PykhtinBrownianBridgeStretch.java
package org.drip.exposure.regression;
/*
* -*- 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>PykhtinBrownianBridgeStretch</i> generates the Regression Based Path Exposures off of the Pillar
* Vertexes using the Pykhtin (2009) Scheme. The References are:
*
* <br><br>
* <ul>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
* </li>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of
* Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
* </li>
* <li>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
* the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </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>
* </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/regression/README.md">Regression Based Path Exposure Generation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class PykhtinBrownianBridgeStretch
{
private java.util.Map<java.lang.Integer, java.lang.Double> _sparseVertexExposureTrajectory = null;
private java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1> _localVolatilityTrajectory
= null;
/**
* PykhtinBrownianBridgeStretch Constructor
*
* @param sparseVertexExposureTrajectory The Sparse Vertex Exposure Amount Trajectory
* @param localVolatilityTrajectory The R^1 To R^1 Local Volatility Trajectory
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PykhtinBrownianBridgeStretch (
final java.util.Map<java.lang.Integer, java.lang.Double> sparseVertexExposureTrajectory,
final java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1>
localVolatilityTrajectory)
throws java.lang.Exception
{
if (null == (_sparseVertexExposureTrajectory = sparseVertexExposureTrajectory) ||
null == (_localVolatilityTrajectory = localVolatilityTrajectory))
{
throw new java.lang.Exception ("PykhtinBrownianBridgeStretch Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Path Sparse Vertex Exposure Trajectory
*
* @return The Path Sparse Vertex Exposure Trajectory
*/
public java.util.Map<java.lang.Integer, java.lang.Double> sparseVertexExposureTrajectory()
{
return _sparseVertexExposureTrajectory;
}
/**
* Retrieve the Path Sparse Vertex Local Volatility Trajectory
*
* @return The Path Sparse Vertex Local Volatility Trajectory
*/
public java.util.Map<java.lang.Integer, org.drip.function.definition.R1ToR1> localVolatilityTrajectory()
{
return _localVolatilityTrajectory;
}
/**
* Generate the Dense (Complete) Segment Exposures
*
* @param wanderTrajectory The Wander Date Trajectory
*
* @return The Dense (Complete) Segment Exposures
*/
public java.util.Map<java.lang.Integer, java.lang.Double> denseExposure (
final java.util.Map<java.lang.Integer, java.lang.Double> wanderTrajectory)
{
int sparseLeftPillarDate = -1;
java.util.Map<java.lang.Integer, java.lang.Double> denseExposureTrajectory = new
java.util.TreeMap<java.lang.Integer, java.lang.Double>();
for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> sparseExposureTrajectoryEntry :
_sparseVertexExposureTrajectory.entrySet())
{
int sparseRightPillarDate = sparseExposureTrajectoryEntry.getKey();
if (-1 == sparseLeftPillarDate)
{
sparseLeftPillarDate = sparseRightPillarDate;
continue;
}
try
{
new PykhtinBrownianBridgeSegment (
new org.drip.exposure.regression.PillarVertex (
sparseLeftPillarDate,
_sparseVertexExposureTrajectory.get (sparseLeftPillarDate)
),
new org.drip.exposure.regression.PillarVertex (
sparseRightPillarDate,
_sparseVertexExposureTrajectory.get (sparseRightPillarDate)
),
_localVolatilityTrajectory.get (sparseRightPillarDate)
).denseExposureTrajectoryUpdate (
denseExposureTrajectory,
wanderTrajectory
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
sparseLeftPillarDate = sparseRightPillarDate;
}
return denseExposureTrajectory;
}
}