PathVertexForwardCurves.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>PathVertexForwardCurves</i> demonstrates the Simulations of the Per-Path Forward Vertex 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 PathVertexForwardCurves {

  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.         int iNumVertex = 10;
  110.         double dblTimeWidth = 1.0;
  111.         double dblVolatility = 0.10;
  112.         String strTreasuryCode = "UST";

  114.         String[] astrTenor = new String[] {
  115.             "01Y",
  116.             "02Y",
  117.             "03Y",
  118.             "05Y",
  119.             "07Y",
  120.             "10Y",
  121.             "20Y",
  122.             "30Y"
  123.         };

  125.         double[] adblTreasuryCoupon = new double[] {
  126.             0.0100,
  127.             0.0100,
  128.             0.0125,
  129.             0.0150,
  130.             0.0200,
  131.             0.0225,
  132.             0.0250,
  133.             0.0300
  134.         };

  136.         double[] adblTreasuryYield = new double[] {
  137.             0.0083, //  1Y
  138.             0.0122, //  2Y
  139.             0.0149, //  3Y
  140.             0.0193, //  5Y
  141.             0.0227, //  7Y
  142.             0.0248, // 10Y
  143.             0.0280, // 20Y
  144.             0.0308  // 30Y
  145.         };

  147.         int iNumDimension = astrTenor.length;
  148.         double[][] aadblCorrelation = new double[iNumDimension][iNumDimension];

  150.         for (int i = 0; i < iNumDimension; ++i) {
  151.             for (int j = 0; j < iNumDimension; ++j)
  152.                 aadblCorrelation[i][j] = i == j ? 1. : 0.;
  153.         }

  155.         PathVertexGovvie mcrg = PathVertexGovvie.Standard (
  156.             new GovvieBuilderSettings (
  157.                 dtSpot,
  158.                 strTreasuryCode,
  159.                 astrTenor,
  160.                 adblTreasuryCoupon,
  161.                 adblTreasuryYield
  162.             ),
  163.             new CorrelatedPathVertexDimension (
  164.                 new RandomNumberGenerator(),
  165.                 aadblCorrelation,
  166.                 iNumVertex,
  167.                 iNumPath,
  168.                 false,
  169.                 null
  170.             ),
  171.             new DiffusionEvolver (
  172.                 DiffusionEvaluatorLogarithmic.Standard (
  173.                     0.,
  174.                     dblVolatility
  175.                 )
  176.             )
  177.         );

  179.         GovvieCurve[][] aaGC = mcrg.pathVertex (dblTimeWidth);

  181.         System.out.println();

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

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

  187.         for (int iVertex = 0; iVertex < iNumVertex; ++iVertex)
  188.             strDump = strDump + " " + dtSpot.addYears (iVertex) + " |";

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

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

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

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

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

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

  205.         System.out.println();

  207.         EnvManager.TerminateEnv();
  208.     }
  209. }
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