FixFloatConservativeShort.java
package org.drip.sample.andersen2017vm;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import org.drip.analytics.date.DateUtil;
import org.drip.analytics.date.JulianDate;
import org.drip.exposure.csatimeline.AndersenPykhtinSokolLag;
import org.drip.exposure.csatimeline.LastFlowDates;
import org.drip.exposure.evolver.EntityDynamicsContainer;
import org.drip.exposure.evolver.LatentStateDynamicsContainer;
import org.drip.exposure.evolver.LatentStateVertexContainer;
import org.drip.exposure.evolver.PrimarySecurity;
import org.drip.exposure.evolver.PrimarySecurityDynamicsContainer;
import org.drip.exposure.evolver.TerminalLatentState;
import org.drip.exposure.generator.FixFloatMPoR;
import org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator;
import org.drip.exposure.mpor.VariationMarginTradeVertexExposure;
import org.drip.exposure.regression.LocalVolatilityGenerationControl;
import org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble;
import org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory;
import org.drip.exposure.universe.LatentStateWeiner;
import org.drip.exposure.universe.MarketPath;
import org.drip.exposure.universe.MarketVertex;
import org.drip.exposure.universe.MarketVertexGenerator;
import org.drip.market.otc.FixedFloatSwapConvention;
import org.drip.market.otc.IBORFixedFloatContainer;
import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.CorrelatedPathVertexDimension;
import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
import org.drip.measure.dynamics.HazardJumpEvaluator;
import org.drip.measure.gaussian.NormalQuadrature;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.measure.process.JumpDiffusionEvolver;
import org.drip.numerical.common.FormatUtil;
import org.drip.numerical.linearalgebra.Matrix;
import org.drip.product.rates.FixFloatComponent;
import org.drip.service.env.EnvManager;
import org.drip.state.identifier.CSALabel;
import org.drip.state.identifier.EntityFundingLabel;
import org.drip.state.identifier.EntityHazardLabel;
import org.drip.state.identifier.EntityRecoveryLabel;
import org.drip.state.identifier.ForwardLabel;
import org.drip.state.identifier.LatentStateLabel;
import org.drip.state.identifier.OvernightLabel;
/*
* -*- 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>FixFloatConservativeShort</i> generates the Ensemble of Dense Variation Margin Estimates and the
* eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble
* of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme. The References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
* Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </li>
* <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>
* 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>
* Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements
* http://www.risk-europe.com/protected/michael-pykhtin.pdf
* </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/sample/README.md">DROP API Construction and Usage</a></li>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FixFloatConservativeShort
{
private static final FixFloatComponent OTCIRS (
final JulianDate spotDate,
final String currency,
final String maturityTenor,
final double coupon)
{
FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
currency,
"ALL",
maturityTenor,
"MAIN"
);
return ffConv.createFixFloatComponent (
spotDate,
maturityTenor,
coupon,
0.,
1.
);
}
private static final PrimarySecurity OvernightReplicator (
final String currency,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double overnightReplicatorDrift = 0.0025;
double overnightReplicatorVolatility = 0.001;
double overnightReplicatorRepo = 0.0;
LatentStateLabel overnightLabel = OvernightLabel.Create (currency);
latentStateLabelList.add (overnightLabel);
return new PrimarySecurity (
currency + "_OVERNIGHT",
overnightLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
overnightReplicatorDrift,
overnightReplicatorVolatility
)
),
overnightReplicatorRepo
);
}
private static final PrimarySecurity CSAReplicator (
final String currency,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double csaReplicatorDrift = 0.01;
double csaReplicatorVolatility = 0.002;
double csaReplicatorRepo = 0.005;
LatentStateLabel csaLabel = CSALabel.ISDA (currency);
latentStateLabelList.add (csaLabel);
return new PrimarySecurity (
currency + "_CSA",
csaLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
csaReplicatorDrift,
csaReplicatorVolatility
)
),
csaReplicatorRepo
);
}
private static final PrimarySecurity DealerSeniorFundingReplicator (
final String currency,
final String dealer,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double dealerSeniorFundingReplicatorDrift = 0.03;
double dealerSeniorFundingReplicatorVolatility = 0.002;
double dealerSeniorFundingReplicatorRepo = 0.028;
LatentStateLabel dealerSeniorFundingLabel = EntityFundingLabel.Senior (
dealer,
currency
);
latentStateLabelList.add (dealerSeniorFundingLabel);
return new PrimarySecurity (
dealer + "_" + currency + "_SENIOR_ZERO",
dealerSeniorFundingLabel,
new JumpDiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
dealerSeniorFundingReplicatorDrift,
dealerSeniorFundingReplicatorVolatility
),
HazardJumpEvaluator.Standard (
0.3,
0.45
)
),
dealerSeniorFundingReplicatorRepo
);
}
private static final PrimarySecurity DealerSubordinateFundingReplicator (
final String currency,
final String dealer,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double dealerSubordinateFundingReplicatorDrift = 0.045;
double dealerSubordinateFundingReplicatorVolatility = 0.002;
double dealerSubordinateFundingReplicatorRepo = 0.028;
LatentStateLabel dealerSubordinateFundingLabel = EntityFundingLabel.Subordinate (
dealer,
currency
);
latentStateLabelList.add (dealerSubordinateFundingLabel);
return new PrimarySecurity (
dealer + "_" + currency + "_SUBORDINATE_ZERO",
dealerSubordinateFundingLabel,
new JumpDiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
dealerSubordinateFundingReplicatorDrift,
dealerSubordinateFundingReplicatorVolatility
),
HazardJumpEvaluator.Standard (
0.3,
0.25
)
),
dealerSubordinateFundingReplicatorRepo
);
}
private static final PrimarySecurity ClientFundingReplicator (
final String currency,
final String client,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double clientFundingReplicatorDrift = 0.03;
double clientFundingReplicatorVolatility = 0.003;
double clientFundingReplicatorRepo = 0.028;
LatentStateLabel clientFundingLabel = EntityFundingLabel.Senior (
client,
currency
);
latentStateLabelList.add (clientFundingLabel);
return new PrimarySecurity (
client + "_" + currency + "_SENIOR_ZERO",
clientFundingLabel,
new JumpDiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
clientFundingReplicatorDrift,
clientFundingReplicatorVolatility
),
HazardJumpEvaluator.Standard (
0.5,
0.30
)
),
clientFundingReplicatorRepo
);
}
private static final TerminalLatentState DealerHazard (
final String currency,
final String dealer,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double dealerHazardDrift = 0.0002;
double dealerHazardVolatility = 0.02;
LatentStateLabel dealerHazardLabel = EntityHazardLabel.Standard (
dealer,
currency
);
latentStateLabelList.add (dealerHazardLabel);
return new TerminalLatentState (
dealerHazardLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
dealerHazardDrift,
dealerHazardVolatility
)
)
);
}
private static final TerminalLatentState DealerRecovery (
final String currency,
final String dealer,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double dealerRecoveryDrift = 0.0002;
double dealerRecoveryVolatility = 0.02;
LatentStateLabel dealerRecoveryLabel = EntityRecoveryLabel.Senior (
dealer,
currency
);
latentStateLabelList.add (dealerRecoveryLabel);
return new TerminalLatentState (
dealerRecoveryLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
dealerRecoveryDrift,
dealerRecoveryVolatility
)
)
);
}
private static final TerminalLatentState ClientHazard (
final String currency,
final String client,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double clientHazardDrift = 0.0002;
double clientHazardVolatility = 0.02;
LatentStateLabel clientHazardLabel = EntityHazardLabel.Standard (
client,
currency
);
latentStateLabelList.add (clientHazardLabel);
return new TerminalLatentState (
clientHazardLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
clientHazardDrift,
clientHazardVolatility
)
)
);
}
private static final TerminalLatentState ClientRecovery (
final String currency,
final String client,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double clientRecoveryDrift = 0.0002;
double clientRecoveryVolatility = 0.02;
LatentStateLabel clientRecoveryLabel = EntityRecoveryLabel.Senior (
client,
currency
);
latentStateLabelList.add (clientRecoveryLabel);
return new TerminalLatentState (
clientRecoveryLabel,
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
clientRecoveryDrift,
clientRecoveryVolatility
)
)
);
}
private static final EntityDynamicsContainer EntityEvolver (
final String currency,
final String dealer,
final String client,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
return new EntityDynamicsContainer (
DealerHazard (
currency,
dealer,
latentStateLabelList
),
DealerRecovery (
currency,
dealer,
latentStateLabelList
),
null,
ClientHazard (
currency,
client,
latentStateLabelList
),
ClientRecovery (
currency,
client,
latentStateLabelList
)
);
}
private static final PrimarySecurityDynamicsContainer PrimarySecurityEvolver (
final String currency,
final String dealer,
final String client,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
return new PrimarySecurityDynamicsContainer (
null,
OvernightReplicator (
currency,
latentStateLabelList
),
CSAReplicator (
currency,
latentStateLabelList
),
DealerSeniorFundingReplicator (
currency,
dealer,
latentStateLabelList
),
DealerSubordinateFundingReplicator (
currency,
dealer,
latentStateLabelList
),
ClientFundingReplicator (
currency,
client,
latentStateLabelList
)
);
}
private static final LatentStateDynamicsContainer LatentStateEvolver (
final ForwardLabel forwardLabel,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double otcFixFloatNumeraireDrift = 0.0;
double otcFixFloatNumeraireVolatility = 0.10;
latentStateLabelList.add (forwardLabel);
LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();
latentStateDynamicsContainer.addForward (
new TerminalLatentState (
forwardLabel,
new DiffusionEvolver (
DiffusionEvaluatorLinear.Standard (
otcFixFloatNumeraireDrift,
otcFixFloatNumeraireVolatility
)
)
)
);
return latentStateDynamicsContainer;
}
private static final MarketVertexGenerator ConstructMarketVertexGenerator (
final JulianDate spotDate,
final String exposureSamplingTenor,
final int exposureSamplingNodeCount,
final String currency,
final String dealer,
final String client,
final ForwardLabel forwardLabel,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
JulianDate terminationDate = spotDate;
int[] eventVertexArray = new int[exposureSamplingNodeCount];
for (int i = 0; i < exposureSamplingNodeCount; ++i)
{
terminationDate = terminationDate.addTenor (exposureSamplingTenor);
eventVertexArray[i] = terminationDate.julian();
}
return new MarketVertexGenerator (
spotDate.julian(),
eventVertexArray,
EntityEvolver (
currency,
dealer,
client,
latentStateLabelList
),
PrimarySecurityEvolver (
currency,
dealer,
client,
latentStateLabelList
),
LatentStateEvolver (
forwardLabel,
latentStateLabelList
)
);
}
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate spotDate = DateUtil.CreateFromYMD (
2018,
DateUtil.APRIL,
19
);
int pathCount = 100;
String latentStateGenerationTenor = "1D";
int latentStateGenerationCount = 390;
int latentStateVertexCount = latentStateGenerationCount + 10;
String currency = "USD";
String dealer = "NOM";
String client = "SSGA";
double[][] correlationMatrix = new double[][]
{
{1.00, 0.00, 0.20, 0.15, 0.05, 0.00, 0.00, 0.00, 0.00, 0.00}, // #0 DEALER HAZARD
{0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #1 DEALER SENIOR RECOVERY
{0.20, 0.00, 1.00, 0.13, 0.25, 0.00, 0.00, 0.00, 0.00, 0.00}, // #2 CLIENT HAZARD
{0.15, 0.00, 0.13, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #3 CLIENT RECOVERY
{0.05, 0.00, 0.25, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #4 OVERNIGHT REPLICATOR
{0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00}, // #5 CSA REPLICATOR
{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
{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
{0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #8 CLIENT FUNDING REPLICATOR
{0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #9 FORWARD NUMERAIRE
};
String sparseFixFloatExposureTenor = "3M";
int sparseFixFloatExposureDateCount = 4;
String fixFloatMaturityTenor = "1Y";
double fixFloatCoupon = 0.02;
double fixFloatNotional = -1.e+06;
LocalVolatilityGenerationControl localVolatilityGenerationControl =
LocalVolatilityGenerationControl.Standard (pathCount);
LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();
latentStateVertexContainer.add (
ForwardLabel.Create (
currency,
"3M"
),
0.02
);
MarketVertex initialMarketVertex = MarketVertex.Epochal (
spotDate,
1.000, // dblOvernightNumeraireInitial
1.000, // dblCSANumeraire
0.015, // dblBankHazardRate
0.400, // dblBankRecoveryRate
0.015 / (1 - 0.40), // dblBankFundingSpread
0.030, // dblCounterPartyHazardRate
0.300, // dblCounterPartyRecoveryRate
0.030 / (1 - 0.30), // dblCounterPartyFundingSpread
latentStateVertexContainer
);
ForwardLabel forwardLabel = ForwardLabel.Create (
currency,
"3M"
);
List<LatentStateLabel> latentStateLabelList = new ArrayList<LatentStateLabel>();
MarketVertexGenerator marketVertexGenerator = ConstructMarketVertexGenerator (
spotDate,
latentStateGenerationTenor,
latentStateVertexCount,
currency,
dealer,
client,
forwardLabel,
latentStateLabelList
);
FixFloatComponent fixFloatComponent = OTCIRS (
spotDate,
currency,
fixFloatMaturityTenor,
fixFloatCoupon
);
FixFloatMPoR fixFloatMPoR = new FixFloatMPoR (
fixFloatComponent,
fixFloatNotional
);
CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
new RandomNumberGenerator(),
correlationMatrix,
latentStateVertexCount,
1,
true,
null
);
JulianDate sparseFixFloatExposureDate = spotDate;
int[] sparseFixFloatExposureDateArray = new int[sparseFixFloatExposureDateCount + 1];
MarketPath[] marketPathArray = new MarketPath[pathCount];
for (int sparseFixFloatExposureDateIndex = 0;
sparseFixFloatExposureDateIndex <= sparseFixFloatExposureDateCount;
++sparseFixFloatExposureDateIndex)
{
sparseFixFloatExposureDateArray[sparseFixFloatExposureDateIndex] =
sparseFixFloatExposureDate.julian();
sparseFixFloatExposureDate = sparseFixFloatExposureDate.addTenor (sparseFixFloatExposureTenor);
}
int denseExposureDateCount = sparseFixFloatExposureDateArray[sparseFixFloatExposureDateCount] -
sparseFixFloatExposureDateArray[0] + 1;
double[][] wanderEnsemble = new double[pathCount][denseExposureDateCount];
for (int pathIndex = 0; pathIndex < pathCount; ++pathIndex)
{
marketPathArray[pathIndex] = new MarketPath (
marketVertexGenerator.marketVertex (
initialMarketVertex,
LatentStateWeiner.FromUnitRandom (
latentStateLabelList,
Matrix.Transpose (correlatedPathVertexDimension.straightPathVertexRd().flatform())
)
)
);
for (int denseExposureDateIndex = 0;
denseExposureDateIndex < denseExposureDateCount;
++denseExposureDateIndex)
{
wanderEnsemble[pathIndex][denseExposureDateIndex] = NormalQuadrature.Random();
}
}
AndersenPykhtinSokolEnsemble andersenPykhtinSokolEnsemble = new AndersenPykhtinSokolEnsemble (
fixFloatMPoR,
marketPathArray,
sparseFixFloatExposureDateArray
);
AndersenPykhtinSokolTrajectory[] andersenPykhtinSokolTrajectoryArray =
andersenPykhtinSokolEnsemble.denseTrajectory (
localVolatilityGenerationControl,
wanderEnsemble
);
AndersenPykhtinSokolLag andersenPykhtinSokolLag = AndersenPykhtinSokolLag.Conservative();
int[] exposureDateArray = new int[denseExposureDateCount];
int[] variationMarginGapEndDateArray = new int[denseExposureDateCount];
int[] variationMarginGapStartDateArray = new int[denseExposureDateCount];
double[] tradePaymentGapArray = new double[denseExposureDateCount];
double[] variationMarginGapArray = new double[denseExposureDateCount];
double[] clientTradePaymentGapArray = new double[denseExposureDateCount];
double[] collateralizedExposureArray = new double[denseExposureDateCount];
double[] variationMarginPostingArray = new double[denseExposureDateCount];
double[] variationMarginEstimateArray = new double[denseExposureDateCount];
double[] clientDealerTradePaymentGapArray = new double[denseExposureDateCount];
double[] collateralizedPositiveExposureArray = new double[denseExposureDateCount];
int[] clientTradePaymentGapEndDateArray = new int[denseExposureDateCount];
int[] clientTradePaymentGapStartDateArray = new int[denseExposureDateCount];
int[] clientDealerTradePaymentGapEndDateArray = new int[denseExposureDateCount];
int[] clientDealerTradePaymentGapStartDateArray = new int[denseExposureDateCount];
for (int i = 0; i < denseExposureDateCount; ++i)
{
tradePaymentGapArray[i] = 0.;
variationMarginGapArray[i] = 0.;
clientTradePaymentGapArray[i] = 0.;
collateralizedExposureArray[i] = 0.;
variationMarginPostingArray[i] = 0.;
variationMarginEstimateArray[i] = 0.;
clientDealerTradePaymentGapArray[i] = 0.;
collateralizedPositiveExposureArray[i] = 0.;
exposureDateArray[i] = spotDate.julian() + i;
}
for (int pathIndex = 0; pathIndex < pathCount; ++pathIndex)
{
PathVariationMarginTrajectoryEstimator marginTradeFlowTrajectory =
new PathVariationMarginTrajectoryEstimator (
exposureDateArray,
currency,
andersenPykhtinSokolTrajectoryArray[pathIndex].variationMarginEstimateTrajectory(),
andersenPykhtinSokolTrajectoryArray[pathIndex].tradePaymentTrajectory(),
andersenPykhtinSokolLag
);
Map<Integer, VariationMarginTradeVertexExposure> mapMarginTradeFlowEntry =
marginTradeFlowTrajectory.trajectory();
for (int denseExposureDateIndex = 0;
denseExposureDateIndex < denseExposureDateCount;
++denseExposureDateIndex)
{
VariationMarginTradeVertexExposure marginTradeFlowEntry = mapMarginTradeFlowEntry.get
(exposureDateArray[denseExposureDateIndex]);
LastFlowDates lastFlowDates = marginTradeFlowEntry.lastFlowDates();
tradePaymentGapArray[denseExposureDateIndex] += marginTradeFlowEntry.tradePaymentGap();
clientTradePaymentGapArray[denseExposureDateIndex] +=
marginTradeFlowEntry.clientTradePaymentGap();
clientDealerTradePaymentGapArray[denseExposureDateIndex] +=
marginTradeFlowEntry.clientDealerTradePaymentGap();
collateralizedExposureArray[denseExposureDateIndex] +=
marginTradeFlowEntry.collateralizedExposure();
collateralizedPositiveExposureArray[denseExposureDateIndex] +=
marginTradeFlowEntry.collateralizedPositiveExposure();
variationMarginEstimateArray[denseExposureDateIndex] +=
marginTradeFlowEntry.variationMarginEstimate();
variationMarginPostingArray[denseExposureDateIndex] +=
marginTradeFlowEntry.variationMarginPosting();
variationMarginGapArray[denseExposureDateIndex] += marginTradeFlowEntry.variationMarginGap();
variationMarginGapStartDateArray[denseExposureDateIndex] =
lastFlowDates.clientVariationMarginPosting().julian();
variationMarginGapEndDateArray[denseExposureDateIndex] =
lastFlowDates.dealerVariationMarginPosting().julian();
clientTradePaymentGapStartDateArray[denseExposureDateIndex] =
lastFlowDates.clientTradePayment().julian();
clientTradePaymentGapEndDateArray[denseExposureDateIndex] =
lastFlowDates.dealerTradePayment().julian();
clientDealerTradePaymentGapStartDateArray[denseExposureDateIndex] =
lastFlowDates.dealerTradePayment().julian();
clientDealerTradePaymentGapEndDateArray[denseExposureDateIndex] =
lastFlowDates.variationMarginPeriodEnd().julian();
}
}
System.out.println();
System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| FIXED STREAM MARGIN/TRADE FLOW EXPOSURES AND DATES ||");
System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| ||");
System.out.println ("\t| L -> R: ||");
System.out.println ("\t| ||");
System.out.println ("\t| - Exposure Date ||");
System.out.println ("\t| - Variation Margin Gap Start Date ||");
System.out.println ("\t| - Variation Margin Gap End Date ||");
System.out.println ("\t| - Variation Margin Estimate ||");
System.out.println ("\t| - Variation Margin Posting ||");
System.out.println ("\t| - Variation Margin Gap ||");
System.out.println ("\t| - Client Trade Payment Gap Start Date ||");
System.out.println ("\t| - Client Trade Payment Gap End Date ||");
System.out.println ("\t| - Client Trade Payment Gap ||");
System.out.println ("\t| - Net Trade Payment Gap Start Date ||");
System.out.println ("\t| - Net Trade Payment Gap End Date ||");
System.out.println ("\t| - Net Trade Payment Gap ||");
System.out.println ("\t| - Trade Payment Gap ||");
System.out.println ("\t| - Exposure ||");
System.out.println ("\t| - Positive Exposure ||");
System.out.println ("\t| ||");
System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
for (int denseExposureDateIndex = 0;
denseExposureDateIndex < denseExposureDateCount;
++denseExposureDateIndex)
{
System.out.println (
"\t| [" +
new JulianDate (exposureDateArray[denseExposureDateIndex]) + "] => [" +
new JulianDate (variationMarginGapStartDateArray[denseExposureDateIndex]) + " -> " +
new JulianDate (variationMarginGapEndDateArray[denseExposureDateIndex]) + "] | " +
FormatUtil.FormatDouble (variationMarginEstimateArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | " +
FormatUtil.FormatDouble (variationMarginPostingArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | " +
FormatUtil.FormatDouble (variationMarginGapArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | [" +
new JulianDate (clientTradePaymentGapStartDateArray[denseExposureDateIndex]) + " -> " +
new JulianDate (clientTradePaymentGapEndDateArray[denseExposureDateIndex]) + "] | " +
FormatUtil.FormatDouble (clientTradePaymentGapArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | [" +
new JulianDate (clientDealerTradePaymentGapStartDateArray[denseExposureDateIndex]) + " -> " +
new JulianDate (clientDealerTradePaymentGapEndDateArray[denseExposureDateIndex]) + "] | " +
FormatUtil.FormatDouble (clientDealerTradePaymentGapArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | " +
FormatUtil.FormatDouble (tradePaymentGapArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | " +
FormatUtil.FormatDouble (collateralizedExposureArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " | " +
FormatUtil.FormatDouble (collateralizedPositiveExposureArray[denseExposureDateIndex] / pathCount, 5, 2, 1) + " ||"
);
}
System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
EnvManager.TerminateEnv();
}
}