CorrelatedRdSequenceQR.java

  1. package org.drip.sample.statistics;

  3. import org.drip.measure.crng.RandomNumberGenerator;
  4. import org.drip.measure.discrete.*;
  5. import org.drip.measure.statistics.MultivariateDiscrete;
  6. import org.drip.numerical.common.FormatUtil;
  7. import org.drip.service.env.EnvManager;

  9. /*
  10.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  11.  */

  13. /*!
  14.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  16.  * 
  17.  *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
  18.  *      libraries targeting analysts and developers
  19.  *      https://lakshmidrip.github.io/DRIP/
  20.  *  
  21.  *  DRIP is composed of four main libraries:
  22.  *  
  23.  *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
  24.  *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
  25.  *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
  26.  *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
  27.  * 
  28.  *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
  29.  *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
  30.  *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
  31.  *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
  32.  *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
  33.  * 
  34.  *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
  35.  *      Incorporator, Holdings Constraint, and Transaction Costs.
  36.  * 
  37.  *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
  38.  * 
  39.  *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
  40.  * 
  41.  *  Licensed under the Apache License, Version 2.0 (the "License");
  42.  *      you may not use this file except in compliance with the License.
  43.  *   
  44.  *  You may obtain a copy of the License at
  45.  *      http://www.apache.org/licenses/LICENSE-2.0
  46.  *  
  47.  *  Unless required by applicable law or agreed to in writing, software
  48.  *      distributed under the License is distributed on an "AS IS" BASIS,
  49.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  50.  *  
  51.  *  See the License for the specific language governing permissions and
  52.  *      limitations under the License.
  53.  */

  55. /**
  56.  * CorrelatedRdSequenceQR demonstrates the Generation of the Statistical Measures for the Input Correlated
  57.  *  Sequence Set created using the Multi-Path Correlated Random Variable Generator using Quadratic
  58.  *  Re-sampling but without Antithetic Variables.
  59.  *
  60.  * @author Lakshmi Krishnamurthy
  61.  */

  63. public class CorrelatedRdSequenceQR {

  65.     public static final void main (
  66.         final String[] astrArgs)
  67.         throws Exception
  68.     {
  69.         EnvManager.InitEnv ("");

  71.         int iNumPath = 1;
  72.         int iNumVertex = 50000;
  73.         boolean bDebias = false;
  74.         boolean bMeanCenter = false;
  75.         boolean bApplyAntithetic = false;

  77.         double[][] aadblCorrelationInput = new double[][] {
  78.             {1.000, 0.161, 0.245, 0.352, 0.259, 0.166, 0.003, 0.038, 0.114},    // USD_LIBOR_3M
  79.             {0.161, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // EUR_LIBOR_3M
  80.             {0.245, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // JPY_LIBOR_3M
  81.             {0.352, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000, 0.000},    // CHF_LIBOR_3M
  82.             {0.259, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000, 0.000},    // GBP_LIBOR_3M
  83.             {0.166, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000, 0.000},    // EURUSD
  84.             {0.003, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000, 0.000},    // JPYUSD
  85.             {0.038, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000, 0.000},    // CHFUSD
  86.             {0.114, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 1.000},    // GBPUSD
  87.         };

  89.         CorrelatedPathVertexDimension cpvd = new CorrelatedPathVertexDimension (
  90.             new RandomNumberGenerator(),
  91.             aadblCorrelationInput,
  92.             iNumVertex,
  93.             iNumPath,
  94.             bApplyAntithetic,
  95.             new QuadraticResampler (
  96.                 bMeanCenter,
  97.                 bDebias
  98.             )
  99.         );

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

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

  105.         double[] adblMeanOutput = mds.mean();

  107.         double[] adblErrorOutput = mds.error();

  109.         double[] adblVarianceOutput = mds.variance();

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

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

  115.         double[] adblStandardDeviationOutput = mds.standardDeviation();

  117.         System.out.println();

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

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

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

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

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

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

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

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

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

  137.         for (int i = 0; i < adblMeanOutput.length; ++i)
  138.             System.out.println ("\t|| " +
  139.                 FormatUtil.FormatDouble (adblMeanOutput[i], 1, 5, 1.) + " | " +
  140.                 FormatUtil.FormatDouble (adblErrorOutput[i], 1, 5, 1.) + " | " +
  141.                 FormatUtil.FormatDouble (adblVarianceOutput[i], 1, 5, 1.) + " | " +
  142.                 FormatUtil.FormatDouble (adblStandardDeviationOutput[i], 1, 5, 1.) + " ||"
  143.             );

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

  147.         System.out.println();

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

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

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

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

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

  161.             System.out.println (strDump + "|");
  162.         }

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

  166.         System.out.println();

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

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

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

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

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

  180.             System.out.println (strDump + "|");
  181.         }

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

  185.         System.out.println();

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

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

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

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

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

  199.             System.out.println (strDump + "|");
  200.         }

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

  204.         System.out.println();
  205.     }
  206. }
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