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();
	}
}