PathVertexForwardState.java

package org.drip.sample.govviemc;

import org.drip.analytics.date.*;
import org.drip.measure.discrete.SequenceGenerator;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.govvie.GovvieCurve;

/*
 * -*- 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>PathVertexForwardState</i> demonstrates the Simulations of the Forward Govvie State at Paths and
 * Vertexes.
 *  
 * <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 PathVertexForwardState {

    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;
        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 iNumTreasury = adblTreasuryYield.length;
        GovvieCurve[] aGC = new GovvieCurve[iNumPath + 1];

        aGC[0] = GovvieCurve (
            dtSpot,
            strTreasuryCode,
            astrTenor,
            adblTreasuryCoupon,
            adblTreasuryYield
        );

        double[] adblWanderer = SequenceGenerator.Gaussian (iNumPath);

        for (int iPath = 0; iPath < iNumPath; ++iPath) {
            double[] adblPathTreasuryYield = new double[iNumTreasury];
            double dblWanderFactor = (1. + dblVolatility * adblWanderer[iPath]);

            for (int iTreasury = 0; iTreasury < iNumTreasury; ++iTreasury)
                adblPathTreasuryYield[iTreasury] = adblTreasuryYield[iTreasury] * dblWanderFactor;

            aGC[iPath + 1] = GovvieCurve (
                dtSpot,
                strTreasuryCode,
                astrTenor,
                adblTreasuryCoupon,
                adblPathTreasuryYield
            );
        }

        for (int iPath = 0; iPath <= iNumPath; ++iPath) {
            String strDump = "\t[" + FormatUtil.FormatDouble (iPath, 3, 0, 1.) + "] => ";

            for (int iTreasury = 0; iTreasury < iNumTreasury; ++iTreasury)
                strDump = strDump + FormatUtil.FormatDouble (aGC[iPath].yield (astrTenor[iTreasury]), 1, 3, 100.) + "% |";

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

        EnvManager.TerminateEnv();
    }
}