OTCPayerCSAClassicalPlus.java

package org.drip.sample.mporfixfloatxva;

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.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.measure.statistics.UnivariateDiscreteThin;
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;
import org.drip.xva.gross.BaselExposureDigest;
import org.drip.xva.gross.ExposureAdjustmentAggregator;
import org.drip.xva.gross.ExposureAdjustmentDigest;
import org.drip.xva.gross.MonoPathExposureAdjustment;
import org.drip.xva.gross.PathExposureAdjustment;
import org.drip.xva.hypothecation.CollateralGroupVertex;
import org.drip.xva.netting.CollateralGroupPath;
import org.drip.xva.netting.CreditDebtGroupPath;
import org.drip.xva.netting.FundingGroupPath;
import org.drip.xva.settings.StandardizedExposureGeneratorScheme;
import org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath;
import org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath;
import org.drip.xva.vertex.AlbaneseAndersen;

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

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  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.
 */

/**
 * OTCPayerCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a
 *  Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017). The References
 *  are:
 *  
 *  - Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk,
 *      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737, eSSRN.
 *  
 *  - Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin,
 *      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156, eSSRN.
 *  
 *  - Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
 *      Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955.
 *  
 *  - Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting, eSSRN,
 *      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011.
 * 
 *  - Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing, Risk
 *      21 (2) 97-102.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class OTCPayerCSAClassicalPlus
{

    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
            )
        );
    }

    private static final void DisplayThinStatistics (
        final String annotation,
        final UnivariateDiscreteThin univariateDiscreteThin)
        throws Exception
    {
        System.out.println (
            annotation + " => " +
            FormatUtil.FormatDouble (univariateDiscreteThin.average(), 3, 0, 1.) + " | " +
            FormatUtil.FormatDouble (univariateDiscreteThin.minimum(), 3, 0, 1.) + " | " +
            FormatUtil.FormatDouble (univariateDiscreteThin.maximum(), 3, 0, 1.) + " | " +
            FormatUtil.FormatDouble (univariateDiscreteThin.error(), 3, 0, 1.) + " ||"
        );
    }

    private static final void DisplayBaselMeasures (
        final BaselExposureDigest baselExposureDigest)
        throws Exception
    {
        System.out.println (
            "\t| Expected Exposure                    => " +
            FormatUtil.FormatDouble (baselExposureDigest.expectedExposure(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| Expected Positive Exposure           => " +
            FormatUtil.FormatDouble (baselExposureDigest.expectedPositiveExposure(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| Effective Expected Exposure          => " +
            FormatUtil.FormatDouble (baselExposureDigest.effectiveExpectedExposure(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| Effective Expected Positive Exposure => " +
            FormatUtil.FormatDouble (baselExposureDigest.effectiveExpectedPositiveExposure(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| Exposure At Default                  => " +
            FormatUtil.FormatDouble (baselExposureDigest.exposureAtDefault(), 6, 0, 1.) + " ||"
        );
    }

    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 + 0;
        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 = -10.e+06;

        double eadMultiplier = 1.;

        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,
            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.ClassicalPlus();

        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];
        PathExposureAdjustment[] pathExposureAdjustmentArray = new PathExposureAdjustment[pathCount];

        for (int exposurePeriodIndex = 0; exposurePeriodIndex <= exposurePeriodCount; ++exposurePeriodIndex)
        {
            exposureDateArray[exposurePeriodIndex] = 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 variationMarginTradeTrajectoryEstimator =
                PathVariationMarginTrajectoryEstimator.Standard (
                    exposureDateArray,
                    currency,
                    fixFloatMPoR,
                    marketPath,
                    andersenPykhtinSokolLag
                );

            Map<Integer, VariationMarginTradeVertexExposure> mapMarginTradeFlowEntry =
                variationMarginTradeTrajectoryEstimator.trajectory();

            CollateralGroupVertex[] collateralGroupVertexArray = new
                CollateralGroupVertex[exposurePeriodCount + 1];

            for (int exposurePeriodIndex = 0; exposurePeriodIndex <= exposurePeriodCount; ++exposurePeriodIndex)
            {
                VariationMarginTradeVertexExposure variationMarginTradeVertexExposure =
                    mapMarginTradeFlowEntry.get (exposureDateArray[exposurePeriodIndex]);

                collateralGroupVertexArray[exposurePeriodIndex] = new AlbaneseAndersen (
                    new JulianDate (exposureDateArray[exposurePeriodIndex]),
                    variationMarginTradeVertexExposure.variationMarginEstimate(),
                    variationMarginTradeVertexExposure.tradePaymentGap(),
                    variationMarginTradeVertexExposure.variationMarginPosting()
                );
            }

            CollateralGroupPath collateralGroupPath = new CollateralGroupPath (
                collateralGroupVertexArray,
                marketPath
            );

            CreditDebtGroupPath creditDebtGroupPath = new AlbaneseAndersenNettingGroupPath (
                new CollateralGroupPath[] {collateralGroupPath},
                marketPath
            );

            FundingGroupPath fundingGroupPath = new AlbaneseAndersenFundingGroupPath (
                new CreditDebtGroupPath[] {creditDebtGroupPath},
                marketPath
            );

            pathExposureAdjustmentArray[pathIndex] = new MonoPathExposureAdjustment
                (new FundingGroupPath[] {fundingGroupPath});
        }

        ExposureAdjustmentAggregator exposureAdjustmentAggregator = new ExposureAdjustmentAggregator
            (pathExposureAdjustmentArray);

        ExposureAdjustmentDigest exposureAdjustmentDigest = exposureAdjustmentAggregator.digest();

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

        System.out.println ("\t|    OTC FIX FLOAT MPOR XVA METRICS     ||");

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

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

        System.out.println ("\t|    L -> R:                            ||");

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

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

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

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

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

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

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

        DisplayThinStatistics ("\t| UCOLVA  ", exposureAdjustmentDigest.ucolva());

        DisplayThinStatistics ("\t| FTDCOLVA", exposureAdjustmentDigest.ftdcolva());

        DisplayThinStatistics ("\t| UCVA    ", exposureAdjustmentDigest.ucva());

        DisplayThinStatistics ("\t| FTDCVA  ", exposureAdjustmentDigest.ftdcva());

        DisplayThinStatistics ("\t| CVA     ", exposureAdjustmentDigest.cva());

        DisplayThinStatistics ("\t| CVACL   ", exposureAdjustmentDigest.cvacl());

        DisplayThinStatistics ("\t| DVA     ", exposureAdjustmentDigest.dva());

        DisplayThinStatistics ("\t| FVA     ", exposureAdjustmentDigest.fva());

        DisplayThinStatistics ("\t| FDA     ", exposureAdjustmentDigest.fda());

        DisplayThinStatistics ("\t| DVA2    ", exposureAdjustmentDigest.dva2());

        DisplayThinStatistics ("\t| FCA     ", exposureAdjustmentDigest.fca());

        DisplayThinStatistics ("\t| FBA     ", exposureAdjustmentDigest.fba());

        DisplayThinStatistics ("\t| SFVA    ", exposureAdjustmentDigest.sfva());

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

        DisplayThinStatistics ("\t| Total VA", exposureAdjustmentDigest.totalVA());

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

        System.out.println();

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

        System.out.println ("\t|             BASEL EXPOSURE MEASURES             ||");

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

        DisplayBaselMeasures (exposureAdjustmentAggregator.baselExposureDigest
            (StandardizedExposureGeneratorScheme.Basel (eadMultiplier)));

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

        EnvManager.TerminateEnv();
    }
}