SetOffUncollateralizedFunding.java
package org.drip.sample.burgard2013;
import org.drip.analytics.date.*;
import org.drip.exposure.evolver.LatentStateVertexContainer;
import org.drip.exposure.universe.*;
import org.drip.measure.discrete.SequenceGenerator;
import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.measure.realization.*;
import org.drip.measure.statistics.UnivariateDiscreteThin;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.state.identifier.OTCFixFloatLabel;
import org.drip.xva.basel.*;
import org.drip.xva.definition.*;
import org.drip.xva.gross.*;
import org.drip.xva.hypothecation.*;
import org.drip.xva.netting.CollateralGroupPath;
import org.drip.xva.strategy.*;
import org.drip.xva.vertex.BurgardKjaerBuilder;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 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>SetOffUncollateralizedFunding</i> examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
* 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
* Simulation is carried out under the following Criteria using one of the Generalized Burgard Kjaer (2013)
* Scheme.
*
* <br><br>
* <ul>
* <li>
* Collateralization Status - Uncollateralized
* </li>
* <li>
* Aggregation Unit - Funding Group
* </li>
* <li>
* Added Swap Type - Zero Upfront Par Swap (Neutral)
* </li>
* <li>
* Market Dynamics - Deterministic (Static Market Evolution)
* </li>
* <li>
* Funding Strategy - Set Off
* </li>
* </ul>
*
* The References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
* Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </li>
* <li>
* Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
* Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
* <b>World Scientific Publishing</b> Singapore
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
* <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA 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/burgard2013/README.md">Burgard Kjaer (2013) Valuation Adjustments</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class SetOffUncollateralizedFunding {
private static final double[] ATMSwapRateOffsetRealization (
final DiffusionEvolver deATMSwapRateOffset,
final double dblATMSwapRateOffsetInitial,
final double[] adblRandom,
final double dblTime,
final double dblTimeWidth,
final int iNumStep)
throws Exception
{
double[] adblATMSwapRateOffset = new double[iNumStep + 1];
adblATMSwapRateOffset[0] = dblATMSwapRateOffsetInitial;
double[] adblTimeWidth = new double[iNumStep];
for (int i = 0; i < iNumStep; ++i)
adblTimeWidth[i] = dblTimeWidth;
JumpDiffusionEdge[] aJDE = deATMSwapRateOffset.incrementSequence (
new JumpDiffusionVertex (
dblTime,
dblATMSwapRateOffsetInitial,
0.,
false
),
JumpDiffusionEdgeUnit.Diffusion (
adblTimeWidth,
adblRandom
),
dblTimeWidth
);
for (int j = 1; j <= iNumStep; ++j)
adblATMSwapRateOffset[j] = aJDE[j - 1].finish();
return adblATMSwapRateOffset;
}
private static final double[] SwapPortfolioValueRealization (
final DiffusionEvolver deATMSwapRate,
final double dblATMSwapRateStart,
final double[] adblRandom,
final int iNumStep,
final double dblTime,
final double dblTimeWidth,
final double dblTimeMaturity,
final double dblSwapNotional)
throws Exception
{
double[] adblSwapPortfolioValueRealization = new double[iNumStep + 1];
int iMaturityStep = (int) (dblTimeMaturity / dblTimeWidth);
for (int i = 0; i < iNumStep; ++i)
adblSwapPortfolioValueRealization[i] = 0.;
double[] adblATMSwapRateOffsetRealization = ATMSwapRateOffsetRealization (
deATMSwapRate,
dblATMSwapRateStart,
adblRandom,
dblTime,
dblTimeWidth,
iNumStep
);
for (int j = 0; j <= iNumStep; ++j)
adblSwapPortfolioValueRealization[j] = j > iMaturityStep ? 0. :
dblSwapNotional * dblTimeWidth * (iMaturityStep - j) * adblATMSwapRateOffsetRealization[j];
return adblSwapPortfolioValueRealization;
}
private static final ExposureAdjustmentAggregator[] Mix (
final double dblTimeMaturity1,
final double dblATMSwapRateOffsetStart1,
final double dblSwapNotional1,
final double dblTimeMaturity2,
final double dblATMSwapRateOffsetStart2,
final double dblSwapNotional2)
throws Exception
{
int iNumStep = 10;
int iNumPath = 100000;
int iNumVertex = 10;
double dblTime = 5.;
double dblATMSwapRateOffsetDrift = 0.0;
double dblATMSwapRateOffsetVolatility = 0.25;
double dblOvernightNumeraireDrift = 0.004;
double dblCSADrift = 0.01;
double dblBankHazardRate = 0.015;
double dblBankSeniorRecoveryRate = 0.40;
double dblBankSubordinateRecoveryRate = 0.15;
double dblCounterPartyHazardRate = 0.030;
double dblCounterPartyRecoveryRate = 0.30;
JulianDate dtSpot = DateUtil.Today();
double dblTimeWidth = dblTime / iNumStep;
JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
MarketVertex[] aMV = new MarketVertex[iNumStep + 1];
double[][] aadblPortfolio1Value = new double[iNumPath][iNumStep + 1];
double[][] aadblPortfolio2Value = new double[iNumPath][iNumStep + 1];
double[][] aadblCollateralBalance = new double[iNumPath][iNumStep + 1];
MonoPathExposureAdjustment[] aCPGPGround = new MonoPathExposureAdjustment[iNumPath];
MonoPathExposureAdjustment[] aCPGPExtended = new MonoPathExposureAdjustment[iNumPath];
double dblBankSeniorFundingSpread = dblBankHazardRate / (1. - dblBankSeniorRecoveryRate);
double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
CloseOut cog = new CloseOutBilateral (
dblBankSeniorRecoveryRate,
dblCounterPartyRecoveryRate
);
DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (
DiffusionEvaluatorLinear.Standard (
dblATMSwapRateOffsetDrift,
dblATMSwapRateOffsetVolatility
)
);
for (int i = 0; i <= iNumStep; ++i)
{
LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();
latentStateVertexContainer.add (
OTCFixFloatLabel.Standard ("USD-3M-10Y"),
Double.NaN
);
aMV[i] = MarketVertex.Nodal (
adtVertex[i] = dtSpot.addMonths (6 * i),
dblOvernightNumeraireDrift,
Math.exp (-0.5 * dblOvernightNumeraireDrift * iNumStep),
dblCSADrift,
Math.exp (-0.5 * dblCSADrift * iNumStep),
new MarketVertexEntity (
Math.exp (-0.5 * dblBankHazardRate * i),
dblBankHazardRate,
dblBankSeniorRecoveryRate,
dblBankSeniorFundingSpread,
Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSeniorRecoveryRate) * iNumStep),
dblBankSubordinateRecoveryRate,
dblBankSubordinateFundingSpread,
Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSubordinateRecoveryRate) * iNumStep)
),
new MarketVertexEntity (
Math.exp (-0.5 * dblCounterPartyHazardRate * i),
dblCounterPartyHazardRate,
dblCounterPartyRecoveryRate,
dblCounterPartyFundingSpread,
Math.exp (-0.5 * dblCounterPartyHazardRate * (1. - dblCounterPartyRecoveryRate) * iNumStep),
Double.NaN,
Double.NaN,
Double.NaN
),
latentStateVertexContainer
);
}
for (int i = 0; i < iNumPath; ++i) {
aadblPortfolio1Value[i] = SwapPortfolioValueRealization (
deATMSwapRateOffset,
dblATMSwapRateOffsetStart1,
SequenceGenerator.Gaussian (iNumStep),
iNumVertex,
dblTime,
dblTimeWidth,
dblTimeMaturity1,
dblSwapNotional1
);
aadblPortfolio2Value[i] = SwapPortfolioValueRealization (
deATMSwapRateOffset,
dblATMSwapRateOffsetStart2,
SequenceGenerator.Gaussian (iNumStep),
iNumVertex,
dblTime,
dblTimeWidth,
dblTimeMaturity2,
dblSwapNotional2
);
CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
for (int j = 0; j <= iNumStep; ++j) {
aadblCollateralBalance[i][j] = 0.;
if (0 != j) {
aCGV1[j] = BurgardKjaerBuilder.SetOff (
adtVertex[j],
aadblPortfolio1Value[i][j],
0.,
0.,
new MarketEdge (
aMV[j - 1],
aMV[j]
)
);
aCGV2[j] = BurgardKjaerBuilder.SetOff (
adtVertex[j],
aadblPortfolio2Value[i][j],
0.,
0.,
new MarketEdge (
aMV[j - 1],
aMV[j]
)
);
} else {
aCGV1[j] = BurgardKjaerBuilder.Initial (
adtVertex[j],
aadblPortfolio1Value[i][0],
aMV[j],
cog
);
aCGV2[j] = BurgardKjaerBuilder.Initial (
adtVertex[j],
aadblPortfolio2Value[i][0],
aMV[j],
cog
);
}
}
MarketPath np = MarketPath.FromMarketVertexArray (aMV);
CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
new CollateralGroupPath (
aCGV1,
np
)
};
CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
new CollateralGroupPath (
aCGV2,
np
)
};
aCPGPGround[i] = new MonoPathExposureAdjustment (
new AlbaneseAndersenFundingGroupPath[] {
new AlbaneseAndersenFundingGroupPath (
new AlbaneseAndersenNettingGroupPath[] {
new AlbaneseAndersenNettingGroupPath (
aCGP1,
np
)
},
np
)
}
);
aCPGPExtended[i] = new MonoPathExposureAdjustment (
new AlbaneseAndersenFundingGroupPath[] {
new AlbaneseAndersenFundingGroupPath (
new AlbaneseAndersenNettingGroupPath[] {
new AlbaneseAndersenNettingGroupPath (
aCGP1,
np
),
new AlbaneseAndersenNettingGroupPath (
aCGP2,
np
)
},
np
)
}
);
}
return new ExposureAdjustmentAggregator[] {
new ExposureAdjustmentAggregator (aCPGPGround),
new ExposureAdjustmentAggregator (aCPGPExtended)
};
}
private static final void CPGDDump (
final String strHeader,
final ExposureAdjustmentDigest ead)
throws Exception
{
System.out.println();
UnivariateDiscreteThin udtUCOLVA = ead.ucolva();
UnivariateDiscreteThin udtFTDCOLVA = ead.ftdcolva();
UnivariateDiscreteThin udtUCVA = ead.ucva();
UnivariateDiscreteThin udtFTDCVA = ead.ftdcva();
UnivariateDiscreteThin udtCVACL = ead.cvacl();
UnivariateDiscreteThin udtCVA = ead.cva();
UnivariateDiscreteThin udtDVA = ead.dva();
UnivariateDiscreteThin udtFVA = ead.fva();
UnivariateDiscreteThin udtFDA = ead.fda();
UnivariateDiscreteThin udtFCA = ead.fca();
UnivariateDiscreteThin udtFBA = ead.fba();
UnivariateDiscreteThin udtSFVA = ead.sfva();
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (strHeader);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t|| OODLE => UCOLVA | FTDCOLVA | UCVA | FTDCVA | CVACL | CVA | DVA | FVA | FDA | FCA | FBA | SFVA ||"
);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t|| Average => " +
FormatUtil.FormatDouble (udtUCOLVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCOLVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtUCVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVACL.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtDVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFVA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFDA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFCA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFBA.average(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtSFVA.average(), 2, 2, 1.) + " ||"
);
System.out.println (
"\t|| Minimum => " +
FormatUtil.FormatDouble (udtUCOLVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCOLVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtUCVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVACL.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtDVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFVA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFDA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFCA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFBA.minimum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtSFVA.minimum(), 2, 2, 1.) + " ||"
);
System.out.println (
"\t|| Maximum => " +
FormatUtil.FormatDouble (udtUCOLVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCOLVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtUCVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVACL.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtDVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFVA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFDA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFCA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFBA.maximum(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtSFVA.maximum(), 2, 2, 1.) + " ||"
);
System.out.println (
"\t|| Error => " +
FormatUtil.FormatDouble (udtUCOLVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCOLVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtUCVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFTDCVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVACL.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtCVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtDVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFVA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFDA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFCA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtFBA.error(), 2, 2, 1.) + " | " +
FormatUtil.FormatDouble (udtSFVA.error(), 2, 2, 1.) + " ||"
);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
}
private static final void CPGDDiffDump (
final String strHeader,
final ExposureAdjustmentDigest eadGround,
final ExposureAdjustmentDigest eadExpanded)
throws Exception
{
System.out.println();
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (strHeader);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t|| OODLE => UCOLVA | FTDCOLVA | UCVA | FTDCVA | CVACL | CVA | DVA | FVA | FDA | FCA | FBA | SFVA ||"
);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t|| Average => " +
FormatUtil.FormatDouble (eadExpanded.ucolva().average() - eadGround.ucolva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.ftdcolva().average() - eadGround.ftdcolva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.ucva().average() - eadGround.ucva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.ftdcva().average() - eadGround.ftdcva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.cvacl().average() - eadGround.cvacl().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.cva().average() - eadGround.cva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.dva().average() - eadGround.dva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.fva().average() - eadGround.fva().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.fda().average() - eadGround.fda().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.fca().average() - eadGround.fca().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.fba().average() - eadGround.fba().average(), 3, 1, 10000.) + " | " +
FormatUtil.FormatDouble (eadExpanded.sfva().average() - eadGround.sfva().average(), 3, 1, 10000.) + " ||"
);
System.out.println (
"\t||-----------------------------------------------------------------------------------------------------------------------------------||"
);
}
private static final void BaselAccountingMetrics (
final String strHeader,
final ExposureAdjustmentAggregator cpgaGround,
final ExposureAdjustmentAggregator cpgaExpanded)
throws Exception
{
OTCAccountingModus oasFCAFBA = new OTCAccountingModusFCAFBA (cpgaGround);
OTCAccountingModus oasFVAFDA = new OTCAccountingModusFVAFDA (cpgaGround);
OTCAccountingPolicy oapFCAFBA = oasFCAFBA.feePolicy (cpgaExpanded);
OTCAccountingPolicy oapFVAFDA = oasFVAFDA.feePolicy (cpgaExpanded);
System.out.println();
System.out.println (
"\t||---------------------------------------------------------------------||"
);
System.out.println (strHeader);
System.out.println (
"\t||---------------------------------------------------------------------||"
);
System.out.println (
"\t|| L -> R: ||"
);
System.out.println (
"\t|| - Accounting Type (FCA/FBA vs. FVA/FDA) ||"
);
System.out.println (
"\t|| - Contra Asset Adjustment ||"
);
System.out.println (
"\t|| - Contra Liability Adjustment ||"
);
System.out.println (
"\t|| - FTP (Funding Transfer Pricing) (bp) ||"
);
System.out.println (
"\t|| - CET1 (Common Equity Tier I) Change (bp) ||"
);
System.out.println (
"\t|| - CL (Contra Liability) Change (bp) ||"
);
System.out.println (
"\t|| - PFV (Porfolio Value) Change (Income) (bp) ||"
);
System.out.println (
"\t||---------------------------------------------------------------------||"
);
System.out.println ("\t|| FCA/FBA Accounting => " +
FormatUtil.FormatDouble (oasFCAFBA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (oasFCAFBA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (oapFCAFBA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFCAFBA.cet1Change(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFCAFBA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFCAFBA.portfolioValueChange(), 3, 0, 10000.) + " || "
);
System.out.println ("\t|| FVA/FDA Accounting => " +
FormatUtil.FormatDouble (oasFVAFDA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (oasFVAFDA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (oapFVAFDA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFVAFDA.cet1Change(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFVAFDA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
FormatUtil.FormatDouble (oapFVAFDA.portfolioValueChange(), 3, 0, 10000.) + " || "
);
System.out.println (
"\t||---------------------------------------------------------------------||"
);
System.out.println();
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
ExposureAdjustmentAggregator[] aCPGA = Mix (
5.,
0.,
100.,
5.,
0.,
1.
);
ExposureAdjustmentAggregator cpgaGround = aCPGA[0];
ExposureAdjustmentAggregator cpgaExtended = aCPGA[1];
ExposureAdjustmentDigest cpgdGround = cpgaGround.digest();
ExposureAdjustmentDigest cpgdExtended = cpgaExtended.digest();
CPGDDump (
"\t|| GROUND BOOK ADJUSTMENT METRICS ||",
cpgdGround
);
CPGDDump (
"\t|| EXTENDED BOOK ADJUSTMENT METRICS ||",
cpgdExtended
);
CPGDDiffDump (
"\t|| TRADE INCREMENT ADJUSTMENT METRICS (bp) ||",
cpgdGround,
cpgdExtended
);
BaselAccountingMetrics (
"\t|| ALBANESE & ANDERSEN (2015) BCBS OTC ACCOUNTING ||",
cpgaGround,
cpgaExtended
);
EnvManager.TerminateEnv();
}
}