CommodityParameters21.java

package org.drip.sample.simmsettings;

import java.util.List;
import java.util.Set;

import org.drip.measure.stochastic.LabelCorrelation;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.simm.commodity.CTBucket;
import org.drip.simm.commodity.CTSettingsContainer21;
import org.drip.simm.commodity.CTSystemics21;

/*
 * -*- 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.
 */

/**
 * CommodityParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency
 *  Commodity Bucket Risk Weights, Correlations, and Systemics. The References are:
 *  
 *  - 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., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
 *      Calculations, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488, eSSRN.
 *  
 *  - 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, eSSRN.
 *  
 *  - Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements
 *      - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167, eSSRN.
 *  
 *  - International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology,
 *      https://www.isda.org/a/oFiDE/isda-simm-v2.pdf.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CommodityParameters21
{

    private static final void RiskWeights()
    {
        Set<Integer> bucketIndexSet = CTSettingsContainer21.BucketSet();

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

        System.out.println
            ("\t||                                    2.1 COMMODITY BUCKETS RISK WEIGHT                                        ||");

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

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

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

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

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

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

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

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

        for (int bucketIndex : bucketIndexSet)
        {
            CTBucket commodityBucket = CTSettingsContainer21.Bucket (bucketIndex);

            System.out.println (
                "\t||" + FormatUtil.FormatDouble (commodityBucket.number(), 2, 0, 1.) + " | " +
                FormatUtil.FormatDouble (commodityBucket.deltaRiskWeight(), 3, 0, 1.) + " | " +
                FormatUtil.FormatDouble (commodityBucket.memberCorrelation(), 2, 1, 100.) + "% | " +
                commodityBucket.entity()
            );
        }

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

        System.out.println();
    }

    private static final void Systemics()
    {
        System.out.println ("\t||----------------------------------------------------------------||");

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

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

        System.out.println (
            "\t|| Historical Volatility Ratio                         => " +
            FormatUtil.FormatDouble (
                CTSystemics21.HISTORICAL_VOLATILITY_RATIO, 3, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Vega Risk Weight                                    => " +
            FormatUtil.FormatDouble (
                CTSystemics21.VEGA_RISK_WEIGHT, 3, 2, 1.
            ) + " ||"
        );

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

        System.out.println();
    }

    private static final void CrossBucketCorrelation()
        throws Exception
    {
        LabelCorrelation crossBucketCorrelation = CTSettingsContainer21.CrossBucketCorrelation();

        List<String> bucketList = crossBucketCorrelation.labelList();

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

        System.out.println
            ("\t||                                               CROSS BUCKET TENOR CORRELATION                                                ||");

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

        String rowDump = "\t||     ";

        for (String tenor : bucketList)
        {
            rowDump = rowDump + "   " + tenor + "  ";
        }

        System.out.println (rowDump + " ||");

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

        for (String innerBucket : bucketList)
        {
            rowDump = "\t|| " + innerBucket + "  ";

            for (String outerBucket : bucketList)
            {
                rowDump = rowDump + " " +
                    FormatUtil.FormatDouble (
                        crossBucketCorrelation.entry (
                            innerBucket,
                            outerBucket
                        ), 3, 0, 100.
                    ) + "% ";
            }

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

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

        System.out.println();
    }

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

        RiskWeights();

        Systemics();

        CrossBucketCorrelation();

        EnvManager.TerminateEnv();
    }
}