PathVertexForwardRealization.java
package org.drip.sample.govviemc;
import java.util.List;
import org.drip.analytics.date.*;
import org.drip.analytics.support.Helper;
import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.*;
import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.measure.realization.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.curve.BasisSplineGovvieYield;
import org.drip.state.govvie.GovvieCurve;
import org.drip.state.nonlinear.FlatForwardGovvieCurve;
/*
* -*- 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>PathVertexForwardRealization</i> demonstrates the Simulations of the Per-Path Forward Vertex Govvie
* Yield Nodes.
*
* <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 PathVertexForwardRealization {
private static final GovvieCurve GovvieCurve (
final JulianDate dtSpot,
final String strCode,
final String[] astrTenor,
final double[] adblCoupon,
final double[] adblYield)
throws Exception
{
JulianDate[] adtMaturity = new JulianDate[astrTenor.length];
JulianDate[] adtEffective = new JulianDate[astrTenor.length];
for (int i = 0; i < astrTenor.length; ++i) {
adtEffective[i] = dtSpot;
adtMaturity[i] = dtSpot.addTenor (astrTenor[i]);
}
return LatentMarketStateBuilder.GovvieCurve (
strCode,
dtSpot,
adtEffective,
adtMaturity,
adblCoupon,
adblYield,
"Yield",
LatentMarketStateBuilder.SHAPE_PRESERVING
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.MARCH,
24
);
int iNumPath = 50;
int iNumVertex = 1;
double dblTimeWidth = 1.0;
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
};
BasisSplineGovvieYield bsgyGround = (BasisSplineGovvieYield) GovvieCurve (
dtSpot,
strTreasuryCode,
astrTenor,
adblTreasuryCoupon,
adblTreasuryYield
);
double[] adblInitialForward = bsgyGround.flatForward (astrTenor).nodeValues();
DiffusionEvolver de = new DiffusionEvolver (
DiffusionEvaluatorLogarithmic.Standard (
0.,
dblVolatility
)
);
int iNumDimension = astrTenor.length;
DiffusionEvolver[] aDE = new DiffusionEvolver[iNumDimension];
double[][] aadblCorrelation = new double[iNumDimension][iNumDimension];
double[][] aadblPathForwardYield = new double[iNumVertex][iNumDimension];
for (int i = 0; i < iNumDimension; ++i) {
aDE[i] = de;
for (int j = 0; j < iNumDimension; ++j)
aadblCorrelation[i][j] = i == j ? 1. : 0.;
}
System.out.println ("\n\t||------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
String strDump = "\t|| TENOR ";
for (int i = 0; i < iNumDimension; ++i)
strDump += " | " + astrTenor[i] + " ";
for (int i = 0; i < iNumDimension; ++i)
strDump += " | " + astrTenor[i] + " ";
System.out.println (strDump + " ||");
strDump = "\t|| " + FormatUtil.FormatDouble (0, 3, 0, 1.) + " => ";
System.out.println ("\t||------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
for (int i = 0; i < iNumDimension; ++i)
strDump += " " + FormatUtil.FormatDouble (adblInitialForward[i], 1, 3, 100.) + "% |";
for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
strDump = strDump + " " + FormatUtil.FormatDouble (bsgyGround.yield (astrTenor[iDimension]), 1, 3, 100.) + "% |";
System.out.println (strDump + "|");
CorrelatedPathVertexDimension cpvd = new CorrelatedPathVertexDimension (
new RandomNumberGenerator(),
aadblCorrelation,
iNumVertex,
iNumPath,
false,
null
);
VertexRd[] aVertexRd = cpvd.multiPathVertexRd();
for (int iPath = 0; iPath < iNumPath; ++iPath) {
List<double[]> lsVertexRd = aVertexRd[iPath].vertexList();
JumpDiffusionEdgeUnit[][] aaUR = new JumpDiffusionEdgeUnit[iNumDimension][iNumVertex];
JumpDiffusionVertex[][] aaJDV = new JumpDiffusionVertex[iNumDimension][iNumVertex + 1];
for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
double[] adblRd = lsVertexRd.get (iTimeVertex);
for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
aaUR[iDimension][iTimeVertex] = new JumpDiffusionEdgeUnit (
dblTimeWidth,
adblRd[iDimension],
0.
);
}
for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
aaJDV[iDimension] = aDE[iDimension].vertexSequence (
new JumpDiffusionVertex (
0.,
adblInitialForward[iDimension],
0.,
false
),
aaUR[iDimension],
dblTimeWidth
);
for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
strDump = "\t|| " + FormatUtil.FormatDouble (iTimeVertex + 1, 3, 0, 1.) + " => ";
for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
strDump = strDump + " " + FormatUtil.FormatDouble (
aadblPathForwardYield[iTimeVertex][iDimension] = aaJDV[iDimension][iTimeVertex].value(), 1, 3, 100.
) + "% |";
JulianDate dtEvent = dtSpot.addYears (iTimeVertex + 1);
FlatForwardGovvieCurve ffgc = new FlatForwardGovvieCurve (
dtEvent.julian(),
strTreasuryCode,
bsgyGround.currency(),
Helper.TenorToDate (
dtEvent,
astrTenor
),
aadblPathForwardYield[iTimeVertex]
);
for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
strDump = strDump + " " + FormatUtil.FormatDouble (ffgc.yield (astrTenor[iDimension]), 1, 3, 100.) + "% |";
System.out.println (strDump + "|");
}
}
System.out.println ("\t||------------------------------------------------------------------------------------------------------------------------------------------------------------------------||\n");
EnvManager.TerminateEnv();
}
}