CorrelatedRdSequence.java

package org.drip.sample.statistics;

import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.*;
import org.drip.measure.statistics.MultivariateDiscrete;
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.
 */

/**
 * CorrelatedRdSequence demonstrates the Generation of the Statistical Measures for the Input Correlated
 *  Sequence Set created using the Multi-Path Correlated Random Variable Generator without Quadratic
 *  Re-sampling or Antithetic Variables.
 *
 * @author Lakshmi Krishnamurthy
 */

public class CorrelatedRdSequence {

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

        int iNumPath = 1;
        int iNumVertex = 50000;
        boolean bApplyAntithetic = false;

        double[][] aadblCorrelationInput = 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(),
            aadblCorrelationInput,
            iNumVertex,
            iNumPath,
            bApplyAntithetic,
            null
        );

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

        MultivariateDiscrete mds = new MultivariateDiscrete (vertexRd.flatform());

        double[] adblMeanOutput = mds.mean();

        double[] adblErrorOutput = mds.error();

        double[] adblVarianceOutput = mds.variance();

        double[][] aadblCovarianceOutput = mds.covariance();

        double[][] aadblCorrelationOutput = mds.correlation();

        double[] adblStandardDeviationOutput = mds.standardDeviation();

        System.out.println();

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

        System.out.println ("\t||                R^1 METRICS                ||");

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

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

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

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

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

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

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

        for (int i = 0; i < adblMeanOutput.length; ++i)
            System.out.println ("\t|| " +
                FormatUtil.FormatDouble (adblMeanOutput[i], 1, 5, 1.) + " | " +
                FormatUtil.FormatDouble (adblErrorOutput[i], 1, 5, 1.) + " | " +
                FormatUtil.FormatDouble (adblVarianceOutput[i], 1, 5, 1.) + " | " +
                FormatUtil.FormatDouble (adblStandardDeviationOutput[i], 1, 5, 1.) + " ||"
            );

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

        System.out.println();

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

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

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

        for (int i = 0; i < adblMeanOutput.length; ++i) {
            String strDump = "\t|| ";

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

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

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

        System.out.println();

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

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

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

        for (int i = 0; i < adblMeanOutput.length; ++i) {
            String strDump = "\t|| ";

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

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

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

        System.out.println();

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

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

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

        for (int i = 0; i < adblMeanOutput.length; ++i) {
            String strDump = "\t|| ";

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

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

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

        System.out.println();
    }
}