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)
lakshmiDRIP · Mar 1, 2018 · e966f83 · e966f83
1 parent a4c4388
commit e966f83
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diff --git a/ReleaseNotes/03_12_2018.txt b/ReleaseNotes/03_12_2018.txt
@@ -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)
diff --git a/src/main/java/org/drip/product/creator/BondBuilder.java b/src/main/java/org/drip/product/creator/BondBuilder.java
@@ -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
  )
  );
@@ -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
  )
  );

diff --git a/src/main/java/org/drip/product/credit/BondComponent.java b/src/main/java/org/drip/product/credit/BondComponent.java
@@ -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 (

diff --git a/src/main/java/org/drip/quant/common/Array2D.java b/src/main/java/org/drip/quant/common/Array2D.java
@@ -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);
  }
 
@@ -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");