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	- CDGS Bank Hazard Rate Label (7)
	- CDGS Bank Recovery Rate Label (8, 9)
	- CDGS Counter Party Hazard Label (10)
	- CDGS Counter Party Recovery Label (11)
	- Credit Debt Group Specification Constructor (12, 13, 14)
	- Credit Debt Group Specification Static (17)


Bug Fixes/Clean-up:

	- Eliminate Position Group Specification Container (1)
	- Eliminate XVA Group Specification Container (2, 3)
	- Set Into Proto Package Transform (4)
	- Credit Debt Netting Group Sepcification (5)
	- Market Entity Evolver Dynamics Container (6)


Samples:

	- Albanese Andersen Basel Proxy (15, 16)
	- Set Off Basel Proxy (18)
	- Semi Replication Basel Proxy (19)
	- One Way Basel Proxy (20)
	- Hedge Error Basel Proxy (21)
	- Gold Plated Basel Proxy (22)
	- USD Broken Date LIBOR Forward (23)
	- EUR Broken Date LIBOR #1 (24, 25)
	- EUR Broken Date LIBOR #2 (26, 27)
	- EUR Broken Date LIBOR #3 (28, 29)
	- Bond Sink Metrics IchalKaranji #1 (30, 31)
	- Bond Sink Metrics IchalKaranji #2 (32, 33)
	- Bond Sink Metrics IchalKaranji #3 (34, 35)
	- Bond Sink Metrics IchalKaranji #4 (36, 37)
	- Bond Sink Metrics IchalKaranji #5 (38, 39)
	- Bond Sink Metrics IchalKaranji #6 (40, 41)
	- Bond Sink Metrics IchalKaranji #7 (42, 43)
	- Bond Sink Metrics IchalKaranji #8 (44, 45)
	- Bond Sink Metrics IchalKaranji #9 (46, 47)
	- Bond Sink Metrics IchalKaranji #10 (48, 49)
	- Bond Sink Metrics IchalKaranji #11 (50, 51)
	- Bond Sink Metrics IchalKaranji #12 (52, 53)
	- Bond Sink Metrics IchalKaranji #13 (54, 55)
	- Bond Sink Metrics IchalKaranji #14 (56, 57)
	- Bond Sink Metrics IchalKaranji #15 (58, 59)
	- Bond Sink Metrics IchalKaranji #16 (60, 61)
	- Bond Sink Metrics IchalKaranji #17 (62, 63)
	- Bond Sink Metrics IchalKaranji #18 (64, 65)
	- Bond Sink Metrics Aligarh #1 (66, 67)
	- Bond Sink Metrics Aligarh #2 (68, 69)
	- Bond Sink Metrics Amaravati #1 (70, 71)
	- Bond Sink Metrics Amaravati #2 (72, 73)
	- Bond Sink Metrics Amaravati #3 (74, 75)
	- Bond Sink Metrics Amaravati #4 (76, 77)
	- Bond Sink Metrics Amaravati #5 (78, 79)
	- Bond Sink Metrics Bhavnagar #1 (80, 81)
	- Bond Sink Metrics Bhavnagar #2 (82, 83)
	- Bond Sink Metrics Bhiwandi #1 (84, 85)
	- Bond Sink Metrics Bhiwandi #2 (86, 87)
	- Bond Sink Metrics Bhubaneshwar #1 (88, 89)
	- Bond Sink Metrics Bhubaneshwar #2 (90, 91)
	- Bond Sink Metrics Bikaner #1 (92, 93)
	- Bond Sink Metrics Bikaner #2 (94, 95)
	- Bond Sink Metrics Cuttack #1 (96, 97)
	- Bond Sink Metrics Cuttack #2 (98, 99)
	- Bond Sink Metrics Dehradun #1 (100, 101)
	- Bond Sink Metrics Dehradun #2 (102, 103)
	- Bond Sink Metrics Firozabad #1 (104, 105)
	- Bond Sink Metrics Firozabad #2 (106, 107)
	- Bond Sink Metrics Gorakhpur #1 (108, 109)
	- Bond Sink Metrics Gorakhpur #2 (110, 111)
	- Bond Sink Metrics Guntur #1 (112, 113)
	- Bond Sink Metrics Guntur #2 (114, 115)
	- Bond Sink Metrics Mira Bhayandar #1 (116, 117)
	- Bond Sink Metrics Mira Bhayandar #2 (118, 119)
	- Bond Sink Metrics Nellore #1 (120, 121)
	- Bond Sink Metrics Nellore #2 (122, 123)
	- Bond Sink Metrics Saharanpur #1 (124, 125)
	- Bond Sink Metrics Saharanpur #2 (126, 127)
	- Bond Sink Metrics Salem #1 (128, 129)
	- Bond Sink Metrics Salem #2 (130, 131)
	- Bond Sink Metrics Warangal #1 (132, 133)
	- Bond Sink Metrics Warangal #2 (134, 135)
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@lakshmiDRIP
lakshmiDRIP committed Mar 1, 2018
1 parent a4c4388 commit e966f83
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85 changes: 85 additions & 0 deletions ReleaseNotes/03_12_2018.txt
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Original file line number Diff line number Diff line change
@@ -0,0 +1,85 @@

Features:

- CDGS Bank Hazard Rate Label (7)
- CDGS Bank Recovery Rate Label (8, 9)
- CDGS Counter Party Hazard Label (10)
- CDGS Counter Party Recovery Label (11)
- Credit Debt Group Specification Constructor (12, 13, 14)
- Credit Debt Group Specification Static (17)


Bug Fixes/Clean-up:

- Eliminate Position Group Specification Container (1)
- Eliminate XVA Group Specification Container (2, 3)
- Set Into Proto Package Transform (4)
- Credit Debt Netting Group Sepcification (5)
- Market Entity Evolver Dynamics Container (6)


Samples:

- Albanese Andersen Basel Proxy (15, 16)
- Set Off Basel Proxy (18)
- Semi Replication Basel Proxy (19)
- One Way Basel Proxy (20)
- Hedge Error Basel Proxy (21)
- Gold Plated Basel Proxy (22)
- USD Broken Date LIBOR Forward (23)
- EUR Broken Date LIBOR #1 (24, 25)
- EUR Broken Date LIBOR #2 (26, 27)
- EUR Broken Date LIBOR #3 (28, 29)
- Bond Sink Metrics IchalKaranji #1 (30, 31)
- Bond Sink Metrics IchalKaranji #2 (32, 33)
- Bond Sink Metrics IchalKaranji #3 (34, 35)
- Bond Sink Metrics IchalKaranji #4 (36, 37)
- Bond Sink Metrics IchalKaranji #5 (38, 39)
- Bond Sink Metrics IchalKaranji #6 (40, 41)
- Bond Sink Metrics IchalKaranji #7 (42, 43)
- Bond Sink Metrics IchalKaranji #8 (44, 45)
- Bond Sink Metrics IchalKaranji #9 (46, 47)
- Bond Sink Metrics IchalKaranji #10 (48, 49)
- Bond Sink Metrics IchalKaranji #11 (50, 51)
- Bond Sink Metrics IchalKaranji #12 (52, 53)
- Bond Sink Metrics IchalKaranji #13 (54, 55)
- Bond Sink Metrics IchalKaranji #14 (56, 57)
- Bond Sink Metrics IchalKaranji #15 (58, 59)
- Bond Sink Metrics IchalKaranji #16 (60, 61)
- Bond Sink Metrics IchalKaranji #17 (62, 63)
- Bond Sink Metrics IchalKaranji #18 (64, 65)
- Bond Sink Metrics Aligarh #1 (66, 67)
- Bond Sink Metrics Aligarh #2 (68, 69)
- Bond Sink Metrics Amaravati #1 (70, 71)
- Bond Sink Metrics Amaravati #2 (72, 73)
- Bond Sink Metrics Amaravati #3 (74, 75)
- Bond Sink Metrics Amaravati #4 (76, 77)
- Bond Sink Metrics Amaravati #5 (78, 79)
- Bond Sink Metrics Bhavnagar #1 (80, 81)
- Bond Sink Metrics Bhavnagar #2 (82, 83)
- Bond Sink Metrics Bhiwandi #1 (84, 85)
- Bond Sink Metrics Bhiwandi #2 (86, 87)
- Bond Sink Metrics Bhubaneshwar #1 (88, 89)
- Bond Sink Metrics Bhubaneshwar #2 (90, 91)
- Bond Sink Metrics Bikaner #1 (92, 93)
- Bond Sink Metrics Bikaner #2 (94, 95)
- Bond Sink Metrics Cuttack #1 (96, 97)
- Bond Sink Metrics Cuttack #2 (98, 99)
- Bond Sink Metrics Dehradun #1 (100, 101)
- Bond Sink Metrics Dehradun #2 (102, 103)
- Bond Sink Metrics Firozabad #1 (104, 105)
- Bond Sink Metrics Firozabad #2 (106, 107)
- Bond Sink Metrics Gorakhpur #1 (108, 109)
- Bond Sink Metrics Gorakhpur #2 (110, 111)
- Bond Sink Metrics Guntur #1 (112, 113)
- Bond Sink Metrics Guntur #2 (114, 115)
- Bond Sink Metrics Mira Bhayandar #1 (116, 117)
- Bond Sink Metrics Mira Bhayandar #2 (118, 119)
- Bond Sink Metrics Nellore #1 (120, 121)
- Bond Sink Metrics Nellore #2 (122, 123)
- Bond Sink Metrics Saharanpur #1 (124, 125)
- Bond Sink Metrics Saharanpur #2 (126, 127)
- Bond Sink Metrics Salem #1 (128, 129)
- Bond Sink Metrics Salem #2 (130, 131)
- Bond Sink Metrics Warangal #1 (132, 133)
- Bond Sink Metrics Warangal #2 (134, 135)
4 changes: 2 additions & 2 deletions src/main/java/org/drip/product/creator/BondBuilder.java
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Original file line number Diff line number Diff line change
Expand Up @@ -240,7 +240,7 @@ public static final org.drip.product.credit.BondComponent CreateSimpleFixed (
100.,
strCurrency,
fsPrincipalOutstanding,
org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START,
false
)
);
Expand Down Expand Up @@ -369,7 +369,7 @@ public static final org.drip.product.credit.BondComponent CreateSimpleFixedFP (
100.,
strCurrency,
fsPrincipalOutstanding,
org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_END,
org.drip.product.params.NotionalSetting.PERIOD_AMORT_AT_START,
false
)
);
Expand Down
39 changes: 31 additions & 8 deletions src/main/java/org/drip/product/credit/BondComponent.java
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Original file line number Diff line number Diff line change
Expand Up @@ -432,14 +432,37 @@ else if (org.drip.product.params.NotionalSetting.PERIOD_AMORT_EFFECTIVE ==
iCashPayDate = valParams.cashPayDate();
}

return (((dblCumulativePeriodPV + dblWorkoutFactor * org.drip.analytics.support.Helper.Yield2DF
(iFrequency, dblYield, s_bYieldDFOffofCouponAccrualDCF ? dblPeriodYearFract :
org.drip.analytics.daycount.Convention.YearFraction (iValueDate, terminationAdjust
(iWorkoutDate), strDC, bApplyCpnEOMAdj, aap, strCalendar)) * notional (iWorkoutDate)) /
org.drip.analytics.support.Helper.Yield2DF (iFrequency, dblYield,
org.drip.analytics.daycount.Convention.YearFraction (iValueDate, iCashPayDate,
strDC, bApplyCpnEOMAdj, aap, strCalendar))) - accrued (iValueDate, csqc)) /
dblScalingNotional;
double dblCleanPrice = (((dblCumulativePeriodPV + dblWorkoutFactor * org.drip.analytics.support.Helper.Yield2DF (
iFrequency,
dblYield,
s_bYieldDFOffofCouponAccrualDCF ? dblPeriodYearFract :
org.drip.analytics.daycount.Convention.YearFraction (
iValueDate,
terminationAdjust (iWorkoutDate),
strDC,
bApplyCpnEOMAdj,
aap,
strCalendar
)
) * notional (iWorkoutDate)) /
org.drip.analytics.support.Helper.Yield2DF (
iFrequency,
dblYield,
org.drip.analytics.daycount.Convention.YearFraction (
iValueDate,
iCashPayDate,
strDC,
bApplyCpnEOMAdj,
aap,
strCalendar
)
)
) - accrued (
iValueDate,
csqc
)) / dblScalingNotional;

return dblCleanPrice;
}

@Override public org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> calibMeasures (
Expand Down
6 changes: 6 additions & 0 deletions src/main/java/org/drip/quant/common/Array2D.java
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Original file line number Diff line number Diff line change
Expand Up @@ -224,6 +224,10 @@ public static final Array2D FromDateFactorVertex (

adblVertexDate[iNumVertex - 1] = iMaturityDate;

for (int i = 0; i < iNumVertex - 1; ++i) {
System.out.println (new org.drip.analytics.date.JulianDate ((int) adblVertexDate[i]) + " | " + adblVertexFactor[i]);
}

return FromArray (adblVertexDate, adblVertexFactor);
}

Expand Down Expand Up @@ -380,6 +384,8 @@ private Array2D (
throw new java.lang.Exception ("Array2D ctr => Invalid params");

for (int i = 0; i < iLength; ++i) {
// System.out.println (new org.drip.analytics.date.JulianDate ((int) _adblX[i]) + " | " + _adblY[i]);

if (!org.drip.quant.common.NumberUtil.IsValid (_adblX[i] = adblX[i]) ||
!org.drip.quant.common.NumberUtil.IsValid (_adblY[i] = adblY[i]))
throw new java.lang.Exception ("Array2D ctr => Invalid params");
Expand Down
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