ImportanceWeight13f.java

  1. package org.drip.sample.anfuso2017;

  3. import org.drip.measure.gaussian.R1UnivariateNormal;
  4. import org.drip.numerical.common.FormatUtil;
  5. import org.drip.service.env.EnvManager;
  6. import org.drip.validation.distance.ImportanceWeight;

  8. /*
  9.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  10.  */

  12. /*!
  13.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>ImportanceWeight13f</i> demonstrates the Computation of the Importance Weight set out in Table 13f of
  84.  * Anfuso, Karyampas, and Nawroth (2017).
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li>
  89.  *          Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
  90.  *              Back-testing Credit Exposure Models
  91.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
  92.  *      </li>
  93.  *      <li>
  94.  *          Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
  95.  *              Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
  96.  *      </li>
  97.  *      <li>
  98.  *          Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit
  99.  *              Pricing, Palgrave Macmillan
  100.  *      </li>
  101.  *      <li>
  102.  *          Wikipedia (2018): Probability Integral Transform
  103.  *              https://en.wikipedia.org/wiki/Probability_integral_transform
  104.  *      </li>
  105.  *      <li>
  106.  *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
  107.  *      </li>
  108.  *  </ul>
  109.  *
  110.  *  <br><br>
  111.  *  <ul>
  112.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  113.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  114.  *      <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>
  115.  *      <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>
  116.  *  </ul>
  117.  * <br><br>
  118.  *
  119.  * @author Lakshmi Krishnamurthy
  120.  */

  122. public class ImportanceWeight13f
  123. {

  125.     public static final void main (
  126.         final String[] argumentArray)
  127.         throws Exception
  128.     {
  129.         EnvManager.InitEnv ("");

  131.         double mean = 10.;
  132.         double sigma = 1.;
  133.         double[] quantileArray =
  134.         {
  135.             0.001,
  136.             0.050,
  137.             0.100,
  138.             0.150,
  139.             0.200,
  140.             0.250,
  141.             0.300,
  142.             0.350,
  143.             0.400,
  144.             0.450,
  145.             0.500,
  146.             0.550,
  147.             0.600,
  148.             0.650,
  149.             0.700,
  150.             0.750,
  151.             0.800,
  152.             0.850,
  153.             0.900,
  154.             0.950,
  155.             0.999
  156.         };

  158.         ImportanceWeight importanceWeight = ImportanceWeight.Normal (
  159.             new R1UnivariateNormal (
  160.                 mean,
  161.                 sigma
  162.             )
  163.         );

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

  167.         System.out.println ("\t|  QUANTILE WEIGHTS  ||");

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

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

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

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

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

  179.         for (double quantile : quantileArray)
  180.         {
  181.             System.out.println (
  182.                 "\t|" + FormatUtil.FormatDouble (quantile, 1, 3, 1.) + " => " +
  183.                 FormatUtil.FormatDouble (importanceWeight.quantileLoading (quantile), 1, 6, 1.) + " ||"
  184.             );
  185.         }

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

  189.         System.out.println();

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

  193.         System.out.println (
  194.             "\t| Positive Exposure => " +
  195.             FormatUtil.FormatDouble (importanceWeight.positiveExpectation(), 2, 6, 1.) + " ||"
  196.         );

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

  200.         EnvManager.TerminateEnv();
  201.     }
  202. }
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