Features:

- Credit Label - SENIOR Seniority Setting (1) - Credit Label - SUBORDINATE Seniority Setting (2) - Credit Label - Obligation Seniority Setting (3) - Credit Label Standard Constructor Annotation (4, 5) - Credit Latent State Label Match (6) - Credit Label - Fully Qualified Name (7) - State Identifier Recovery Label #1 (8, 9) - State Identifier Recovery Label #2 (10, 11) - Entity State Identifier Credit Label (12) - Entity State Identifier Recovery Label (13) - Entity State Identifier Designate Label (14) - Entity State Identifier Equity Label (15) - Entity State Identifier Hazard Label (16) - Entity State Identifier Funding Label (17, 18) - Primary Security Container CSA Label (19) - CSA Label Latent State Identifier (20) - Primary Security Container Overnight Label (21) - Bank Senior Funding Numeraire Label (22) - Bank Subordinate Funding Numeraire Label (23) - CPTY Senior Funding Numeraire Label (24) - Senior Entity Funding Label Static (25) - Subordinate Entity Funding Label Static (26) - Entity Designate Label - Currency Field (42, 43) - Entity Equity Label - Currency Field (44, 45) - Entity Credit Label - Currency Field (46, 47) - Entity Hazard Label - Currency Field (48, 49) - Entity Recovery Label - Currency Field (50, 51) - Entity Funding Label - Currency Field (52, 53) - Entity Recovery Label - Senior/Subordinate (56) - Scenario Credit Curve Builder Currency (75, 76) - Credit Product Coupon Currency Label (77, 78) - Bond Builder Credit State Label (79, 80) Bug Fixes/Clean-up: - Market Dynamics Container Bug Fix (27, 28) - Dynamics Container Latent State Label (29, 30) Samples: - Correlated Numeraire XVA Attribution #1 (31, 32) - Correlated Numeraire XVA Explain #1 (33) - Correlated Numeraire XVA Greeks #1 (34) - Correlated Numeraire XVA Replication Portfolio #1 (35) - Burgard 2011 XVA Explain #1 (36) - Burgard 2011 XVA Greeks #1 (37) - Burgard 2011 Market Replication #1 (38) - Burgard 2011 Market Generation #1 (39) - Euler Trajectory Evolution Scheme #1 (40) - Albanese Andersen Basel Proxy #1 (41) - Correlated Numeraire XVA Attribution #2 (54, 55) - Correlated Numeraire XVA Explain #2 (57, 58) - Correlated Numeraire XVA Greeks #2 (59, 60) - Correlated Numeraire XVA Replication Portfolio #2 (61, 62) - Burgard 2011 XVA Explain #2 (63, 64) - Burgard 2011 XVA Greeks #2 (65, 66) - Burgard 2011 Market Replication #2 (67, 68) - Burgard 2011 Market Generation #2 (69, 70) - Euler Trajectory Evolution Scheme #2 (71, 72) - Albanese Andersen Basel Proxy #2 (73, 74)
lakshmiDRIP · Feb 6, 2018 · 24d1372 · 24d1372
1 parent bdfe977
commit 24d1372
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diff --git a/ReleaseNotes/02_15_2018.txt b/ReleaseNotes/02_15_2018.txt
@@ -0,0 +1,65 @@
+
+Features:
+
+ - Credit Label - SENIOR Seniority Setting (1)
+ - Credit Label - SUBORDINATE Seniority Setting (2)
+ - Credit Label - Obligation Seniority Setting (3)
+ - Credit Label Standard Constructor Annotation (4, 5)
+ - Credit Latent State Label Match (6)
+ - Credit Label - Fully Qualified Name (7)
+ - State Identifier Recovery Label #1 (8, 9)
+ - State Identifier Recovery Label #2 (10, 11)
+ - Entity State Identifier Credit Label (12)
+ - Entity State Identifier Recovery Label (13)
+ - Entity State Identifier Designate Label (14)
+ - Entity State Identifier Equity Label (15)
+ - Entity State Identifier Hazard Label (16)
+ - Entity State Identifier Funding Label (17, 18)
+ - Primary Security Container CSA Label (19)
+ - CSA Label Latent State Identifier (20)
+ - Primary Security Container Overnight Label (21)
+ - Bank Senior Funding Numeraire Label (22)
+ - Bank Subordinate Funding Numeraire Label (23)
+ - CPTY Senior Funding Numeraire Label (24)
+ - Senior Entity Funding Label Static (25)
+ - Subordinate Entity Funding Label Static (26)
+ - Entity Designate Label - Currency Field (42, 43)
+ - Entity Equity Label - Currency Field (44, 45)
+ - Entity Credit Label - Currency Field (46, 47)
+ - Entity Hazard Label - Currency Field (48, 49)
+ - Entity Recovery Label - Currency Field (50, 51)
+ - Entity Funding Label - Currency Field (52, 53)
+ - Entity Recovery Label - Senior/Subordinate (56)
+ - Scenario Credit Curve Builder Currency (75, 76)
+ - Credit Product Coupon Currency Label (77, 78)
+ - Bond Builder Credit State Label (79, 80)
+
+
+Bug Fixes/Clean-up:
+
+ - Market Dynamics Container Bug Fix (27, 28)
+ - Dynamics Container Latent State Label (29, 30)
+
+
+Samples:
+
+ - Correlated Numeraire XVA Attribution #1 (31, 32)
+ - Correlated Numeraire XVA Explain #1 (33)
+ - Correlated Numeraire XVA Greeks #1 (34)
+ - Correlated Numeraire XVA Replication Portfolio #1 (35)
+ - Burgard 2011 XVA Explain #1 (36)
+ - Burgard 2011 XVA Greeks #1 (37)
+ - Burgard 2011 Market Replication #1 (38)
+ - Burgard 2011 Market Generation #1 (39)
+ - Euler Trajectory Evolution Scheme #1 (40)
+ - Albanese Andersen Basel Proxy #1 (41)
+ - Correlated Numeraire XVA Attribution #2 (54, 55)
+ - Correlated Numeraire XVA Explain #2 (57, 58)
+ - Correlated Numeraire XVA Greeks #2 (59, 60)
+ - Correlated Numeraire XVA Replication Portfolio #2 (61, 62)
+ - Burgard 2011 XVA Explain #2 (63, 64)
+ - Burgard 2011 XVA Greeks #2 (65, 66)
+ - Burgard 2011 Market Replication #2 (67, 68)
+ - Burgard 2011 Market Generation #2 (69, 70)
+ - Euler Trajectory Evolution Scheme #2 (71, 72)
+ - Albanese Andersen Basel Proxy #2 (73, 74)
diff --git a/src/main/java/org/drip/analytics/cashflow/Bullet.java b/src/main/java/org/drip/analytics/cashflow/Bullet.java
@@ -75,7 +75,7 @@ public class Bullet {
 
  private java.lang.String _strPayCurrency = "";
  private java.lang.String _strCouponCurrency = "";
- private org.drip.state.identifier.CreditLabel _creditLabel = null;
+ private org.drip.state.identifier.EntityCreditLabel _creditLabel = null;
 
  /*
  * Period Cash Extensive Fields
@@ -90,7 +90,7 @@ private org.drip.analytics.output.ConvexityAdjustment convexityAdjustment (
  {
  org.drip.state.identifier.FXLabel fxLabel = fxLabel();
 
- org.drip.state.identifier.CreditLabel creditLabel = creditLabel();
+ org.drip.state.identifier.EntityCreditLabel creditLabel = creditLabel();
 
  org.drip.state.identifier.FundingLabel fundingLabel = fundingLabel();
 
@@ -180,7 +180,7 @@ public Bullet (
  final org.drip.quant.common.Array2D a2DNotionalSchedule,
  final java.lang.String strPayCurrency,
  final java.lang.String strCouponCurrency,
- final org.drip.state.identifier.CreditLabel creditLabel)
+ final org.drip.state.identifier.EntityCreditLabel creditLabel)
  throws java.lang.Exception
  {
  if (!org.drip.quant.common.NumberUtil.IsValid (_dblBaseNotional = dblBaseNotional) ||
@@ -373,7 +373,7 @@ public org.drip.state.identifier.CollateralLabel collateralLabel()
  * @return The Credit Label
  */
 
- public org.drip.state.identifier.CreditLabel creditLabel()
+ public org.drip.state.identifier.EntityCreditLabel creditLabel()
  {
  return _creditLabel;
  }

diff --git a/src/main/java/org/drip/analytics/cashflow/CompositePeriod.java b/src/main/java/org/drip/analytics/cashflow/CompositePeriod.java
@@ -67,7 +67,7 @@ public abstract class CompositePeriod {
  private double _dblBaseNotional = java.lang.Double.NaN;
  private org.drip.quant.common.Array2D _fsCoupon = null;
  private org.drip.quant.common.Array2D _fsNotional = null;
- private org.drip.state.identifier.CreditLabel _creditLabel = null;
+ private org.drip.state.identifier.EntityCreditLabel _creditLabel = null;
  private org.drip.param.period.FixingSetting _fxFixingSetting = null;
  private java.util.List<org.drip.analytics.cashflow.ComposableUnitPeriod> _lsCUP = null;
 
@@ -357,7 +357,7 @@ public double survival (
  final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
  throws java.lang.Exception
  {
- org.drip.state.identifier.CreditLabel creditLabel = creditLabel();
+ org.drip.state.identifier.EntityCreditLabel creditLabel = creditLabel();
 
  if (null == creditLabel) return 1.;
 
@@ -386,7 +386,7 @@ public double recovery (
  final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
  throws java.lang.Exception
  {
- org.drip.state.identifier.CreditLabel creditLabel = creditLabel();
+ org.drip.state.identifier.EntityCreditLabel creditLabel = creditLabel();
 
  if (null == creditLabel) return 1.;
 
@@ -563,7 +563,7 @@ public double couponFactor (
  * @return The Credit Label
  */
 
- public org.drip.state.identifier.CreditLabel creditLabel()
+ public org.drip.state.identifier.EntityCreditLabel creditLabel()
  {
  return _creditLabel;
  }
@@ -634,7 +634,7 @@ public java.util.List<org.drip.analytics.output.ConvexityAdjustment> periodWiseC
 
  org.drip.state.identifier.FXLabel fxLabel = fxLabel();
 
- org.drip.state.identifier.CreditLabel creditLabel = creditLabel();
+ org.drip.state.identifier.EntityCreditLabel creditLabel = creditLabel();
 
  org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
 
@@ -803,7 +803,7 @@ public org.drip.analytics.output.ConvexityAdjustment terminalConvexityAdjustment
 
  org.drip.state.identifier.FXLabel fxLabel = fxLabel();
 
- org.drip.state.identifier.CreditLabel creditLabel = creditLabel();
+ org.drip.state.identifier.EntityCreditLabel creditLabel = creditLabel();
 
  org.drip.state.identifier.FloaterLabel floaterLabel = floaterLabel();
 

diff --git a/src/main/java/org/drip/analytics/output/BulletMetrics.java b/src/main/java/org/drip/analytics/output/BulletMetrics.java
@@ -62,7 +62,7 @@ public class BulletMetrics {
  * Bullet Latent State Identification Support Fields
  */
 
- private org.drip.state.identifier.CreditLabel _creditLabel = null;
+ private org.drip.state.identifier.EntityCreditLabel _creditLabel = null;
  private org.drip.state.identifier.FundingLabel _fundingLabel = null;
  private org.drip.state.identifier.FXLabel _fxLabel = null;
 
@@ -113,7 +113,7 @@ public BulletMetrics (
  final double dblDF,
  final double dblFX,
  final org.drip.analytics.output.ConvexityAdjustment convAdj,
- final org.drip.state.identifier.CreditLabel creditLabel,
+ final org.drip.state.identifier.EntityCreditLabel creditLabel,
  final org.drip.state.identifier.FundingLabel fundingLabel,
  final org.drip.state.identifier.FXLabel fxLabel)
  throws java.lang.Exception
@@ -228,7 +228,7 @@ public org.drip.analytics.output.ConvexityAdjustment convexityAdjustment()
  */
 
  public java.util.Map<java.lang.Integer, java.lang.Double> survivalProbabilityCreditLoading (
- final org.drip.state.identifier.CreditLabel creditLabel)
+ final org.drip.state.identifier.EntityCreditLabel creditLabel)
  {
  if (null == creditLabel || !creditLabel.match (_creditLabel)) return null;
 
@@ -290,7 +290,7 @@ public java.util.Map<java.lang.Integer, java.lang.Double> fxFXLoading (
  * @return The Credit Label
  */
 
- public org.drip.state.identifier.CreditLabel creditLabel()
+ public org.drip.state.identifier.EntityCreditLabel creditLabel()
  {
  return _creditLabel;
  }