OTCReceiverAggressiveTimeline.java
- package org.drip.sample.mporfixfloat;
- import java.util.ArrayList;
- import java.util.List;
- import java.util.Map;
- import org.drip.analytics.date.DateUtil;
- import org.drip.analytics.date.JulianDate;
- import org.drip.exposure.csatimeline.AndersenPykhtinSokolLag;
- import org.drip.exposure.csatimeline.LastFlowDates;
- import org.drip.exposure.evolver.EntityDynamicsContainer;
- import org.drip.exposure.evolver.LatentStateDynamicsContainer;
- import org.drip.exposure.evolver.LatentStateVertexContainer;
- import org.drip.exposure.evolver.PrimarySecurity;
- import org.drip.exposure.evolver.PrimarySecurityDynamicsContainer;
- import org.drip.exposure.evolver.TerminalLatentState;
- import org.drip.exposure.generator.FixFloatMPoR;
- import org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator;
- import org.drip.exposure.mpor.VariationMarginTradeVertexExposure;
- import org.drip.exposure.universe.LatentStateWeiner;
- import org.drip.exposure.universe.MarketPath;
- import org.drip.exposure.universe.MarketVertex;
- import org.drip.exposure.universe.MarketVertexGenerator;
- import org.drip.market.otc.FixedFloatSwapConvention;
- import org.drip.market.otc.IBORFixedFloatContainer;
- import org.drip.measure.crng.RandomNumberGenerator;
- import org.drip.measure.discrete.CorrelatedPathVertexDimension;
- import org.drip.measure.dynamics.DiffusionEvaluatorLinear;
- import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
- import org.drip.measure.dynamics.HazardJumpEvaluator;
- import org.drip.measure.process.DiffusionEvolver;
- import org.drip.measure.process.JumpDiffusionEvolver;
- import org.drip.numerical.common.FormatUtil;
- import org.drip.numerical.linearalgebra.Matrix;
- import org.drip.product.rates.FixFloatComponent;
- import org.drip.service.env.EnvManager;
- import org.drip.state.identifier.CSALabel;
- import org.drip.state.identifier.EntityFundingLabel;
- import org.drip.state.identifier.EntityHazardLabel;
- import org.drip.state.identifier.EntityRecoveryLabel;
- import org.drip.state.identifier.ForwardLabel;
- import org.drip.state.identifier.LatentStateLabel;
- import org.drip.state.identifier.OvernightLabel;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- * Copyright (C) 2018 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>OTCReceiverAggressiveTimeline</i> displays the MPoR-related Exposure Metrics Suite for the given OTC
- * Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- * The References are:
- *
- * <br><br>
- * <ul>
- * <li>
- * Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017a): Re-thinking Margin Period of Risk
- * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
- * </li>
- * <li>
- * Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
- * Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
- * <b>eSSRN</b>
- * </li>
- * <li>
- * Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back-testing
- * Framework for Forecasting Initial Margin Requirements
- * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
- * </li>
- * <li>
- * Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
- * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
- * </li>
- * <li>
- * Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
- * <i>Risk</i> <b>21 (2)</b> 97-102
- * </li>
- * </ul>
- *
- * <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/ExposureAnalyticsLibrary.md">Exposure 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/mporfixfloat/README.md">OTC Fix-Float MPoR Estimate</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class OTCReceiverAggressiveTimeline
- {
- private static final FixFloatComponent OTCIRS (
- final JulianDate spotDate,
- final String currency,
- final String maturityTenor,
- final double coupon)
- {
- FixedFloatSwapConvention ffConv = IBORFixedFloatContainer.ConventionFromJurisdiction (
- currency,
- "ALL",
- maturityTenor,
- "MAIN"
- );
- return ffConv.createFixFloatComponent (
- spotDate,
- maturityTenor,
- coupon,
- 0.,
- 1.
- );
- }
- private static final PrimarySecurity OvernightReplicator (
- final String currency,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double overnightReplicatorDrift = 0.0025;
- double overnightReplicatorVolatility = 0.001;
- double overnightReplicatorRepo = 0.0;
- LatentStateLabel overnightLabel = OvernightLabel.Create (currency);
- latentStateLabelList.add (overnightLabel);
- return new PrimarySecurity (
- currency + "_OVERNIGHT",
- overnightLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- overnightReplicatorDrift,
- overnightReplicatorVolatility
- )
- ),
- overnightReplicatorRepo
- );
- }
- private static final PrimarySecurity CSAReplicator (
- final String currency,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double csaReplicatorDrift = 0.01;
- double csaReplicatorVolatility = 0.002;
- double csaReplicatorRepo = 0.005;
- LatentStateLabel csaLabel = CSALabel.ISDA (currency);
- latentStateLabelList.add (csaLabel);
- return new PrimarySecurity (
- currency + "_CSA",
- csaLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- csaReplicatorDrift,
- csaReplicatorVolatility
- )
- ),
- csaReplicatorRepo
- );
- }
- private static final PrimarySecurity DealerSeniorFundingReplicator (
- final String currency,
- final String dealer,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double dealerSeniorFundingReplicatorDrift = 0.03;
- double dealerSeniorFundingReplicatorVolatility = 0.002;
- double dealerSeniorFundingReplicatorRepo = 0.028;
- LatentStateLabel dealerSeniorFundingLabel = EntityFundingLabel.Senior (
- dealer,
- currency
- );
- latentStateLabelList.add (dealerSeniorFundingLabel);
- return new PrimarySecurity (
- dealer + "_" + currency + "_SENIOR_ZERO",
- dealerSeniorFundingLabel,
- new JumpDiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- dealerSeniorFundingReplicatorDrift,
- dealerSeniorFundingReplicatorVolatility
- ),
- HazardJumpEvaluator.Standard (
- 0.3,
- 0.45
- )
- ),
- dealerSeniorFundingReplicatorRepo
- );
- }
- private static final PrimarySecurity DealerSubordinateFundingReplicator (
- final String currency,
- final String dealer,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double dealerSubordinateFundingReplicatorDrift = 0.045;
- double dealerSubordinateFundingReplicatorVolatility = 0.002;
- double dealerSubordinateFundingReplicatorRepo = 0.028;
- LatentStateLabel dealerSubordinateFundingLabel = EntityFundingLabel.Subordinate (
- dealer,
- currency
- );
- latentStateLabelList.add (dealerSubordinateFundingLabel);
- return new PrimarySecurity (
- dealer + "_" + currency + "_SUBORDINATE_ZERO",
- dealerSubordinateFundingLabel,
- new JumpDiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- dealerSubordinateFundingReplicatorDrift,
- dealerSubordinateFundingReplicatorVolatility
- ),
- HazardJumpEvaluator.Standard (
- 0.3,
- 0.25
- )
- ),
- dealerSubordinateFundingReplicatorRepo
- );
- }
- private static final PrimarySecurity ClientFundingReplicator (
- final String currency,
- final String client,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double clientFundingReplicatorDrift = 0.03;
- double clientFundingReplicatorVolatility = 0.003;
- double clientFundingReplicatorRepo = 0.028;
- LatentStateLabel clientFundingLabel = EntityFundingLabel.Senior (
- client,
- currency
- );
- latentStateLabelList.add (clientFundingLabel);
- return new PrimarySecurity (
- client + "_" + currency + "_SENIOR_ZERO",
- clientFundingLabel,
- new JumpDiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- clientFundingReplicatorDrift,
- clientFundingReplicatorVolatility
- ),
- HazardJumpEvaluator.Standard (
- 0.5,
- 0.30
- )
- ),
- clientFundingReplicatorRepo
- );
- }
- private static final TerminalLatentState DealerHazard (
- final String currency,
- final String dealer,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double dealerHazardDrift = 0.0002;
- double dealerHazardVolatility = 0.02;
- LatentStateLabel dealerHazardLabel = EntityHazardLabel.Standard (
- dealer,
- currency
- );
- latentStateLabelList.add (dealerHazardLabel);
- return new TerminalLatentState (
- dealerHazardLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- dealerHazardDrift,
- dealerHazardVolatility
- )
- )
- );
- }
- private static final TerminalLatentState DealerRecovery (
- final String currency,
- final String dealer,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double dealerRecoveryDrift = 0.0002;
- double dealerRecoveryVolatility = 0.02;
- LatentStateLabel dealerRecoveryLabel = EntityRecoveryLabel.Senior (
- dealer,
- currency
- );
- latentStateLabelList.add (dealerRecoveryLabel);
- return new TerminalLatentState (
- dealerRecoveryLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- dealerRecoveryDrift,
- dealerRecoveryVolatility
- )
- )
- );
- }
- private static final TerminalLatentState ClientHazard (
- final String currency,
- final String client,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double clientHazardDrift = 0.0002;
- double clientHazardVolatility = 0.02;
- LatentStateLabel clientHazardLabel = EntityHazardLabel.Standard (
- client,
- currency
- );
- latentStateLabelList.add (clientHazardLabel);
- return new TerminalLatentState (
- clientHazardLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- clientHazardDrift,
- clientHazardVolatility
- )
- )
- );
- }
- private static final TerminalLatentState ClientRecovery (
- final String currency,
- final String client,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double clientRecoveryDrift = 0.0002;
- double clientRecoveryVolatility = 0.02;
- LatentStateLabel clientRecoveryLabel = EntityRecoveryLabel.Senior (
- client,
- currency
- );
- latentStateLabelList.add (clientRecoveryLabel);
- return new TerminalLatentState (
- clientRecoveryLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLogarithmic.Standard (
- clientRecoveryDrift,
- clientRecoveryVolatility
- )
- )
- );
- }
- private static final EntityDynamicsContainer EntityEvolver (
- final String currency,
- final String dealer,
- final String client,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- return new EntityDynamicsContainer (
- DealerHazard (
- currency,
- dealer,
- latentStateLabelList
- ),
- DealerRecovery (
- currency,
- dealer,
- latentStateLabelList
- ),
- null,
- ClientHazard (
- currency,
- client,
- latentStateLabelList
- ),
- ClientRecovery (
- currency,
- client,
- latentStateLabelList
- )
- );
- }
- private static final PrimarySecurityDynamicsContainer PrimarySecurityEvolver (
- final String currency,
- final String dealer,
- final String client,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- return new PrimarySecurityDynamicsContainer (
- null,
- OvernightReplicator (
- currency,
- latentStateLabelList
- ),
- CSAReplicator (
- currency,
- latentStateLabelList
- ),
- DealerSeniorFundingReplicator (
- currency,
- dealer,
- latentStateLabelList
- ),
- DealerSubordinateFundingReplicator (
- currency,
- dealer,
- latentStateLabelList
- ),
- ClientFundingReplicator (
- currency,
- client,
- latentStateLabelList
- )
- );
- }
- private static final LatentStateDynamicsContainer LatentStateEvolver (
- final ForwardLabel forwardLabel,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- double otcFixFloatNumeraireDrift = 0.0;
- double otcFixFloatNumeraireVolatility = 0.25;
- latentStateLabelList.add (forwardLabel);
- LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();
- latentStateDynamicsContainer.addForward (
- new TerminalLatentState (
- forwardLabel,
- new DiffusionEvolver (
- DiffusionEvaluatorLinear.Standard (
- otcFixFloatNumeraireDrift,
- otcFixFloatNumeraireVolatility
- )
- )
- )
- );
- return latentStateDynamicsContainer;
- }
- private static final MarketVertexGenerator ConstructMarketVertexGenerator (
- final JulianDate spotDate,
- final String exposureSamplingTenor,
- final int exposureSamplingNodeCount,
- final String currency,
- final String dealer,
- final String client,
- final ForwardLabel forwardLabel,
- final List<LatentStateLabel> latentStateLabelList)
- throws Exception
- {
- JulianDate terminationDate = spotDate;
- int[] eventVertexArray = new int[exposureSamplingNodeCount];
- for (int i = 0; i < exposureSamplingNodeCount; ++i)
- {
- terminationDate = terminationDate.addTenor (exposureSamplingTenor);
- eventVertexArray[i] = terminationDate.julian();
- }
- return new MarketVertexGenerator (
- spotDate.julian(),
- eventVertexArray,
- EntityEvolver (
- currency,
- dealer,
- client,
- latentStateLabelList
- ),
- PrimarySecurityEvolver (
- currency,
- dealer,
- client,
- latentStateLabelList
- ),
- LatentStateEvolver (
- forwardLabel,
- latentStateLabelList
- )
- );
- }
- public static final void main (
- final String[] args)
- throws Exception
- {
- EnvManager.InitEnv ("");
- JulianDate spotDate = DateUtil.CreateFromYMD (
- 2018,
- DateUtil.APRIL,
- 19
- );
- int pathCount = 1000;
- String exposurePeriodTenor = "1D";
- int exposurePeriodCount = 390;
- int vertexGenerationPeriodCount = exposurePeriodCount + 10;
- String currency = "USD";
- String dealer = "NOM";
- String client = "SSGA";
- double[][] correlationMatrix = new double[][]
- {
- {1.00, 0.00, 0.20, 0.15, 0.05, 0.00, 0.00, 0.00, 0.00, 0.00}, // #0 DEALER HAZARD
- {0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #1 DEALER SENIOR RECOVERY
- {0.20, 0.00, 1.00, 0.13, 0.25, 0.00, 0.00, 0.00, 0.00, 0.00}, // #2 CLIENT HAZARD
- {0.15, 0.00, 0.13, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #3 CLIENT RECOVERY
- {0.05, 0.00, 0.25, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #4 OVERNIGHT REPLICATOR
- {0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00}, // #5 CSA REPLICATOR
- {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00}, // #6 DEALER SENIOR FUNDING REPLICATOR
- {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00}, // #7 DEALER SUBORDINATE FUNDING REPLICATOR
- {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #8 CLIENT FUNDING REPLICATOR
- {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #9 FORWARD NUMERAIRE
- };
- String fixFloatMaturityTenor = "1Y";
- double fixFloatCoupon = 0.02;
- double fixFloatNotional = 1.e+06;
- ForwardLabel forwardLabel = ForwardLabel.Create (
- currency,
- "3M"
- );
- List<LatentStateLabel> latentStateLabelList = new ArrayList<LatentStateLabel>();
- MarketVertexGenerator marketVertexGenerator = ConstructMarketVertexGenerator (
- spotDate,
- exposurePeriodTenor,
- vertexGenerationPeriodCount,
- currency,
- dealer,
- client,
- forwardLabel,
- latentStateLabelList
- );
- LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();
- latentStateVertexContainer.add (
- ForwardLabel.Create (
- currency,
- "3M"
- ),
- 0.02
- );
- MarketVertex initialMarketVertex = MarketVertex.Epochal (
- spotDate,
- 1.000, // dblOvernightNumeraireInitial
- 1.000, // dblCSANumeraire
- 0.015, // dblBankHazardRate
- 0.400, // dblBankRecoveryRate
- 0.015 / (1 - 0.40), // dblBankFundingSpread
- 0.030, // dblCounterPartyHazardRate
- 0.300, // dblCounterPartyRecoveryRate
- 0.030 / (1 - 0.30), // dblCounterPartyFundingSpread
- latentStateVertexContainer
- );
- AndersenPykhtinSokolLag andersenPykhtinSokolLag = AndersenPykhtinSokolLag.Aggressive();
- FixFloatComponent fixFloatComponent = OTCIRS (
- spotDate,
- currency,
- fixFloatMaturityTenor,
- fixFloatCoupon
- );
- FixFloatMPoR fixFloatMPoR = new FixFloatMPoR (
- fixFloatComponent,
- fixFloatNotional
- );
- CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
- new RandomNumberGenerator(),
- correlationMatrix,
- vertexGenerationPeriodCount,
- 1,
- true,
- null
- );
- JulianDate exposureDate = spotDate;
- int[] exposureDateArray = new int[exposurePeriodCount + 1];
- int[] variationMarginGapEndDateArray = new int[exposurePeriodCount + 1];
- int[] variationMarginGapStartDateArray = new int[exposurePeriodCount + 1];
- double[] tradePaymentGapArray = new double[exposurePeriodCount + 1];
- double[] variationMarginGapArray = new double[exposurePeriodCount + 1];
- double[] clientTradePaymentGapArray = new double[exposurePeriodCount + 1];
- double[] collateralizedExposureArray = new double[exposurePeriodCount + 1];
- double[] variationMarginPostingArray = new double[exposurePeriodCount + 1];
- double[] variationMarginEstimateArray = new double[exposurePeriodCount + 1];
- double[] clientDealerTradePaymentGapArray = new double[exposurePeriodCount + 1];
- double[] collateralizedPositiveExposureArray = new double[exposurePeriodCount + 1];
- int[] clientTradePaymentGapEndDateArray = new int[exposurePeriodCount + 1];
- int[] clientTradePaymentGapStartDateArray = new int[exposurePeriodCount + 1];
- int[] clientDealerTradePaymentGapEndDateArray = new int[exposurePeriodCount + 1];
- int[] clientDealerTradePaymentGapStartDateArray = new int[exposurePeriodCount + 1];
- for (int i = 0; i <= exposurePeriodCount; ++i)
- {
- tradePaymentGapArray[i] = 0.;
- variationMarginGapArray[i] = 0.;
- clientTradePaymentGapArray[i] = 0.;
- collateralizedExposureArray[i] = 0.;
- variationMarginPostingArray[i] = 0.;
- variationMarginEstimateArray[i] = 0.;
- clientDealerTradePaymentGapArray[i] = 0.;
- collateralizedPositiveExposureArray[i] = 0.;
- exposureDateArray[i] = exposureDate.julian();
- exposureDate = exposureDate.addTenor (exposurePeriodTenor);
- }
- for (int pathIndex = 0; pathIndex < pathCount; ++pathIndex)
- {
- MarketPath marketPath = new MarketPath (
- marketVertexGenerator.marketVertex (
- initialMarketVertex,
- LatentStateWeiner.FromUnitRandom (
- latentStateLabelList,
- Matrix.Transpose (correlatedPathVertexDimension.straightPathVertexRd().flatform())
- )
- )
- );
- PathVariationMarginTrajectoryEstimator marginTradeFlowTrajectory =
- PathVariationMarginTrajectoryEstimator.Standard (
- exposureDateArray,
- currency,
- fixFloatMPoR,
- marketPath,
- andersenPykhtinSokolLag
- );
- Map<Integer, VariationMarginTradeVertexExposure> mapMarginTradeFlowEntry =
- marginTradeFlowTrajectory.trajectory();
- for (int i = 0; i <= exposurePeriodCount; ++i)
- {
- VariationMarginTradeVertexExposure marginTradeFlowEntry = mapMarginTradeFlowEntry.get (exposureDateArray[i]);
- LastFlowDates lastFlowDates = marginTradeFlowEntry.lastFlowDates();
- tradePaymentGapArray[i] += marginTradeFlowEntry.tradePaymentGap();
- clientTradePaymentGapArray[i] += marginTradeFlowEntry.clientTradePaymentGap();
- clientDealerTradePaymentGapArray[i] += marginTradeFlowEntry.clientDealerTradePaymentGap();
- collateralizedExposureArray[i] += marginTradeFlowEntry.collateralizedExposure();
- collateralizedPositiveExposureArray[i] += marginTradeFlowEntry.collateralizedPositiveExposure();
- variationMarginEstimateArray[i] += marginTradeFlowEntry.variationMarginEstimate();
- variationMarginPostingArray[i] += marginTradeFlowEntry.variationMarginPosting();
- variationMarginGapArray[i] += marginTradeFlowEntry.variationMarginGap();
- variationMarginGapStartDateArray[i] = lastFlowDates.clientVariationMarginPosting().julian();
- variationMarginGapEndDateArray[i] = lastFlowDates.dealerVariationMarginPosting().julian();
- clientTradePaymentGapStartDateArray[i] = lastFlowDates.clientTradePayment().julian();
- clientTradePaymentGapEndDateArray[i] = lastFlowDates.dealerTradePayment().julian();
- clientDealerTradePaymentGapStartDateArray[i] = lastFlowDates.dealerTradePayment().julian();
- clientDealerTradePaymentGapEndDateArray[i] = lastFlowDates.variationMarginPeriodEnd().julian();
- }
- }
- System.out.println();
- System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
- System.out.println ("\t| FIXED STREAM MARGIN/TRADE FLOW EXPOSURES AND DATES ||");
- System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
- System.out.println ("\t| ||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| ||");
- System.out.println ("\t| - Exposure Date ||");
- System.out.println ("\t| - Variation Margin Gap Start Date ||");
- System.out.println ("\t| - Variation Margin Gap End Date ||");
- System.out.println ("\t| - Variation Margin Estimate ||");
- System.out.println ("\t| - Variation Margin Posting ||");
- System.out.println ("\t| - Variation Margin Gap ||");
- System.out.println ("\t| - Client Trade Payment Gap Start Date ||");
- System.out.println ("\t| - Client Trade Payment Gap End Date ||");
- System.out.println ("\t| - Client Trade Payment Gap ||");
- System.out.println ("\t| - Net Trade Payment Gap Start Date ||");
- System.out.println ("\t| - Net Trade Payment Gap End Date ||");
- System.out.println ("\t| - Net Trade Payment Gap ||");
- System.out.println ("\t| - Trade Payment Gap ||");
- System.out.println ("\t| - Exposure ||");
- System.out.println ("\t| - Positive Exposure ||");
- System.out.println ("\t| ||");
- System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
- for (int i = 0; i <= exposurePeriodCount; ++i)
- {
- System.out.println (
- "\t| [" +
- new JulianDate (exposureDateArray[i]) + "] => [" +
- new JulianDate (variationMarginGapStartDateArray[i]) + " -> " +
- new JulianDate (variationMarginGapEndDateArray[i]) + "] | " +
- FormatUtil.FormatDouble (variationMarginEstimateArray[i] / pathCount, 5, 2, 1) + " | " +
- FormatUtil.FormatDouble (variationMarginPostingArray[i] / pathCount, 5, 2, 1) + " | " +
- FormatUtil.FormatDouble (variationMarginGapArray[i] / pathCount, 5, 2, 1) + " | [" +
- new JulianDate (clientTradePaymentGapStartDateArray[i]) + " -> " +
- new JulianDate (clientTradePaymentGapEndDateArray[i]) + "] | " +
- FormatUtil.FormatDouble (clientTradePaymentGapArray[i] / pathCount, 5, 2, 1) + " | [" +
- new JulianDate (clientDealerTradePaymentGapStartDateArray[i]) + " -> " +
- new JulianDate (clientDealerTradePaymentGapEndDateArray[i]) + "] | " +
- FormatUtil.FormatDouble (clientDealerTradePaymentGapArray[i] / pathCount, 5, 2, 1) + " | " +
- FormatUtil.FormatDouble (tradePaymentGapArray[i] / pathCount, 5, 2, 1) + " | " +
- FormatUtil.FormatDouble (collateralizedExposureArray[i] / pathCount, 5, 2, 1) + " | " +
- FormatUtil.FormatDouble (collateralizedPositiveExposureArray[i] / pathCount, 5, 2, 1) + " ||"
- );
- }
- System.out.println ("\t|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||");
- EnvManager.TerminateEnv();
- }
- }