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Bug Fixes/Clean-up:

	- IR Factor Margin Aggregate #1 (1, 2)
	- IR Factor Margin Aggregate #2 (3, 4)
	- IR Factor Margin Aggregate #3 (5, 6)
	- IR Factor Margin Aggregate #4 (7, 8)
	- IR Factor Margin Aggregate #5 (9, 10)
	- IR Factor Margin Aggregate #6 (11, 12)
	- IR Factor Margin Aggregate #7 (13, 14)
	- IR Factor Margin Aggregate #8 (15, 16)
	- IR Factor Margin Aggregate #9 (17, 18)
	- IR Factor Margin Aggregate #10 (19, 20)
	- IR Factor Margin Aggregate #11 (21, 22)
	- IR Factor Margin Aggregate #12 (23, 24)
	- IR Factor Margin Aggregate #13 (25, 26)
	- IR Factor Margin Aggregate #14 (27, 28)
	- IR Factor Margin Aggregate #15 (29, 30)
	- IR Factor Margin Aggregate #16 (31, 32)
	- IR Factor Margin Aggregate #17 (33, 34)
	- IR Factor Margin Aggregate #18 (35, 36)
	- IR Factor Margin Aggregate #19 (37, 38)
	- IR Factor Margin Aggregate #20 (39, 40)
	- IR Factor Margin Aggregate #21 (41, 42)
	- IR Factor Margin Aggregate #22 (43, 44)
	- IR Factor Margin Aggregate #23 (45, 46)
	- IR Factor Margin Aggregate #24 (47, 48)
	- IR Factor Margin Aggregate #25 (49, 50)
	- IR Factor Margin Aggregate #26 (51, 52)
	- IR Factor Margin Aggregate #27 (53, 54)
	- IR Factor Margin Aggregate #28 (55, 56)
	- IR Factor Margin Aggregate #29 (57, 58)


Samples:
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@lakshmiDRIP
lakshmiDRIP committed Aug 29, 2018
1 parent eab751f commit 0b8f0c2
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37 changes: 37 additions & 0 deletions ReleaseNotes/08_07_2018.txt
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Original file line number Diff line number Diff line change
@@ -0,0 +1,37 @@

Features:

Bug Fixes/Clean-up:

- IR Factor Margin Aggregate #1 (1, 2)
- IR Factor Margin Aggregate #2 (3, 4)
- IR Factor Margin Aggregate #3 (5, 6)
- IR Factor Margin Aggregate #4 (7, 8)
- IR Factor Margin Aggregate #5 (9, 10)
- IR Factor Margin Aggregate #6 (11, 12)
- IR Factor Margin Aggregate #7 (13, 14)
- IR Factor Margin Aggregate #8 (15, 16)
- IR Factor Margin Aggregate #9 (17, 18)
- IR Factor Margin Aggregate #10 (19, 20)
- IR Factor Margin Aggregate #11 (21, 22)
- IR Factor Margin Aggregate #12 (23, 24)
- IR Factor Margin Aggregate #13 (25, 26)
- IR Factor Margin Aggregate #14 (27, 28)
- IR Factor Margin Aggregate #15 (29, 30)
- IR Factor Margin Aggregate #16 (31, 32)
- IR Factor Margin Aggregate #17 (33, 34)
- IR Factor Margin Aggregate #18 (35, 36)
- IR Factor Margin Aggregate #19 (37, 38)
- IR Factor Margin Aggregate #20 (39, 40)
- IR Factor Margin Aggregate #21 (41, 42)
- IR Factor Margin Aggregate #22 (43, 44)
- IR Factor Margin Aggregate #23 (45, 46)
- IR Factor Margin Aggregate #24 (47, 48)
- IR Factor Margin Aggregate #25 (49, 50)
- IR Factor Margin Aggregate #26 (51, 52)
- IR Factor Margin Aggregate #27 (53, 54)
- IR Factor Margin Aggregate #28 (55, 56)
- IR Factor Margin Aggregate #29 (57, 58)


Samples:
40 changes: 20 additions & 20 deletions src/main/java/org/drip/sample/simm20estimates/IRNetSensitivitySolo.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -280,28 +280,28 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ OIS - OIS ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_OIS_OIS (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_OIS_OIS (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 1M - LIBOR 1M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_LIBOR1M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_LIBOR1M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 3M - LIBOR 3M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR3M_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR3M_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 6M - LIBOR 6M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR6M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR6M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -315,7 +315,7 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ PRIME - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_PRIME_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_PRIME_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -329,14 +329,14 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ OIS - LIBOR 1M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_OIS_LIBOR1M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_OIS_LIBOR1M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ OIS - LIBOR 3M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_OIS_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_OIS_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -357,7 +357,7 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ OIS - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_OIS_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_OIS_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -371,63 +371,63 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ LIBOR 1M - LIBOR 3M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_LIBOR3M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 1M - LIBOR 6M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 1M - LIBOR 12M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_LIBOR12M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_LIBOR12M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 1M - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 1M - MUNICIPAL ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR1M_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR1M_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 3M - LIBOR 6M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR3M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR3M_LIBOR6M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 3M - LIBOR 12M ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR3M_LIBOR12M (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR3M_LIBOR12M (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 3M - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR3M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR3M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

System.out.println (
"\t| IM Covariance[ LIBOR 3M - MUNICIPAL ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR3M_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR3M_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -441,7 +441,7 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ LIBOR 6M - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR6M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR6M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -455,7 +455,7 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ LIBOR 12M - PRIME ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_LIBOR12M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_LIBOR12M_PRIME (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

Expand All @@ -469,7 +469,7 @@ public static final void main (
System.out.println (
"\t| IM Covariance[ PRIME - MUNICIPAL ] => " +
FormatUtil.FormatDouble (
irNetSensitivity.covariance_PRIME_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
irNetSensitivity.marginCovariance_PRIME_MUNICIPAL (curveTenorSensitivitySettings), 1, 3, 1.
) + " ||"
);

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