	//  7Y
+			188.	// 10Y
+		};
+
+		double dblFX = 1.;
+		int iSettleLag = 3;
+		int iCouponFreq = 2;
+		String strName = "Aizawl";
+		double dblCleanPrice = 1.028625;
+		double dblIssuePrice = 1.;
+		String strCurrency = "USD";
+		double dblSpreadBump = 20.;
+		double dblCouponRate = 0.05;
+		double dblIssueAmount = 1.0;
+		String strTreasuryCode = "UST";
+		String strCouponDayCount = "30/360";
+		double dblSpreadDurationMultiplier = 5.;
+
+		JulianDate dtEffective = DateUtil.CreateFromYMD (
+			2017,
+			9,
+			21
+		);
+
+		JulianDate dtMaturity = DateUtil.CreateFromYMD (
+			2037,
+			3,
+			21
+		);
+
+		BondComponent bond = BondBuilder.CreateSimpleFixed (
+			strName,
+			strCurrency,
+			strName,
+			dblCouponRate,
+			iCouponFreq,
+			strCouponDayCount,
+			dtEffective,
+			dtMaturity,
+			null,
+			null
+		);
+
+		BondReplicator abr = BondReplicator.CorporateSenior (
+			dblCleanPrice,
+			dblIssuePrice,
+			dblIssueAmount,
+			dtSpot,
+			astrDepositTenor,
+			adblDepositQuote,
+			adblFuturesQuote,
+			astrFixFloatTenor,
+			adblFixFloatQuote,
+			dblSpreadBump,
+			dblSpreadDurationMultiplier,
+			strTreasuryCode,
+			astrGovvieTenor,
+			adblGovvieYield,
+			astrCreditTenor,
+			adblCreditQuote,
+			dblFX,
+			Double.NaN,
+			iSettleLag,
+			bond
+		);
+
+		BondReplicationRun abrr = abr.generateRun();
+
+		System.out.println (abrr.display());
+
+		EnvManager.TerminateEnv();
+	}
+}