PerfectReplicationCollateralizedFunding.java

  1. package org.drip.sample.burgard2013;

  3. import org.drip.analytics.date.*;
  4. import org.drip.exposure.evolver.LatentStateVertexContainer;
  5. import org.drip.exposure.mpor.CollateralAmountEstimator;
  6. import org.drip.exposure.universe.*;
  7. import org.drip.measure.bridge.BrokenDateInterpolatorLinearT;
  8. import org.drip.measure.discrete.SequenceGenerator;
  9. import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
  10. import org.drip.measure.process.DiffusionEvolver;
  11. import org.drip.measure.realization.*;
  12. import org.drip.measure.statistics.UnivariateDiscreteThin;
  13. import org.drip.numerical.common.FormatUtil;
  14. import org.drip.service.env.EnvManager;
  15. import org.drip.state.identifier.OTCFixFloatLabel;
  16. import org.drip.xva.basel.*;
  17. import org.drip.xva.definition.*;
  18. import org.drip.xva.gross.*;
  19. import org.drip.xva.hypothecation.*;
  20. import org.drip.xva.netting.CollateralGroupPath;
  21. import org.drip.xva.proto.*;
  22. import org.drip.xva.settings.*;
  23. import org.drip.xva.strategy.*;
  24. import org.drip.xva.vertex.BurgardKjaerBuilder;

  26. /*
  27.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  28.  */

  30. /*!
  31.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  32.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  33.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  34.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  35.  * 
  36.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  37.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  38.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  39.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  40.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  41.  *      and computational support.
  42.  *  
  43.  *      https://lakshmidrip.github.io/DROP/
  44.  *  
  45.  *  DROP is composed of three modules:
  46.  *  
  47.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  48.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  49.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  50.  * 
  51.  *  DROP Product Core implements libraries for the following:
  52.  *  - Fixed Income Analytics
  53.  *  - Loan Analytics
  54.  *  - Transaction Cost Analytics
  55.  * 
  56.  *  DROP Portfolio Core implements libraries for the following:
  57.  *  - Asset Allocation Analytics
  58.  *  - Asset Liability Management Analytics
  59.  *  - Capital Estimation Analytics
  60.  *  - Exposure Analytics
  61.  *  - Margin Analytics
  62.  *  - XVA Analytics
  63.  * 
  64.  *  DROP Computational Core implements libraries for the following:
  65.  *  - Algorithm Support
  66.  *  - Computation Support
  67.  *  - Function Analysis
  68.  *  - Model Validation
  69.  *  - Numerical Analysis
  70.  *  - Numerical Optimizer
  71.  *  - Spline Builder
  72.  *  - Statistical Learning
  73.  * 
  74.  *  Documentation for DROP is Spread Over:
  75.  * 
  76.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  77.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  78.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  79.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  80.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  81.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  82.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  83.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  84.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  85.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  86.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  87.  * 
  88.  *  Licensed under the Apache License, Version 2.0 (the "License");
  89.  *      you may not use this file except in compliance with the License.
  90.  *   
  91.  *  You may obtain a copy of the License at
  92.  *      http://www.apache.org/licenses/LICENSE-2.0
  93.  *  
  94.  *  Unless required by applicable law or agreed to in writing, software
  95.  *      distributed under the License is distributed on an "AS IS" BASIS,
  96.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  97.  *  
  98.  *  See the License for the specific language governing permissions and
  99.  *      limitations under the License.
  100.  */

  102. /**
  103.  * <i>PerfectReplicationCollateralizedFunding</i> examines the Basel BCBS 2012 OTC Accounting Impact to a
  104.  * Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
  105.  * Schemes. Simulation is carried out under the following Criteria using one of the Generalized Burgard Kjaer
  106.  * (2013) Scheme.
  107.  *  
  108.  * <br><br>
  109.  *  <ul>
  110.  *      <li>
  111.  *          Collateralization Status - Collateralized
  112.  *      </li>
  113.  *      <li>
  114.  *          Aggregation Unit         - Funding Group
  115.  *      </li>
  116.  *      <li>
  117.  *          Added Swap Type          - Zero Upfront Par Swap (Neutral)
  118.  *      </li>
  119.  *      <li>
  120.  *          Market Dynamics          - Deterministic (Dynamic Market Evolution)
  121.  *      </li>
  122.  *      <li>
  123.  *          Funding Strategy         - Perfect Replication
  124.  *      </li>
  125.  *  </ul>
  126.  *  
  127.  * The References are:
  128.  *  
  129.  * <br><br>
  130.  *  <ul>
  131.  *      <li>
  132.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  133.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  134.  *      </li>
  135.  *      <li>
  136.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  137.  *      </li>
  138.  *      <li>
  139.  *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  140.  *              86-90
  141.  *      </li>
  142.  *      <li>
  143.  *          Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
  144.  *              Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
  145.  *              <b>World Scientific Publishing</b> Singapore
  146.  *      </li>
  147.  *      <li>
  148.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  149.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  150.  *      </li>
  151.  *  </ul>
  152.  *  
  153.  * <br><br>
  154.  *  <ul>
  155.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  156.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  157.  *      <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>
  158.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/burgard2013/README.md">Burgard Kjaer (2013) Valuation Adjustments</a></li>
  159.  *  </ul>
  160.  * <br><br>
  161.  * 
  162.  * @author Lakshmi Krishnamurthy
  163.  */

  165. public class PerfectReplicationCollateralizedFunding {

  167.     private static final double[] ATMSwapRateOffsetRealization (
  168.         final DiffusionEvolver deATMSwapRateOffset,
  169.         final double dblATMSwapRateOffsetInitial,
  170.         final double[] adblRandom,
  171.         final double dblTime,
  172.         final double dblTimeWidth,
  173.         final int iNumStep)
  174.         throws Exception
  175.     {
  176.         double[] adblATMSwapRateOffset = new double[iNumStep + 1];
  177.         adblATMSwapRateOffset[0] = dblATMSwapRateOffsetInitial;
  178.         double[] adblTimeWidth = new double[iNumStep];

  180.         for (int i = 0; i < iNumStep; ++i)
  181.             adblTimeWidth[i] = dblTimeWidth;

  183.         JumpDiffusionEdge[] aJDE = deATMSwapRateOffset.incrementSequence (
  184.             new JumpDiffusionVertex (
  185.                 dblTime,
  186.                 dblATMSwapRateOffsetInitial,
  187.                 0.,
  188.                 false
  189.             ),
  190.             JumpDiffusionEdgeUnit.Diffusion (
  191.                 adblTimeWidth,
  192.                 adblRandom
  193.             ),
  194.             dblTimeWidth
  195.         );

  197.         for (int j = 1; j <= iNumStep; ++j)
  198.             adblATMSwapRateOffset[j] = aJDE[j - 1].finish();

  200.         return adblATMSwapRateOffset;
  201.     }

  203.     private static final double[] SwapPortfolioValueRealization (
  204.         final DiffusionEvolver deATMSwapRate,
  205.         final double dblATMSwapRateStart,
  206.         final double[] adblRandom,
  207.         final int iNumStep,
  208.         final double dblTime,
  209.         final double dblTimeWidth,
  210.         final double dblTimeMaturity,
  211.         final double dblSwapNotional)
  212.         throws Exception
  213.     {
  214.         double[] adblSwapPortfolioValueRealization = new double[iNumStep + 1];
  215.         int iMaturityStep = (int) (dblTimeMaturity / dblTimeWidth);

  217.         for (int i = 0; i < iNumStep; ++i)
  218.             adblSwapPortfolioValueRealization[i] = 0.;

  220.         double[] adblATMSwapRateOffsetRealization = ATMSwapRateOffsetRealization (
  221.             deATMSwapRate,
  222.             dblATMSwapRateStart,
  223.             adblRandom,
  224.             dblTime,
  225.             dblTimeWidth,
  226.             iNumStep
  227.         );

  229.         for (int j = 0; j <= iNumStep; ++j)
  230.             adblSwapPortfolioValueRealization[j] = j > iMaturityStep ? 0. :
  231.                 dblSwapNotional * dblTimeWidth * (iMaturityStep - j) * adblATMSwapRateOffsetRealization[j];

  233.         return adblSwapPortfolioValueRealization;
  234.     }

  236.     private static final ExposureAdjustmentAggregator[] Mix (
  237.         final double dblTimeMaturity1,
  238.         final double dblATMSwapRateOffsetStart1,
  239.         final double dblSwapNotional1,
  240.         final double dblTimeMaturity2,
  241.         final double dblATMSwapRateOffsetStart2,
  242.         final double dblSwapNotional2)
  243.         throws Exception
  244.     {
  245.         int iNumStep = 10;
  246.         int iNumPath = 100000;
  247.         int iNumVertex = 10;
  248.         double dblTime = 5.;
  249.         double dblATMSwapRateOffsetDrift = 0.0;
  250.         double dblATMSwapRateOffsetVolatility = 0.25;
  251.         double dblOvernightNumeraireDrift = 0.01;
  252.         double dblCSADrift = 0.01;
  253.         double dblBankHazardRate = 0.015;
  254.         double dblBankSeniorRecoveryRate = 0.40;
  255.         double dblBankSubordinateRecoveryRate = 0.15;
  256.         double dblCounterPartyHazardRate = 0.030;
  257.         double dblCounterPartyRecoveryRate = 0.30;
  258.         double dblBankThreshold = -0.1;
  259.         double dblCounterPartyThreshold = 0.1;

  261.         JulianDate dtSpot = DateUtil.Today();

  263.         double dblTimeWidth = dblTime / iNumStep;
  264.         MarketVertex[] aMV = new MarketVertex[iNumStep + 1];
  265.         JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
  266.         double[][] aadblPortfolio1Value = new double[iNumPath][iNumStep + 1];
  267.         double[][] aadblPortfolio2Value = new double[iNumPath][iNumStep + 1];
  268.         MonoPathExposureAdjustment[] aMPEAGround = new MonoPathExposureAdjustment[iNumPath];
  269.         MonoPathExposureAdjustment[] aMPEAExtended = new MonoPathExposureAdjustment[iNumPath];
  270.         double dblBankSeniorFundingSpread = dblBankHazardRate / (1. - dblBankSeniorRecoveryRate);
  271.         double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
  272.         double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);

  274.         PositionGroupSpecification positionGroupSpecification = PositionGroupSpecification.FixedThreshold (
  275.             "FIXEDTHRESHOLD",
  276.             dblCounterPartyThreshold,
  277.             dblBankThreshold,
  278.             PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
  279.             BrokenDateScheme.LINEAR_TIME,
  280.             0.,
  281.             CloseOutScheme.BILATERAL
  282.         );

  284.         CloseOut cog = new CloseOutBilateral (
  285.             dblBankSeniorRecoveryRate,
  286.             dblCounterPartyRecoveryRate
  287.         );

  289.         DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (
  290.             DiffusionEvaluatorLinear.Standard (
  291.                 dblATMSwapRateOffsetDrift,
  292.                 dblATMSwapRateOffsetVolatility
  293.             )
  294.         );

  296.         for (int i = 0; i <= iNumStep; ++i)
  297.         {
  298.             LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

  300.             latentStateVertexContainer.add (
  301.                 OTCFixFloatLabel.Standard ("USD-3M-10Y"),
  302.                 Double.NaN
  303.             );

  305.             aMV[i] = MarketVertex.Nodal (
  306.                 adtVertex[i] = dtSpot.addMonths (6 * i),
  307.                 dblOvernightNumeraireDrift,
  308.                 Math.exp (-0.5 * dblOvernightNumeraireDrift * iNumStep),
  309.                 dblCSADrift,
  310.                 Math.exp (-0.5 * dblCSADrift * iNumStep),
  311.                 new MarketVertexEntity (
  312.                     Math.exp (-0.5 * dblBankHazardRate * i),
  313.                     dblBankHazardRate,
  314.                     dblBankSeniorRecoveryRate,
  315.                     dblBankSeniorFundingSpread,
  316.                     Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSeniorRecoveryRate) * iNumStep),
  317.                     dblBankSubordinateRecoveryRate,
  318.                     dblBankSubordinateFundingSpread,
  319.                     Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSubordinateRecoveryRate) * iNumStep)
  320.                 ),
  321.                 new MarketVertexEntity (
  322.                     Math.exp (-0.5 * dblCounterPartyHazardRate * i),
  323.                     dblCounterPartyHazardRate,
  324.                     dblCounterPartyRecoveryRate,
  325.                     dblCounterPartyFundingSpread,
  326.                     Math.exp (-0.5 * dblCounterPartyHazardRate * (1. - dblCounterPartyRecoveryRate) * iNumStep),
  327.                     Double.NaN,
  328.                     Double.NaN,
  329.                     Double.NaN
  330.                 ),
  331.                 latentStateVertexContainer
  332.             );
  333.         }

  335.         for (int i = 0; i < iNumPath; ++i) {
  336.             aadblPortfolio1Value[i] = SwapPortfolioValueRealization (
  337.                 deATMSwapRateOffset,
  338.                 dblATMSwapRateOffsetStart1,
  339.                 SequenceGenerator.Gaussian (iNumStep),
  340.                 iNumVertex,
  341.                 dblTime,
  342.                 dblTimeWidth,
  343.                 dblTimeMaturity1,
  344.                 dblSwapNotional1
  345.             );

  347.             aadblPortfolio2Value[i] = SwapPortfolioValueRealization (
  348.                 deATMSwapRateOffset,
  349.                 dblATMSwapRateOffsetStart2,
  350.                 SequenceGenerator.Gaussian (iNumStep),
  351.                 iNumVertex,
  352.                 dblTime,
  353.                 dblTimeWidth,
  354.                 dblTimeMaturity2,
  355.                 dblSwapNotional2
  356.             );

  358.             JulianDate dtStart = dtSpot;
  359.             double dblValueStart1 = dblTime * dblATMSwapRateOffsetStart1;
  360.             double dblValueStart2 = dblTime * dblATMSwapRateOffsetStart2;
  361.             CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
  362.             CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];

  364.             for (int j = 0; j <= iNumStep; ++j) {
  365.                 JulianDate dtEnd = adtVertex[j];
  366.                 double dblCollateralBalance1 = 0.;
  367.                 double dblCollateralBalance2 = 0.;
  368.                 double dblValueEnd1 = aadblPortfolio1Value[i][j];
  369.                 double dblValueEnd2 = aadblPortfolio2Value[i][j];

  371.                 if (0 != j) {
  372.                     CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  373.                         positionGroupSpecification,
  374.                         new BrokenDateInterpolatorLinearT (
  375.                             dtStart.julian(),
  376.                             dtEnd.julian(),
  377.                             dblValueStart1,
  378.                             dblValueEnd1
  379.                         ),
  380.                         Double.NaN
  381.                     );

  383.                     dblCollateralBalance1 = hae1.postingRequirement (dtEnd);

  385.                     CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  386.                         positionGroupSpecification,
  387.                         new BrokenDateInterpolatorLinearT (
  388.                             dtStart.julian(),
  389.                             dtEnd.julian(),
  390.                             dblValueStart2,
  391.                             dblValueEnd2
  392.                         ),
  393.                         Double.NaN
  394.                     );

  396.                     dblCollateralBalance2 = hae2.postingRequirement (dtEnd);

  398.                     aCGV1[j] = BurgardKjaerBuilder.HedgeErrorDualBond (
  399.                         adtVertex[j],
  400.                         aadblPortfolio1Value[i][j],
  401.                         0.,
  402.                         dblCollateralBalance1,
  403.                         0.,
  404.                         new MarketEdge (
  405.                             aMV[j - 1],
  406.                             aMV[j]
  407.                         ),
  408.                         cog
  409.                     );

  411.                     aCGV2[j] = BurgardKjaerBuilder.HedgeErrorDualBond (
  412.                         adtVertex[j],
  413.                         aadblPortfolio2Value[i][j],
  414.                         0.,
  415.                         dblCollateralBalance2,
  416.                         0.,
  417.                         new MarketEdge (
  418.                             aMV[j - 1],
  419.                             aMV[j]
  420.                         ),
  421.                         cog
  422.                     );
  423.                 } else {
  424.                     aCGV1[j] = BurgardKjaerBuilder.Initial (
  425.                         adtVertex[j],
  426.                         aadblPortfolio1Value[i][0],
  427.                         aMV[j],
  428.                         cog
  429.                     );

  431.                     aCGV2[j] = BurgardKjaerBuilder.Initial (
  432.                         adtVertex[j],
  433.                         aadblPortfolio2Value[i][0],
  434.                         aMV[j],
  435.                         cog
  436.                     );
  437.                 }

  439.                 dtStart = dtEnd;
  440.                 dblValueStart1 = dblValueEnd1;
  441.                 dblValueStart2 = dblValueEnd2;
  442.             }

  444.             MarketPath mp = MarketPath.FromMarketVertexArray (aMV);

  446.             CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
  447.                 new CollateralGroupPath (
  448.                     aCGV1,
  449.                     mp
  450.                 )
  451.             };

  453.             CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
  454.                 new CollateralGroupPath (
  455.                     aCGV2,
  456.                     mp
  457.                 )
  458.             };

  460.             aMPEAGround[i] = new MonoPathExposureAdjustment (
  461.                 new AlbaneseAndersenFundingGroupPath[] {
  462.                     new AlbaneseAndersenFundingGroupPath (
  463.                         new AlbaneseAndersenNettingGroupPath[] {
  464.                             new AlbaneseAndersenNettingGroupPath (
  465.                                 aCGP1,
  466.                                 mp
  467.                             )
  468.                         },
  469.                         mp
  470.                     )
  471.                 }
  472.             );

  474.             aMPEAExtended[i] = new MonoPathExposureAdjustment (
  475.                 new AlbaneseAndersenFundingGroupPath[] {
  476.                     new AlbaneseAndersenFundingGroupPath (
  477.                         new AlbaneseAndersenNettingGroupPath[] {
  478.                             new AlbaneseAndersenNettingGroupPath (
  479.                                 aCGP1,
  480.                                 mp
  481.                             ),
  482.                             new AlbaneseAndersenNettingGroupPath (
  483.                                 aCGP2,
  484.                                 mp
  485.                             )
  486.                         },
  487.                         mp
  488.                     )
  489.                 }
  490.             );
  491.         }

  493.         return new ExposureAdjustmentAggregator[] {
  494.             new ExposureAdjustmentAggregator (aMPEAGround),
  495.             new ExposureAdjustmentAggregator (aMPEAExtended)
  496.         };
  497.     }

  499.     private static final void CPGDDump (
  500.         final String strHeader,
  501.         final ExposureAdjustmentDigest ead)
  502.         throws Exception
  503.     {
  504.         System.out.println();

  506.         UnivariateDiscreteThin udtUCOLVA = ead.ucolva();

  508.         UnivariateDiscreteThin udtFTDCOLVA = ead.ftdcolva();

  510.         UnivariateDiscreteThin udtUCVA = ead.ucva();

  512.         UnivariateDiscreteThin udtFTDCVA = ead.ftdcva();

  514.         UnivariateDiscreteThin udtCVACL = ead.cvacl();

  516.         UnivariateDiscreteThin udtCVA = ead.cva();

  518.         UnivariateDiscreteThin udtDVA = ead.dva();

  520.         UnivariateDiscreteThin udtFVA = ead.fva();

  522.         UnivariateDiscreteThin udtFDA = ead.fda();

  524.         UnivariateDiscreteThin udtFCA = ead.fca();

  526.         UnivariateDiscreteThin udtFBA = ead.fba();

  528.         UnivariateDiscreteThin udtSFVA = ead.sfva();

  530.         System.out.println (
  531.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  532.         );

  534.         System.out.println (strHeader);

  536.         System.out.println (
  537.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  538.         );

  540.         System.out.println (
  541.             "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
  542.         );

  544.         System.out.println (
  545.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  546.         );

  548.         System.out.println (
  549.             "\t|| Average => " +
  550.             FormatUtil.FormatDouble (udtUCOLVA.average(), 2, 2, 1.) + "  |  " +
  551.             FormatUtil.FormatDouble (udtFTDCOLVA.average(), 2, 2, 1.) + "  | " +
  552.             FormatUtil.FormatDouble (udtUCVA.average(), 2, 2, 1.) + "  | " +
  553.             FormatUtil.FormatDouble (udtFTDCVA.average(), 2, 2, 1.) + "  | " +
  554.             FormatUtil.FormatDouble (udtCVACL.average(), 2, 2, 1.) + "  | " +
  555.             FormatUtil.FormatDouble (udtCVA.average(), 2, 2, 1.) + "  | " +
  556.             FormatUtil.FormatDouble (udtDVA.average(), 2, 2, 1.) + "  | " +
  557.             FormatUtil.FormatDouble (udtFVA.average(), 2, 2, 1.) + "  | " +
  558.             FormatUtil.FormatDouble (udtFDA.average(), 2, 2, 1.) + "  | " +
  559.             FormatUtil.FormatDouble (udtFCA.average(), 2, 2, 1.) + "  | " +
  560.             FormatUtil.FormatDouble (udtFBA.average(), 2, 2, 1.) + "  | " + 
  561.             FormatUtil.FormatDouble (udtSFVA.average(), 2, 2, 1.) + "  ||"
  562.         );

  564.         System.out.println (
  565.             "\t|| Minimum => " +
  566.             FormatUtil.FormatDouble (udtUCOLVA.minimum(), 2, 2, 1.) + "  |  " +
  567.             FormatUtil.FormatDouble (udtFTDCOLVA.minimum(), 2, 2, 1.) + "  | " +
  568.             FormatUtil.FormatDouble (udtUCVA.minimum(), 2, 2, 1.) + "  | " +
  569.             FormatUtil.FormatDouble (udtFTDCVA.minimum(), 2, 2, 1.) + "  | " +
  570.             FormatUtil.FormatDouble (udtCVACL.minimum(), 2, 2, 1.) + "  | " +
  571.             FormatUtil.FormatDouble (udtCVA.minimum(), 2, 2, 1.) + "  | " +
  572.             FormatUtil.FormatDouble (udtDVA.minimum(), 2, 2, 1.) + "  | " +
  573.             FormatUtil.FormatDouble (udtFVA.minimum(), 2, 2, 1.) + "  | " +
  574.             FormatUtil.FormatDouble (udtFDA.minimum(), 2, 2, 1.) + "  | " +
  575.             FormatUtil.FormatDouble (udtFCA.minimum(), 2, 2, 1.) + "  | " +
  576.             FormatUtil.FormatDouble (udtFBA.minimum(), 2, 2, 1.) + "  | " + 
  577.             FormatUtil.FormatDouble (udtSFVA.minimum(), 2, 2, 1.) + "  ||"
  578.         );

  580.         System.out.println (
  581.             "\t|| Maximum => " +
  582.             FormatUtil.FormatDouble (udtUCOLVA.maximum(), 2, 2, 1.) + "  |  " +
  583.             FormatUtil.FormatDouble (udtFTDCOLVA.maximum(), 2, 2, 1.) + "  | " +
  584.             FormatUtil.FormatDouble (udtUCVA.maximum(), 2, 2, 1.) + "  | " +
  585.             FormatUtil.FormatDouble (udtFTDCVA.maximum(), 2, 2, 1.) + "  | " +
  586.             FormatUtil.FormatDouble (udtCVACL.maximum(), 2, 2, 1.) + "  | " +
  587.             FormatUtil.FormatDouble (udtCVA.maximum(), 2, 2, 1.) + "  | " +
  588.             FormatUtil.FormatDouble (udtDVA.maximum(), 2, 2, 1.) + "  | " +
  589.             FormatUtil.FormatDouble (udtFVA.maximum(), 2, 2, 1.) + "  | " +
  590.             FormatUtil.FormatDouble (udtFDA.maximum(), 2, 2, 1.) + "  | " +
  591.             FormatUtil.FormatDouble (udtFCA.maximum(), 2, 2, 1.) + "  | " +
  592.             FormatUtil.FormatDouble (udtFBA.maximum(), 2, 2, 1.) + "  | " + 
  593.             FormatUtil.FormatDouble (udtSFVA.maximum(), 2, 2, 1.) + "  ||"
  594.         );

  596.         System.out.println (
  597.             "\t||  Error  => " +
  598.             FormatUtil.FormatDouble (udtUCOLVA.error(), 2, 2, 1.) + "  |  " +
  599.             FormatUtil.FormatDouble (udtFTDCOLVA.error(), 2, 2, 1.) + "  | " +
  600.             FormatUtil.FormatDouble (udtUCVA.error(), 2, 2, 1.) + "  | " +
  601.             FormatUtil.FormatDouble (udtFTDCVA.error(), 2, 2, 1.) + "  | " +
  602.             FormatUtil.FormatDouble (udtCVACL.error(), 2, 2, 1.) + "  | " +
  603.             FormatUtil.FormatDouble (udtCVA.error(), 2, 2, 1.) + "  | " +
  604.             FormatUtil.FormatDouble (udtDVA.error(), 2, 2, 1.) + "  | " +
  605.             FormatUtil.FormatDouble (udtFVA.error(), 2, 2, 1.) + "  | " +
  606.             FormatUtil.FormatDouble (udtFDA.error(), 2, 2, 1.) + "  | " +
  607.             FormatUtil.FormatDouble (udtFCA.error(), 2, 2, 1.) + "  | " +
  608.             FormatUtil.FormatDouble (udtFBA.error(), 2, 2, 1.) + "  | " + 
  609.             FormatUtil.FormatDouble (udtSFVA.error(), 2, 2, 1.) + "  ||"
  610.         );

  612.         System.out.println (
  613.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  614.         );
  615.     }

  617.     private static final void CPGDDiffDump (
  618.         final String strHeader,
  619.         final ExposureAdjustmentDigest eadGround,
  620.         final ExposureAdjustmentDigest eadExpanded)
  621.         throws Exception
  622.     {
  623.         System.out.println();

  625.         System.out.println (
  626.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  627.         );

  629.         System.out.println (strHeader);

  631.         System.out.println (
  632.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  633.         );

  635.         System.out.println (
  636.             "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
  637.         );

  639.         System.out.println (
  640.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  641.         );

  643.         System.out.println (
  644.             "\t|| Average => " +
  645.             FormatUtil.FormatDouble (eadExpanded.ucolva().average() - eadGround.ucolva().average(), 3, 1, 10000.) + "  |  " +
  646.             FormatUtil.FormatDouble (eadExpanded.ftdcolva().average() - eadGround.ftdcolva().average(), 3, 1, 10000.) + "  | " +
  647.             FormatUtil.FormatDouble (eadExpanded.ucva().average() - eadGround.ucva().average(), 3, 1, 10000.) + "  | " +
  648.             FormatUtil.FormatDouble (eadExpanded.ftdcva().average() - eadGround.ftdcva().average(), 3, 1, 10000.) + "  | " +
  649.             FormatUtil.FormatDouble (eadExpanded.cvacl().average() - eadGround.cvacl().average(), 3, 1, 10000.) + "  | " +
  650.             FormatUtil.FormatDouble (eadExpanded.cva().average() - eadGround.cva().average(), 3, 1, 10000.) + "  | " +
  651.             FormatUtil.FormatDouble (eadExpanded.dva().average() - eadGround.dva().average(), 3, 1, 10000.) + "  | " +
  652.             FormatUtil.FormatDouble (eadExpanded.fva().average() - eadGround.fva().average(), 3, 1, 10000.) + "  | " +
  653.             FormatUtil.FormatDouble (eadExpanded.fda().average() - eadGround.fda().average(), 3, 1, 10000.) + "  | " +
  654.             FormatUtil.FormatDouble (eadExpanded.fca().average() - eadGround.fca().average(), 3, 1, 10000.) + "  | " +
  655.             FormatUtil.FormatDouble (eadExpanded.fba().average() - eadGround.fba().average(), 3, 1, 10000.) + "  | " + 
  656.             FormatUtil.FormatDouble (eadExpanded.sfva().average() - eadGround.sfva().average(), 3, 1, 10000.) + "  ||"
  657.         );

  659.         System.out.println (
  660.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  661.         );
  662.     }

  664.     private static final void BaselAccountingMetrics (
  665.         final String strHeader,
  666.         final ExposureAdjustmentAggregator eadGround,
  667.         final ExposureAdjustmentAggregator eadExpanded)
  668.         throws Exception
  669.     {
  670.         OTCAccountingModus oasFCAFBA = new OTCAccountingModusFCAFBA (eadGround);

  672.         OTCAccountingModus oasFVAFDA = new OTCAccountingModusFVAFDA (eadGround);

  674.         OTCAccountingPolicy oapFCAFBA = oasFCAFBA.feePolicy (eadExpanded);

  676.         OTCAccountingPolicy oapFVAFDA = oasFVAFDA.feePolicy (eadExpanded);

  678.         System.out.println();

  680.         System.out.println (
  681.             "\t||---------------------------------------------------------------------||"
  682.         );

  684.         System.out.println (strHeader);

  686.         System.out.println (
  687.             "\t||---------------------------------------------------------------------||"
  688.         );

  690.         System.out.println (
  691.             "\t|| L -> R:                                                             ||"
  692.         );

  694.         System.out.println (
  695.             "\t||         - Accounting Type (FCA/FBA vs. FVA/FDA)                     ||"
  696.         );

  698.         System.out.println (
  699.             "\t||         - Contra Asset Adjustment                                   ||"
  700.         );

  702.         System.out.println (
  703.             "\t||         - Contra Liability Adjustment                               ||"
  704.         );

  706.         System.out.println (
  707.             "\t||         - FTP (Funding Transfer Pricing) (bp)                       ||"
  708.         );

  710.         System.out.println (
  711.             "\t||         - CET1 (Common Equity Tier I) Change (bp)                   ||"
  712.         );

  714.         System.out.println (
  715.             "\t||         - CL (Contra Liability) Change (bp)                         ||"
  716.         );

  718.         System.out.println (
  719.             "\t||         - PFV (Porfolio Value) Change (Income) (bp)                 ||"
  720.         );

  722.         System.out.println (
  723.             "\t||---------------------------------------------------------------------||"
  724.         );

  726.         System.out.println ("\t|| FCA/FBA Accounting => " +
  727.             FormatUtil.FormatDouble (oasFCAFBA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
  728.             FormatUtil.FormatDouble (oasFCAFBA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
  729.             FormatUtil.FormatDouble (oapFCAFBA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
  730.             FormatUtil.FormatDouble (oapFCAFBA.cet1Change(), 3, 0, 10000.) + " | " +
  731.             FormatUtil.FormatDouble (oapFCAFBA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
  732.             FormatUtil.FormatDouble (oapFCAFBA.portfolioValueChange(), 3, 0, 10000.) + " || "
  733.         );

  735.         System.out.println ("\t|| FVA/FDA Accounting => " +
  736.             FormatUtil.FormatDouble (oasFVAFDA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
  737.             FormatUtil.FormatDouble (oasFVAFDA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
  738.             FormatUtil.FormatDouble (oapFVAFDA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
  739.             FormatUtil.FormatDouble (oapFVAFDA.cet1Change(), 3, 0, 10000.) + " | " +
  740.             FormatUtil.FormatDouble (oapFVAFDA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
  741.             FormatUtil.FormatDouble (oapFVAFDA.portfolioValueChange(), 3, 0, 10000.) + " || "
  742.         );

  744.         System.out.println (
  745.             "\t||---------------------------------------------------------------------||"
  746.         );

  748.         System.out.println();
  749.     }

  751.     public static final void main (
  752.         final String[] astrArgs)
  753.         throws Exception
  754.     {
  755.         EnvManager.InitEnv ("");

  757.         ExposureAdjustmentAggregator[] aEEA = Mix (
  758.             5.,
  759.             0.,
  760.             100.,
  761.             5.,
  762.             0.,
  763.             1.
  764.         );

  766.         ExposureAdjustmentAggregator eeaGround = aEEA[0];
  767.         ExposureAdjustmentAggregator eeaExtended = aEEA[1];

  769.         ExposureAdjustmentDigest eadGround = eeaGround.digest();

  771.         ExposureAdjustmentDigest eadExtended = eeaExtended.digest();

  773.         CPGDDump (
  774.             "\t||                                                  GROUND BOOK ADJUSTMENT METRICS                                                   ||",
  775.             eadGround
  776.         );

  778.         CPGDDump (
  779.             "\t||                                                 EXTENDED BOOK ADJUSTMENT METRICS                                                  ||",
  780.             eadExtended
  781.         );

  783.         CPGDDiffDump (
  784.             "\t||                                             TRADE INCREMENT ADJUSTMENT METRICS (bp)                                               ||",
  785.             eadGround,
  786.             eadExtended
  787.         );

  789.         BaselAccountingMetrics (
  790.             "\t||           ALBANESE & ANDERSEN (2015) BCBS OTC ACCOUNTING            ||",
  791.             eeaGround,
  792.             eeaExtended
  793.         );

  795.         EnvManager.TerminateEnv();
  796.     }
  797. }
Created with JaCoCo 0.7.9.201702052155