ImportanceWeight13a.java

package org.drip.sample.anfuso2017;

import org.drip.measure.gaussian.R1UnivariateNormal;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

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

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 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>ImportanceWeight13a</i> demonstrates the MTM Distributions set out in Table 13a of Anfuso, Karyampas,
 * and Nawroth (2017).
 *
 *  <br><br>
 *  <ul>
 *      <li>
 *          Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
 *              Back-testing Credit Exposure Models
 *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
 *              Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
 *      </li>
 *      <li>
 *          Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit
 *              Pricing, Palgrave Macmillan
 *      </li>
 *      <li>
 *          Wikipedia (2018): Probability Integral Transform
 *              https://en.wikipedia.org/wiki/Probability_integral_transform
 *      </li>
 *      <li>
 *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
 *      </li>
 *  </ul>
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</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/anfuso2017/README.md">Anfuso, Karyampas, and Nawroth (2013) Replications</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class ImportanceWeight13a
{

    public static final void main (
        final String[] argumentArray)
        throws Exception
    {
        EnvManager.InitEnv ("");

        double xStart = -15.;
        double xFinish = 15.;
        double xIncrement = 1.;
        double sigma = 1.;
        double[] meanArray =
        {
            -10.,
             -1.,
              0.,
              1.,
             10.
        };

        double x = xStart;
        R1UnivariateNormal[] r1UnivariateNormalArray = new R1UnivariateNormal[meanArray.length];

        for (int meanIndex = 0; meanIndex < meanArray.length; ++meanIndex)
        {
            r1UnivariateNormalArray[meanIndex] = new R1UnivariateNormal (
                meanArray[meanIndex],
                sigma
            );
        }

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

        System.out.println ("\t|                              MTM Distribution                               ||");

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

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

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

        System.out.println ("\t|            - Probability Distribution Densities                             ||");

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

        while (x <= xFinish)
        {
            String linePrint = "\t|  " + FormatUtil.FormatDouble (x, 2, 0, 1.) + " =>";

            for (int meanIndex = 0; meanIndex < meanArray.length; ++meanIndex)
            {
                linePrint = linePrint + " " + FormatUtil.FormatDouble (
                    r1UnivariateNormalArray[meanIndex].density(x), 1, 8, 1.
                ) + " |";
            }

            System.out.println (linePrint + "|");

            x = x + xIncrement;
        }

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

        EnvManager.TerminateEnv();
    }
}