PathTradeFlowAdjustment.java

  1. package org.drip.sample.andersen2017vm;

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

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

  45. /*
  46.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  47.  */

  49. /*!
  50.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  51.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  52.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  53.  * 
  54.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  55.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  56.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  57.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  58.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  59.  *      and computational support.
  60.  *  
  61.  *      https://lakshmidrip.github.io/DROP/
  62.  *  
  63.  *  DROP is composed of three modules:
  64.  *  
  65.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  66.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  67.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  68.  * 
  69.  *  DROP Product Core implements libraries for the following:
  70.  *  - Fixed Income Analytics
  71.  *  - Loan Analytics
  72.  *  - Transaction Cost Analytics
  73.  * 
  74.  *  DROP Portfolio Core implements libraries for the following:
  75.  *  - Asset Allocation Analytics
  76.  *  - Asset Liability Management Analytics
  77.  *  - Capital Estimation Analytics
  78.  *  - Exposure Analytics
  79.  *  - Margin Analytics
  80.  *  - XVA Analytics
  81.  * 
  82.  *  DROP Computational Core implements libraries for the following:
  83.  *  - Algorithm Support
  84.  *  - Computation Support
  85.  *  - Function Analysis
  86.  *  - Model Validation
  87.  *  - Numerical Analysis
  88.  *  - Numerical Optimizer
  89.  *  - Spline Builder
  90.  *  - Statistical Learning
  91.  * 
  92.  *  Documentation for DROP is Spread Over:
  93.  * 
  94.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  95.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  96.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  97.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  98.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  99.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  100.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  101.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  102.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  103.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  104.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  105.  * 
  106.  *  Licensed under the Apache License, Version 2.0 (the "License");
  107.  *      you may not use this file except in compliance with the License.
  108.  *   
  109.  *  You may obtain a copy of the License at
  110.  *      http://www.apache.org/licenses/LICENSE-2.0
  111.  *  
  112.  *  Unless required by applicable law or agreed to in writing, software
  113.  *      distributed under the License is distributed on an "AS IS" BASIS,
  114.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  115.  *  
  116.  *  See the License for the specific language governing permissions and
  117.  *      limitations under the License.
  118.  */

  120. /**
  121.  * <i>PathTradeFlowAdjustment</i> generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a
  122.  * Fix-Float Swap. The References are:
  123.  * 
  124.  * <br><br>
  125.  *  <ul>
  126.  *      <li>
  127.  *          Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
  128.  *              Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  129.  *              <b>eSSRN</b>
  130.  *      </li>
  131.  *      <li>
  132.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
  133.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
  134.  *      </li>
  135.  *      <li>
  136.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  137.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  138.  *      </li>
  139.  *      <li>
  140.  *          Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  141.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  142.  *      </li>
  143.  *      <li>
  144.  *          Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements
  145.  *              http://www.risk-europe.com/protected/michael-pykhtin.pdf
  146.  *      </li>
  147.  *  </ul>
  148.  * <br><br>
  149.  *  <ul>
  150.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  151.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  152.  *      <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>
  153.  *      <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>
  154.  *  </ul>
  155.  * <br><br>
  156.  * 
  157.  * @author Lakshmi Krishnamurthy
  158.  */

  160. public class PathTradeFlowAdjustment
  161. {

  163.     private static final FixFloatComponent OTCIRS (
  164.         final JulianDate spotDate,
  165.         final String currency,
  166.         final String maturityTenor,
  167.         final double coupon)
  168.     {
  169.         FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
  170.             currency,
  171.             "ALL",
  172.             maturityTenor,
  173.             "MAIN"
  174.         );

  176.         return ffConv.createFixFloatComponent (
  177.             spotDate,
  178.             maturityTenor,
  179.             coupon,
  180.             0.,
  181.             1.
  182.         );
  183.     }

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

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

  196.         latentStateLabelList.add (overnightLabel);

  198.         return new PrimarySecurity (
  199.             currency + "_OVERNIGHT",
  200.             overnightLabel,
  201.             new DiffusionEvolver (
  202.                 DiffusionEvaluatorLogarithmic.Standard (
  203.                     overnightReplicatorDrift,
  204.                     overnightReplicatorVolatility
  205.                 )
  206.             ),
  207.             overnightReplicatorRepo
  208.         );
  209.     }

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

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

  222.         latentStateLabelList.add (csaLabel);

  224.         return new PrimarySecurity (
  225.             currency + "_CSA",
  226.             csaLabel,
  227.             new DiffusionEvolver (
  228.                 DiffusionEvaluatorLogarithmic.Standard (
  229.                     csaReplicatorDrift,
  230.                     csaReplicatorVolatility
  231.                 )
  232.             ),
  233.             csaReplicatorRepo
  234.         );
  235.     }

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

  247.         LatentStateLabel dealerSeniorFundingLabel = EntityFundingLabel.Senior (
  248.             dealer,
  249.             currency
  250.         );

  252.         latentStateLabelList.add (dealerSeniorFundingLabel);

  254.         return new PrimarySecurity (
  255.             dealer + "_" + currency + "_SENIOR_ZERO",
  256.             dealerSeniorFundingLabel,
  257.             new JumpDiffusionEvolver (
  258.                 DiffusionEvaluatorLogarithmic.Standard (
  259.                     dealerSeniorFundingReplicatorDrift,
  260.                     dealerSeniorFundingReplicatorVolatility
  261.                 ),
  262.                 HazardJumpEvaluator.Standard (
  263.                     0.3,
  264.                     0.45
  265.                 )
  266.             ),
  267.             dealerSeniorFundingReplicatorRepo
  268.         );
  269.     }

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

  281.         LatentStateLabel dealerSubordinateFundingLabel = EntityFundingLabel.Subordinate (
  282.             dealer,
  283.             currency
  284.         );

  286.         latentStateLabelList.add (dealerSubordinateFundingLabel);

  288.         return new PrimarySecurity (
  289.             dealer + "_" + currency + "_SUBORDINATE_ZERO",
  290.             dealerSubordinateFundingLabel,
  291.             new JumpDiffusionEvolver (
  292.                 DiffusionEvaluatorLogarithmic.Standard (
  293.                     dealerSubordinateFundingReplicatorDrift,
  294.                     dealerSubordinateFundingReplicatorVolatility
  295.                 ),
  296.                 HazardJumpEvaluator.Standard (
  297.                     0.3,
  298.                     0.25
  299.                 )
  300.             ),
  301.             dealerSubordinateFundingReplicatorRepo
  302.         );
  303.     }

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

  315.         LatentStateLabel clientFundingLabel = EntityFundingLabel.Senior (
  316.             client,
  317.             currency
  318.         );

  320.         latentStateLabelList.add (clientFundingLabel);

  322.         return new PrimarySecurity (
  323.             client + "_" + currency + "_SENIOR_ZERO",
  324.             clientFundingLabel,
  325.             new JumpDiffusionEvolver (
  326.                 DiffusionEvaluatorLogarithmic.Standard (
  327.                     clientFundingReplicatorDrift,
  328.                     clientFundingReplicatorVolatility
  329.                 ),
  330.                 HazardJumpEvaluator.Standard (
  331.                     0.5,
  332.                     0.30
  333.                 )
  334.             ),
  335.             clientFundingReplicatorRepo
  336.         );
  337.     }

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

  348.         LatentStateLabel dealerHazardLabel = EntityHazardLabel.Standard (
  349.             dealer,
  350.             currency
  351.         );

  353.         latentStateLabelList.add (dealerHazardLabel);

  355.         return new TerminalLatentState (
  356.             dealerHazardLabel,
  357.             new DiffusionEvolver (
  358.                 DiffusionEvaluatorLogarithmic.Standard (
  359.                     dealerHazardDrift,
  360.                     dealerHazardVolatility
  361.                 )
  362.             )
  363.         );
  364.     }

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

  375.         LatentStateLabel dealerRecoveryLabel = EntityRecoveryLabel.Senior (
  376.             dealer,
  377.             currency
  378.         );

  380.         latentStateLabelList.add (dealerRecoveryLabel);

  382.         return new TerminalLatentState (
  383.             dealerRecoveryLabel,
  384.             new DiffusionEvolver (
  385.                 DiffusionEvaluatorLogarithmic.Standard (
  386.                     dealerRecoveryDrift,
  387.                     dealerRecoveryVolatility
  388.                 )
  389.             )
  390.         );
  391.     }

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

  402.         LatentStateLabel clientHazardLabel = EntityHazardLabel.Standard (
  403.             client,
  404.             currency
  405.         );

  407.         latentStateLabelList.add (clientHazardLabel);

  409.         return new TerminalLatentState (
  410.             clientHazardLabel,
  411.             new DiffusionEvolver (
  412.                 DiffusionEvaluatorLogarithmic.Standard (
  413.                     clientHazardDrift,
  414.                     clientHazardVolatility
  415.                 )
  416.             )
  417.         );
  418.     }

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

  429.         LatentStateLabel clientRecoveryLabel = EntityRecoveryLabel.Senior (
  430.             client,
  431.             currency
  432.         );

  434.         latentStateLabelList.add (clientRecoveryLabel);

  436.         return new TerminalLatentState (
  437.             clientRecoveryLabel,
  438.             new DiffusionEvolver (
  439.                 DiffusionEvaluatorLogarithmic.Standard (
  440.                     clientRecoveryDrift,
  441.                     clientRecoveryVolatility
  442.                 )
  443.             )
  444.         );
  445.     }

  447.     private static final EntityDynamicsContainer EntityEvolver (
  448.         final String currency,
  449.         final String dealer,
  450.         final String client,
  451.         final List<LatentStateLabel> latentStateLabelList)
  452.         throws Exception
  453.     {
  454.         return new EntityDynamicsContainer (
  455.             DealerHazard (
  456.                 currency,
  457.                 dealer,
  458.                 latentStateLabelList
  459.             ),
  460.             DealerRecovery (
  461.                 currency,
  462.                 dealer,
  463.                 latentStateLabelList
  464.             ),
  465.             null,
  466.             ClientHazard (
  467.                 currency,
  468.                 client,
  469.                 latentStateLabelList
  470.             ),
  471.             ClientRecovery (
  472.                 currency,
  473.                 client,
  474.                 latentStateLabelList
  475.             )
  476.         );
  477.     }

  479.     private static final PrimarySecurityDynamicsContainer PrimarySecurityEvolver (
  480.         final String currency,
  481.         final String dealer,
  482.         final String client,
  483.         final List<LatentStateLabel> latentStateLabelList)
  484.         throws Exception
  485.     {
  486.         return new PrimarySecurityDynamicsContainer (
  487.             null,
  488.             OvernightReplicator (
  489.                 currency,
  490.                 latentStateLabelList
  491.             ),
  492.             CSAReplicator (
  493.                 currency,
  494.                 latentStateLabelList
  495.             ),
  496.             DealerSeniorFundingReplicator (
  497.                 currency,
  498.                 dealer,
  499.                 latentStateLabelList
  500.             ),
  501.             DealerSubordinateFundingReplicator (
  502.                 currency,
  503.                 dealer,
  504.                 latentStateLabelList
  505.             ),
  506.             ClientFundingReplicator (
  507.                 currency,
  508.                 client,
  509.                 latentStateLabelList
  510.             )
  511.         );
  512.     }

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

  522.         latentStateLabelList.add (forwardLabel);

  524.         LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();

  526.         latentStateDynamicsContainer.addForward (
  527.             new TerminalLatentState (
  528.                 forwardLabel,
  529.                 new DiffusionEvolver (
  530.                     DiffusionEvaluatorLinear.Standard (
  531.                         otcFixFloatNumeraireDrift,
  532.                         otcFixFloatNumeraireVolatility
  533.                     )
  534.                 )
  535.             )
  536.         );

  538.         return latentStateDynamicsContainer;
  539.     }

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

  555.         for (int i = 0; i < exposureSamplingNodeCount; ++i)
  556.         {
  557.             terminationDate = terminationDate.addTenor (exposureSamplingTenor);

  559.             eventVertexArray[i] = terminationDate.julian();
  560.         }

  562.         return new MarketVertexGenerator (
  563.             spotDate.julian(),
  564.             eventVertexArray,
  565.             EntityEvolver (
  566.                 currency,
  567.                 dealer,
  568.                 client,
  569.                 latentStateLabelList
  570.             ),
  571.             PrimarySecurityEvolver (
  572.                 currency,
  573.                 dealer,
  574.                 client,
  575.                 latentStateLabelList
  576.             ),
  577.             LatentStateEvolver (
  578.                 forwardLabel,
  579.                 latentStateLabelList
  580.             )
  581.         );
  582.     }

  584.     public static final void main (
  585.         final String[] args)
  586.         throws Exception
  587.     {
  588.         EnvManager.InitEnv ("");

  590.         JulianDate spotDate = DateUtil.CreateFromYMD (
  591.             2018,
  592.             DateUtil.APRIL,
  593.             19
  594.         );

  596.         String latentStateGenerationTenor = "1D";
  597.         int latentStateGenerationCount = 930;
  598.         int latentStateVertexCount = latentStateGenerationCount + 10;
  599.         String currency = "USD";
  600.         String dealer = "NOM";
  601.         String client = "SSGA";
  602.         double[][] correlationMatrix = new double[][]
  603.         {
  604.             {1.00, 0.00, 0.20, 0.15, 0.05, 0.00, 0.00, 0.00, 0.00, 0.00}, // #0  DEALER HAZARD
  605.             {0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #1  DEALER SENIOR RECOVERY
  606.             {0.20, 0.00, 1.00, 0.13, 0.25, 0.00, 0.00, 0.00, 0.00, 0.00}, // #2  CLIENT HAZARD
  607.             {0.15, 0.00, 0.13, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #3  CLIENT RECOVERY
  608.             {0.05, 0.00, 0.25, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #4  OVERNIGHT REPLICATOR
  609.             {0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00}, // #5  CSA REPLICATOR
  610.             {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
  611.             {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
  612.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #8  CLIENT FUNDING REPLICATOR
  613.             {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #9  FORWARD NUMERAIRE
  614.         };
  615.         String sparseFixFloatExposureTenor = "3M";
  616.         int sparseFixFloatExposureCount = 8;
  617.         String fixFloatMaturityTenor = "2Y";
  618.         double fixFloatCoupon = 0.02;
  619.         double fixFloatNotional = -1.e+06;

  621.         ForwardLabel forwardLabel = ForwardLabel.Create (
  622.             currency,
  623.             "3M"
  624.         );

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

  628.         MarketVertexGenerator marketVertexGenerator = ConstructMarketVertexGenerator (
  629.             spotDate,
  630.             latentStateGenerationTenor,
  631.             latentStateVertexCount,
  632.             currency,
  633.             dealer,
  634.             client,
  635.             forwardLabel,
  636.             latentStateLabelList
  637.         );

  639.         LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

  641.         latentStateVertexContainer.add (
  642.             ForwardLabel.Create (
  643.                 currency,
  644.                 "3M"
  645.             ),
  646.             0.02
  647.         );

  649.         MarketVertex initialMarketVertex = MarketVertex.Epochal (
  650.             spotDate,
  651.             1.000,              // dblOvernightNumeraireInitial
  652.             1.000,              // dblCSANumeraire
  653.             0.015,              // dblBankHazardRate
  654.             0.400,              // dblBankRecoveryRate
  655.             0.015 / (1 - 0.40), // dblBankFundingSpread
  656.             0.030,              // dblCounterPartyHazardRate
  657.             0.300,              // dblCounterPartyRecoveryRate
  658.             0.030 / (1 - 0.30), // dblCounterPartyFundingSpread
  659.             latentStateVertexContainer
  660.         );

  662.         FixFloatComponent fixFloatComponent = OTCIRS (
  663.             spotDate,
  664.             currency,
  665.             fixFloatMaturityTenor,
  666.             fixFloatCoupon
  667.         );

  669.         FixFloatMPoR fixFloatMPoR = new FixFloatMPoR (
  670.             fixFloatComponent,
  671.             fixFloatNotional
  672.         );

  674.         CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
  675.             new RandomNumberGenerator(),
  676.             correlationMatrix,
  677.             latentStateVertexCount,
  678.             1,
  679.             true,
  680.             null
  681.         );

  683.         JulianDate sparseFixFloatExposureDate = spotDate;
  684.         int[] sparseFixFloatExposureDateArray = new int[sparseFixFloatExposureCount + 1];

  686.         for (int i = 0; i <= sparseFixFloatExposureCount; ++i)
  687.         {
  688.             sparseFixFloatExposureDateArray[i] = sparseFixFloatExposureDate.julian();

  690.             sparseFixFloatExposureDate = sparseFixFloatExposureDate.addTenor (sparseFixFloatExposureTenor);
  691.         }

  693.         MarketPath marketPath = new MarketPath (
  694.             marketVertexGenerator.marketVertex (
  695.                 initialMarketVertex,
  696.                 LatentStateWeiner.FromUnitRandom (
  697.                     latentStateLabelList,
  698.                     Matrix.Transpose (correlatedPathVertexDimension.straightPathVertexRd().flatform())
  699.                 )
  700.             )
  701.         );

  703.         AdjustedVariationMarginEstimator pathCoordinator = new AdjustedVariationMarginEstimator (
  704.             fixFloatMPoR,
  705.             marketPath
  706.         );

  708.         AndersenPykhtinSokolPath andersenPykhtinSokolPath = pathCoordinator.andersenPykhtinSokolPath
  709.             (sparseFixFloatExposureDateArray);

  711.         TradePayment[] tradePaymentArray = andersenPykhtinSokolPath.denseTradePaymentArray();

  713.         JulianDate denseExposureDate = spotDate;

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

  717.         System.out.println ("\t||  Non-zero Dealer/Client Flows  ||");

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

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

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

  725.         System.out.println ("\t||        - Exposure Date         ||");

  727.         System.out.println ("\t||        - Dealer Trade Flow     ||");

  729.         System.out.println ("\t||        - Client Trade Flow     ||");

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

  733.         for (TradePayment tradePayment : tradePaymentArray)
  734.         {
  735.             if (0 != tradePayment.dealer() || 0 != tradePayment.client())
  736.             {
  737.                 System.out.println ("\t|| " +
  738.                     denseExposureDate + " => " +
  739.                     FormatUtil.FormatDouble (tradePayment.dealer(), 5, 0, 1.) + " | " +
  740.                     FormatUtil.FormatDouble (tradePayment.client(), 5, 0, 1.) + " ||"
  741.                 );
  742.             }

  744.             denseExposureDate = denseExposureDate.addDays (1);
  745.         }

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

  749.         System.out.println();

  751.         Map<Integer, VariationMarginEstimateVertex> variationMarginEstimateVertexTrajectory =
  752.             andersenPykhtinSokolPath.variationMarginEstimateTrajectory();

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

  756.         System.out.println ("\t||      Unadjusted/Adjusted VM      ||");

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

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

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

  764.         System.out.println ("\t||        - Exposure Date           ||");

  766.         System.out.println ("\t||        - Unadjusted VM           ||");

  768.         System.out.println ("\t||        - Adjusted VM             ||");

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

  772.         for (Map.Entry<Integer, VariationMarginEstimateVertex> variationMarginEstimateVertexEntry :
  773.             variationMarginEstimateVertexTrajectory.entrySet())
  774.         {
  775.             VariationMarginEstimateVertex variationMarginEstimateVertex =
  776.                 variationMarginEstimateVertexEntry.getValue();

  778.             System.out.println ("\t|| " +
  779.                 new JulianDate (variationMarginEstimateVertexEntry.getKey()) + " => " +
  780.                 FormatUtil.FormatDouble (variationMarginEstimateVertex.unadjusted(), 6, 0, 1.) + " | " +
  781.                 FormatUtil.FormatDouble (variationMarginEstimateVertex.adjusted(), 6, 0, 1.) + " ||"
  782.             );
  783.         }

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

  787.         EnvManager.TerminateEnv();
  788.     }
  789. }
Created with JaCoCo 0.7.9.201702052155