SemiReplicationUncollateralizedFunding.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.universe.*;
  6. import org.drip.measure.discrete.SequenceGenerator;
  7. import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
  8. import org.drip.measure.process.DiffusionEvolver;
  9. import org.drip.measure.realization.*;
  10. import org.drip.measure.statistics.UnivariateDiscreteThin;
  11. import org.drip.numerical.common.FormatUtil;
  12. import org.drip.service.env.EnvManager;
  13. import org.drip.state.identifier.OTCFixFloatLabel;
  14. import org.drip.xva.basel.*;
  15. import org.drip.xva.definition.*;
  16. import org.drip.xva.gross.*;
  17. import org.drip.xva.hypothecation.*;
  18. import org.drip.xva.netting.CollateralGroupPath;
  19. import org.drip.xva.strategy.*;
  20. import org.drip.xva.vertex.BurgardKjaerBuilder;

  22. /*
  23.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  24.  */

  26. /*!
  27.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  28.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  29.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  30.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  31.  * 
  32.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  33.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  34.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  35.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  36.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  37.  *      and computational support.
  38.  *  
  39.  *      https://lakshmidrip.github.io/DROP/
  40.  *  
  41.  *  DROP is composed of three modules:
  42.  *  
  43.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  44.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  45.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  46.  * 
  47.  *  DROP Product Core implements libraries for the following:
  48.  *  - Fixed Income Analytics
  49.  *  - Loan Analytics
  50.  *  - Transaction Cost Analytics
  51.  * 
  52.  *  DROP Portfolio Core implements libraries for the following:
  53.  *  - Asset Allocation Analytics
  54.  *  - Asset Liability Management Analytics
  55.  *  - Capital Estimation Analytics
  56.  *  - Exposure Analytics
  57.  *  - Margin Analytics
  58.  *  - XVA Analytics
  59.  * 
  60.  *  DROP Computational Core implements libraries for the following:
  61.  *  - Algorithm Support
  62.  *  - Computation Support
  63.  *  - Function Analysis
  64.  *  - Model Validation
  65.  *  - Numerical Analysis
  66.  *  - Numerical Optimizer
  67.  *  - Spline Builder
  68.  *  - Statistical Learning
  69.  * 
  70.  *  Documentation for DROP is Spread Over:
  71.  * 
  72.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  73.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  74.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  75.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  76.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  77.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  78.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  79.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  80.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  81.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  82.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  83.  * 
  84.  *  Licensed under the Apache License, Version 2.0 (the "License");
  85.  *      you may not use this file except in compliance with the License.
  86.  *   
  87.  *  You may obtain a copy of the License at
  88.  *      http://www.apache.org/licenses/LICENSE-2.0
  89.  *  
  90.  *  Unless required by applicable law or agreed to in writing, software
  91.  *      distributed under the License is distributed on an "AS IS" BASIS,
  92.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  93.  *  
  94.  *  See the License for the specific language governing permissions and
  95.  *      limitations under the License.
  96.  */

  98. /**
  99.  * <i>SemiReplicationUncollateralizedFunding</i> examines the Basel BCBS 2012 OTC Accounting Impact to a
  100.  * Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
  101.  * Schemes. Simulation is carried out under the following Criteria using one of the Generalized Burgard Kjaer
  102.  * (2013) Scheme.
  103.  *  
  104.  * <br><br>
  105.  *  <ul>
  106.  *      <li>
  107.  *          Collateralization Status - Uncollateralized
  108.  *      </li>
  109.  *      <li>
  110.  *          Aggregation Unit         - Funding Group
  111.  *      </li>
  112.  *      <li>
  113.  *          Added Swap Type          - Zero Upfront Par Swap (Neutral)
  114.  *      </li>
  115.  *      <li>
  116.  *          Market Dynamics          - Deterministic (Static Market Evolution)
  117.  *      </li>
  118.  *      <li>
  119.  *          Funding Strategy         - Semi Replication Dual Bond
  120.  *      </li>
  121.  *  </ul>
  122.  *  
  123.  * The References are:
  124.  *  
  125.  * <br><br>
  126.  *  <ul>
  127.  *      <li>
  128.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  129.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  130.  *      </li>
  131.  *      <li>
  132.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  133.  *      </li>
  134.  *      <li>
  135.  *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  136.  *              86-90
  137.  *      </li>
  138.  *      <li>
  139.  *          Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
  140.  *              Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
  141.  *              <b>World Scientific Publishing</b> Singapore
  142.  *      </li>
  143.  *      <li>
  144.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  145.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  146.  *      </li>
  147.  *  </ul>
  148.  *  
  149.  * <br><br>
  150.  *  <ul>
  151.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  152.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  153.  *      <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>
  154.  *      <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>
  155.  *  </ul>
  156.  * <br><br>
  157.  * 
  158.  * @author Lakshmi Krishnamurthy
  159.  */

  161. public class SemiReplicationUncollateralizedFunding {

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

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


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

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

  197.         return adblATMSwapRateOffset;
  198.     }

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

  214.         for (int i = 0; i < iNumStep; ++i)
  215.             adblSwapPortfolioValueRealization[i] = 0.;

  217.         double[] adblATMSwapRateOffsetRealization = ATMSwapRateOffsetRealization (
  218.             deATMSwapRate,
  219.             dblATMSwapRateStart,
  220.             adblRandom,
  221.             dblTime,
  222.             dblTimeWidth,
  223.             iNumStep
  224.         );

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

  230.         return adblSwapPortfolioValueRealization;
  231.     }

  233.     private static final ExposureAdjustmentAggregator[] Mix (
  234.         final double dblTimeMaturity1,
  235.         final double dblATMSwapRateOffsetStart1,
  236.         final double dblSwapNotional1,
  237.         final double dblTimeMaturity2,
  238.         final double dblATMSwapRateOffsetStart2,
  239.         final double dblSwapNotional2)
  240.         throws Exception
  241.     {
  242.         int iNumStep = 10;
  243.         int iNumPath = 100000;
  244.         int iNumVertex = 10;
  245.         double dblTime = 5.;
  246.         double dblATMSwapRateOffsetDrift = 0.0;
  247.         double dblATMSwapRateOffsetVolatility = 0.25;
  248.         double dblOvernightNumeraireDrift = 0.004;
  249.         double dblCSADrift = 0.01;
  250.         double dblBankHazardRate = 0.015;
  251.         double dblBankSeniorRecoveryRate = 0.40;
  252.         double dblBankSubordinateRecoveryRate = 0.15;
  253.         double dblCounterPartyHazardRate = 0.030;
  254.         double dblCounterPartyRecoveryRate = 0.30;

  256.         JulianDate dtSpot = DateUtil.Today();

  258.         double dblTimeWidth = dblTime / iNumStep;
  259.         JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
  260.         MarketVertex[] aMV = new MarketVertex[iNumStep + 1];
  261.         double[][] aadblPortfolio1Value = new double[iNumPath][iNumStep + 1];
  262.         double[][] aadblPortfolio2Value = new double[iNumPath][iNumStep + 1];
  263.         double[][] aadblCollateralBalance = new double[iNumPath][iNumStep + 1];
  264.         MonoPathExposureAdjustment[] aCPGPGround = new MonoPathExposureAdjustment[iNumPath];
  265.         MonoPathExposureAdjustment[] aCPGPExtended = new MonoPathExposureAdjustment[iNumPath];
  266.         double dblBankSeniorFundingSpread = dblBankHazardRate / (1. - dblBankSeniorRecoveryRate);
  267.         double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
  268.         double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);

  270.         CloseOut cog = new CloseOutBilateral (
  271.             dblBankSeniorRecoveryRate,
  272.             dblCounterPartyRecoveryRate
  273.         );

  275.         DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (
  276.             DiffusionEvaluatorLinear.Standard (
  277.                 dblATMSwapRateOffsetDrift,
  278.                 dblATMSwapRateOffsetVolatility
  279.             )
  280.         );

  282.         for (int i = 0; i <= iNumStep; ++i)
  283.         {
  284.             LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

  286.             latentStateVertexContainer.add (
  287.                 OTCFixFloatLabel.Standard ("USD-3M-10Y"),
  288.                 Double.NaN
  289.             );

  291.             aMV[i] = MarketVertex.Nodal (
  292.                 adtVertex[i] = dtSpot.addMonths (6 * i),
  293.                 dblOvernightNumeraireDrift,
  294.                 Math.exp (-0.5 * dblOvernightNumeraireDrift * iNumStep),
  295.                 dblCSADrift,
  296.                 Math.exp (-0.5 * dblCSADrift * iNumStep),
  297.                 new MarketVertexEntity (
  298.                     Math.exp (-0.5 * dblBankHazardRate * i),
  299.                     dblBankHazardRate,
  300.                     dblBankSeniorRecoveryRate,
  301.                     dblBankSeniorFundingSpread,
  302.                     Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSeniorRecoveryRate) * iNumStep),
  303.                     dblBankSubordinateRecoveryRate,
  304.                     dblBankSubordinateFundingSpread,
  305.                     Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSubordinateRecoveryRate) * iNumStep)
  306.                 ),
  307.                 new MarketVertexEntity (
  308.                     Math.exp (-0.5 * dblCounterPartyHazardRate * i),
  309.                     dblCounterPartyHazardRate,
  310.                     dblCounterPartyRecoveryRate,
  311.                     dblCounterPartyFundingSpread,
  312.                     Math.exp (-0.5 * dblCounterPartyHazardRate * (1. - dblCounterPartyRecoveryRate) * iNumStep),
  313.                     Double.NaN,
  314.                     Double.NaN,
  315.                     Double.NaN
  316.                 ),
  317.                 latentStateVertexContainer
  318.             );
  319.         }

  321.         for (int i = 0; i < iNumPath; ++i) {
  322.             aadblPortfolio1Value[i] = SwapPortfolioValueRealization (
  323.                 deATMSwapRateOffset,
  324.                 dblATMSwapRateOffsetStart1,
  325.                 SequenceGenerator.Gaussian (iNumStep),
  326.                 iNumVertex,
  327.                 dblTime,
  328.                 dblTimeWidth,
  329.                 dblTimeMaturity1,
  330.                 dblSwapNotional1
  331.             );

  333.             aadblPortfolio2Value[i] = SwapPortfolioValueRealization (
  334.                 deATMSwapRateOffset,
  335.                 dblATMSwapRateOffsetStart2,
  336.                 SequenceGenerator.Gaussian (iNumStep),
  337.                 iNumVertex,
  338.                 dblTime,
  339.                 dblTimeWidth,
  340.                 dblTimeMaturity2,
  341.                 dblSwapNotional2
  342.             );

  344.             CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
  345.             CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];

  347.             for (int j = 0; j <= iNumStep; ++j) {
  348.                 aadblCollateralBalance[i][j] = 0.;

  350.                 if (0 != j) {
  351.                     aCGV1[j] = BurgardKjaerBuilder.SemiReplicationDualBond (
  352.                         adtVertex[j],
  353.                         aadblPortfolio1Value[i][j],
  354.                         0.,
  355.                         0.,
  356.                         new MarketEdge (
  357.                             aMV[j - 1],
  358.                             aMV[j]
  359.                         ),
  360.                         cog
  361.                     );

  363.                     aCGV2[j] = BurgardKjaerBuilder.SemiReplicationDualBond (
  364.                         adtVertex[j],
  365.                         aadblPortfolio2Value[i][j],
  366.                         0.,
  367.                         0.,
  368.                         new MarketEdge (
  369.                             aMV[j - 1],
  370.                             aMV[j]
  371.                         ),
  372.                         cog
  373.                     );
  374.                 } else {
  375.                     aCGV1[j] = BurgardKjaerBuilder.Initial (
  376.                         adtVertex[j],
  377.                         aadblPortfolio1Value[i][0],
  378.                         aMV[j],
  379.                         cog
  380.                     );

  382.                     aCGV2[j] = BurgardKjaerBuilder.Initial (
  383.                         adtVertex[j],
  384.                         aadblPortfolio2Value[i][0],
  385.                         aMV[j],
  386.                         cog
  387.                     );
  388.                 }
  389.             }

  391.             MarketPath np = MarketPath.FromMarketVertexArray (aMV);

  393.             CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
  394.                 new CollateralGroupPath (
  395.                     aCGV1,
  396.                     np
  397.                 )
  398.             };

  400.             CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
  401.                 new CollateralGroupPath (
  402.                     aCGV2,
  403.                     np
  404.                 )
  405.             };

  407.             aCPGPGround[i] = new MonoPathExposureAdjustment (
  408.                 new AlbaneseAndersenFundingGroupPath[] {
  409.                     new AlbaneseAndersenFundingGroupPath (
  410.                         new AlbaneseAndersenNettingGroupPath[] {
  411.                             new AlbaneseAndersenNettingGroupPath (
  412.                                 aCGP1,
  413.                                 np
  414.                             )
  415.                         },
  416.                         np
  417.                     )
  418.                 }
  419.             );

  421.             aCPGPExtended[i] = new MonoPathExposureAdjustment (
  422.                 new AlbaneseAndersenFundingGroupPath[] {
  423.                     new AlbaneseAndersenFundingGroupPath (
  424.                         new AlbaneseAndersenNettingGroupPath[] {
  425.                             new AlbaneseAndersenNettingGroupPath (
  426.                                 aCGP1,
  427.                                 np
  428.                             ),
  429.                             new AlbaneseAndersenNettingGroupPath (
  430.                                 aCGP2,
  431.                                 np
  432.                             )
  433.                         },
  434.                         np
  435.                     )
  436.                 }
  437.             );
  438.         }

  440.         return new ExposureAdjustmentAggregator[] {
  441.             new ExposureAdjustmentAggregator (aCPGPGround),
  442.             new ExposureAdjustmentAggregator (aCPGPExtended)
  443.         };
  444.     }

  446.     private static final void CPGDDump (
  447.         final String strHeader,
  448.         final ExposureAdjustmentDigest ead)
  449.         throws Exception
  450.     {
  451.         System.out.println();

  453.         UnivariateDiscreteThin udtUCOLVA = ead.ucolva();

  455.         UnivariateDiscreteThin udtFTDCOLVA = ead.ftdcolva();

  457.         UnivariateDiscreteThin udtUCVA = ead.ucva();

  459.         UnivariateDiscreteThin udtFTDCVA = ead.ftdcva();

  461.         UnivariateDiscreteThin udtCVACL = ead.cvacl();

  463.         UnivariateDiscreteThin udtCVA = ead.cva();

  465.         UnivariateDiscreteThin udtDVA = ead.dva();

  467.         UnivariateDiscreteThin udtFVA = ead.fva();

  469.         UnivariateDiscreteThin udtFDA = ead.fda();

  471.         UnivariateDiscreteThin udtFCA = ead.fca();

  473.         UnivariateDiscreteThin udtFBA = ead.fba();

  475.         UnivariateDiscreteThin udtSFVA = ead.sfva();

  477.         System.out.println (
  478.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  479.         );

  481.         System.out.println (strHeader);

  483.         System.out.println (
  484.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  485.         );

  487.         System.out.println (
  488.             "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
  489.         );

  491.         System.out.println (
  492.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  493.         );

  495.         System.out.println (
  496.             "\t|| Average => " +
  497.             FormatUtil.FormatDouble (udtUCOLVA.average(), 2, 2, 1.) + "  |  " +
  498.             FormatUtil.FormatDouble (udtFTDCOLVA.average(), 2, 2, 1.) + "  | " +
  499.             FormatUtil.FormatDouble (udtUCVA.average(), 2, 2, 1.) + "  | " +
  500.             FormatUtil.FormatDouble (udtFTDCVA.average(), 2, 2, 1.) + "  | " +
  501.             FormatUtil.FormatDouble (udtCVACL.average(), 2, 2, 1.) + "  | " +
  502.             FormatUtil.FormatDouble (udtCVA.average(), 2, 2, 1.) + "  | " +
  503.             FormatUtil.FormatDouble (udtDVA.average(), 2, 2, 1.) + "  | " +
  504.             FormatUtil.FormatDouble (udtFVA.average(), 2, 2, 1.) + "  | " +
  505.             FormatUtil.FormatDouble (udtFDA.average(), 2, 2, 1.) + "  | " +
  506.             FormatUtil.FormatDouble (udtFCA.average(), 2, 2, 1.) + "  | " +
  507.             FormatUtil.FormatDouble (udtFBA.average(), 2, 2, 1.) + "  | " + 
  508.             FormatUtil.FormatDouble (udtSFVA.average(), 2, 2, 1.) + "  ||"
  509.         );

  511.         System.out.println (
  512.             "\t|| Minimum => " +
  513.             FormatUtil.FormatDouble (udtUCOLVA.minimum(), 2, 2, 1.) + "  |  " +
  514.             FormatUtil.FormatDouble (udtFTDCOLVA.minimum(), 2, 2, 1.) + "  | " +
  515.             FormatUtil.FormatDouble (udtUCVA.minimum(), 2, 2, 1.) + "  | " +
  516.             FormatUtil.FormatDouble (udtFTDCVA.minimum(), 2, 2, 1.) + "  | " +
  517.             FormatUtil.FormatDouble (udtCVACL.minimum(), 2, 2, 1.) + "  | " +
  518.             FormatUtil.FormatDouble (udtCVA.minimum(), 2, 2, 1.) + "  | " +
  519.             FormatUtil.FormatDouble (udtDVA.minimum(), 2, 2, 1.) + "  | " +
  520.             FormatUtil.FormatDouble (udtFVA.minimum(), 2, 2, 1.) + "  | " +
  521.             FormatUtil.FormatDouble (udtFDA.minimum(), 2, 2, 1.) + "  | " +
  522.             FormatUtil.FormatDouble (udtFCA.minimum(), 2, 2, 1.) + "  | " +
  523.             FormatUtil.FormatDouble (udtFBA.minimum(), 2, 2, 1.) + "  | " + 
  524.             FormatUtil.FormatDouble (udtSFVA.minimum(), 2, 2, 1.) + "  ||"
  525.         );

  527.         System.out.println (
  528.             "\t|| Maximum => " +
  529.             FormatUtil.FormatDouble (udtUCOLVA.maximum(), 2, 2, 1.) + "  |  " +
  530.             FormatUtil.FormatDouble (udtFTDCOLVA.maximum(), 2, 2, 1.) + "  | " +
  531.             FormatUtil.FormatDouble (udtUCVA.maximum(), 2, 2, 1.) + "  | " +
  532.             FormatUtil.FormatDouble (udtFTDCVA.maximum(), 2, 2, 1.) + "  | " +
  533.             FormatUtil.FormatDouble (udtCVACL.maximum(), 2, 2, 1.) + "  | " +
  534.             FormatUtil.FormatDouble (udtCVA.maximum(), 2, 2, 1.) + "  | " +
  535.             FormatUtil.FormatDouble (udtDVA.maximum(), 2, 2, 1.) + "  | " +
  536.             FormatUtil.FormatDouble (udtFVA.maximum(), 2, 2, 1.) + "  | " +
  537.             FormatUtil.FormatDouble (udtFDA.maximum(), 2, 2, 1.) + "  | " +
  538.             FormatUtil.FormatDouble (udtFCA.maximum(), 2, 2, 1.) + "  | " +
  539.             FormatUtil.FormatDouble (udtFBA.maximum(), 2, 2, 1.) + "  | " + 
  540.             FormatUtil.FormatDouble (udtSFVA.maximum(), 2, 2, 1.) + "  ||"
  541.         );

  543.         System.out.println (
  544.             "\t||  Error  => " +
  545.             FormatUtil.FormatDouble (udtUCOLVA.error(), 2, 2, 1.) + "  |  " +
  546.             FormatUtil.FormatDouble (udtFTDCOLVA.error(), 2, 2, 1.) + "  | " +
  547.             FormatUtil.FormatDouble (udtUCVA.error(), 2, 2, 1.) + "  | " +
  548.             FormatUtil.FormatDouble (udtFTDCVA.error(), 2, 2, 1.) + "  | " +
  549.             FormatUtil.FormatDouble (udtCVACL.error(), 2, 2, 1.) + "  | " +
  550.             FormatUtil.FormatDouble (udtCVA.error(), 2, 2, 1.) + "  | " +
  551.             FormatUtil.FormatDouble (udtDVA.error(), 2, 2, 1.) + "  | " +
  552.             FormatUtil.FormatDouble (udtFVA.error(), 2, 2, 1.) + "  | " +
  553.             FormatUtil.FormatDouble (udtFDA.error(), 2, 2, 1.) + "  | " +
  554.             FormatUtil.FormatDouble (udtFCA.error(), 2, 2, 1.) + "  | " +
  555.             FormatUtil.FormatDouble (udtFBA.error(), 2, 2, 1.) + "  | " + 
  556.             FormatUtil.FormatDouble (udtSFVA.error(), 2, 2, 1.) + "  ||"
  557.         );

  559.         System.out.println (
  560.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  561.         );
  562.     }

  564.     private static final void CPGDDiffDump (
  565.         final String strHeader,
  566.         final ExposureAdjustmentDigest eadGround,
  567.         final ExposureAdjustmentDigest eadExpanded)
  568.         throws Exception
  569.     {
  570.         System.out.println();

  572.         System.out.println (
  573.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  574.         );

  576.         System.out.println (strHeader);

  578.         System.out.println (
  579.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  580.         );

  582.         System.out.println (
  583.             "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
  584.         );

  586.         System.out.println (
  587.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  588.         );

  590.         System.out.println (
  591.             "\t|| Average => " +
  592.             FormatUtil.FormatDouble (eadExpanded.ucolva().average() - eadGround.ucolva().average(), 3, 1, 10000.) + "  |  " +
  593.             FormatUtil.FormatDouble (eadExpanded.ftdcolva().average() - eadGround.ftdcolva().average(), 3, 1, 10000.) + "  | " +
  594.             FormatUtil.FormatDouble (eadExpanded.ucva().average() - eadGround.ucva().average(), 3, 1, 10000.) + "  | " +
  595.             FormatUtil.FormatDouble (eadExpanded.ftdcva().average() - eadGround.ftdcva().average(), 3, 1, 10000.) + "  | " +
  596.             FormatUtil.FormatDouble (eadExpanded.cvacl().average() - eadGround.cvacl().average(), 3, 1, 10000.) + "  | " +
  597.             FormatUtil.FormatDouble (eadExpanded.cva().average() - eadGround.cva().average(), 3, 1, 10000.) + "  | " +
  598.             FormatUtil.FormatDouble (eadExpanded.dva().average() - eadGround.dva().average(), 3, 1, 10000.) + "  | " +
  599.             FormatUtil.FormatDouble (eadExpanded.fva().average() - eadGround.fva().average(), 3, 1, 10000.) + "  | " +
  600.             FormatUtil.FormatDouble (eadExpanded.fda().average() - eadGround.fda().average(), 3, 1, 10000.) + "  | " +
  601.             FormatUtil.FormatDouble (eadExpanded.fca().average() - eadGround.fca().average(), 3, 1, 10000.) + "  | " +
  602.             FormatUtil.FormatDouble (eadExpanded.fba().average() - eadGround.fba().average(), 3, 1, 10000.) + "  | " + 
  603.             FormatUtil.FormatDouble (eadExpanded.sfva().average() - eadGround.sfva().average(), 3, 1, 10000.) + "  ||"
  604.         );

  606.         System.out.println (
  607.             "\t||-----------------------------------------------------------------------------------------------------------------------------------||"
  608.         );
  609.     }

  611.     private static final void BaselAccountingMetrics (
  612.         final String strHeader,
  613.         final ExposureAdjustmentAggregator cpgaGround,
  614.         final ExposureAdjustmentAggregator cpgaExpanded)
  615.         throws Exception
  616.     {
  617.         OTCAccountingModus oasFCAFBA = new OTCAccountingModusFCAFBA (cpgaGround);

  619.         OTCAccountingModus oasFVAFDA = new OTCAccountingModusFVAFDA (cpgaGround);

  621.         OTCAccountingPolicy oapFCAFBA = oasFCAFBA.feePolicy (cpgaExpanded);

  623.         OTCAccountingPolicy oapFVAFDA = oasFVAFDA.feePolicy (cpgaExpanded);

  625.         System.out.println();

  627.         System.out.println (
  628.             "\t||---------------------------------------------------------------------||"
  629.         );

  631.         System.out.println (strHeader);

  633.         System.out.println (
  634.             "\t||---------------------------------------------------------------------||"
  635.         );

  637.         System.out.println (
  638.             "\t|| L -> R:                                                             ||"
  639.         );

  641.         System.out.println (
  642.             "\t||         - Accounting Type (FCA/FBA vs. FVA/FDA)                     ||"
  643.         );

  645.         System.out.println (
  646.             "\t||         - Contra Asset Adjustment                                   ||"
  647.         );

  649.         System.out.println (
  650.             "\t||         - Contra Liability Adjustment                               ||"
  651.         );

  653.         System.out.println (
  654.             "\t||         - FTP (Funding Transfer Pricing) (bp)                       ||"
  655.         );

  657.         System.out.println (
  658.             "\t||         - CET1 (Common Equity Tier I) Change (bp)                   ||"
  659.         );

  661.         System.out.println (
  662.             "\t||         - CL (Contra Liability) Change (bp)                         ||"
  663.         );

  665.         System.out.println (
  666.             "\t||         - PFV (Porfolio Value) Change (Income) (bp)                 ||"
  667.         );

  669.         System.out.println (
  670.             "\t||---------------------------------------------------------------------||"
  671.         );

  673.         System.out.println ("\t|| FCA/FBA Accounting => " +
  674.             FormatUtil.FormatDouble (oasFCAFBA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
  675.             FormatUtil.FormatDouble (oasFCAFBA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
  676.             FormatUtil.FormatDouble (oapFCAFBA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
  677.             FormatUtil.FormatDouble (oapFCAFBA.cet1Change(), 3, 0, 10000.) + " | " +
  678.             FormatUtil.FormatDouble (oapFCAFBA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
  679.             FormatUtil.FormatDouble (oapFCAFBA.portfolioValueChange(), 3, 0, 10000.) + " || "
  680.         );

  682.         System.out.println ("\t|| FVA/FDA Accounting => " +
  683.             FormatUtil.FormatDouble (oasFVAFDA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
  684.             FormatUtil.FormatDouble (oasFVAFDA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
  685.             FormatUtil.FormatDouble (oapFVAFDA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
  686.             FormatUtil.FormatDouble (oapFVAFDA.cet1Change(), 3, 0, 10000.) + " | " +
  687.             FormatUtil.FormatDouble (oapFVAFDA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
  688.             FormatUtil.FormatDouble (oapFVAFDA.portfolioValueChange(), 3, 0, 10000.) + " || "
  689.         );

  691.         System.out.println (
  692.             "\t||---------------------------------------------------------------------||"
  693.         );

  695.         System.out.println();
  696.     }

  698.     public static final void main (
  699.         final String[] astrArgs)
  700.         throws Exception
  701.     {
  702.         EnvManager.InitEnv ("");

  704.         ExposureAdjustmentAggregator[] aCPGA = Mix (
  705.             5.,
  706.             0.,
  707.             100.,
  708.             5.,
  709.             0.,
  710.             1.
  711.         );

  713.         ExposureAdjustmentAggregator cpgaGround = aCPGA[0];
  714.         ExposureAdjustmentAggregator cpgaExtended = aCPGA[1];

  716.         ExposureAdjustmentDigest cpgdGround = cpgaGround.digest();

  718.         ExposureAdjustmentDigest cpgdExtended = cpgaExtended.digest();

  720.         CPGDDump (
  721.             "\t||                                                  GROUND BOOK ADJUSTMENT METRICS                                                   ||",
  722.             cpgdGround
  723.         );

  725.         CPGDDump (
  726.             "\t||                                                 EXTENDED BOOK ADJUSTMENT METRICS                                                  ||",
  727.             cpgdExtended
  728.         );

  730.         CPGDDiffDump (
  731.             "\t||                                             TRADE INCREMENT ADJUSTMENT METRICS (bp)                                               ||",
  732.             cpgdGround,
  733.             cpgdExtended
  734.         );

  736.         BaselAccountingMetrics (
  737.             "\t||           ALBANESE & ANDERSEN (2015) BCBS OTC ACCOUNTING            ||",
  738.             cpgaGround,
  739.             cpgaExtended
  740.         );

  742.         EnvManager.TerminateEnv();
  743.     }
  744. }
Created with JaCoCo 0.7.9.201702052155