PykhtinBrownianBridgeStretch.java

  1. package org.drip.exposure.regression;

  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>PykhtinBrownianBridgeStretch</i> generates the Regression Based Path Exposures off of the Pillar
  80.  * Vertexes using the Pykhtin (2009) Scheme. The References are:
  81.  *  
  82.  * <br><br>
  83.  *      <ul>
  84.  *          <li>
  85.  *              Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
  86.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
  87.  *          </li>
  88.  *          <li>
  89.  *              Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of
  90.  *                  Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  91.  *          </li>
  92.  *          <li>
  93.  *              Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
  94.  *                  the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  95.  *                  <b>eSSRN</b>
  96.  *          </li>
  97.  *          <li>
  98.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  99.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  100.  *          </li>
  101.  *          <li>
  102.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  103.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  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/regression/README.md">Regression Based Path Exposure Generation</a></li>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class PykhtinBrownianBridgeStretch
  119. {
  120.     private java.util.Map<java.lang.Integer, java.lang.Double> _sparseVertexExposureTrajectory = null;
  121.     private java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1> _localVolatilityTrajectory
  122.         = null;

  124.     /**
  125.      * PykhtinBrownianBridgeStretch Constructor
  126.      * 
  127.      * @param sparseVertexExposureTrajectory The Sparse Vertex Exposure Amount Trajectory
  128.      * @param localVolatilityTrajectory The R^1 To R^1 Local Volatility Trajectory
  129.      * 
  130.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  131.      */

  133.     public PykhtinBrownianBridgeStretch (
  134.         final java.util.Map<java.lang.Integer, java.lang.Double> sparseVertexExposureTrajectory,
  135.         final java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1>
  136.             localVolatilityTrajectory)
  137.         throws java.lang.Exception
  138.     {
  139.         if (null == (_sparseVertexExposureTrajectory = sparseVertexExposureTrajectory) ||
  140.             null == (_localVolatilityTrajectory = localVolatilityTrajectory))
  141.         {
  142.             throw new java.lang.Exception ("PykhtinBrownianBridgeStretch Constructor => Invalid Inputs");
  143.         }
  144.     }

  146.     /**
  147.      * Retrieve the Path Sparse Vertex Exposure Trajectory
  148.      * 
  149.      * @return The Path Sparse Vertex Exposure Trajectory
  150.      */

  152.     public java.util.Map<java.lang.Integer, java.lang.Double> sparseVertexExposureTrajectory()
  153.     {
  154.         return _sparseVertexExposureTrajectory;
  155.     }

  157.     /**
  158.      * Retrieve the Path Sparse Vertex Local Volatility Trajectory
  159.      * 
  160.      * @return The Path Sparse Vertex Local Volatility Trajectory
  161.      */

  163.     public java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1> localVolatilityTrajectory()
  164.     {
  165.         return _localVolatilityTrajectory;
  166.     }

  168.     /**
  169.      * Generate the Dense (Complete) Segment Exposures
  170.      * 
  171.      * @param wanderTrajectory The Wander Date Trajectory
  172.      * 
  173.      * @return The Dense (Complete) Segment Exposures
  174.      */

  176.     public java.util.Map<java.lang.Integer, java.lang.Double> denseExposure (
  177.         final java.util.Map<java.lang.Integer, java.lang.Double> wanderTrajectory)
  178.     {
  179.         int sparseLeftPillarDate = -1;

  181.         java.util.Map<java.lang.Integer, java.lang.Double> denseExposureTrajectory = new
  182.             java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  184.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> sparseExposureTrajectoryEntry :
  185.             _sparseVertexExposureTrajectory.entrySet())
  186.         {
  187.             int sparseRightPillarDate = sparseExposureTrajectoryEntry.getKey();

  189.             if (-1 == sparseLeftPillarDate)
  190.             {
  191.                 sparseLeftPillarDate = sparseRightPillarDate;
  192.                 continue;
  193.             }

  195.             try
  196.             {
  197.                 new PykhtinBrownianBridgeSegment (
  198.                     new org.drip.exposure.regression.PillarVertex (
  199.                         sparseLeftPillarDate,
  200.                         _sparseVertexExposureTrajectory.get (sparseLeftPillarDate)
  201.                     ),
  202.                     new org.drip.exposure.regression.PillarVertex (
  203.                         sparseRightPillarDate,
  204.                         _sparseVertexExposureTrajectory.get (sparseRightPillarDate)
  205.                     ),
  206.                     _localVolatilityTrajectory.get (sparseRightPillarDate)
  207.                 ).denseExposureTrajectoryUpdate (
  208.                     denseExposureTrajectory,
  209.                     wanderTrajectory
  210.                 );
  211.             }
  212.             catch (java.lang.Exception e)
  213.             {
  214.                 e.printStackTrace();

  216.                 return null;
  217.             }

  219.             sparseLeftPillarDate = sparseRightPillarDate;
  220.         }

  222.         return denseExposureTrajectory;
  223.     }
  224. }
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