InterestRate21.java

package org.drip.sample.simmsettings;

import java.util.List;
import java.util.Map;

import org.drip.measure.stochastic.LabelCorrelation;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.simm.rates.IRSettingsContainer21;
import org.drip.simm.rates.IRSystemics21;
import org.drip.simm.rates.IRWeight;

/*
 * -*- 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.
 */

/**
 * InterestRate21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Interest
 *  Rate Tenor Risk Weights, Systemics, and Correlations. 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 InterestRate21
{

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

        System.out.println ("\t||               2.1 REGULAR VOLATILITY CURRENCY SET and RISK WEIGHTS                ||");

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

        System.out.println (
            "\t|| Currency Set => " +
            IRSettingsContainer21.RegularVolatilityCurrencySet() + " ||"
        );

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

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

        IRWeight usdRiskWeight = IRSettingsContainer21.RiskWeight ("USD");

        String tenorWeightSequence = "\t|| ";

        for (Map.Entry<String, Double> tenorWeightEntry : usdRiskWeight.tenorDelta().entrySet())
        {
            tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
                FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
        }

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

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

        System.out.println();
    }

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

        System.out.println ("\t||                 2.1 LOW VOLATILITY CURRENCY SET and RISK WEIGHTS                  ||");

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

        System.out.println (
            "\t|| Currency Set => " +
            IRSettingsContainer21.LowVolatilityCurrencySet()
        );

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

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

        IRWeight jpyRiskWeight = IRSettingsContainer21.RiskWeight ("JPY");

        String tenorWeightSequence = "\t|| ";

        for (Map.Entry<String, Double> tenorWeightEntry : jpyRiskWeight.tenorDelta().entrySet())
        {
            tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
                FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
        }

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

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

        System.out.println();
    }

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

        System.out.println ("\t||                2.1 HIGH VOLATILITY CURRENCY SET and RISK WEIGHTS                  ||");

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

        System.out.println (
            "\t|| Currency Set => " +
            IRSettingsContainer21.HighVolatilityCurrencySet()
        );

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

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

        IRWeight inrRiskWeight = IRSettingsContainer21.RiskWeight ("INR");

        String tenorWeightSequence = "\t|| ";

        for (Map.Entry<String, Double> tenorWeightEntry : inrRiskWeight.tenorDelta().entrySet())
        {
            tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
                FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
        }

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

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

        System.out.println();
    }

    private static final void SingleCurrencyTenorCorrelation()
        throws Exception
    {
        LabelCorrelation singleCurveTenorCorrelation = IRSettingsContainer21.SingleCurveTenorCorrelation();

        List<String> tenorList = singleCurveTenorCorrelation.labelList();

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

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

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

        String rowDump = "\t||      ";

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

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

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

        for (String innerTenor : tenorList)
        {
            rowDump = "\t|| " + innerTenor + " ";

            for (String outerTenor : tenorList)
            {
                rowDump = rowDump + " " +
                    FormatUtil.FormatDouble (
                        singleCurveTenorCorrelation.entry (
                            innerTenor,
                            outerTenor
                        ),
                    3, 0, 100.) + "% ";
            }

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

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

        System.out.println();
    }

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

        System.out.println ("\t||                SYSTEMATIC FACTOR RISK WEIGHTS AND CORRELATIONS                ||");

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

        System.out.println (
            "\t|| Single Currency Inflation Risk Weight                               => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Basis Swap Spread Risk Weight                       => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Vega Risk Weight                                    => " +
            FormatUtil.FormatDouble (
                IRSystemics21.VEGA_RISK_WEIGHT, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Cross Curve Correlation                             => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Curve Inflation Correlation                         => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Curve Volatility Inflation Volatility Correlation   => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Curve Basis Swap Spread Correlation                 => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Single Currency Basis Swap Spread Inflation Correlation             => " +
            FormatUtil.FormatDouble (
                IRSystemics21.SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

        System.out.println (
            "\t|| Cross Currency Correlation                                          => " +
            FormatUtil.FormatDouble (
                IRSystemics21.CROSS_CURRENCY_CORRELATION, 2, 2, 1.
            ) + " ||"
        );

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

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

        RegularVolatility();

        LowVolatility();

        HighVolatility();

        SingleCurrencyTenorCorrelation();

        StaticParametersDump();

        EnvManager.TerminateEnv();
    }
}