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();
+ }
+}