Features:

Bug Fixes/Re-organization: - Service Product Credit Index - Horizon Change Attribution #1 (1, 2, 3) - Service Product Credit Index - Horizon Change Attribution #2 (4, 5, 6) - Service Product Credit Index - Horizon Change Attribution #3 (7, 8, 9) - Service Product Credit Index - Horizon Change Attribution #4 (10, 11, 12) - Service Product Credit Index - Stubs #1 (13, 14, 15) - Service Product Credit Index - Stubs #2 (16, 17) - Service Product Credit Index - Stubs #3 (18, 19) - Service Product Fixed Bond API (20, 21, 22) - Service Product Fixed Bond API - Valuation Metrics #1 (23, 24, 25) - Service Product Fixed Bond API - Valuation Metrics #2 (26, 27, 28) - Service Product Fixed Bond API - Valuation Metrics #3 (29, 30, 31) - Service Product Fixed Bond API - Valuation Metrics #4 (32, 33, 34) - Service Product Fixed Bond API - Valuation Metrics #5 (35, 36, 37) - Service Product Fixed Bond API - Key Rate Duration #1 (38, 39) - Service Product Fixed Bond API - Key Rate Duration #2 (40, 41, 42) - Service Product Fixed Bond API - Key Rate Duration #3 (43, 44, 45) - Service Product Fixed Bond API - Key Rate Duration #4 (46, 47, 48) - Service Product Fixed Bond API - Key Rate Duration #5 (49, 50, 51) - Service Product Fixed Bond API - Key Rate Duration #6 (52, 53, 54) - Service Product Fixed Bond API - Key Rate Duration #7 (55, 56, 57) - Service Product Fixed Bond API - Horizon Change Attribution #1 (58, 59, 60) - Service Product Fixed Bond API - Horizon Change Attribution #2 (61, 62, 63) - Service Product Fixed Bond API - Horizon Change Attribution #3 (64, 65, 66) - Service Product Fixed Bond API - Horizon Change Attribution #4 (67, 68) - Service Product Fixed Bond API - Horizon Change Attribution #5 (69, 70) - Service Product Fixed Bond API - Relative Value Metrics #1 (71, 72) - Service Product Fixed Bond API - Relative Value Metrics #2 (73, 74, 75) - Service Product Fixed Bond API - Relative Value Metrics #3 (76, 77, 78) - Service Product Fixed Bond API - Relative Value Metrics #4 (79, 80, 81) - Service Product Fixed Bond API - Relative Value Metrics #5 (82, 83, 84) - Service Product Fixed Bond API - Relative Value Metrics #6 (85, 86) - Service Product Fixed Bond API - Stubs #1 (87, 88) - Service Product Fixed Bond API - Stubs #2 (89, 90) - Service Product Fixed Float API (91, 92, 93) - Service Product Fixed Float API - Horizon Change Attribution #1 (94, 95, 96) - Service Product Fixed Float API - Horizon Change Attribution #2 (97, 98, 99) - Service Product Fixed Float API - Horizon Change Attribution #3 (100, 101, 102) - Service Product Fixed Float API - Horizon Change Attribution #4 (103, 104, 105) - Service Product Fixed Float API - Horizon Change Attribution #5 (106, 107, 108) - Service Product Fixed Float API - Horizon Change Attribution #6 (109, 110, 111) - Service Product Fixed Float API - Horizon Change Attribution #7 (112, 113) - Service Product Fixed Float API - Horizon Change Attribution #8 (114, 115) - Service Product Fixed Float API - Stubs (116, 117, 118) - Service Product Funding Futures API (119, 120) Samples: IdeaDRIP:
lakshmiDRIP · Dec 24, 2024 · bbb4094 · bbb4094
1 parent 8554726
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diff --git a/ReleaseNotes/04_24_2024.txt b/ReleaseNotes/04_24_2024.txt
@@ -0,0 +1,54 @@
+
+Features:
+
+Bug Fixes/Re-organization:
+
+	- Service Product Credit Index - Horizon Change Attribution #1 (1, 2, 3)
+	- Service Product Credit Index - Horizon Change Attribution #2 (4, 5, 6)
+	- Service Product Credit Index - Horizon Change Attribution #3 (7, 8, 9)
+	- Service Product Credit Index - Horizon Change Attribution #4 (10, 11, 12)
+	- Service Product Credit Index - Stubs #1 (13, 14, 15)
+	- Service Product Credit Index - Stubs #2 (16, 17)
+	- Service Product Credit Index - Stubs #3 (18, 19)
+	- Service Product Fixed Bond API (20, 21, 22)
+	- Service Product Fixed Bond API - Valuation Metrics #1 (23, 24, 25)
+	- Service Product Fixed Bond API - Valuation Metrics #2 (26, 27, 28)
+	- Service Product Fixed Bond API - Valuation Metrics #3 (29, 30, 31)
+	- Service Product Fixed Bond API - Valuation Metrics #4 (32, 33, 34)
+	- Service Product Fixed Bond API - Valuation Metrics #5 (35, 36, 37)
+	- Service Product Fixed Bond API - Key Rate Duration #1 (38, 39)
+	- Service Product Fixed Bond API - Key Rate Duration #2 (40, 41, 42)
+	- Service Product Fixed Bond API - Key Rate Duration #3 (43, 44, 45)
+	- Service Product Fixed Bond API - Key Rate Duration #4 (46, 47, 48)
+	- Service Product Fixed Bond API - Key Rate Duration #5 (49, 50, 51)
+	- Service Product Fixed Bond API - Key Rate Duration #6 (52, 53, 54)
+	- Service Product Fixed Bond API - Key Rate Duration #7 (55, 56, 57)
+	- Service Product Fixed Bond API - Horizon Change Attribution #1 (58, 59, 60)
+	- Service Product Fixed Bond API - Horizon Change Attribution #2 (61, 62, 63)
+	- Service Product Fixed Bond API - Horizon Change Attribution #3 (64, 65, 66)
+	- Service Product Fixed Bond API - Horizon Change Attribution #4 (67, 68)
+	- Service Product Fixed Bond API - Horizon Change Attribution #5 (69, 70)
+	- Service Product Fixed Bond API - Relative Value Metrics #1 (71, 72)
+	- Service Product Fixed Bond API - Relative Value Metrics #2 (73, 74, 75)
+	- Service Product Fixed Bond API - Relative Value Metrics #3 (76, 77, 78)
+	- Service Product Fixed Bond API - Relative Value Metrics #4 (79, 80, 81)
+	- Service Product Fixed Bond API - Relative Value Metrics #5 (82, 83, 84)
+	- Service Product Fixed Bond API - Relative Value Metrics #6 (85, 86)
+	- Service Product Fixed Bond API - Stubs #1 (87, 88)
+	- Service Product Fixed Bond API - Stubs #2 (89, 90)
+	- Service Product Fixed Float API (91, 92, 93)
+	- Service Product Fixed Float API - Horizon Change Attribution #1 (94, 95, 96)
+	- Service Product Fixed Float API - Horizon Change Attribution #2 (97, 98, 99)
+	- Service Product Fixed Float API - Horizon Change Attribution #3 (100, 101, 102)
+	- Service Product Fixed Float API - Horizon Change Attribution #4 (103, 104, 105)
+	- Service Product Fixed Float API - Horizon Change Attribution #5 (106, 107, 108)
+	- Service Product Fixed Float API - Horizon Change Attribution #6 (109, 110, 111)
+	- Service Product Fixed Float API - Horizon Change Attribution #7 (112, 113)
+	- Service Product Fixed Float API - Horizon Change Attribution #8 (114, 115)
+	- Service Product Fixed Float API - Stubs (116, 117, 118)
+	- Service Product Funding Futures API (119, 120)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/src/main/java/org/drip/service/product/CreditIndexAPI.java b/src/main/java/org/drip/service/product/CreditIndexAPI.java
@@ -14,6 +14,7 @@
 import org.drip.param.market.CurveSurfaceQuoteContainer;
 import org.drip.param.valuation.ValuationParams;
 import org.drip.product.definition.CreditDefaultSwap;
+import org.drip.service.template.LatentMarketStateBuilder;
 import org.drip.state.credit.CreditCurve;
 import org.drip.state.discount.DiscountCurve;
 import org.drip.state.discount.MergedDiscountForwardCurve;
@@ -104,7 +105,15 @@
  * 	provides the following Functionality:
  *
  *  <ul>
- * 		<li>Encode a list into JSON text and write it to out.</li>
+ * 		<li>Implementation of <i>ParCDS</i> Inner Class</li>
+ * 		<ul>
+ * 			<li><i>ParCDS</i> Constructor</li>
+ * 			<li>Retrieve the Fair Premium</li>
+ * 			<li>Retrieve the Fixed Coupon</li>
+ * 			<li>Retrieve the CDS Instance</li>
+ * 		</ul>
+ * 		<li>Generate the CDS Horizon Change Attribution</li>
+ * 		<li>Generate the Funding/Credit Curve Horizon Metrics</li>
  *  </ul>
  *
  *	<br>
@@ -456,82 +465,117 @@ public static final PositionChangeComponents HorizonChangeAttribution (
 	/**
 	 * Generate the Funding/Credit Curve Horizon Metrics
 	 * 
-	 * @param adtSpot Array of Spot
-	 * @param iHorizonGap The Horizon Gap
-	 * @param astrFundingFixingMaturityTenor Array of Funding Fixing Maturity Tenors
-	 * @param aadblFundingFixingQuote Double Array of Funding Fixing Swap Rates
-	 * @param afullCreditIndexName Array of the Full Credit Index Names
-	 * @param adblCreditIndexQuotedSpread Array of the Quoted Spreads
+	 * @param spotDateArray Array of Spot
+	 * @param horizonGap The Horizon Gap
+	 * @param fundingFixingMaturityTenorArray Array of Funding Fixing Maturity Tenors
+	 * @param fundingFixingQuoteGrid Double Array of Funding Fixing Swap Rates
+	 * @param fullCreditIndexNameArray Array of the Full Credit Index Names
+	 * @param creditIndexQuotedSpreadArray Array of the Quoted Spreads
 	 * 
 	 * @return The Funding/Credit Curve Horizon Metrics
 	 */
 
-	public static final List<PositionChangeComponents>
-		HorizonChangeAttribution (
-			final JulianDate[] adtSpot,
-			final int iHorizonGap,
-			final String[] astrFundingFixingMaturityTenor,
-			final double[][] aadblFundingFixingQuote,
-			final String[] afullCreditIndexName,
-			final double[] adblCreditIndexQuotedSpread)
+	public static final List<PositionChangeComponents> HorizonChangeAttribution (
+		final JulianDate[] spotDateArray,
+		final int horizonGap,
+		final String[] fundingFixingMaturityTenorArray,
+		final double[][] fundingFixingQuoteGrid,
+		final String[] fullCreditIndexNameArray,
+		final double[] creditIndexQuotedSpreadArray)
 	{
-		if (null == adtSpot || 0 >= iHorizonGap || null == astrFundingFixingMaturityTenor || null ==
-			aadblFundingFixingQuote || null == afullCreditIndexName || null ==
-				adblCreditIndexQuotedSpread)
+		if (null == spotDateArray || 0 == spotDateArray.length ||
+			0 >= horizonGap ||
+			null == fundingFixingMaturityTenorArray || 0 == fundingFixingMaturityTenorArray.length ||
+			null == fundingFixingQuoteGrid ||
+			null == fullCreditIndexNameArray ||
+			null == creditIndexQuotedSpreadArray)
+		{
 			return null;
+		}
 
-		int iNumClose = adtSpot.length;
-		int iNumFundingInstrument = astrFundingFixingMaturityTenor.length;
-
-		List<PositionChangeComponents> lsPCC = new
-			ArrayList<PositionChangeComponents>();
+		List<PositionChangeComponents> positionChangeComponentsList =
+			new ArrayList<PositionChangeComponents>();
 
-		for (int i = iHorizonGap; i < iNumClose; ++i) {
-			int iNumSecondFundingQuote = null == aadblFundingFixingQuote[i] ? 0 :
-				aadblFundingFixingQuote[i].length;
-			int iNumFirstFundingQuote = null == aadblFundingFixingQuote[i - iHorizonGap] ? 0 :
-				aadblFundingFixingQuote[i - iHorizonGap].length;
+		for (int spotDateIndex = horizonGap; spotDateIndex < spotDateArray.length; ++spotDateIndex) {
+			int secondFundingQuoteCount = null == fundingFixingQuoteGrid[spotDateIndex] ? 0 :
+				fundingFixingQuoteGrid[spotDateIndex].length;
+			int firstFundingQuoteCount = null == fundingFixingQuoteGrid[spotDateIndex - horizonGap] ? 0 :
+				fundingFixingQuoteGrid[spotDateIndex - horizonGap].length;
 
-			if (0 == iNumFirstFundingQuote || iNumFirstFundingQuote != iNumFundingInstrument || 0 ==
-				iNumSecondFundingQuote || iNumSecondFundingQuote != iNumFundingInstrument)
+			if (0 == firstFundingQuoteCount ||
+				firstFundingQuoteCount != fundingFixingMaturityTenorArray.length ||
+				0 == secondFundingQuoteCount ||
+				secondFundingQuoteCount != fundingFixingMaturityTenorArray.length)
+			{
 				continue;
+			}
 
-			CreditIndexConvention cic =
-				CreditIndexConventionContainer.ConventionFromFullName
-					(afullCreditIndexName[i]);
-
-			if (null == cic) return null;
+			CreditIndexConvention creditIndexConvention =
+				CreditIndexConventionContainer.ConventionFromFullName (
+					fullCreditIndexNameArray[spotDateIndex]
+				);
 
-			String currency = cic.currency();
+			if (null == creditIndexConvention) {
+				return null;
+			}
 
-			CreditDefaultSwap cdsIndex = cic.indexCDS();
+			String currency = creditIndexConvention.currency();
 
-			MergedDiscountForwardCurve dcFundingFixingFirst =
-				org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i - iHorizonGap],
-					currency, null, null, "ForwardRate", null, "ForwardRate",
-						astrFundingFixingMaturityTenor, aadblFundingFixingQuote[i - iHorizonGap], "SwapRate",
-							org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
+			CreditDefaultSwap cdsIndex = creditIndexConvention.indexCDS();
 
-			CreditCurve firstCreditCurve =
-				org.drip.service.template.LatentMarketStateBuilder.CreditCurve (adtSpot[i - iHorizonGap], new
-					CreditDefaultSwap[] {cdsIndex}, new double[]
-						{adblCreditIndexQuotedSpread[i - iHorizonGap]}, "FairPremium", dcFundingFixingFirst);
-
-			MergedDiscountForwardCurve dcFundingFixingSecond =
-				org.drip.service.template.LatentMarketStateBuilder.FundingCurve (adtSpot[i], currency,
-					null, null, "ForwardRate", null, "ForwardRate", astrFundingFixingMaturityTenor,
-						aadblFundingFixingQuote[i], "SwapRate",
-							org.drip.service.template.LatentMarketStateBuilder.SHAPE_PRESERVING);
-
-			CreditCurve secondCreditCurve =
-				org.drip.service.template.LatentMarketStateBuilder.CreditCurve (adtSpot[i], new
-					CreditDefaultSwap[] {cdsIndex}, new double[]
-						{adblCreditIndexQuotedSpread[i]}, "FairPremium", dcFundingFixingSecond);
-
-			lsPCC.add (HorizonChangeAttribution (dcFundingFixingFirst, firstCreditCurve, dcFundingFixingSecond,
-				secondCreditCurve, afullCreditIndexName[i]));
+			MergedDiscountForwardCurve firstFundingFixingDiscountCurve =
+				LatentMarketStateBuilder.FundingCurve (
+					spotDateArray[spotDateIndex - horizonGap],
+					currency,
+					null,
+					null,
+					"ForwardRate",
+					null,
+					"ForwardRate",
+					fundingFixingMaturityTenorArray,
+					fundingFixingQuoteGrid[spotDateIndex - horizonGap],
+					"SwapRate",
+					LatentMarketStateBuilder.SHAPE_PRESERVING
+				);
+
+			MergedDiscountForwardCurve secondFundingFixingDiscountCurve =
+				LatentMarketStateBuilder.FundingCurve (
+					spotDateArray[spotDateIndex],
+					currency,
+					null,
+					null,
+					"ForwardRate",
+					null,
+					"ForwardRate",
+					fundingFixingMaturityTenorArray,
+					fundingFixingQuoteGrid[spotDateIndex],
+					"SwapRate",
+					LatentMarketStateBuilder.SHAPE_PRESERVING
+				);
+
+			positionChangeComponentsList.add (
+				HorizonChangeAttribution (
+					firstFundingFixingDiscountCurve,
+					LatentMarketStateBuilder.CreditCurve (
+						spotDateArray[spotDateIndex - horizonGap],
+						new CreditDefaultSwap[] {cdsIndex},
+						new double[] {creditIndexQuotedSpreadArray[spotDateIndex - horizonGap]},
+						"FairPremium",
+						firstFundingFixingDiscountCurve
+					),
+					secondFundingFixingDiscountCurve,
+					LatentMarketStateBuilder.CreditCurve (
+						spotDateArray[spotDateIndex],
+						new CreditDefaultSwap[] {cdsIndex},
+						new double[] {creditIndexQuotedSpreadArray[spotDateIndex]},
+						"FairPremium",
+						secondFundingFixingDiscountCurve
+					),
+					fullCreditIndexNameArray[spotDateIndex]
+				)
+			);
 		}
 
-		return lsPCC;
+		return positionChangeComponentsList;
 	}
 }