ShortFixedClassicalPlusTimeline.java
package org.drip.sample.mporstream;
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.FixedStreamMPoR;
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.LatentStateLabel;
import org.drip.state.identifier.OTCFixFloatLabel;
import org.drip.state.identifier.OvernightLabel;
/*
* -*- 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.
*/
/**
* ShortFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed
* Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme 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 ShortFixedClassicalPlusTimeline
{
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 OTCFixFloatLabel otcFixFloatLabel,
final List<LatentStateLabel> latentStateLabelList)
throws Exception
{
double otcFixFloatNumeraireDrift = 0.0;
double otcFixFloatNumeraireVolatility = 0.25;
latentStateLabelList.add (otcFixFloatLabel);
LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();
latentStateDynamicsContainer.addOTCFixFloat (
new TerminalLatentState (
otcFixFloatLabel,
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 OTCFixFloatLabel otcFixFloatLabel,
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 (
otcFixFloatLabel,
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 = 380;
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 OTC FIX FLOAT REPLICATOR
};
String fixFloatMaturityTenor = "1Y";
double fixFloatCoupon = 0.03;
double fixFloatNotional = -1.e+06;
OTCFixFloatLabel otcFixFloatLabel = OTCFixFloatLabel.Standard (currency + "-3M-1Y");
List<LatentStateLabel> latentStateLabelList = new ArrayList<LatentStateLabel>();
MarketVertexGenerator marketVertexGenerator = ConstructMarketVertexGenerator (
spotDate,
exposurePeriodTenor,
exposurePeriodCount,
currency,
dealer,
client,
otcFixFloatLabel,
latentStateLabelList
);
LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();
latentStateVertexContainer.add (
otcFixFloatLabel,
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
);
FixedStreamMPoR fixedCouponStream = new FixedStreamMPoR (
fixFloatComponent.referenceStream(),
fixFloatNotional
);
CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
new RandomNumberGenerator(),
correlationMatrix,
exposurePeriodCount,
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,
fixedCouponStream,
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();
}
}