MarketVertexGenerator.java
package org.drip.exposure.universe;
/*
* -*- 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
* Copyright (C) 2017 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>MarketVertexGenerator</i> generates the Market Realizations at a Trajectory Vertex needed for computing
* the Valuation Adjustment. 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>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </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/universe/README.md">Exposure Generation - Market States Simulation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class MarketVertexGenerator
{
private int _spotDate = -1;
private double[] _ycfWidth = null;
private int[] _eventDateArray = null;
private org.drip.exposure.evolver.EntityDynamicsContainer _entityDynamicsContainer = null;
private org.drip.exposure.evolver.LatentStateDynamicsContainer _latentStateDynamicsContainer = null;
private org.drip.exposure.evolver.PrimarySecurityDynamicsContainer _primarySecurityDynamicsContainer =
null;
private org.drip.measure.process.DiffusionEvolver evolver (
final org.drip.state.identifier.LatentStateLabel latentStateLabel)
{
org.drip.exposure.evolver.TerminalLatentState terminalLatentState =
_latentStateDynamicsContainer.terminal (latentStateLabel);
if (null == terminalLatentState)
{
terminalLatentState = _latentStateDynamicsContainer.terminal (latentStateLabel);
}
return null == terminalLatentState ? null : terminalLatentState.evolver();
}
private java.util.List<org.drip.measure.realization.JumpDiffusionVertex[]> latentStateVertexArrayList (
final java.util.List<org.drip.state.identifier.LatentStateLabel> latentStateLabelList,
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
if (null == latentStateLabelList)
{
return null;
}
java.util.List<org.drip.measure.realization.JumpDiffusionVertex[]> latentStateVertexArrayList = new
java.util.ArrayList<org.drip.measure.realization.JumpDiffusionVertex[]>();
for (org.drip.state.identifier.LatentStateLabel latentStateLabel : latentStateLabelList)
{
org.drip.measure.process.DiffusionEvolver latentStateDiffusionEvolver = evolver
(latentStateLabel);
if (null == latentStateDiffusionEvolver)
{
continue;
}
try
{
latentStateVertexArrayList.add (
latentStateDiffusionEvolver.vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.latentStateValue (latentStateLabel),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (latentStateLabel)
),
_ycfWidth
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
}
return latentStateVertexArrayList;
}
private org.drip.measure.realization.JumpDiffusionVertex[] overnightReplicatorVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.exposure.evolver.PrimarySecurity overnightReplicator =
_primarySecurityDynamicsContainer.overnight();
try
{
return overnightReplicator.evolver().vertexSequenceReverse (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.overnightReplicator(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (overnightReplicator.label())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] csaReplicatorVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.exposure.evolver.PrimarySecurity csaReplicator = _primarySecurityDynamicsContainer.csa();
try
{
return csaReplicator.evolver().vertexSequenceReverse (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.csaReplicator(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (csaReplicator.label())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] dealerSeniorFundingReplicatorVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.exposure.evolver.PrimarySecurity dealerSeniorFundingReplicator =
_primarySecurityDynamicsContainer.dealerSeniorFunding();
try
{
return dealerSeniorFundingReplicator.evolver().vertexSequenceReverse (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.dealer().seniorFundingReplicator(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (dealerSeniorFundingReplicator.label())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[]
dealerSubordinateFundingReplicatorVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.exposure.evolver.PrimarySecurity dealerSubordinateFundingReplicator =
_primarySecurityDynamicsContainer.dealerSubordinateFunding();
double initialDealerSubordinateFundingReplicator =
initialMarketVertex.dealer().subordinateFundingReplicator();
if (null == dealerSubordinateFundingReplicator ||
!org.drip.numerical.common.NumberUtil.IsValid (initialDealerSubordinateFundingReplicator))
{
return null;
}
try
{
return dealerSubordinateFundingReplicator.evolver().vertexSequenceReverse (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialDealerSubordinateFundingReplicator,
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (dealerSubordinateFundingReplicator.label())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] clientFundingReplicatorVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.exposure.evolver.PrimarySecurity clientFundingReplicator =
_primarySecurityDynamicsContainer.clientFunding();
try
{
return clientFundingReplicator.evolver().vertexSequenceReverse (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.client().seniorFundingReplicator(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (clientFundingReplicator.label())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] dealerHazardVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
try
{
return _entityDynamicsContainer.dealerHazardRateEvolver().vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.dealer().hazardRate(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (_entityDynamicsContainer.dealerHazardLabel())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] clientHazardVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
try
{
return _entityDynamicsContainer.clientHazardRateEvolver().vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.client().hazardRate(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (_entityDynamicsContainer.clientHazardLabel())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] dealerSeniorRecoveryVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
try
{
return _entityDynamicsContainer.dealerSeniorRecoveryRateEvolver().vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.dealer().seniorRecoveryRate(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (_entityDynamicsContainer.dealerSeniorRecoveryLabel())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] dealerSubordinateRecoveryVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
org.drip.measure.process.DiffusionEvolver dealerSubordinateRecoveryRateEvolver =
_entityDynamicsContainer.dealerSubordinateRecoveryRateEvolver();
if (null == dealerSubordinateRecoveryRateEvolver)
{
return null;
}
try
{
return dealerSubordinateRecoveryRateEvolver.vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.dealer().subordinateRecoveryRate(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray
(_entityDynamicsContainer.dealerSubordinateRecoveryLabel())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.measure.realization.JumpDiffusionVertex[] clientRecoveryVertexArray (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner,
final int terminalDate)
{
try
{
return _entityDynamicsContainer.clientRecoveryRateEvolver().vertexSequence (
new org.drip.measure.realization.JumpDiffusionVertex (
terminalDate,
initialMarketVertex.client().seniorRecoveryRate(),
0.,
false
),
org.drip.measure.realization.JumpDiffusionEdgeUnit.Diffusion (
_ycfWidth,
latentStateWeiner.incrementArray (_entityDynamicsContainer.clientRecoveryLabel())
),
_ycfWidth
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* MarketVertexGenerator Constructor
*
* @param spotDate The Spot Date
* @param eventDateArray Array of the Event Dates
* @param entityDynamicsContainer The Dealer/Client Entity Latent State Dynamics Container
* @param primarySecurityDynamicsContainer The Primary Security Dynamics Container
* @param latentStateDynamicsContainer The Latent State Dynamics Container
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public MarketVertexGenerator (
final int spotDate,
final int[] eventDateArray,
final org.drip.exposure.evolver.EntityDynamicsContainer entityDynamicsContainer,
final org.drip.exposure.evolver.PrimarySecurityDynamicsContainer primarySecurityDynamicsContainer,
final org.drip.exposure.evolver.LatentStateDynamicsContainer latentStateDynamicsContainer)
throws java.lang.Exception
{
if (0 >= (_spotDate = spotDate) ||
null == (_eventDateArray = eventDateArray) ||
null == (_entityDynamicsContainer = entityDynamicsContainer))
{
throw new java.lang.Exception ("MarketVertexGenerator Constructor => Invalid Inputs");
}
int eventVertexCount = _eventDateArray.length;
_latentStateDynamicsContainer = latentStateDynamicsContainer;
_primarySecurityDynamicsContainer = primarySecurityDynamicsContainer;
_ycfWidth = 0 == eventVertexCount ? null : new double[eventVertexCount];
if (0 == eventVertexCount ||
0. >= (_ycfWidth[0] = ((double) (_eventDateArray[0] - _spotDate)) / 365.25))
{
throw new java.lang.Exception ("MarketVertexGenerator Constructor => Invalid Inputs");
}
for (int eventVertexIndex = 1; eventVertexIndex < eventVertexCount; ++eventVertexIndex)
{
if (0. >= (_ycfWidth[eventVertexIndex] = ((double) (_eventDateArray[eventVertexIndex] -
_eventDateArray[eventVertexIndex - 1])) / 365.25))
{
throw new java.lang.Exception ("MarketVertexGenerator Constructor => Invalid Inputs");
}
}
}
/**
* Retrieve the Spot Date
*
* @return The Spot Date
*/
public int spotDate()
{
return _spotDate;
}
/**
* Retrieve the Time Width Array
*
* @return The Time Width Array
*/
public double[] timeWidth()
{
return _ycfWidth;
}
/**
* Retrieve the Entity Dynamics Container
*
* @return The Entity Dynamics Container
*/
public org.drip.exposure.evolver.EntityDynamicsContainer entityDynamicsContainer()
{
return _entityDynamicsContainer;
}
/**
* Retrieve the Primary Security Dynamics Container
*
* @return The Primary Security Dynamics Container
*/
public org.drip.exposure.evolver.PrimarySecurityDynamicsContainer primarySecurityDynamicsContainer()
{
return _primarySecurityDynamicsContainer;
}
/**
* Retrieve the Latent State Dynamics Container
*
* @return The Latent State Dynamics Container
*/
public org.drip.exposure.evolver.LatentStateDynamicsContainer latentStateDynamicsContainer()
{
return _latentStateDynamicsContainer;
}
/**
* Retrieve the Vertex Date Array
*
* @return The Vertex Date Array
*/
public int[] vertexDates()
{
int eventDateCount = _eventDateArray.length;
int[] vertexDateArray = new int[eventDateCount + 1];
vertexDateArray[0] = _spotDate;
for (int i = 0; i < eventDateCount; ++i)
vertexDateArray[i + 1] = _eventDateArray[i];
return vertexDateArray;
}
/**
* Generate the Trajectory of the Simulated Market Vertexes
*
* @param initialMarketVertex The Initial Market Vertex
* @param latentStateWeiner The Latent State Weiner Instance
*
* @return The Trajectory of the Simulated Market Vertexes
*/
public java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertex (
final org.drip.exposure.universe.MarketVertex initialMarketVertex,
final org.drip.exposure.universe.LatentStateWeiner latentStateWeiner)
{
if (null == initialMarketVertex ||
null == latentStateWeiner)
{
return null;
}
int latentStateCount = latentStateWeiner.stateCount();
if (7 > latentStateCount)
{
return null;
}
org.drip.exposure.evolver.LatentStateVertexContainer latentStateVertexContainerInitial =
initialMarketVertex.latentStateVertexContainer();
java.util.List<org.drip.state.identifier.LatentStateLabel> latentStateLabelList = null ==
latentStateVertexContainerInitial ? null : latentStateVertexContainerInitial.labelList();
double clientSurvivalProbabilityExponent = 0.;
double dealerSurvivalProbabilityExponent = 0.;
int eventVertexCount = _eventDateArray.length;
int terminalDate = _eventDateArray[eventVertexCount - 1];
int latentStateLabelCount = null == latentStateLabelList ? 0 : latentStateLabelList.size();
org.drip.measure.realization.JumpDiffusionVertex[] overnightReplicatorVertexArray =
overnightReplicatorVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] csaReplicatorVertexArray =
csaReplicatorVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] dealerSeniorFundingReplicatorVertexArray =
dealerSeniorFundingReplicatorVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] dealerSubordinateFundingReplicatorVertexArray =
dealerSubordinateFundingReplicatorVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] clientFundingReplicatorVertexArray =
clientFundingReplicatorVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] dealerHazardVertexArray =
dealerHazardVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] clientHazardVertexArray =
clientHazardVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] dealerSeniorRecoveryVertexArray =
dealerSeniorRecoveryVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] dealerSubordinateRecoveryVertexArray =
dealerSubordinateRecoveryVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
org.drip.measure.realization.JumpDiffusionVertex[] clientRecoveryVertexArray =
clientRecoveryVertexArray (
initialMarketVertex,
latentStateWeiner,
terminalDate
);
java.util.List<org.drip.measure.realization.JumpDiffusionVertex[]> latentStateVertexArrayList =
latentStateVertexArrayList (
latentStateLabelList,
initialMarketVertex,
latentStateWeiner,
terminalDate
);
if (null == overnightReplicatorVertexArray ||
null == csaReplicatorVertexArray ||
null == dealerSeniorFundingReplicatorVertexArray ||
null == clientFundingReplicatorVertexArray ||
null == dealerHazardVertexArray ||
null == clientHazardVertexArray ||
null == dealerSeniorRecoveryVertexArray ||
null == clientRecoveryVertexArray)
{
return null;
}
double initialCSAReplicator = csaReplicatorVertexArray[0].value();
double initialOvernightReplicator = overnightReplicatorVertexArray[0].value();
double initialDealerSeniorFundingReplicator = dealerSeniorFundingReplicatorVertexArray[0].value();
double initialDealerSubordinateFundingReplicator =
null == dealerSubordinateFundingReplicatorVertexArray ||
null == dealerSubordinateFundingReplicatorVertexArray[0] ?
java.lang.Double.NaN : dealerSubordinateFundingReplicatorVertexArray[0].value();
double initialClientFundingReplicator = clientFundingReplicatorVertexArray[0].value();
java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertexTrajectory =
new java.util.TreeMap<java.lang.Integer, org.drip.exposure.universe.MarketVertex>();
for (int eventVertexIndex = 1; eventVertexIndex <= eventVertexCount; ++eventVertexIndex)
{
double clientHazardRate = clientHazardVertexArray[eventVertexIndex].value();
double dealerHazardRate = dealerHazardVertexArray[eventVertexIndex].value();
double csaReplicatorFinish = csaReplicatorVertexArray[eventVertexIndex].value();
double overnightReplicatorFinish = overnightReplicatorVertexArray[eventVertexIndex].value();
double clientFundingReplicatorFinish =
clientFundingReplicatorVertexArray[eventVertexIndex].value();
double dealerSeniorFundingReplicatorFinish =
dealerSeniorFundingReplicatorVertexArray[eventVertexIndex].value();
double timeWidth = _ycfWidth[eventVertexIndex - 1];
double timeWidthReciprocal = 1. / timeWidth;
clientSurvivalProbabilityExponent += clientHazardRate * timeWidth;
dealerSurvivalProbabilityExponent += dealerHazardRate * timeWidth;
double overnightRate = timeWidthReciprocal * java.lang.Math.log (overnightReplicatorFinish /
initialOvernightReplicator);
double dealerSubordinateFundingReplicatorFinish =
null == dealerSubordinateFundingReplicatorVertexArray ||
null == dealerSubordinateFundingReplicatorVertexArray[eventVertexIndex] ?
java.lang.Double.NaN :
dealerSubordinateFundingReplicatorVertexArray[eventVertexIndex].value();
try
{
org.drip.exposure.universe.MarketVertexEntity dealerMarketVertex =
new org.drip.exposure.universe.MarketVertexEntity (
java.lang.Math.exp (-1. * dealerSurvivalProbabilityExponent),
dealerHazardRate,
dealerSeniorRecoveryVertexArray[eventVertexIndex].value(),
timeWidthReciprocal * java.lang.Math.log (dealerSeniorFundingReplicatorFinish /
initialDealerSeniorFundingReplicator) - overnightRate,
dealerSeniorFundingReplicatorFinish,
null == dealerSubordinateFundingReplicatorVertexArray ||
null == dealerSubordinateRecoveryVertexArray[eventVertexIndex] ? java.lang.Double.NaN
: dealerSubordinateRecoveryVertexArray[eventVertexIndex].value(),
null == dealerSubordinateFundingReplicatorVertexArray ? java.lang.Double.NaN :
timeWidthReciprocal *
java.lang.Math.log (dealerSubordinateFundingReplicatorFinish /
initialDealerSubordinateFundingReplicator) - overnightRate,
dealerSubordinateFundingReplicatorFinish
);
org.drip.exposure.universe.MarketVertexEntity clientMarketVertex =
new org.drip.exposure.universe.MarketVertexEntity (
java.lang.Math.exp (-1. * clientSurvivalProbabilityExponent),
clientHazardRate,
clientRecoveryVertexArray[eventVertexIndex].value(),
timeWidthReciprocal * java.lang.Math.log (clientFundingReplicatorFinish /
initialClientFundingReplicator) - overnightRate,
clientFundingReplicatorFinish,
java.lang.Double.NaN,
java.lang.Double.NaN,
java.lang.Double.NaN
);
org.drip.exposure.evolver.LatentStateVertexContainer latentStateVertexContainer = new
org.drip.exposure.evolver.LatentStateVertexContainer();
if (null != latentStateVertexArrayList && null != latentStateLabelList)
{
for (int latentStateLabelIndex = 0; latentStateLabelIndex < latentStateLabelCount;
++latentStateLabelIndex)
{
org.drip.state.identifier.LatentStateLabel latentStateLabel =
latentStateLabelList.get (latentStateLabelIndex);
if (null != latentStateLabel)
{
latentStateVertexContainer.addLatentStateValue (
latentStateLabel,
latentStateVertexArrayList.get
(latentStateLabelIndex)[eventVertexIndex].value()
);
}
}
}
org.drip.exposure.universe.MarketVertex marketVertex =
new org.drip.exposure.universe.MarketVertex (
new org.drip.analytics.date.JulianDate (_eventDateArray[eventVertexIndex - 1]),
overnightRate,
overnightReplicatorFinish,
timeWidthReciprocal * java.lang.Math.log (csaReplicatorFinish / initialCSAReplicator)
- overnightRate,
csaReplicatorFinish,
dealerMarketVertex,
clientMarketVertex,
latentStateVertexContainer
);
marketVertexTrajectory.put (
_eventDateArray[eventVertexIndex - 1],
marketVertex
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
initialCSAReplicator = csaReplicatorFinish;
initialOvernightReplicator = overnightReplicatorFinish;
initialClientFundingReplicator = clientFundingReplicatorFinish;
initialDealerSeniorFundingReplicator = dealerSeniorFundingReplicatorFinish;
initialDealerSubordinateFundingReplicator = dealerSubordinateFundingReplicatorFinish;
}
try
{
double clientHazardVertexEpochal = clientHazardVertexArray[0].value();
double dealerHazardVertexEpochal = dealerHazardVertexArray[0].value();
marketVertexTrajectory.put (
initialMarketVertex.anchorDate().julian(),
new org.drip.exposure.universe.MarketVertex (
new org.drip.analytics.date.JulianDate (_spotDate),
0.,
overnightReplicatorVertexArray[0].value(),
0.,
csaReplicatorVertexArray[0].value(),
new org.drip.exposure.universe.MarketVertexEntity (
java.lang.Math.exp (-1. * _ycfWidth[0] * dealerHazardVertexEpochal),
dealerHazardVertexEpochal,
dealerSeniorRecoveryVertexArray[0].value(),
initialMarketVertex.dealer().seniorFundingSpread(),
dealerSeniorFundingReplicatorVertexArray[0].value(),
null == dealerSubordinateFundingReplicatorVertexArray ||
null == dealerSubordinateRecoveryVertexArray[0] ? java.lang.Double.NaN :
dealerSubordinateRecoveryVertexArray[0].value(),
null == dealerSubordinateFundingReplicatorVertexArray ? java.lang.Double.NaN :
initialMarketVertex.dealer().subordinateFundingSpread(),
null == dealerSubordinateFundingReplicatorVertexArray ||
null == dealerSubordinateFundingReplicatorVertexArray[0] ?
java.lang.Double.NaN :
dealerSubordinateFundingReplicatorVertexArray[0].value()
),
new org.drip.exposure.universe.MarketVertexEntity (
java.lang.Math.exp (-1. * _ycfWidth[0] * clientHazardVertexEpochal),
clientHazardVertexEpochal,
clientRecoveryVertexArray[0].value(),
initialMarketVertex.client().seniorFundingSpread(),
clientFundingReplicatorVertexArray[0].value(),
java.lang.Double.NaN,
java.lang.Double.NaN,
java.lang.Double.NaN
),
initialMarketVertex.latentStateVertexContainer()
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
return marketVertexTrajectory;
}
}