EnsembleTradeFlowAdjustment.java

  1. package org.drip.sample.andersen2017vm;

  3. import java.util.ArrayList;
  4. import java.util.List;

  6. import org.drip.analytics.date.DateUtil;
  7. import org.drip.analytics.date.JulianDate;
  8. import org.drip.exposure.evolver.EntityDynamicsContainer;
  9. import org.drip.exposure.evolver.LatentStateDynamicsContainer;
  10. import org.drip.exposure.evolver.LatentStateVertexContainer;
  11. import org.drip.exposure.evolver.PrimarySecurity;
  12. import org.drip.exposure.evolver.PrimarySecurityDynamicsContainer;
  13. import org.drip.exposure.evolver.TerminalLatentState;
  14. import org.drip.exposure.generator.FixFloatMPoR;
  15. import org.drip.exposure.regression.PykhtinPillarDynamics;
  16. import org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble;
  17. import org.drip.exposure.universe.LatentStateWeiner;
  18. import org.drip.exposure.universe.MarketPath;
  19. import org.drip.exposure.universe.MarketVertex;
  20. import org.drip.exposure.universe.MarketVertexGenerator;
  21. import org.drip.market.otc.FixedFloatSwapConvention;
  22. import org.drip.market.otc.IBORFixedFloatContainer;
  23. import org.drip.measure.crng.RandomNumberGenerator;
  24. import org.drip.measure.discrete.CorrelatedPathVertexDimension;
  25. import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
  26. import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
  27. import org.drip.measure.dynamics.HazardJumpEvaluator;
  28. import org.drip.measure.process.DiffusionEvolver;
  29. import org.drip.measure.process.JumpDiffusionEvolver;
  30. import org.drip.measure.statistics.UnivariateDiscreteThin;
  31. import org.drip.numerical.common.FormatUtil;
  32. import org.drip.numerical.linearalgebra.Matrix;
  33. import org.drip.product.rates.FixFloatComponent;
  34. import org.drip.service.env.EnvManager;
  35. import org.drip.state.identifier.CSALabel;
  36. import org.drip.state.identifier.EntityFundingLabel;
  37. import org.drip.state.identifier.EntityHazardLabel;
  38. import org.drip.state.identifier.EntityRecoveryLabel;
  39. import org.drip.state.identifier.ForwardLabel;
  40. import org.drip.state.identifier.LatentStateLabel;
  41. import org.drip.state.identifier.OvernightLabel;

  43. /*
  44.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  45.  */

  47. /*!
  48.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  49.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  50.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  51.  * 
  52.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  53.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  54.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  55.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  56.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  57.  *      and computational support.
  58.  *  
  59.  *      https://lakshmidrip.github.io/DROP/
  60.  *  
  61.  *  DROP is composed of three modules:
  62.  *  
  63.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  64.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  65.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  66.  * 
  67.  *  DROP Product Core implements libraries for the following:
  68.  *  - Fixed Income Analytics
  69.  *  - Loan Analytics
  70.  *  - Transaction Cost Analytics
  71.  * 
  72.  *  DROP Portfolio Core implements libraries for the following:
  73.  *  - Asset Allocation Analytics
  74.  *  - Asset Liability Management Analytics
  75.  *  - Capital Estimation Analytics
  76.  *  - Exposure Analytics
  77.  *  - Margin Analytics
  78.  *  - XVA Analytics
  79.  * 
  80.  *  DROP Computational Core implements libraries for the following:
  81.  *  - Algorithm Support
  82.  *  - Computation Support
  83.  *  - Function Analysis
  84.  *  - Model Validation
  85.  *  - Numerical Analysis
  86.  *  - Numerical Optimizer
  87.  *  - Spline Builder
  88.  *  - Statistical Learning
  89.  * 
  90.  *  Documentation for DROP is Spread Over:
  91.  * 
  92.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  93.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  94.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  95.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  96.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  97.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  98.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  99.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  100.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  101.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  102.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  103.  * 
  104.  *  Licensed under the Apache License, Version 2.0 (the "License");
  105.  *      you may not use this file except in compliance with the License.
  106.  *   
  107.  *  You may obtain a copy of the License at
  108.  *      http://www.apache.org/licenses/LICENSE-2.0
  109.  *  
  110.  *  Unless required by applicable law or agreed to in writing, software
  111.  *      distributed under the License is distributed on an "AS IS" BASIS,
  112.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  113.  *  
  114.  *  See the License for the specific language governing permissions and
  115.  *      limitations under the License.
  116.  */

  118. /**
  119.  * <i>EnsembleTradeFlowAdjustment</i> generates the Trade Flow Adjusted Variation Margin from Sparse Nodes
  120.  * for a Fix-Float Swap across the Ensemble of Paths. The References are:
  121.  * 
  122.  * <br><br>
  123.  *  <ul>
  124.  *      <li>
  125.  *          Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
  126.  *              Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  127.  *              <b>eSSRN</b>
  128.  *      </li>
  129.  *      <li>
  130.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
  131.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
  132.  *      </li>
  133.  *      <li>
  134.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  135.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  136.  *      </li>
  137.  *      <li>
  138.  *          Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  139.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  140.  *      </li>
  141.  *      <li>
  142.  *          Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements
  143.  *              http://www.risk-europe.com/protected/michael-pykhtin.pdf
  144.  *      </li>
  145.  *  </ul>
  146.  * <br><br>
  147.  *  <ul>
  148.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  149.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  150.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  151.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/andersen2017vm/README.md">Andersen Pykhtin Sokol Regression VM</a></li>
  152.  *  </ul>
  153.  * <br><br>
  154.  * 
  155.  * @author Lakshmi Krishnamurthy
  156.  */

  158. public class EnsembleTradeFlowAdjustment
  159. {

  161.     private static final FixFloatComponent OTCIRS (
  162.         final JulianDate spotDate,
  163.         final String currency,
  164.         final String maturityTenor,
  165.         final double coupon)
  166.     {
  167.         FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
  168.             currency,
  169.             "ALL",
  170.             maturityTenor,
  171.             "MAIN"
  172.         );

  174.         return ffConv.createFixFloatComponent (
  175.             spotDate,
  176.             maturityTenor,
  177.             coupon,
  178.             0.,
  179.             1.
  180.         );
  181.     }

  183.     private static final PrimarySecurity OvernightReplicator (
  184.         final String currency,
  185.         final List<LatentStateLabel> latentStateLabelList)
  186.         throws Exception
  187.     {
  188.         double overnightReplicatorDrift = 0.0025;
  189.         double overnightReplicatorVolatility = 0.001;
  190.         double overnightReplicatorRepo = 0.0;

  192.         LatentStateLabel overnightLabel = OvernightLabel.Create (currency);

  194.         latentStateLabelList.add (overnightLabel);

  196.         return new PrimarySecurity (
  197.             currency + "_OVERNIGHT",
  198.             overnightLabel,
  199.             new DiffusionEvolver (
  200.                 DiffusionEvaluatorLogarithmic.Standard (
  201.                     overnightReplicatorDrift,
  202.                     overnightReplicatorVolatility
  203.                 )
  204.             ),
  205.             overnightReplicatorRepo
  206.         );
  207.     }

  209.     private static final PrimarySecurity CSAReplicator (
  210.         final String currency,
  211.         final List<LatentStateLabel> latentStateLabelList)
  212.         throws Exception
  213.     {
  214.         double csaReplicatorDrift = 0.01;
  215.         double csaReplicatorVolatility = 0.002;
  216.         double csaReplicatorRepo = 0.005;

  218.         LatentStateLabel csaLabel = CSALabel.ISDA (currency);

  220.         latentStateLabelList.add (csaLabel);

  222.         return new PrimarySecurity (
  223.             currency + "_CSA",
  224.             csaLabel,
  225.             new DiffusionEvolver (
  226.                 DiffusionEvaluatorLogarithmic.Standard (
  227.                     csaReplicatorDrift,
  228.                     csaReplicatorVolatility
  229.                 )
  230.             ),
  231.             csaReplicatorRepo
  232.         );
  233.     }

  235.     private static final PrimarySecurity DealerSeniorFundingReplicator (
  236.         final String currency,
  237.         final String dealer,
  238.         final List<LatentStateLabel> latentStateLabelList)
  239.         throws Exception
  240.     {
  241.         double dealerSeniorFundingReplicatorDrift = 0.03;
  242.         double dealerSeniorFundingReplicatorVolatility = 0.002;
  243.         double dealerSeniorFundingReplicatorRepo = 0.028;

  245.         LatentStateLabel dealerSeniorFundingLabel = EntityFundingLabel.Senior (
  246.             dealer,
  247.             currency
  248.         );

  250.         latentStateLabelList.add (dealerSeniorFundingLabel);

  252.         return new PrimarySecurity (
  253.             dealer + "_" + currency + "_SENIOR_ZERO",
  254.             dealerSeniorFundingLabel,
  255.             new JumpDiffusionEvolver (
  256.                 DiffusionEvaluatorLogarithmic.Standard (
  257.                     dealerSeniorFundingReplicatorDrift,
  258.                     dealerSeniorFundingReplicatorVolatility
  259.                 ),
  260.                 HazardJumpEvaluator.Standard (
  261.                     0.3,
  262.                     0.45
  263.                 )
  264.             ),
  265.             dealerSeniorFundingReplicatorRepo
  266.         );
  267.     }

  269.     private static final PrimarySecurity DealerSubordinateFundingReplicator (
  270.         final String currency,
  271.         final String dealer,
  272.         final List<LatentStateLabel> latentStateLabelList)
  273.         throws Exception
  274.     {
  275.         double dealerSubordinateFundingReplicatorDrift = 0.045;
  276.         double dealerSubordinateFundingReplicatorVolatility = 0.002;
  277.         double dealerSubordinateFundingReplicatorRepo = 0.028;

  279.         LatentStateLabel dealerSubordinateFundingLabel = EntityFundingLabel.Subordinate (
  280.             dealer,
  281.             currency
  282.         );

  284.         latentStateLabelList.add (dealerSubordinateFundingLabel);

  286.         return new PrimarySecurity (
  287.             dealer + "_" + currency + "_SUBORDINATE_ZERO",
  288.             dealerSubordinateFundingLabel,
  289.             new JumpDiffusionEvolver (
  290.                 DiffusionEvaluatorLogarithmic.Standard (
  291.                     dealerSubordinateFundingReplicatorDrift,
  292.                     dealerSubordinateFundingReplicatorVolatility
  293.                 ),
  294.                 HazardJumpEvaluator.Standard (
  295.                     0.3,
  296.                     0.25
  297.                 )
  298.             ),
  299.             dealerSubordinateFundingReplicatorRepo
  300.         );
  301.     }

  303.     private static final PrimarySecurity ClientFundingReplicator (
  304.         final String currency,
  305.         final String client,
  306.         final List<LatentStateLabel> latentStateLabelList)
  307.         throws Exception
  308.     {
  309.         double clientFundingReplicatorDrift = 0.03;
  310.         double clientFundingReplicatorVolatility = 0.003;
  311.         double clientFundingReplicatorRepo = 0.028;

  313.         LatentStateLabel clientFundingLabel = EntityFundingLabel.Senior (
  314.             client,
  315.             currency
  316.         );

  318.         latentStateLabelList.add (clientFundingLabel);

  320.         return new PrimarySecurity (
  321.             client + "_" + currency + "_SENIOR_ZERO",
  322.             clientFundingLabel,
  323.             new JumpDiffusionEvolver (
  324.                 DiffusionEvaluatorLogarithmic.Standard (
  325.                     clientFundingReplicatorDrift,
  326.                     clientFundingReplicatorVolatility
  327.                 ),
  328.                 HazardJumpEvaluator.Standard (
  329.                     0.5,
  330.                     0.30
  331.                 )
  332.             ),
  333.             clientFundingReplicatorRepo
  334.         );
  335.     }

  337.     private static final TerminalLatentState DealerHazard (
  338.         final String currency,
  339.         final String dealer,
  340.         final List<LatentStateLabel> latentStateLabelList)
  341.         throws Exception
  342.     {
  343.         double dealerHazardDrift = 0.0002;
  344.         double dealerHazardVolatility = 0.02;

  346.         LatentStateLabel dealerHazardLabel = EntityHazardLabel.Standard (
  347.             dealer,
  348.             currency
  349.         );

  351.         latentStateLabelList.add (dealerHazardLabel);

  353.         return new TerminalLatentState (
  354.             dealerHazardLabel,
  355.             new DiffusionEvolver (
  356.                 DiffusionEvaluatorLogarithmic.Standard (
  357.                     dealerHazardDrift,
  358.                     dealerHazardVolatility
  359.                 )
  360.             )
  361.         );
  362.     }

  364.     private static final TerminalLatentState DealerRecovery (
  365.         final String currency,
  366.         final String dealer,
  367.         final List<LatentStateLabel> latentStateLabelList)
  368.         throws Exception
  369.     {
  370.         double dealerRecoveryDrift = 0.0002;
  371.         double dealerRecoveryVolatility = 0.02;

  373.         LatentStateLabel dealerRecoveryLabel = EntityRecoveryLabel.Senior (
  374.             dealer,
  375.             currency
  376.         );

  378.         latentStateLabelList.add (dealerRecoveryLabel);

  380.         return new TerminalLatentState (
  381.             dealerRecoveryLabel,
  382.             new DiffusionEvolver (
  383.                 DiffusionEvaluatorLogarithmic.Standard (
  384.                     dealerRecoveryDrift,
  385.                     dealerRecoveryVolatility
  386.                 )
  387.             )
  388.         );
  389.     }

  391.     private static final TerminalLatentState ClientHazard (
  392.         final String currency,
  393.         final String client,
  394.         final List<LatentStateLabel> latentStateLabelList)
  395.         throws Exception
  396.     {
  397.         double clientHazardDrift = 0.0002;
  398.         double clientHazardVolatility = 0.02;

  400.         LatentStateLabel clientHazardLabel = EntityHazardLabel.Standard (
  401.             client,
  402.             currency
  403.         );

  405.         latentStateLabelList.add (clientHazardLabel);

  407.         return new TerminalLatentState (
  408.             clientHazardLabel,
  409.             new DiffusionEvolver (
  410.                 DiffusionEvaluatorLogarithmic.Standard (
  411.                     clientHazardDrift,
  412.                     clientHazardVolatility
  413.                 )
  414.             )
  415.         );
  416.     }

  418.     private static final TerminalLatentState ClientRecovery (
  419.         final String currency,
  420.         final String client,
  421.         final List<LatentStateLabel> latentStateLabelList)
  422.         throws Exception
  423.     {
  424.         double clientRecoveryDrift = 0.0002;
  425.         double clientRecoveryVolatility = 0.02;

  427.         LatentStateLabel clientRecoveryLabel = EntityRecoveryLabel.Senior (
  428.             client,
  429.             currency
  430.         );

  432.         latentStateLabelList.add (clientRecoveryLabel);

  434.         return new TerminalLatentState (
  435.             clientRecoveryLabel,
  436.             new DiffusionEvolver (
  437.                 DiffusionEvaluatorLogarithmic.Standard (
  438.                     clientRecoveryDrift,
  439.                     clientRecoveryVolatility
  440.                 )
  441.             )
  442.         );
  443.     }

  445.     private static final EntityDynamicsContainer EntityEvolver (
  446.         final String currency,
  447.         final String dealer,
  448.         final String client,
  449.         final List<LatentStateLabel> latentStateLabelList)
  450.         throws Exception
  451.     {
  452.         return new EntityDynamicsContainer (
  453.             DealerHazard (
  454.                 currency,
  455.                 dealer,
  456.                 latentStateLabelList
  457.             ),
  458.             DealerRecovery (
  459.                 currency,
  460.                 dealer,
  461.                 latentStateLabelList
  462.             ),
  463.             null,
  464.             ClientHazard (
  465.                 currency,
  466.                 client,
  467.                 latentStateLabelList
  468.             ),
  469.             ClientRecovery (
  470.                 currency,
  471.                 client,
  472.                 latentStateLabelList
  473.             )
  474.         );
  475.     }

  477.     private static final PrimarySecurityDynamicsContainer PrimarySecurityEvolver (
  478.         final String currency,
  479.         final String dealer,
  480.         final String client,
  481.         final List<LatentStateLabel> latentStateLabelList)
  482.         throws Exception
  483.     {
  484.         return new PrimarySecurityDynamicsContainer (
  485.             null,
  486.             OvernightReplicator (
  487.                 currency,
  488.                 latentStateLabelList
  489.             ),
  490.             CSAReplicator (
  491.                 currency,
  492.                 latentStateLabelList
  493.             ),
  494.             DealerSeniorFundingReplicator (
  495.                 currency,
  496.                 dealer,
  497.                 latentStateLabelList
  498.             ),
  499.             DealerSubordinateFundingReplicator (
  500.                 currency,
  501.                 dealer,
  502.                 latentStateLabelList
  503.             ),
  504.             ClientFundingReplicator (
  505.                 currency,
  506.                 client,
  507.                 latentStateLabelList
  508.             )
  509.         );
  510.     }

  512.     private static final LatentStateDynamicsContainer LatentStateEvolver (
  513.         final ForwardLabel forwardLabel,
  514.         final List<LatentStateLabel> latentStateLabelList)
  515.         throws Exception
  516.     {
  517.         double otcFixFloatNumeraireDrift = 0.0;
  518.         double otcFixFloatNumeraireVolatility = 0.10;

  520.         latentStateLabelList.add (forwardLabel);

  522.         LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();

  524.         latentStateDynamicsContainer.addForward (
  525.             new TerminalLatentState (
  526.                 forwardLabel,
  527.                 new DiffusionEvolver (
  528.                     DiffusionEvaluatorLinear.Standard (
  529.                         otcFixFloatNumeraireDrift,
  530.                         otcFixFloatNumeraireVolatility
  531.                     )
  532.                 )
  533.             )
  534.         );

  536.         return latentStateDynamicsContainer;
  537.     }

  539.     private static final MarketVertexGenerator ConstructMarketVertexGenerator (
  540.         final JulianDate spotDate,
  541.         final String exposureSamplingTenor,
  542.         final int exposureSamplingNodeCount,
  543.         final String currency,
  544.         final String dealer,
  545.         final String client,
  546.         final ForwardLabel forwardLabel,
  547.         final List<LatentStateLabel> latentStateLabelList)
  548.         throws Exception
  549.     {
  550.         JulianDate terminationDate = spotDate;
  551.         int[] eventVertexArray = new int[exposureSamplingNodeCount];

  553.         for (int i = 0; i < exposureSamplingNodeCount; ++i)
  554.         {
  555.             terminationDate = terminationDate.addTenor (exposureSamplingTenor);

  557.             eventVertexArray[i] = terminationDate.julian();
  558.         }

  560.         return new MarketVertexGenerator (
  561.             spotDate.julian(),
  562.             eventVertexArray,
  563.             EntityEvolver (
  564.                 currency,
  565.                 dealer,
  566.                 client,
  567.                 latentStateLabelList
  568.             ),
  569.             PrimarySecurityEvolver (
  570.                 currency,
  571.                 dealer,
  572.                 client,
  573.                 latentStateLabelList
  574.             ),
  575.             LatentStateEvolver (
  576.                 forwardLabel,
  577.                 latentStateLabelList
  578.             )
  579.         );
  580.     }

  582.     public static final void main (
  583.         final String[] args)
  584.         throws Exception
  585.     {
  586.         EnvManager.InitEnv ("");

  588.         JulianDate spotDate = DateUtil.CreateFromYMD (
  589.             2018,
  590.             DateUtil.APRIL,
  591.             19
  592.         );

  594.         int pathCount = 100;
  595.         String latentStateGenerationTenor = "1D";
  596.         int latentStateGenerationCount = 390;
  597.         int latentStateVertexCount = latentStateGenerationCount + 10;
  598.         String currency = "USD";
  599.         String dealer = "NOM";
  600.         String client = "SSGA";
  601.         double[][] correlationMatrix = new double[][]
  602.         {
  603.             {1.00, 0.00, 0.20, 0.15, 0.05, 0.00, 0.00, 0.00, 0.00, 0.00}, // #0  DEALER HAZARD
  604.             {0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #1  DEALER SENIOR RECOVERY
  605.             {0.20, 0.00, 1.00, 0.13, 0.25, 0.00, 0.00, 0.00, 0.00, 0.00}, // #2  CLIENT HAZARD
  606.             {0.15, 0.00, 0.13, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #3  CLIENT RECOVERY
  607.             {0.05, 0.00, 0.25, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #4  OVERNIGHT REPLICATOR
  608.             {0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00}, // #5  CSA REPLICATOR
  609.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00}, // #6  DEALER SENIOR FUNDING REPLICATOR
  610.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00}, // #7  DEALER SUBORDINATE FUNDING REPLICATOR
  611.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #8  CLIENT FUNDING REPLICATOR
  612.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #9  FORWARD NUMERAIRE
  613.         };
  614.         String sparseFixFloatExposureTenor = "3M";
  615.         int sparseFixFloatExposureDateCount = 4;
  616.         String fixFloatMaturityTenor = "1Y";
  617.         double fixFloatCoupon = 0.02;
  618.         double fixFloatNotional = -1.e+06;

  620.         LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

  622.         latentStateVertexContainer.add (
  623.             ForwardLabel.Create (
  624.                 currency,
  625.                 "3M"
  626.             ),
  627.             0.02
  628.         );

  630.         MarketVertex initialMarketVertex = MarketVertex.Epochal (
  631.             spotDate,
  632.             1.000,              // dblOvernightNumeraireInitial
  633.             1.000,              // dblCSANumeraire
  634.             0.015,              // dblBankHazardRate
  635.             0.400,              // dblBankRecoveryRate
  636.             0.015 / (1 - 0.40), // dblBankFundingSpread
  637.             0.030,              // dblCounterPartyHazardRate
  638.             0.300,              // dblCounterPartyRecoveryRate
  639.             0.030 / (1 - 0.30), // dblCounterPartyFundingSpread
  640.             latentStateVertexContainer
  641.         );

  643.         ForwardLabel forwardLabel = ForwardLabel.Create (
  644.             currency,
  645.             "3M"
  646.         );

  648.         List<LatentStateLabel> latentStateLabelList = new ArrayList<LatentStateLabel>();

  650.         MarketVertexGenerator marketVertexGenerator = ConstructMarketVertexGenerator (
  651.             spotDate,
  652.             latentStateGenerationTenor,
  653.             latentStateVertexCount,
  654.             currency,
  655.             dealer,
  656.             client,
  657.             forwardLabel,
  658.             latentStateLabelList
  659.         );

  661.         FixFloatComponent fixFloatComponent = OTCIRS (
  662.             spotDate,
  663.             currency,
  664.             fixFloatMaturityTenor,
  665.             fixFloatCoupon
  666.         );

  668.         FixFloatMPoR fixFloatMPoR = new FixFloatMPoR (
  669.             fixFloatComponent,
  670.             fixFloatNotional
  671.         );

  673.         CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
  674.             new RandomNumberGenerator(),
  675.             correlationMatrix,
  676.             latentStateVertexCount,
  677.             1,
  678.             true,
  679.             null
  680.         );

  682.         JulianDate sparseFixFloatExposureDate = spotDate;
  683.         int[] sparseFixFloatExposureDateArray = new int[sparseFixFloatExposureDateCount + 1];
  684.         MarketPath[] marketPathArray = new MarketPath[pathCount];

  686.         for (int sparseFixFloatExposureDateIndex = 0;
  687.             sparseFixFloatExposureDateIndex <= sparseFixFloatExposureDateCount;
  688.             ++sparseFixFloatExposureDateIndex)
  689.         {
  690.             sparseFixFloatExposureDateArray[sparseFixFloatExposureDateIndex] =
  691.                 sparseFixFloatExposureDate.julian();

  693.             sparseFixFloatExposureDate = sparseFixFloatExposureDate.addTenor (sparseFixFloatExposureTenor);
  694.         }

  696.         for (int pathIndex = 0; pathIndex < pathCount; ++pathIndex)
  697.         {
  698.             marketPathArray[pathIndex] = new MarketPath (
  699.                 marketVertexGenerator.marketVertex (
  700.                     initialMarketVertex,
  701.                     LatentStateWeiner.FromUnitRandom (
  702.                         latentStateLabelList,
  703.                         Matrix.Transpose (correlatedPathVertexDimension.straightPathVertexRd().flatform())
  704.                     )
  705.                 )
  706.             );
  707.         }

  709.         AndersenPykhtinSokolEnsemble andersenPykhtinSokolEnsemble = new AndersenPykhtinSokolEnsemble (
  710.             fixFloatMPoR,
  711.             marketPathArray,
  712.             sparseFixFloatExposureDateArray
  713.         );

  715.         PykhtinPillarDynamics[] pillarDynamicsArray = andersenPykhtinSokolEnsemble.ensemblePillarDynamics();

  717.         System.out.println ("\t||-------------------------------------------------------------||");

  719.         System.out.println ("\t||        ENSEMBLE TRADE FLOW ADJUSTED VARIATION MARGIN        ||");

  721.         System.out.println ("\t||-------------------------------------------------------------||");

  723.         System.out.println ("\t||                                                             ||");

  725.         System.out.println ("\t||    L -> R:                                                  ||");

  727.         System.out.println ("\t||          - Average                                          ||");

  729.         System.out.println ("\t||          - Minimum                                          ||");

  731.         System.out.println ("\t||          - Maximum                                          ||");

  733.         System.out.println ("\t||          - Error                                            ||");

  735.         System.out.println ("\t||-------------------------------------------------------------||");

  737.         for (int sparseFixFloatExposureDateIndex = 0;
  738.             sparseFixFloatExposureDateIndex <= sparseFixFloatExposureDateCount;
  739.             ++sparseFixFloatExposureDateIndex)
  740.         {
  741.             UnivariateDiscreteThin univariateDiscreteThin = UnivariateDiscreteThin.FromList
  742.                 (pillarDynamicsArray[sparseFixFloatExposureDateIndex].exposureList());

  744.             System.out.println (
  745.                 "\t|| " +
  746.                 new JulianDate (sparseFixFloatExposureDateArray[sparseFixFloatExposureDateIndex]) + " => " +
  747.                 FormatUtil.FormatDouble (univariateDiscreteThin.average(), 5, 1, 1.) + " | " +
  748.                 FormatUtil.FormatDouble (univariateDiscreteThin.minimum(), 6, 1, 1.) + " | " +
  749.                 FormatUtil.FormatDouble (univariateDiscreteThin.maximum(), 6, 1, 1.) + " | " +
  750.                 FormatUtil.FormatDouble (univariateDiscreteThin.error(), 6, 1, 1.) + " ||"
  751.             );
  752.         }

  754.         System.out.println ("\t||-------------------------------------------------------------||");

  756.         EnvManager.TerminateEnv();
  757.     }
  758. }
Created with JaCoCo 0.7.9.201702052155