PathVariationMarginTrajectoryEstimator.java

  1. package org.drip.exposure.mpor;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>PathVariationMarginTrajectoryEstimator</i> computes the Variation Margin Estimate/Posting from the
  80.  * specified Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory. The
  81.  * References are:
  82.  *  
  83.  * <br><br>
  84.  *      <ul>
  85.  *          <li>
  86.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  87.  *                  (12)</b> 82-87
  88.  *          </li>
  89.  *          <li>
  90.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  91.  *          </li>
  92.  *          <li>
  93.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  94.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  95.  *          </li>
  96.  *          <li>
  97.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  98.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  99.  *          </li>
  100.  *          <li>
  101.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  102.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  103.  *          </li>
  104.  *          <li>
  105.  *      </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class PathVariationMarginTrajectoryEstimator
  119. {
  120.     private int[] _exposureDateArray = null;
  121.     private java.lang.String _calendar = "";
  122.     private org.drip.exposure.mpor.TradePayment[] _tradePaymentTrajectory = null;
  123.     private org.drip.exposure.csatimeline.AndersenPykhtinSokolLag _csaTimelineLag = null;
  124.     private java.util.Map<java.lang.Integer, java.lang.Double> _variationMarginEstimateTrajectory = null;

  126.     private static final double ClientTradePayment (
  127.         final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
  128.         final int startDate,
  129.         final int endDate)
  130.     {
  131.         double clientTradePayment = 0.;

  133.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> clientTradePaymentEntry :
  134.             clientTradePaymentTrajectory.entrySet())
  135.         {
  136.             int clientTradePaymentDate = clientTradePaymentEntry.getKey();

  138.             if (clientTradePaymentDate > startDate && clientTradePaymentDate <= endDate)
  139.             {
  140.                 clientTradePayment += clientTradePaymentEntry.getValue();
  141.             }
  142.         }

  144.         return clientTradePayment;
  145.     }

  147.     private static final double NetTradePayment (
  148.         final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
  149.         final java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory,
  150.         final int startDate,
  151.         final int endDate)
  152.     {
  153.         double netTradePayment = 0.;

  155.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> clientTradePaymentEntry :
  156.             clientTradePaymentTrajectory.entrySet())
  157.         {
  158.             int clientTradePaymentDate = clientTradePaymentEntry.getKey();

  160.             if (clientTradePaymentDate > startDate && clientTradePaymentDate <= endDate)
  161.             {
  162.                 netTradePayment += clientTradePaymentEntry.getValue();
  163.             }
  164.         }

  166.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> dealerTradePaymentEntry :
  167.             dealerTradePaymentTrajectory.entrySet())
  168.         {
  169.             int dealerTradePaymentDate = dealerTradePaymentEntry.getKey();

  171.             if (dealerTradePaymentDate > startDate && dealerTradePaymentDate <= endDate)
  172.             {
  173.                 netTradePayment += dealerTradePaymentEntry.getValue();
  174.             }
  175.         }

  177.         return netTradePayment;
  178.     }

  180.     private static final double VariationMarginPosting (
  181.         final java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory,
  182.         final int variationMarginPostingStartDate,
  183.         final int variationMarginPostingEndDate)
  184.     {
  185.         double variationMarginPosting = java.lang.Double.NaN;

  187.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectoryEntry
  188.             : variationMarginEstimateTrajectory.entrySet())
  189.         {
  190.             int variationMarginEstimateDate = variationMarginEstimateTrajectoryEntry.getKey();

  192.             double variationMarginEstimate = variationMarginEstimateTrajectoryEntry.getValue();

  194.             if (variationMarginEstimateDate >= variationMarginPostingStartDate &&
  195.                 variationMarginEstimateDate <= variationMarginPostingEndDate)
  196.             {
  197.                 if (java.lang.Double.isNaN (variationMarginPosting))
  198.                 {
  199.                     variationMarginPosting = variationMarginEstimate;
  200.                 }
  201.                 else
  202.                 {
  203.                     if (variationMarginEstimate < variationMarginPosting)
  204.                     {
  205.                         variationMarginPosting = variationMarginEstimate;
  206.                     }
  207.                 }
  208.             }
  209.         }

  211.         return java.lang.Double.isNaN (variationMarginPosting) ? 0. : variationMarginPosting;
  212.     }

  214.     /**
  215.      * Generate a Standard Instance of PathVariationMarginTrajectoryEstimator
  216.      * 
  217.      * @param exposureDateArray Array of Exposure Dates
  218.      * @param calendar The Date Adjustment Calendar
  219.      * @param variationMarginTradePaymentVertex The Variation Margin Trade Payment Trajectory Generator
  220.      * @param marketPath The Market Path
  221.      * @param csaTimelineLag The CSA Time-line Lag Parameters
  222.      * 
  223.      * @return The Standard Instance of PathVariationMarginTrajectoryEstimator
  224.      */

  226.     public static final PathVariationMarginTrajectoryEstimator Standard (
  227.         final int[] exposureDateArray,
  228.         final java.lang.String calendar,
  229.         final org.drip.exposure.mpor.VariationMarginTradePaymentVertex variationMarginTradePaymentVertex,
  230.         final org.drip.exposure.universe.MarketPath marketPath,
  231.         final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag)
  232.     {
  233.         if (null == exposureDateArray)
  234.         {
  235.             return null;
  236.         }

  238.         int exposureDateCount = exposureDateArray.length;
  239.         org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory = 0 == exposureDateCount ? null : new
  240.             org.drip.exposure.mpor.TradePayment[exposureDateCount];

  242.         if (0 == exposureDateCount)
  243.         {
  244.             return null;
  245.         }

  247.         for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
  248.         {
  249.             tradePaymentTrajectory[exposureDateIndex] = variationMarginTradePaymentVertex.tradePayment (
  250.                 exposureDateArray[exposureDateIndex],
  251.                 marketPath
  252.             );
  253.         }

  255.         try
  256.         {
  257.             return new PathVariationMarginTrajectoryEstimator (
  258.                 exposureDateArray,
  259.                 calendar,
  260.                 org.drip.exposure.mpor.VariationMarginTrajectoryBuilder.Grid (
  261.                     exposureDateArray,
  262.                     variationMarginTradePaymentVertex,
  263.                     marketPath
  264.                 ),
  265.                 tradePaymentTrajectory,
  266.                 csaTimelineLag
  267.             );
  268.         }
  269.         catch (java.lang.Exception e)
  270.         {
  271.             e.printStackTrace();
  272.         }

  274.         return null;
  275.     }

  277.     /**
  278.      * PathVariationMarginTrajectoryEstimator Constructor
  279.      * 
  280.      * @param exposureDateArray Array of Exposure Dates
  281.      * @param calendar The Date Adjustment Calendar
  282.      * @param variationMarginEstimateTrajectory The Variation Margin Estimate Trajectory
  283.      * @param tradePaymentTrajectory The Trade Payment Trajectory
  284.      * @param csaTimelineLag The CSA Time-line Lag Parameters
  285.      * 
  286.      * @throws java.lang.Exception Throws if the Inputs are Invalid
  287.      */

  289.     public PathVariationMarginTrajectoryEstimator (
  290.         final int[] exposureDateArray,
  291.         final java.lang.String calendar,
  292.         final java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory,
  293.         final org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory,
  294.         final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag)
  295.         throws java.lang.Exception
  296.     {
  297.         if (null == (_exposureDateArray = exposureDateArray) ||
  298.             null == (_calendar = calendar) || _calendar.isEmpty() ||
  299.             null == (_variationMarginEstimateTrajectory = variationMarginEstimateTrajectory) ||
  300.             null == (_tradePaymentTrajectory = tradePaymentTrajectory) ||
  301.             null == (_csaTimelineLag = csaTimelineLag))
  302.         {
  303.             throw new java.lang.Exception
  304.                 ("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
  305.         }

  307.         int exposureDateCount = _exposureDateArray.length;

  309.         if (0 == exposureDateCount || exposureDateCount != _tradePaymentTrajectory.length)
  310.         {
  311.             throw new java.lang.Exception
  312.                 ("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
  313.         }

  315.         for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
  316.         {
  317.             if (null == _tradePaymentTrajectory[exposureDateIndex])
  318.             {
  319.                 throw new java.lang.Exception
  320.                     ("PathVariationMarginTrajectoryEstimator Constructor => Invalid Inputs");
  321.             }
  322.         }
  323.     }

  325.     /**
  326.      * Retrieve the Array of Exposure Dates
  327.      * 
  328.      * @return The Array of Exposure Dates
  329.      */

  331.     public int[] exposureDateArray()
  332.     {
  333.         return _exposureDateArray;
  334.     }

  336.     /**
  337.      * Retrieve the Date Adjustment Calendar
  338.      * 
  339.      * @return The Date Adjustment Calendar
  340.      */

  342.     public java.lang.String calendar()
  343.     {
  344.         return _calendar;
  345.     }

  347.     /**
  348.      * Retrieve the CSA Events Timeline Lag
  349.      * 
  350.      * @return The CSA Events Timeline Lag
  351.      */

  353.     final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag csaTimelineLag()
  354.     {
  355.         return _csaTimelineLag;
  356.     }

  358.     /**
  359.      * Retrieve the Variation Margin Estimate Trajectory
  360.      * 
  361.      * @return The Variation Margin Estimate Trajectory
  362.      */

  364.     public java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory()
  365.     {
  366.         return _variationMarginEstimateTrajectory;
  367.     }

  369.     /**
  370.      * Retrieve the Trade Payment Trajectory
  371.      * 
  372.      * @return The Trade Payment Trajectory
  373.      */

  375.     public org.drip.exposure.mpor.TradePayment[] tradePaymentTrajectory()
  376.     {
  377.         return _tradePaymentTrajectory;
  378.     }

  380.     /**
  381.      * Generate the Client and the Dealer Trade Payment Trajectories
  382.      * 
  383.      * @param clientTradePaymentTrajectory The Client Trade Payment Trajectory
  384.      * @param dealerTradePaymentTrajectory The Dealer Trade Payment Trajectory
  385.      * 
  386.      * @return TRUE - The Client and the Dealer Trade Payment Trajectories successfully generated
  387.      */

  389.     public boolean tradePaymentTrajectory (
  390.         final java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory,
  391.         final java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory)
  392.     {
  393.         if (null == clientTradePaymentTrajectory || null == dealerTradePaymentTrajectory)
  394.         {
  395.             return false;
  396.         }

  398.         int exposureDateCount = _exposureDateArray.length;

  400.         for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
  401.         {
  402.             org.drip.exposure.mpor.TradePayment tradePayment = _tradePaymentTrajectory[exposureDateIndex];

  404.             clientTradePaymentTrajectory.put (
  405.                 _exposureDateArray[exposureDateIndex],
  406.                 tradePayment.client()
  407.             );

  409.             dealerTradePaymentTrajectory.put (
  410.                 _exposureDateArray[exposureDateIndex],
  411.                 tradePayment.dealer()
  412.             );
  413.         }

  415.         return true;
  416.     }

  418.     /**
  419.      * Generate the Array of CSA Event Dates
  420.      * 
  421.      * @return Array of CSA Event Dates
  422.      */

  424.     public org.drip.exposure.csatimeline.LastFlowDates[] csaEventDates()
  425.     {
  426.         int exposureDateCount = _exposureDateArray.length;
  427.         org.drip.exposure.csatimeline.LastFlowDates[] csaEventDateArray = new
  428.             org.drip.exposure.csatimeline.LastFlowDates[exposureDateCount];

  430.         for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
  431.         {
  432.             if (null == (csaEventDateArray[exposureDateIndex] =
  433.                 org.drip.exposure.csatimeline.LastFlowDates.SpotStandard (
  434.                     new org.drip.analytics.date.JulianDate (_exposureDateArray[exposureDateIndex]),
  435.                     _csaTimelineLag,
  436.                     _calendar
  437.                 )))
  438.             {
  439.                 return null;
  440.             }
  441.         }

  443.         return csaEventDateArray;
  444.     }

  446.     /**
  447.      * Retrieve the Variation Margin Trade Payment Exposure Trajectory
  448.      * 
  449.      * @return The Variation Margin Trade Payment Exposure Trajectory
  450.      */

  452.     public java.util.Map<java.lang.Integer, org.drip.exposure.mpor.VariationMarginTradeVertexExposure>
  453.         trajectory()
  454.     {
  455.         java.util.Map<java.lang.Integer, java.lang.Double> variationMarginEstimateTrajectory =
  456.             variationMarginEstimateTrajectory();

  458.         java.util.Map<java.lang.Integer, java.lang.Double> clientTradePaymentTrajectory = new
  459.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  461.         java.util.Map<java.lang.Integer, java.lang.Double> dealerTradePaymentTrajectory = new
  462.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  464.         if (!tradePaymentTrajectory (
  465.             clientTradePaymentTrajectory,
  466.             dealerTradePaymentTrajectory
  467.         ))
  468.         {
  469.             return null;
  470.         }

  472.         java.util.Map<java.lang.Integer, org.drip.exposure.mpor.VariationMarginTradeVertexExposure>
  473.             variationMarginTradeExposureTrajectory = new java.util.TreeMap<java.lang.Integer,
  474.                 org.drip.exposure.mpor.VariationMarginTradeVertexExposure>();

  476.         org.drip.exposure.csatimeline.LastFlowDates[] csaEventDateArray = csaEventDates();

  478.         int exposureDateCount = _exposureDateArray.length;

  480.         try
  481.         {
  482.             for (int exposureDateIndex = 0; exposureDateIndex < exposureDateCount; ++exposureDateIndex)
  483.             {
  484.                 variationMarginTradeExposureTrajectory.put (
  485.                     _exposureDateArray[exposureDateIndex],
  486.                     new org.drip.exposure.mpor.VariationMarginTradeVertexExposure (
  487.                         variationMarginEstimateTrajectory.get (_exposureDateArray[exposureDateIndex]),
  488.                         VariationMarginPosting (
  489.                             variationMarginEstimateTrajectory,
  490.                             csaEventDateArray[exposureDateIndex].clientVariationMarginPosting().julian(),
  491.                             csaEventDateArray[exposureDateIndex].dealerVariationMarginPosting().julian()
  492.                         ),
  493.                         ClientTradePayment (
  494.                             clientTradePaymentTrajectory,
  495.                             csaEventDateArray[exposureDateIndex].clientTradePayment().julian(),
  496.                             csaEventDateArray[exposureDateIndex].dealerTradePayment().julian()
  497.                         ),
  498.                         NetTradePayment (
  499.                             clientTradePaymentTrajectory,
  500.                             dealerTradePaymentTrajectory,
  501.                             csaEventDateArray[exposureDateIndex].dealerTradePayment().julian(),
  502.                             csaEventDateArray[exposureDateIndex].variationMarginPeriodEnd().julian()
  503.                         ),
  504.                         csaEventDateArray[exposureDateIndex]
  505.                     )
  506.                 );
  507.             }

  509.             return variationMarginTradeExposureTrajectory;
  510.         }
  511.         catch (java.lang.Exception e)
  512.         {
  513.             e.printStackTrace();
  514.         }

  516.         return null;
  517.     }
  518. }
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