Table4DetailedBlowout.java

  1. package org.drip.sample.helitterman;

  3. import org.drip.numerical.common.FormatUtil;
  4. import org.drip.numerical.linearalgebra.Matrix;
  5. import org.drip.service.env.EnvManager;

  7. /*
  8.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  9.  */

  11. /*!
  12.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin
  18.  *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
  19.  *      credit, commodity, equity, FX, and structured products.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
  28.  * 
  29.  *  DROP Analytics Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Asset Backed Analytics
  32.  *  - XVA Analytics
  33.  *  - Exposure and Margin Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Numerical Core implements libraries for the following:
  40.  *  - Statistical Learning
  41.  *  - Numerical Optimizer
  42.  *  - Spline Builder
  43.  *  - Algorithm Support
  44.  * 
  45.  *  Documentation for DROP is Spread Over:
  46.  * 
  47.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  48.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  49.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  50.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  51.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  52.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  53.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  54.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  55.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  56.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  57.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  58.  * 
  59.  *  Licensed under the Apache License, Version 2.0 (the "License");
  60.  *      you may not use this file except in compliance with the License.
  61.  *   
  62.  *  You may obtain a copy of the License at
  63.  *      http://www.apache.org/licenses/LICENSE-2.0
  64.  *  
  65.  *  Unless required by applicable law or agreed to in writing, software
  66.  *      distributed under the License is distributed on an "AS IS" BASIS,
  67.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  68.  *  
  69.  *  See the License for the specific language governing permissions and
  70.  *      limitations under the License.
  71.  */

  73. /**
  74.  * <i>Table4DetailedBlowout</i> replicates the detailed Steps involved in the Black-Litterman Model Process
  75.  * as illustrated in Table #4 the Following Paper:
  76.  *  
  77.  * <br><br>
  78.  *  <ul>
  79.  *      <li>
  80.  *          He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios,
  81.  *              Goldman Sachs Asset Management
  82.  *      </li>
  83.  *  </ul>
  84.  *  
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/helitterman/README.md">He and Litterman (1999) Reconcilers</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class Table4DetailedBlowout
  98. {

  100.     public static void main (
  101.         final String[] argumentArray)
  102.         throws Exception
  103.     {
  104.         EnvManager.InitEnv ("");

  106.         String[] sovereignArray = new String[]
  107.         {
  108.             "AUS",
  109.             "CAD",
  110.             "FRA",
  111.             "GER",
  112.             "JPN",
  113.             "UK ",
  114.             "USA"
  115.         };
  116.         double[][] inputCorrelationMatrix = new double[][]
  117.         {
  118.             {1.000, 0.488, 0.478, 0.515, 0.439, 0.512, 0.491},
  119.             {0.488, 1.000, 0.664, 0.655, 0.310, 0.608, 0.779},
  120.             {0.478, 0.664, 1.000, 0.861, 0.355, 0.783, 0.668},
  121.             {0.515, 0.655, 0.861, 1.000, 0.354, 0.777, 0.653},
  122.             {0.439, 0.310, 0.355, 0.354, 1.000, 0.405, 0.306},
  123.             {0.512, 0.608, 0.783, 0.777, 0.405, 1.000, 0.652},
  124.             {0.491, 0.779, 0.668, 0.653, 0.306, 0.652, 1.000}
  125.         };
  126.         double[] inputVolatilityArray = new double[]
  127.         {
  128.             0.160,
  129.             0.203,
  130.             0.248,
  131.             0.271,
  132.             0.210,
  133.             0.200,
  134.             0.187
  135.         };
  136.         double[] inputWArray = new double[]
  137.         {
  138.             0.016,
  139.             0.022,
  140.             0.052,
  141.             0.055,
  142.             0.116,
  143.             0.124,
  144.             0.615
  145.         };
  146.         double inputTAU = 0.05;
  147.         double inputDELTA = 2.5;
  148.         double[][] inputPMatrix = new double[][]
  149.         {
  150.             { 0.000,  0.000, -0.295,  1.000,  0.000, -0.705,  0.000}
  151.         };
  152.         double[][] inputOmegaMatrix = new double[][]
  153.         {
  154.             {0.021}
  155.         };
  156.         double[] inputQArray = new double[]
  157.         {
  158.             0.05
  159.         };

  161.         int sovereignCount = sovereignArray.length;
  162.         double[][] sigmaMatrix = new double[sovereignCount][sovereignCount];

  164.         for (int sovereignIndexI = 0; sovereignIndexI < sovereignCount; ++sovereignIndexI)
  165.         {
  166.             for (int sovereignIndexJ = 0; sovereignIndexJ < sovereignCount; ++sovereignIndexJ)
  167.             {
  168.                 sigmaMatrix[sovereignIndexI][sovereignIndexJ] = inputVolatilityArray[sovereignIndexI] *
  169.                     inputVolatilityArray[sovereignIndexJ] *
  170.                     inputCorrelationMatrix[sovereignIndexI][sovereignIndexJ];
  171.             }
  172.         }

  174.         double[] piArray = Matrix.Product (
  175.             sigmaMatrix,
  176.             inputWArray
  177.         );

  179.         for (int sovereignIndex = 0; sovereignIndex < sovereignCount; ++sovereignIndex)
  180.         {
  181.             piArray[sovereignIndex] *= inputDELTA;
  182.         }

  184.         System.out.println();

  186.         for (int sovereignIndex = 0; sovereignIndex < sovereignCount; ++sovereignIndex)
  187.         {
  188.             System.out.println (
  189.                 "\t{PI}[" + sovereignArray[sovereignIndex] + "] =>" +
  190.                 FormatUtil.FormatDouble (piArray[sovereignIndex], 1, 1, 100.) + "%"
  191.             );
  192.         }

  194.         System.out.println();

  196.         double[] pDotPIArray = Matrix.Product (
  197.             inputPMatrix,
  198.             piArray
  199.         );

  201.         for (int pDotPIIndex = 0; pDotPIIndex < pDotPIArray.length; ++pDotPIIndex)
  202.         {
  203.             System.out.println (
  204.                 "\t{P.PI}[" + pDotPIIndex + "] =>" +
  205.                 FormatUtil.FormatDouble (pDotPIArray[pDotPIIndex], 1, 6, 1.)
  206.             );
  207.         }

  209.         System.out.println();

  211.         double[] qMinus_PdotPI_Array = new double[inputQArray.length];

  213.         for (int qIndex = 0; qIndex < inputQArray.length; ++qIndex)
  214.         {
  215.             qMinus_PdotPI_Array[qIndex] = inputQArray[qIndex] - pDotPIArray[qIndex];
  216.         }

  218.         for (int qMinus_PdotPI_ArrayIndex = 0;
  219.             qMinus_PdotPI_ArrayIndex < qMinus_PdotPI_Array.length;
  220.             ++qMinus_PdotPI_ArrayIndex)
  221.         {
  222.             System.out.println (
  223.                 "\t{Q-P.PI}[" + qMinus_PdotPI_ArrayIndex + "] =>" +
  224.                 FormatUtil.FormatDouble (qMinus_PdotPI_Array[qMinus_PdotPI_ArrayIndex], 1, 6, 1.)
  225.             );
  226.         }

  228.         System.out.println();

  230.         double[][] pTransposeMatrix = Matrix.Transpose (
  231.             inputPMatrix
  232.         );

  234.         double[][] sigmaDot_PTranspose_Matrix = Matrix.Product (
  235.             sigmaMatrix,
  236.             pTransposeMatrix
  237.         );

  239.         for (int sigmaDot_PTranspose_MatrixRowIndex = 0;
  240.             sigmaDot_PTranspose_MatrixRowIndex < sigmaDot_PTranspose_Matrix.length;
  241.             ++sigmaDot_PTranspose_MatrixRowIndex)
  242.         {
  243.             for (int sigmaDot_PTranspose_MatrixColumnIndex = 0;
  244.                 sigmaDot_PTranspose_MatrixColumnIndex < sigmaDot_PTranspose_Matrix[0].length;
  245.                 ++sigmaDot_PTranspose_MatrixColumnIndex)
  246.             {
  247.                 System.out.println (
  248.                     "\t{SIGMA.PTRANSPOSE}[" + sigmaDot_PTranspose_MatrixRowIndex + "][" + sigmaDot_PTranspose_MatrixColumnIndex + "] =>" +
  249.                     FormatUtil.FormatDouble (sigmaDot_PTranspose_Matrix[sigmaDot_PTranspose_MatrixRowIndex][sigmaDot_PTranspose_MatrixColumnIndex], 1, 6, 1.)
  250.                 );
  251.             }
  252.         }

  254.         System.out.println();

  256.         double[][] pDotSIGMAdot_PTranspose_Matrix = Matrix.Product (
  257.             inputPMatrix,
  258.             sigmaDot_PTranspose_Matrix
  259.         );

  261.         for (int pDotSIGMAdot_PTranspose_MatrixRowIndex = 0;
  262.             pDotSIGMAdot_PTranspose_MatrixRowIndex < pDotSIGMAdot_PTranspose_Matrix.length;
  263.             ++pDotSIGMAdot_PTranspose_MatrixRowIndex)
  264.         {
  265.             for (int pDotSIGMAdot_PTranspose_MatrixColumnIndex = 0;
  266.                 pDotSIGMAdot_PTranspose_MatrixColumnIndex < pDotSIGMAdot_PTranspose_Matrix[0].length;
  267.                 ++pDotSIGMAdot_PTranspose_MatrixColumnIndex)
  268.             {
  269.                 System.out.println (
  270.                     "\t{P.SIGMA.PTRANSPOSE}[" + pDotSIGMAdot_PTranspose_MatrixRowIndex + "][" + pDotSIGMAdot_PTranspose_MatrixColumnIndex + "] =>" +
  271.                     FormatUtil.FormatDouble (pDotSIGMAdot_PTranspose_Matrix[pDotSIGMAdot_PTranspose_MatrixRowIndex][pDotSIGMAdot_PTranspose_MatrixColumnIndex], 1, 6, 1.)
  272.                 );
  273.             }
  274.         }

  276.         System.out.println();

  278.         double[][] pDotSIGMAdot_PTranspose_PlusOMEGAMatrix =
  279.             new double[pDotSIGMAdot_PTranspose_Matrix.length][pDotSIGMAdot_PTranspose_Matrix[0].length];

  281.         for (int pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex = 0;
  282.             pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex < pDotSIGMAdot_PTranspose_PlusOMEGAMatrix.length;
  283.             ++pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex)
  284.         {
  285.             for (int pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex = 0;
  286.                 pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex <
  287.                     pDotSIGMAdot_PTranspose_PlusOMEGAMatrix[0].length;
  288.                 ++pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex)
  289.             {
  290.                 pDotSIGMAdot_PTranspose_PlusOMEGAMatrix[pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex][pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex] =
  291.                     pDotSIGMAdot_PTranspose_Matrix[pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex][pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex] +
  292.                     inputOmegaMatrix[pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex][pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex];

  294.                 System.out.println (
  295.                     "\t{P.SIGMA.PTRANSPOSE+OMEGA}[" + pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex + "][" + pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex + "] =>" +
  296.                     FormatUtil.FormatDouble (
  297.                         pDotSIGMAdot_PTranspose_PlusOMEGAMatrix[pDotSIGMAdot_PTranspose_PlusOMEGAMatrixRowIndex][pDotSIGMAdot_PTranspose_PlusOMEGAMatrixColumnIndex],
  298.                         1, 6, 1.
  299.                     )
  300.                 );
  301.             }
  302.         }

  304.         System.out.println();

  306.         double[][] $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix = Matrix.InvertUsingGaussianElimination (
  307.             pDotSIGMAdot_PTranspose_PlusOMEGAMatrix
  308.         );

  310.         for (int $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixRowIndex = 0;
  311.             $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixRowIndex <
  312.                 $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix.length;
  313.             ++$PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixRowIndex)
  314.         {
  315.             for (int $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixColumnIndex = 0;
  316.                 $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixColumnIndex <
  317.                     $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix[0].length;
  318.                 ++$PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixColumnIndex)
  319.             {
  320.                 System.out.println (
  321.                     "\t{P.SIGMA.PTRANSPOSE+OMEGA}^(-1)[" + $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixRowIndex + "][" + $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixColumnIndex + "] =>" +
  322.                     FormatUtil.FormatDouble ($PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix[$PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixRowIndex][$PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrixColumnIndex], 1, 6, 1.)
  323.                 );
  324.             }
  325.         }

  327.         System.out.println();

  329.         double[] __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__Array = Matrix.Product (
  330.             $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix,
  331.             qMinus_PdotPI_Array
  332.         );

  334.         for (int __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__ArrayIndex = 0;
  335.             __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__ArrayIndex <
  336.                 __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__Array.length;
  337.             ++__$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__ArrayIndex)
  338.         {
  339.             System.out.println (
  340.                 "\t{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{Q-P.PI}[" + __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__ArrayIndex + "] =>" +
  341.                 FormatUtil.FormatDouble (__$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__Array[__$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__ArrayIndex], 1, 6, 1.)
  342.             );
  343.         }

  345.         System.out.println();

  347.         double[] sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__Array
  348.             = Matrix.Product (
  349.                 sigmaDot_PTranspose_Matrix,
  350.                 __$PDotSIGMADot_PTranspose_plusOMEGA$Inverse__Dot_QMinus__PDotPI__Array
  351.             );

  353.         for (int sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__ArrayIndex = 0;
  354.             sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__ArrayIndex <
  355.                 sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__Array.length;
  356.             ++sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__ArrayIndex)
  357.         {
  358.             System.out.println (
  359.                 "\t{SIGMA.PTRANSPOSE}{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{Q-P.PI}[" + sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__ArrayIndex + "] =>" +
  360.                 FormatUtil.FormatDouble (sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__Array[sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__ArrayIndex], 1, 6, 1.)
  361.             );
  362.         }

  364.         System.out.println();

  366.         double[] piHatArray = new double[piArray.length];

  368.         for (int piHatArrayIndex = 0; piHatArrayIndex < piHatArray.length; ++piHatArrayIndex)
  369.         {
  370.             piHatArray[piHatArrayIndex] = piArray[piHatArrayIndex] +
  371.                 sigmaDot$PTranspose$__$PDotSIGMADot_PTranspose_PlusOmega$Inverse__Dot_QMinus__PDotPI__Array[piHatArrayIndex];

  373.             System.out.println (
  374.                 "\tPIHAT=PI+{SIGMA.PTRANSPOSE}{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{Q-P.PI}[" + piHatArrayIndex + "] =>" +
  375.                 FormatUtil.FormatDouble (piHatArray[piHatArrayIndex], 1, 1, 100.) + "%"
  376.             );
  377.         }

  379.         System.out.println();

  381.         double[][] pDotSigmaMatrix = Matrix.Product (
  382.             inputPMatrix,
  383.             sigmaMatrix
  384.         );

  386.         for (int pDotSigmaMatrixRowIndex = 0;
  387.             pDotSigmaMatrixRowIndex < pDotSigmaMatrix.length;
  388.             ++pDotSigmaMatrixRowIndex)
  389.         {
  390.             for (int pDotSigmaMatrixColumnIndex = 0;
  391.                 pDotSigmaMatrixColumnIndex < pDotSigmaMatrix[0].length;
  392.                 ++pDotSigmaMatrixColumnIndex)
  393.             {
  394.                 System.out.println (
  395.                     "\tP.SIGMA[" + pDotSigmaMatrixRowIndex + "][" + pDotSigmaMatrixColumnIndex + "] =>" +
  396.                     FormatUtil.FormatDouble (pDotSigmaMatrix[pDotSigmaMatrixRowIndex][pDotSigmaMatrixColumnIndex], 1, 6, 1.)
  397.                 );
  398.             }
  399.         }

  401.         System.out.println();

  403.         double[][] __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix = Matrix.Product (
  404.             $PDotSIGMAdot_PTranspose_PlusOMEGA$InverseMatrix,
  405.             pDotSigmaMatrix
  406.         );

  408.         for (int __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex = 0;
  409.             __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex <
  410.                 __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix.length;
  411.             ++__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex)
  412.         {
  413.             for (int __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex = 0;
  414.                 __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex <
  415.                     __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[0].length;
  416.                 ++__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex)
  417.             {
  418.                 System.out.println (
  419.                     "\t{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA}[" + __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex + "][" + __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex + "] =>" +
  420.                     FormatUtil.FormatDouble (__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex][__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex], 1, 6, 1.)
  421.                 );
  422.             }
  423.         }

  425.         System.out.println();

  427.         double[][] sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrix =
  428.             Matrix.Product (
  429.                 sigmaDot_PTranspose_Matrix,
  430.                 __$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix
  431.             );

  433.         for (int sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixRowIndex = 0;
  434.             sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixRowIndex <
  435.                 sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrix.length;
  436.             ++sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixRowIndex)
  437.         {
  438.             for (int sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixColumnIndex = 0;
  439.                 sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixColumnIndex <
  440.                     sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrix[0].length;
  441.                 ++sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixColumnIndex)
  442.             {
  443.                 System.out.println (
  444.                     "\t{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA}[" + sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixRowIndex + "][" + sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixColumnIndex + "] =>" +
  445.                     FormatUtil.FormatDouble (
  446.                         sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrix[sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixRowIndex][sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrixColumnIndex],
  447.                         1, 6, 1.
  448.                     )
  449.                 );
  450.             }
  451.         }

  453.         System.out.println();

  455.         double[][]
  456.             sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix
  457.                 = new double[sovereignCount][sovereignCount];

  459.         for (int sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex = 0;
  460.             sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex <
  461.                 sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix.length;
  462.             ++sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex)
  463.         {
  464.             for (int sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex = 0;
  465.                 sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex <
  466.                     sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[0].length;
  467.                 ++sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex)
  468.             {
  469.                 sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex][sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex] =
  470.                     sigmaMatrix[sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex][sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex] -
  471.                     sigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmegaPDotSigmaMatrix[sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex][sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex];

  473.                 System.out.println (
  474.                     "\tSIGMA-{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA}[" + sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex + "][" + sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex + "] =>" +
  475.                     FormatUtil.FormatDouble (sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixRowIndex][sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrixColumnIndex], 1, 6, 1.)
  476.                 );
  477.             }
  478.         }

  480.         System.out.println();

  482.         double[][] tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix =
  483.             new double[sovereignCount][sovereignCount];

  485.         for (int tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex = 0;
  486.             tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex <
  487.                 tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix.length;
  488.             ++tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex)
  489.         {
  490.             for (int tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex = 0;
  491.                 tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex <
  492.                     tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[0].length;
  493.                 ++tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex)
  494.             {
  495.                 tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex] =
  496.                     inputTAU * sigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigmaMatrix[tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex];

  498.                 System.out.println (
  499.                     "\tTAU.(SIGMA-{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA})[" + tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex + "][" + tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex + "] =>" +
  500.                     FormatUtil.FormatDouble (tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex], 1, 6, 1.)
  501.                 );
  502.             }
  503.         }

  505.         System.out.println();

  507.         double[][] sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix =
  508.             new double[sovereignCount][sovereignCount];

  510.         for (int sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex = 0;
  511.                 sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex <
  512.                 sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix.length;
  513.             ++sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex)
  514.         {
  515.             for (int sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex = 0;
  516.                 sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex <
  517.                     sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[0].length;
  518.                 ++sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex)
  519.             {
  520.                 sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex] =
  521.                     sigmaMatrix[sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex] +
  522.                     tauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex];

  524.                 System.out.println (
  525.                     "\tSIGMA+TAU.(SIGMA-{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA})[" + sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex + "][" + sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex + "] =>" +
  526.                     FormatUtil.FormatDouble (sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix[sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixRowIndex][sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$MatrixColumnIndex], 1, 6, 1.)
  527.                 );
  528.             }
  529.         }

  531.         System.out.println();

  533.         double[][] sigmaPInverseMatrix = Matrix.InvertUsingGaussianElimination (
  534.             sigmaPlusTauDot$$SigmaMinusSigmaDot_PTranspose_Dot__$PDotSigmaDot_PTranspose_PlusOmega$Inverse__DotPDotSigma$$Matrix
  535.         );

  537.         for (int sigmaPInverseMatrixRowIndex = 0;
  538.             sigmaPInverseMatrixRowIndex< sigmaPInverseMatrix.length;
  539.             ++sigmaPInverseMatrixRowIndex)
  540.         {
  541.             for (int sigmaPInverseMatrixColumnIndex = 0;
  542.                 sigmaPInverseMatrixColumnIndex < sigmaPInverseMatrix[0].length;
  543.                 ++sigmaPInverseMatrixColumnIndex)
  544.             {
  545.                 System.out.println (
  546.                     "\t[SIGMA+TAU.(SIGMA-{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA})]^(-1)[" + sigmaPInverseMatrixRowIndex + "][" + sigmaPInverseMatrixColumnIndex + "] =>" +
  547.                     FormatUtil.FormatDouble (sigmaPInverseMatrix[sigmaPInverseMatrixRowIndex][sigmaPInverseMatrixColumnIndex], 1, 6, 1.)
  548.                 );
  549.             }
  550.         }

  552.         System.out.println();

  554.         double[] sigmaPInverseDotPiHatArray = Matrix.Product (
  555.             sigmaPInverseMatrix,
  556.             piHatArray
  557.         );

  559.         for (int sigmaPInverseDotPiHatArrayIndex = 0;
  560.             sigmaPInverseDotPiHatArrayIndex < sigmaPInverseDotPiHatArray.length;
  561.             ++sigmaPInverseDotPiHatArrayIndex)
  562.         {
  563.             sigmaPInverseDotPiHatArray[sigmaPInverseDotPiHatArrayIndex] /= inputDELTA;

  565.             System.out.println (
  566.                 "\t[SIGMA+TAU.(SIGMA-{SIGMA.PTRANSPOSE}.{P.SIGMA.PTRANSPOSE+OMEGA}^(-1).{P.SIGMA})]^(-1).PIHAT[" + sigmaPInverseDotPiHatArrayIndex + "] =>" +
  567.                 FormatUtil.FormatDouble (sigmaPInverseDotPiHatArray[sigmaPInverseDotPiHatArrayIndex], 1, 1, 100.) + "%"
  568.             );
  569.         }

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

  573.         System.out.println ("\t|  EQUILIBRIUM   ||");

  575.         System.out.println ("\t|    RETURNS     ||");

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

  579.         for (int piArrayIndex = 0; piArrayIndex < piArray.length; ++piArrayIndex)
  580.         {
  581.             System.out.println (
  582.                 "\t| [" + sovereignArray[piArrayIndex] + "] =>" +
  583.                 FormatUtil.FormatDouble (piArray[piArrayIndex], 2, 1, 100.) + "% ||"
  584.             );
  585.         }

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

  589.         System.out.println ("\t| BLACK LITERMAN ||");

  591.         System.out.println ("\t|    RETURNS     ||");

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

  595.         for (int piArrayIndex = 0; piArrayIndex < piHatArray.length; ++piArrayIndex)
  596.         {
  597.             System.out.println (
  598.                 "\t| [" + sovereignArray[piArrayIndex] + "] =>" +
  599.                 FormatUtil.FormatDouble (piHatArray[piArrayIndex], 2, 1, 100.) + "% ||"
  600.             );
  601.         }

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

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

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

  609.         System.out.println ("\t|   EQUILIBRIUM   ||");

  611.         System.out.println ("\t|   ALLOCATION    ||");

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

  615.         for (int inputWArrayIndex = 0; inputWArrayIndex < inputWArray.length; ++inputWArrayIndex)
  616.         {
  617.             System.out.println (
  618.                 "\t| [" + sovereignArray[inputWArrayIndex] + "] => " +
  619.                 FormatUtil.FormatDouble (inputWArray[inputWArrayIndex] / (1. + inputTAU), 2, 1, 100.) + "% ||"
  620.             );
  621.         }

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

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

  627.         System.out.println ("\t| BLACK LITERMAN  ||");

  629.         System.out.println ("\t|    ALLOCATION   ||");

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

  633.         for (int sigmaPInverseDotPiHatArrayIndex = 0;
  634.             sigmaPInverseDotPiHatArrayIndex < sigmaPInverseDotPiHatArray.length;
  635.             ++sigmaPInverseDotPiHatArrayIndex)
  636.         {
  637.             System.out.println (
  638.                 "\t| [" + sovereignArray[sigmaPInverseDotPiHatArrayIndex] + "] => " +
  639.                 FormatUtil.FormatDouble (sigmaPInverseDotPiHatArray[sigmaPInverseDotPiHatArrayIndex], 2, 1, 100.) + "% ||"
  640.             );
  641.         }

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

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

  647.         System.out.println ("\t|  BLACK LITERMAN  ||");

  649.         System.out.println ("\t| ALLOCATION SHIFT ||");

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

  653.         for (int sigmaPInverseDotPiHatArrayIndex = 0;
  654.             sigmaPInverseDotPiHatArrayIndex < sigmaPInverseDotPiHatArray.length;
  655.             ++sigmaPInverseDotPiHatArrayIndex)
  656.         {
  657.             System.out.println (
  658.                 "\t| [" + sovereignArray[sigmaPInverseDotPiHatArrayIndex] + "] => " +
  659.                 FormatUtil.FormatDouble (sigmaPInverseDotPiHatArray[sigmaPInverseDotPiHatArrayIndex] - (inputWArray[sigmaPInverseDotPiHatArrayIndex] / (1. + inputTAU)), 2, 1, 100.) + "%  ||"
  660.             );
  661.         }

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

  665.         EnvManager.TerminateEnv();
  666.     }
  667. }
Created with JaCoCo 0.7.9.201702052155