PathVariationMarginTrajectoryEstimator.java
package org.drip.exposure.mpor;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* 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.
*/
/**
* <i>PathVariationMarginTrajectoryEstimator</i> computes the Variation Margin Estimate/Posting from the
* specified Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
* (12)</b> 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
* party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
* Pricing <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* <li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/README.md">Exposure Group Level Collateralized/Uncollateralized Exposure</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/mpor/README.md">Margin Period Collateral Amount Estimation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class PathVariationMarginTrajectoryEstimator
{
private int[] _exposureDateArray = null;
private java.lang.String _calendar = "";
private org.drip.exposure.mpor.TradePayment[] _tradePaymentTrajectory = null;
private org.drip.exposure.csatimeline.AndersenPykhtinSokolLag _csaTimelineLag = null;
private java.util.Map<java.lang.Integer, java.lang.Double> _variationMarginEstimateTrajectory = null;
private static final double ClientTradePayment (
final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
final int startDate,
final int endDate)
{
double clientTradePayment = 0.;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> clientTradePaymentEntry :
clientTradePaymentTrajectory.entrySet())
{
int clientTradePaymentDate = clientTradePaymentEntry.getKey();
if (clientTradePaymentDate > startDate && clientTradePaymentDate <= endDate)
{
clientTradePayment += clientTradePaymentEntry.getValue();
}
}
return clientTradePayment;
}
private static final double NetTradePayment (
final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
final java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory,
final int startDate,
final int endDate)
{
double netTradePayment = 0.;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> clientTradePaymentEntry :
clientTradePaymentTrajectory.entrySet())
{
int clientTradePaymentDate = clientTradePaymentEntry.getKey();
if (clientTradePaymentDate > startDate && clientTradePaymentDate <= endDate)
{
netTradePayment += clientTradePaymentEntry.getValue();
}
}
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> dealerTradePaymentEntry :
dealerTradePaymentTrajectory.entrySet())
{
int dealerTradePaymentDate = dealerTradePaymentEntry.getKey();
if (dealerTradePaymentDate > startDate && dealerTradePaymentDate <= endDate)
{
netTradePayment += dealerTradePaymentEntry.getValue();
}
}
return netTradePayment;
}
private static final double VariationMarginPosting (
final java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory,
final int variationMarginPostingStartDate,
final int variationMarginPostingEndDate)
{
double variationMarginPosting = java.lang.Double.NaN;
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectoryEntry
: variationMarginEstimateTrajectory.entrySet())
{
int variationMarginEstimateDate = variationMarginEstimateTrajectoryEntry.getKey();
double variationMarginEstimate = variationMarginEstimateTrajectoryEntry.getValue();
if (variationMarginEstimateDate >= variationMarginPostingStartDate &&
variationMarginEstimateDate <= variationMarginPostingEndDate)
{
if (java.lang.Double.isNaN (variationMarginPosting))
{
variationMarginPosting = variationMarginEstimate;
}
else
{
if (variationMarginEstimate < variationMarginPosting)
{
variationMarginPosting = variationMarginEstimate;
}
}
}
}
return java.lang.Double.isNaN (variationMarginPosting) ? 0. : variationMarginPosting;
}
/**
* Generate a Standard Instance of PathVariationMarginTrajectoryEstimator
*
* @param exposureDateArray Array of Exposure Dates
* @param calendar The Date Adjustment Calendar
* @param variationMarginTradePaymentVertex The Variation Margin Trade Payment Trajectory Generator
* @param marketPath The Market Path
* @param csaTimelineLag The CSA Time-line Lag Parameters
*
* @return The Standard Instance of PathVariationMarginTrajectoryEstimator
*/
public static final PathVariationMarginTrajectoryEstimator Standard (
final int[] exposureDateArray,
final java.lang.String calendar,
final org.drip.exposure.mpor.VariationMarginTradePaymentVertex variationMarginTradePaymentVertex,
final org.drip.exposure.universe.MarketPath marketPath,
final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag)
{
if (null == exposureDateArray)
{
return null;
}
int exposureDateCount = exposureDateArray.length;
org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory = 0 == exposureDateCount ? null : new
org.drip.exposure.mpor.TradePayment[exposureDateCount];
if (0 == exposureDateCount)
{
return null;
}
for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
{
tradePaymentTrajectory[exposureDateIndex] = variationMarginTradePaymentVertex.tradePayment (
exposureDateArray[exposureDateIndex],
marketPath
);
}
try
{
return new PathVariationMarginTrajectoryEstimator (
exposureDateArray,
calendar,
org.drip.exposure.mpor.VariationMarginTrajectoryBuilder.Grid (
exposureDateArray,
variationMarginTradePaymentVertex,
marketPath
),
tradePaymentTrajectory,
csaTimelineLag
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* PathVariationMarginTrajectoryEstimator Constructor
*
* @param exposureDateArray Array of Exposure Dates
* @param calendar The Date Adjustment Calendar
* @param variationMarginEstimateTrajectory The Variation Margin Estimate Trajectory
* @param tradePaymentTrajectory The Trade Payment Trajectory
* @param csaTimelineLag The CSA Time-line Lag Parameters
*
* @throws java.lang.Exception Throws if the Inputs are Invalid
*/
public PathVariationMarginTrajectoryEstimator (
final int[] exposureDateArray,
final java.lang.String calendar,
final java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory,
final org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory,
final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag)
throws java.lang.Exception
{
if (null == (_exposureDateArray = exposureDateArray) ||
null == (_calendar = calendar) || _calendar.isEmpty() ||
null == (_variationMarginEstimateTrajectory = variationMarginEstimateTrajectory) ||
null == (_tradePaymentTrajectory = tradePaymentTrajectory) ||
null == (_csaTimelineLag = csaTimelineLag))
{
throw new java.lang.Exception
("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
}
int exposureDateCount = _exposureDateArray.length;
if (0 == exposureDateCount || exposureDateCount != _tradePaymentTrajectory.length)
{
throw new java.lang.Exception
("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
}
for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
{
if (null == _tradePaymentTrajectory[exposureDateIndex])
{
throw new java.lang.Exception
("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
}
}
}
/**
* Retrieve the Array of Exposure Dates
*
* @return The Array of Exposure Dates
*/
public int[] exposureDateArray()
{
return _exposureDateArray;
}
/**
* Retrieve the Date Adjustment Calendar
*
* @return The Date Adjustment Calendar
*/
public java.lang.String calendar()
{
return _calendar;
}
/**
* Retrieve the CSA Events Timeline Lag
*
* @return The CSA Events Timeline Lag
*/
final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag()
{
return _csaTimelineLag;
}
/**
* Retrieve the Variation Margin Estimate Trajectory
*
* @return The Variation Margin Estimate Trajectory
*/
public java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory()
{
return _variationMarginEstimateTrajectory;
}
/**
* Retrieve the Trade Payment Trajectory
*
* @return The Trade Payment Trajectory
*/
public org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory()
{
return _tradePaymentTrajectory;
}
/**
* Generate the Client and the Dealer Trade Payment Trajectories
*
* @param clientTradePaymentTrajectory The Client Trade Payment Trajectory
* @param dealerTradePaymentTrajectory The Dealer Trade Payment Trajectory
*
* @return TRUE - The Client and the Dealer Trade Payment Trajectories successfully generated
*/
public boolean tradePaymentTrajectory (
final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
final java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory)
{
if (null == clientTradePaymentTrajectory || null == dealerTradePaymentTrajectory)
{
return false;
}
int exposureDateCount = _exposureDateArray.length;
for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
{
org.drip.exposure.mpor.TradePayment tradePayment = _tradePaymentTrajectory[exposureDateIndex];
clientTradePaymentTrajectory.put (
_exposureDateArray[exposureDateIndex],
tradePayment.client()
);
dealerTradePaymentTrajectory.put (
_exposureDateArray[exposureDateIndex],
tradePayment.dealer()
);
}
return true;
}
/**
* Generate the Array of CSA Event Dates
*
* @return Array of CSA Event Dates
*/
public org.drip.exposure.csatimeline.LastFlowDates[] csaEventDates()
{
int exposureDateCount = _exposureDateArray.length;
org.drip.exposure.csatimeline.LastFlowDates[] csaEventDateArray = new
org.drip.exposure.csatimeline.LastFlowDates[exposureDateCount];
for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
{
if (null == (csaEventDateArray[exposureDateIndex] =
org.drip.exposure.csatimeline.LastFlowDates.SpotStandard (
new org.drip.analytics.date.JulianDate (_exposureDateArray[exposureDateIndex]),
_csaTimelineLag,
_calendar
)))
{
return null;
}
}
return csaEventDateArray;
}
/**
* Retrieve the Variation Margin Trade Payment Exposure Trajectory
*
* @return The Variation Margin Trade Payment Exposure Trajectory
*/
public java.util.Map<java.lang.Integer, org.drip.exposure.mpor.VariationMarginTradeVertexExposure>
trajectory()
{
java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory =
variationMarginEstimateTrajectory();
java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory = new
java.util.TreeMap<java.lang.Integer, java.lang.Double>();
java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory = new
java.util.TreeMap<java.lang.Integer, java.lang.Double>();
if (!tradePaymentTrajectory (
clientTradePaymentTrajectory,
dealerTradePaymentTrajectory
))
{
return null;
}
java.util.Map<java.lang.Integer, org.drip.exposure.mpor.VariationMarginTradeVertexExposure>
variationMarginTradeExposureTrajectory = new java.util.TreeMap<java.lang.Integer,
org.drip.exposure.mpor.VariationMarginTradeVertexExposure>();
org.drip.exposure.csatimeline.LastFlowDates[] csaEventDateArray = csaEventDates();
int exposureDateCount = _exposureDateArray.length;
try
{
for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
{
variationMarginTradeExposureTrajectory.put (
_exposureDateArray[exposureDateIndex],
new org.drip.exposure.mpor.VariationMarginTradeVertexExposure (
variationMarginEstimateTrajectory.get (_exposureDateArray[exposureDateIndex]),
VariationMarginPosting (
variationMarginEstimateTrajectory,
csaEventDateArray[exposureDateIndex].clientVariationMarginPosting().julian(),
csaEventDateArray[exposureDateIndex].dealerVariationMarginPosting().julian()
),
ClientTradePayment (
clientTradePaymentTrajectory,
csaEventDateArray[exposureDateIndex].clientTradePayment().julian(),
csaEventDateArray[exposureDateIndex].dealerTradePayment().julian()
),
NetTradePayment (
clientTradePaymentTrajectory,
dealerTradePaymentTrajectory,
csaEventDateArray[exposureDateIndex].dealerTradePayment().julian(),
csaEventDateArray[exposureDateIndex].variationMarginPeriodEnd().julian()
),
csaEventDateArray[exposureDateIndex]
)
);
}
return variationMarginTradeExposureTrajectory;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}