PathDateForwardCurves.java
package org.drip.sample.govviemc;
import org.drip.analytics.date.*;
import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.CorrelatedPathVertexDimension;
import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.state.govvie.GovvieCurve;
import org.drip.state.sequence.*;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* 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 risk, transaction costs, exposure, margin
* calculations, valuation adjustment, and portfolio construction within and across fixed income,
* credit, commodity, equity, FX, and structured products.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
*
* DROP Analytics Core implements libraries for the following:
* - Fixed Income Analytics
* - Asset Backed Analytics
* - XVA Analytics
* - Exposure and Margin Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Transaction Cost Analytics
*
* DROP Numerical Core implements libraries for the following:
* - Statistical Learning
* - Numerical Optimizer
* - Spline Builder
* - Algorithm Support
*
* 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>PathDateForwardCurves</i> demonstrates the Simulations of the Per-Path Forward Vertex Date Govvie Yield
* Curves.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income 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">Sample</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/govviemc/README.md">Govvie Curve Monte Carlo Runs</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class PathDateForwardCurves {
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.MARCH,
24
);
int iNumPath = 50;
double dblVolatility = 0.10;
String strTreasuryCode = "UST";
String[] astrTenor = new String[] {
"01Y",
"02Y",
"03Y",
"05Y",
"07Y",
"10Y",
"20Y",
"30Y"
};
double[] adblTreasuryCoupon = new double[] {
0.0100,
0.0100,
0.0125,
0.0150,
0.0200,
0.0225,
0.0250,
0.0300
};
double[] adblTreasuryYield = new double[] {
0.0083, // 1Y
0.0122, // 2Y
0.0149, // 3Y
0.0193, // 5Y
0.0227, // 7Y
0.0248, // 10Y
0.0280, // 20Y
0.0308 // 30Y
};
int[] aiEventDate = new int[] {
DateUtil.CreateFromYMD (2020, 12, 1).julian(),
DateUtil.CreateFromYMD (2022, 12, 1).julian(),
DateUtil.CreateFromYMD (2024, 12, 1).julian(),
DateUtil.CreateFromYMD (2026, 12, 1).julian(),
DateUtil.CreateFromYMD (2028, 12, 1).julian(),
DateUtil.CreateFromYMD (2030, 12, 1).julian(),
DateUtil.CreateFromYMD (2032, 12, 1).julian(),
DateUtil.CreateFromYMD (2034, 12, 1).julian(),
DateUtil.CreateFromYMD (2036, 12, 1).julian(),
DateUtil.CreateFromYMD (2038, 12, 1).julian(),
};
int iNumVertex = aiEventDate.length;
int iNumDimension = astrTenor.length;
double[][] aadblCorrelation = new double[iNumDimension][iNumDimension];
for (int i = 0; i < iNumDimension; ++i) {
for (int j = 0; j < iNumDimension; ++j)
aadblCorrelation[i][j] = i == j ? 1. : 0.;
}
PathVertexGovvie mcrg = PathVertexGovvie.Standard (
new GovvieBuilderSettings (
dtSpot,
strTreasuryCode,
astrTenor,
adblTreasuryCoupon,
adblTreasuryYield
),
new CorrelatedPathVertexDimension (
new RandomNumberGenerator(),
aadblCorrelation,
iNumVertex,
iNumPath,
false,
null
),
new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
0.,
dblVolatility
)
)
);
GovvieCurve[][] aaGC = mcrg.pathVertex (aiEventDate);
System.out.println();
System.out.println ("\t||------------------------------------------------------------------------------------------------------------------------------------------------||");
String strDump = "\t|| ## |";
for (int iVertex = 0; iVertex < iNumVertex; ++iVertex)
strDump = strDump + " " + new JulianDate (aiEventDate[iVertex]) + " |";
System.out.println (strDump + "|");
System.out.println ("\t||------------------------------------------------------------------------------------------------------------------------------------------------||");
for (int iPath = 0; iPath < iNumPath; ++iPath) {
strDump = "\t||" + FormatUtil.FormatDouble (iPath + 1, 2, 0, 1.) + " |";
for (int iVertex = 0; iVertex < iNumVertex; ++iVertex)
strDump = strDump + " " + FormatUtil.FormatDouble (aaGC[iPath][iVertex].yield ("5Y"), 1, 3, 100.) + "% |";
System.out.println (strDump + "|");
}
System.out.println ("\t||------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println();
EnvManager.TerminateEnv();
}
}