RdMultiPathQR.java

package org.drip.sample.rng;

import java.util.List;

import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

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

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 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.
 */

/**
 * RdMultiPathQR illustrates the Generation of the Multi-Path Correlated Random Variables using Quadratic
 *  Re-sampling but without Antithetic Variables.
 *
 * @author Lakshmi Krishnamurthy
 */

public class RdMultiPathQR {

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        int iNumPath = 1;
        int iNumVertex = 50;
        boolean bDebias = false;
        boolean bMeanCenter = false;
        boolean bApplyAntithetic = false;

        double[][] aadblCorrelation = new double[][] {
            {1.000, 0.161, 0.245, 0.352, 0.259, 0.166, 0.003, 0.038, 0.114},    // USD_LIBOR_3M
            {0.161, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // EUR_LIBOR_3M
            {0.245, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // JPY_LIBOR_3M
            {0.352, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // CHF_LIBOR_3M
            {0.259, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000},    // GBP_LIBOR_3M
            {0.166, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000},    // EURUSD
            {0.003, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000},    // JPYUSD
            {0.038, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000},    // CHFUSD
            {0.114, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000},    // GBPUSD
        };

        CorrelatedPathVertexDimension cpvd = new CorrelatedPathVertexDimension (
            new RandomNumberGenerator(),
            aadblCorrelation,
            iNumVertex,
            iNumPath,
            bApplyAntithetic,
            new QuadraticResampler (
                bMeanCenter,
                bDebias
            )
        );

        VertexRd vertexRd = cpvd.multiPathVertexRd()[0];

        List<double[]> lsVertexRd = vertexRd.vertexList();

        System.out.println();

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

        for (int i = 0; i < lsVertexRd.size(); ++i) {
            double[] adblRd = lsVertexRd.get (i);

            String strDump = "\t||" + FormatUtil.FormatDouble (i, 2, 0, 1.) + " => ";

            for (int j = 0; j < adblRd.length; ++j)
                strDump = strDump + FormatUtil.FormatDouble (adblRd[j], 1, 5, 1.) + " |";

            System.out.println (strDump + "|");
        }

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

        System.out.println();
    }
}