PathDateForwardCurves.java

  1. package org.drip.sample.govviemc;

  3. import org.drip.analytics.date.*;
  4. import org.drip.measure.crng.RandomNumberGenerator;
  5. import org.drip.measure.discrete.CorrelatedPathVertexDimension;
  6. import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
  7. import org.drip.measure.process.DiffusionEvolver;
  8. import org.drip.numerical.common.FormatUtil;
  9. import org.drip.service.env.EnvManager;
  10. import org.drip.state.govvie.GovvieCurve;
  11. import org.drip.state.sequence.*;

  13. /*
  14.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  15.  */

  17. /*!
  18.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  21.  * 
  22.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  23.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  24.  *      credit, commodity, equity, FX, and structured products.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  33.  * 
  34.  *  DROP Analytics Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Asset Backed Analytics
  37.  *  - XVA Analytics
  38.  *  - Exposure and Margin Analytics
  39.  * 
  40.  *  DROP Portfolio Core implements libraries for the following:
  41.  *  - Asset Allocation Analytics
  42.  *  - Transaction Cost Analytics
  43.  * 
  44.  *  DROP Numerical Core implements libraries for the following:
  45.  *  - Statistical Learning
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Algorithm Support
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>PathDateForwardCurves</i> demonstrates the Simulations of the Per-Path Forward Vertex Date Govvie Yield
  80.  * Curves.
  81.  *  
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AnalyticsCore.md">Analytics Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics Library</a></li>
  86.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  87.  *      <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>
  88.  *  </ul>
  89.  * <br><br>
  90.  * 
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class PathDateForwardCurves {

  96.     public static final void main (
  97.         final String[] astrArgs)
  98.         throws Exception
  99.     {
  100.         EnvManager.InitEnv ("");

  102.         JulianDate dtSpot = DateUtil.CreateFromYMD (
  103.             2017,
  104.             DateUtil.MARCH,
  105.             24
  106.         );

  108.         int iNumPath = 50;
  109.         double dblVolatility = 0.10;
  110.         String strTreasuryCode = "UST";

  112.         String[] astrTenor = new String[] {
  113.             "01Y",
  114.             "02Y",
  115.             "03Y",
  116.             "05Y",
  117.             "07Y",
  118.             "10Y",
  119.             "20Y",
  120.             "30Y"
  121.         };

  123.         double[] adblTreasuryCoupon = new double[] {
  124.             0.0100,
  125.             0.0100,
  126.             0.0125,
  127.             0.0150,
  128.             0.0200,
  129.             0.0225,
  130.             0.0250,
  131.             0.0300
  132.         };

  134.         double[] adblTreasuryYield = new double[] {
  135.             0.0083, //  1Y
  136.             0.0122, //  2Y
  137.             0.0149, //  3Y
  138.             0.0193, //  5Y
  139.             0.0227, //  7Y
  140.             0.0248, // 10Y
  141.             0.0280, // 20Y
  142.             0.0308  // 30Y
  143.         };
  144.         int[] aiEventDate = new int[] {
  145.             DateUtil.CreateFromYMD (2020, 12,  1).julian(),
  146.             DateUtil.CreateFromYMD (2022, 12,  1).julian(),
  147.             DateUtil.CreateFromYMD (2024, 12,  1).julian(),
  148.             DateUtil.CreateFromYMD (2026, 12,  1).julian(),
  149.             DateUtil.CreateFromYMD (2028, 12,  1).julian(),
  150.             DateUtil.CreateFromYMD (2030, 12,  1).julian(),
  151.             DateUtil.CreateFromYMD (2032, 12,  1).julian(),
  152.             DateUtil.CreateFromYMD (2034, 12,  1).julian(),
  153.             DateUtil.CreateFromYMD (2036, 12,  1).julian(),
  154.             DateUtil.CreateFromYMD (2038, 12,  1).julian(),
  155.         };

  157.         int iNumVertex = aiEventDate.length;
  158.         int iNumDimension = astrTenor.length;
  159.         double[][] aadblCorrelation = new double[iNumDimension][iNumDimension];

  161.         for (int i = 0; i < iNumDimension; ++i) {
  162.             for (int j = 0; j < iNumDimension; ++j)
  163.                 aadblCorrelation[i][j] = i == j ? 1. : 0.;
  164.         }

  166.         PathVertexGovvie mcrg = PathVertexGovvie.Standard (
  167.             new GovvieBuilderSettings (
  168.                 dtSpot,
  169.                 strTreasuryCode,
  170.                 astrTenor,
  171.                 adblTreasuryCoupon,
  172.                 adblTreasuryYield
  173.             ),
  174.             new CorrelatedPathVertexDimension (
  175.                 new RandomNumberGenerator(),
  176.                 aadblCorrelation,
  177.                 iNumVertex,
  178.                 iNumPath,
  179.                 false,
  180.                 null
  181.             ),
  182.             new DiffusionEvolver (
  183.                 DiffusionEvaluatorLogarithmic.Standard (
  184.                     0.,
  185.                     dblVolatility
  186.                 )
  187.             )
  188.         );

  190.         GovvieCurve[][] aaGC = mcrg.pathVertex (aiEventDate);

  192.         System.out.println();

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

  196.         String strDump = "\t|| ## |";

  198.         for (int iVertex = 0; iVertex < iNumVertex; ++iVertex)
  199.             strDump = strDump + " " + new JulianDate (aiEventDate[iVertex]) + " |";

  201.         System.out.println (strDump + "|");

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

  205.         for (int iPath = 0; iPath < iNumPath; ++iPath) {
  206.             strDump = "\t||" + FormatUtil.FormatDouble (iPath + 1, 2, 0, 1.) + " |";

  208.             for (int iVertex = 0; iVertex < iNumVertex; ++iVertex)
  209.                 strDump = strDump + "   " + FormatUtil.FormatDouble (aaGC[iPath][iVertex].yield ("5Y"), 1, 3, 100.) + "%   |";

  211.             System.out.println (strDump + "|");
  212.         }

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

  216.         System.out.println();

  218.         EnvManager.TerminateEnv();
  219.     }
  220. }
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