CollateralizedCollateralPayableStochastic.java

package org.drip.sample.xvabasel;

import org.drip.analytics.date.*;
import org.drip.exposure.evolver.LatentStateVertexContainer;
import org.drip.exposure.mpor.CollateralAmountEstimator;
import org.drip.exposure.universe.*;
import org.drip.measure.bridge.BrokenDateInterpolatorLinearT;
import org.drip.measure.crng.RandomNumberGenerator;
import org.drip.measure.discrete.CorrelatedPathVertexDimension;
import org.drip.measure.dynamics.*;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.measure.realization.*;
import org.drip.measure.statistics.UnivariateDiscreteThin;
import org.drip.numerical.common.FormatUtil;
import org.drip.numerical.linearalgebra.Matrix;
import org.drip.service.env.EnvManager;
import org.drip.state.identifier.OTCFixFloatLabel;
import org.drip.xva.basel.*;
import org.drip.xva.gross.*;
import org.drip.xva.netting.CollateralGroupPath;
import org.drip.xva.proto.*;
import org.drip.xva.settings.*;
import org.drip.xva.strategy.*;
import org.drip.xva.vertex.AlbaneseAndersen;

/*
 * -*- 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.
 */

/**
 * CollateralizedCollateralPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
 *  Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
 *  Schemes. Simulation is carried out under the following Criteria:
 *  
 *    - Collateralization Status - Partially Collateralized
 *    - Aggregation Unit         - Collateral Group
 *    - Added Swap Type          - Positive Upfront Swap (Payable)
 *    - Market Dynamics          - Fully Stochastic (Correlated Market Evolution)
 *  
 *  
 *  The References are:
 *  
 *  - Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk
 *      and Funding Costs, Journal of Credit Risk, 7 (3) 1-19.
 *  
 *  - Burgard, C., and M. Kjaer (2014): In the Balance, Risk, 24 (11) 72-75.
 *  
 *  - Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk, Risk 20 (2) 86-90.
 *  
 *  - Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the
 *      Presence of Counter-party Credit Risk for the Fixed Income Market, World Scientific Publishing,
 *      Singapore.
 * 
 *  - Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing, Risk
 *      21 (2) 97-102.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CollateralizedCollateralPayableStochastic {

    private static final double[] NumeraireValueRealization (
        final DiffusionEvolver deNumeraireValue,
        final double dblNumeraireValueInitial,
        final double dblTime,
        final double dblTimeWidth,
        final double[] adblRandom,
        final int iNumStep)
        throws Exception
    {
        double[] adblNumeraireValue = new double[iNumStep + 1];
        adblNumeraireValue[0] = dblNumeraireValueInitial;
        double[] adblTimeWidth = new double[iNumStep];

        for (int i = 0; i < iNumStep; ++i)
            adblTimeWidth[i] = dblTimeWidth;

        JumpDiffusionEdge[] aJDE = deNumeraireValue.incrementSequence (
            new JumpDiffusionVertex (
                dblTime,
                dblNumeraireValueInitial,
                0.,
                false
            ),
            JumpDiffusionEdgeUnit.Diffusion (
                adblTimeWidth,
                adblRandom
            ),
            dblTimeWidth
        );

        for (int j = 1; j <= iNumStep; ++j)
            adblNumeraireValue[j] = aJDE[j - 1].finish();

        return adblNumeraireValue;
    }

    private static final double[] VertexNumeraireRealization (
        final DiffusionEvolver deNumeraireValue,
        final double dblNumeraireValueInitial,
        final double dblTime,
        final double dblTimeWidth,
        final double[] adblRandom,
        final int iNumStep)
        throws Exception
    {
        double[] adblNumeraireValue = new double[iNumStep + 1];
        double[] adblTimeWidth = new double[iNumStep];

        for (int i = 0; i < iNumStep; ++i)
            adblTimeWidth[i] = dblTimeWidth;

        JumpDiffusionVertex[] aJDV = deNumeraireValue.vertexSequenceReverse (
            new JumpDiffusionVertex (
                dblTime,
                dblNumeraireValueInitial,
                0.,
                false
            ),
            JumpDiffusionEdgeUnit.Diffusion (
                adblTimeWidth,
                adblRandom
            ),
            adblTimeWidth
        );

        for (int j = 0; j <= iNumStep; ++j)
            adblNumeraireValue[j] = aJDV[j].value();

        return adblNumeraireValue;
    }

    private static final double[] ATMSwapRateOffsetRealization (
        final DiffusionEvolver deATMSwapRateOffset,
        final double dblATMSwapRateOffsetInitial,
        final double[] adblRandom,
        final double dblTime,
        final double dblTimeWidth,
        final int iNumStep)
        throws Exception
    {
        double[] adblATMSwapRateOffset = new double[iNumStep + 1];
        adblATMSwapRateOffset[0] = dblATMSwapRateOffsetInitial;
        double[] adblTimeWidth = new double[iNumStep];

        for (int i = 0; i < iNumStep; ++i)
            adblTimeWidth[i] = dblTimeWidth;

        JumpDiffusionEdge[] aJDE = deATMSwapRateOffset.incrementSequence (
            new JumpDiffusionVertex (
                dblTime,
                dblATMSwapRateOffsetInitial,
                0.,
                false
            ),
            JumpDiffusionEdgeUnit.Diffusion (
                adblTimeWidth,
                adblRandom
            ),
            dblTimeWidth
        );

        for (int j = 1; j <= iNumStep; ++j)
            adblATMSwapRateOffset[j] = aJDE[j - 1].finish();

        return adblATMSwapRateOffset;
    }

    private static final double[] SwapPortfolioValueRealization (
        final DiffusionEvolver deATMSwapRate,
        final double dblATMSwapRateStart,
        final double[] adblRandom,
        final int iNumStep,
        final double dblTime,
        final double dblTimeWidth,
        final double dblTimeMaturity,
        final double dblSwapNotional)
        throws Exception
    {
        double[] adblSwapPortfolioValueRealization = new double[iNumStep + 1];
        int iMaturityStep = (int) (dblTimeMaturity / dblTimeWidth);

        for (int i = 0; i < iNumStep; ++i)
            adblSwapPortfolioValueRealization[i] = 0.;

        double[] adblATMSwapRateOffsetRealization = ATMSwapRateOffsetRealization (
            deATMSwapRate,
            dblATMSwapRateStart,
            adblRandom,
            dblTime,
            dblTimeWidth,
            iNumStep
        );

        for (int j = 0; j <= iNumStep; ++j)
            adblSwapPortfolioValueRealization[j] = j > iMaturityStep ? 0. :
                dblSwapNotional * dblTimeWidth * (iMaturityStep - j) * adblATMSwapRateOffsetRealization[j];

        return adblSwapPortfolioValueRealization;
    }

    private static final double[][] Path (
        final double[][] aadblCorrelation,
        final int iNumVertex)
        throws Exception
    {
        CorrelatedPathVertexDimension cpvd = new CorrelatedPathVertexDimension (
            new RandomNumberGenerator(),
            aadblCorrelation,
            iNumVertex,
            1,
            false,
            null
        );

        return cpvd.multiPathVertexRd()[0].flatform();
    }

    private static final ExposureAdjustmentAggregator[] Mix (
        final double dblTimeMaturity1,
        final double dblATMSwapRateOffsetStart1,
        final double dblSwapNotional1,
        final double dblTimeMaturity2,
        final double dblATMSwapRateOffsetStart2,
        final double dblSwapNotional2)
        throws Exception
    {
        int iNumStep = 10;
        int iNumPath = 60000;
        int iNumVertex = 10;
        double dblTime = 5.;
        double dblATMSwapRateOffsetDrift = 0.0;
        double dblATMSwapRateOffsetVolatility = 0.25;
        double dblOvernightNumeraireDrift = 0.004;
        double dblOvernightNumeraireVolatility = 0.02;
        double dblOvernightNumeraireInitial = 1.;
        double dblCSADrift = 0.01;
        double dblCSAVolatility = 0.05;
        double dblCSAInitial = 1.;
        double dblBankHazardRateDrift = 0.002;
        double dblBankHazardRateVolatility = 0.20;
        double dblBankHazardRateInitial = 0.015;
        double dblBankRecoveryRateDrift = 0.002;
        double dblBankRecoveryRateVolatility = 0.02;
        double dblBankRecoveryRateInitial = 0.40;
        double dblCounterPartyHazardRateDrift = 0.002;
        double dblCounterPartyHazardRateVolatility = 0.30;
        double dblCounterPartyHazardRateInitial = 0.030;
        double dblCounterPartyRecoveryRateDrift = 0.002;
        double dblCounterPartyRecoveryRateVolatility = 0.02;
        double dblCounterPartyRecoveryRateInitial = 0.30;
        double dblBankFundingSpreadDrift = 0.00002;
        double dblBankFundingSpreadVolatility = 0.002;
        double dblCounterPartyFundingSpreadDrift = 0.00002;
        double dblCounterPartyFundingSpreadVolatility = 0.002;
        double dblBankThreshold = -0.1;
        double dblCounterPartyThreshold = 0.1;

        double[][] aadblCorrelation = new double[][] {
            {1.00,  0.00,  0.03,  0.07,  0.04,  0.05,  0.08,  0.00,  0.00},  // PORTFOLIO
            {0.00,  1.00,  0.00,  0.00,  0.00,  0.00,  0.00,  0.00,  1.00},  // OVERNIGHT
            {0.03,  0.00,  1.00,  0.26,  0.33,  0.21,  0.35,  0.13,  0.00},  // CSA
            {0.07,  0.00,  0.26,  1.00,  0.45, -0.17,  0.07,  0.77,  0.00},  // BANK HAZARD
            {0.04,  0.00,  0.33,  0.45,  1.00, -0.22, -0.54,  0.58,  0.00},  // COUNTER PARTY HAZARD
            {0.05,  0.00,  0.21, -0.17, -0.22,  1.00,  0.47, -0.23,  0.00},  // BANK RECOVERY
            {0.08,  0.00,  0.35,  0.07, -0.54,  0.47,  1.00,  0.01,  0.00},  // COUNTER PARTY RECOVERY
            {0.00,  0.00,  0.13,  0.77,  0.58, -0.23,  0.01,  1.00,  0.00},  // BANK FUNDING SPREAD
            {0.00,  0.00,  0.00,  0.00,  0.00,  0.00,  0.00,  0.00,  1.00}   // COUNTER PARTY FUNDING SPREAD
        };

        PositionGroupSpecification positionGroupSpecification = PositionGroupSpecification.FixedThreshold (
            "FIXEDTHRESHOLD",
            dblCounterPartyThreshold,
            dblBankThreshold,
            PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
            BrokenDateScheme.LINEAR_TIME,
            0.,
            CloseOutScheme.ISDA_92
        );

        JulianDate dtSpot = DateUtil.Today();

        double dblTimeWidth = dblTime / iNumStep;
        JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
        double[][] aadblPortfolio1Value = new double[iNumPath][iNumStep + 1];
        double[][] aadblPortfolio2Value = new double[iNumPath][iNumStep + 1];
        MonoPathExposureAdjustment[] aMPEAGround = new MonoPathExposureAdjustment[iNumPath];
        MonoPathExposureAdjustment[] aMPEAExtended = new MonoPathExposureAdjustment[iNumPath];
        double dblBankFundingSpreadInitial = dblBankHazardRateInitial / (1. - dblBankRecoveryRateInitial);
        double dblCounterPartyFundingSpreadInitial = dblCounterPartyHazardRateInitial / (1. - dblCounterPartyRecoveryRateInitial);

        DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (
            DiffusionEvaluatorLinear.Standard (
                dblATMSwapRateOffsetDrift,
                dblATMSwapRateOffsetVolatility
            )
        );

        DiffusionEvolver deOvernightNumeraire = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblOvernightNumeraireDrift,
                dblOvernightNumeraireVolatility
            )
        );

        DiffusionEvolver deCSA = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblCSADrift,
                dblCSAVolatility
            )
        );

        DiffusionEvolver deBankHazardRate = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblBankHazardRateDrift,
                dblBankHazardRateVolatility
            )
        );

        DiffusionEvolver deBankRecoveryRate = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblBankRecoveryRateDrift,
                dblBankRecoveryRateVolatility
            )
        );

        DiffusionEvolver deCounterPartyHazardRate = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblCounterPartyHazardRateDrift,
                dblCounterPartyHazardRateVolatility
            )
        );

        DiffusionEvolver deCounterPartyRecoveryRate = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblCounterPartyRecoveryRateDrift,
                dblCounterPartyRecoveryRateVolatility
            )
        );

        DiffusionEvolver deBankFundingSpread = new DiffusionEvolver (
            DiffusionEvaluatorLinear.Standard (
                dblBankFundingSpreadDrift,
                dblBankFundingSpreadVolatility
            )
        );

        DiffusionEvolver deCounterPartyFundingSpread = new DiffusionEvolver (
            DiffusionEvaluatorLinear.Standard (
                dblCounterPartyFundingSpreadDrift,
                dblCounterPartyFundingSpreadVolatility
            )
        );

        for (int i = 0; i < iNumPath; ++i) {
            double[][] aadblNumeraire = Matrix.Transpose (
                Path (
                    aadblCorrelation,
                    iNumVertex
                )
            );

            aadblPortfolio1Value[i] = SwapPortfolioValueRealization (
                deATMSwapRateOffset,
                dblATMSwapRateOffsetStart1,
                aadblNumeraire[0],
                iNumVertex,
                dblTime,
                dblTimeWidth,
                dblTimeMaturity1,
                dblSwapNotional1
            );

            aadblPortfolio2Value[i] = SwapPortfolioValueRealization (
                deATMSwapRateOffset,
                dblATMSwapRateOffsetStart2,
                aadblNumeraire[0],
                iNumVertex,
                dblTime,
                dblTimeWidth,
                dblTimeMaturity2,
                dblSwapNotional2
            );

            double[] adblOvernightNumeraire = VertexNumeraireRealization (
                deOvernightNumeraire,
                dblOvernightNumeraireInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[1],
                iNumStep
            );

            double[] adblCSA = VertexNumeraireRealization (
                deCSA,
                dblCSAInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[2],
                iNumStep
            );

            double[] adblBankHazardRate = NumeraireValueRealization (
                deBankHazardRate,
                dblBankHazardRateInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[3],
                iNumStep
            );

            double[] adblCounterPartyHazardRate = NumeraireValueRealization (
                deCounterPartyHazardRate,
                dblCounterPartyHazardRateInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[4],
                iNumStep
            );

            double[] adblBankRecoveryRate = NumeraireValueRealization (
                deBankRecoveryRate,
                dblBankRecoveryRateInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[5],
                iNumStep
            );

            double[] adblCounterPartyRecoveryRate = NumeraireValueRealization (
                deCounterPartyRecoveryRate,
                dblCounterPartyRecoveryRateInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[6],
                iNumStep
            );

            double[] adblBankFundingSpread = NumeraireValueRealization (
                deBankFundingSpread,
                dblBankFundingSpreadInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[7],
                iNumStep
            );

            double[] adblCounterPartyFundingSpread = NumeraireValueRealization (
                deCounterPartyFundingSpread,
                dblCounterPartyFundingSpreadInitial,
                dblTime,
                dblTimeWidth,
                aadblNumeraire[8],
                iNumStep
            );

            JulianDate dtStart = dtSpot;
            MarketVertex[] aMV = new MarketVertex [iNumStep + 1];
            double dblValueStart1 = dblTime * dblATMSwapRateOffsetStart1;
            double dblValueStart2 = dblTime * dblATMSwapRateOffsetStart2;
            AlbaneseAndersen[] aHGVR1 = new AlbaneseAndersen[iNumStep + 1];
            AlbaneseAndersen[] aHGVR2 = new AlbaneseAndersen[iNumStep + 1];

            for (int j = 0; j <= iNumStep; ++j) {
                JulianDate dtEnd = (adtVertex[j] = dtSpot.addMonths (6 * j + 6));

                double dblCollateralBalance1 = 0.;
                double dblCollateralBalance2 = 0.;
                double dblValueEnd1 = aadblPortfolio1Value[i][j];
                double dblValueEnd2 = aadblPortfolio2Value[i][j];

                if (0 != j) {
                    CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
                        positionGroupSpecification,
                        new BrokenDateInterpolatorLinearT (
                            dtStart.julian(),
                            dtEnd.julian(),
                            dblValueStart1,
                            dblValueEnd1
                        ),
                        Double.NaN
                    );

                    dblCollateralBalance1 = hae1.postingRequirement (dtEnd);

                    CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
                        positionGroupSpecification,
                        new BrokenDateInterpolatorLinearT (
                            dtStart.julian(),
                            dtEnd.julian(),
                            dblValueStart2,
                            dblValueEnd2
                        ),
                        Double.NaN
                    );

                    dblCollateralBalance2 = hae2.postingRequirement (dtEnd);
                }

                LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

                latentStateVertexContainer.add (
                    OTCFixFloatLabel.Standard ("USD-3M-10Y"),
                    Double.NaN
                );

                aMV[j] = MarketVertex.Nodal (
                    adtVertex[j] = dtSpot.addMonths (6 * j),
                    dblOvernightNumeraireDrift,
                    adblOvernightNumeraire[j],
                    dblCSADrift,
                    adblCSA[j],
                    new MarketVertexEntity (
                        Math.exp (-0.5 * adblBankHazardRate[j] * j),
                        adblBankHazardRate[j],
                        adblBankRecoveryRate[j],
                        adblBankFundingSpread[j],
                        Math.exp (-0.5 * adblBankHazardRate[j] * (1. - adblBankRecoveryRate[j]) * (iNumStep - j)),
                        Double.NaN,
                        Double.NaN,
                        Double.NaN
                    ),
                    new MarketVertexEntity (
                        Math.exp (-0.5 * adblCounterPartyHazardRate[j] * j),
                        adblCounterPartyHazardRate[j],
                        adblCounterPartyRecoveryRate[j],
                        adblCounterPartyFundingSpread[j],
                        Math.exp (-0.5 * adblCounterPartyHazardRate[j] * (1. - adblCounterPartyRecoveryRate[j]) * (iNumStep - j)),
                        Double.NaN,
                        Double.NaN,
                        Double.NaN
                    ),
                    latentStateVertexContainer
                );

                aHGVR1[j] = new AlbaneseAndersen (
                    adtVertex[j],
                    aadblPortfolio1Value[i][j],
                    0.,
                    dblCollateralBalance1
                );

                aHGVR2[j] = new AlbaneseAndersen (
                    adtVertex[j],
                    aadblPortfolio2Value[i][j],
                    0.,
                    dblCollateralBalance2
                );
            }

            MarketPath mp = MarketPath.FromMarketVertexArray (aMV);

            CollateralGroupPath[] aHGPGround = new CollateralGroupPath[] {
                new CollateralGroupPath (
                    aHGVR1,
                    mp
                )
            };

            CollateralGroupPath[] aHGPExtended = new CollateralGroupPath[] {
                new CollateralGroupPath (
                    aHGVR1,
                    mp
                ),
                new CollateralGroupPath (
                    aHGVR2,
                    mp
                )
            };

            aMPEAGround[i] = new MonoPathExposureAdjustment (
                new AlbaneseAndersenFundingGroupPath[] {
                    new AlbaneseAndersenFundingGroupPath (
                        new AlbaneseAndersenNettingGroupPath[] {
                            new AlbaneseAndersenNettingGroupPath (
                                aHGPGround,
                                mp
                            )
                        },
                        mp
                    )
                }
            );

            aMPEAExtended[i] = new MonoPathExposureAdjustment (
                new AlbaneseAndersenFundingGroupPath[] {
                    new AlbaneseAndersenFundingGroupPath (
                        new AlbaneseAndersenNettingGroupPath[] {
                            new AlbaneseAndersenNettingGroupPath (
                                aHGPExtended,
                                mp
                            )
                        },
                        mp
                    )
                }
            );
        }

        return new ExposureAdjustmentAggregator[] {
            new ExposureAdjustmentAggregator (aMPEAGround),
            new ExposureAdjustmentAggregator (aMPEAExtended)
        };
    }

    private static final void CPGDDump (
        final String strHeader,
        final ExposureAdjustmentDigest ead)
        throws Exception
    {
        System.out.println();

        UnivariateDiscreteThin udtUCOLVA = ead.ucolva();

        UnivariateDiscreteThin udtFTDCOLVA = ead.ftdcolva();

        UnivariateDiscreteThin udtUCVA = ead.ucva();

        UnivariateDiscreteThin udtFTDCVA = ead.ftdcva();

        UnivariateDiscreteThin udtCVACL = ead.cvacl();

        UnivariateDiscreteThin udtCVA = ead.cva();

        UnivariateDiscreteThin udtDVA = ead.dva();

        UnivariateDiscreteThin udtFVA = ead.fva();

        UnivariateDiscreteThin udtFDA = ead.fda();

        UnivariateDiscreteThin udtFCA = ead.fca();

        UnivariateDiscreteThin udtFBA = ead.fba();

        UnivariateDiscreteThin udtSFVA = ead.sfva();

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

        System.out.println (strHeader);

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

        System.out.println (
            "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
        );

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

        System.out.println (
            "\t|| Average => " +
            FormatUtil.FormatDouble (udtUCOLVA.average(), 2, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (udtFTDCOLVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtUCVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFTDCVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVACL.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtDVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFVA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFDA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFCA.average(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFBA.average(), 2, 2, 1.) + "  | " + 
            FormatUtil.FormatDouble (udtSFVA.average(), 2, 2, 1.) + "  ||"
        );

        System.out.println (
            "\t|| Minimum => " +
            FormatUtil.FormatDouble (udtUCOLVA.minimum(), 2, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (udtFTDCOLVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtUCVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFTDCVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVACL.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtDVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFVA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFDA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFCA.minimum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFBA.minimum(), 2, 2, 1.) + "  | " + 
            FormatUtil.FormatDouble (udtSFVA.minimum(), 2, 2, 1.) + "  ||"
        );

        System.out.println (
            "\t|| Maximum => " +
            FormatUtil.FormatDouble (udtUCOLVA.maximum(), 2, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (udtFTDCOLVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtUCVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFTDCVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVACL.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtDVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFVA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFDA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFCA.maximum(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFBA.maximum(), 2, 2, 1.) + "  | " + 
            FormatUtil.FormatDouble (udtSFVA.maximum(), 2, 2, 1.) + "  ||"
        );

        System.out.println (
            "\t||  Error  => " +
            FormatUtil.FormatDouble (udtUCOLVA.error(), 2, 2, 1.) + "  |  " +
            FormatUtil.FormatDouble (udtFTDCOLVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtUCVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFTDCVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVACL.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtCVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtDVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFVA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFDA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFCA.error(), 2, 2, 1.) + "  | " +
            FormatUtil.FormatDouble (udtFBA.error(), 2, 2, 1.) + "  | " + 
            FormatUtil.FormatDouble (udtSFVA.error(), 2, 2, 1.) + "  ||"
        );

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

    private static final void CPGDDiffDump (
        final String strHeader,
        final ExposureAdjustmentDigest eadGround,
        final ExposureAdjustmentDigest eadExpanded)
        throws Exception
    {
        System.out.println();

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

        System.out.println (strHeader);

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

        System.out.println (
            "\t||  OODLE  => UCOLVA  | FTDCOLVA |  UCVA   | FTDCVA  |  CVACL  |   CVA   |   DVA   |   FVA   |   FDA   |   FCA   |   FBA   |   SFVA  ||"
        );

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

        System.out.println (
            "\t|| Average => " +
            FormatUtil.FormatDouble (eadExpanded.ucolva().average() - eadGround.ucolva().average(), 3, 1, 10000.) + "  |  " +
            FormatUtil.FormatDouble (eadExpanded.ftdcolva().average() - eadGround.ftdcolva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.ucva().average() - eadGround.ucva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.ftdcva().average() - eadGround.ftdcva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.cvacl().average() - eadGround.cvacl().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.cva().average() - eadGround.cva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.dva().average() - eadGround.dva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.fva().average() - eadGround.fva().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.fda().average() - eadGround.fda().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.fca().average() - eadGround.fca().average(), 3, 1, 10000.) + "  | " +
            FormatUtil.FormatDouble (eadExpanded.fba().average() - eadGround.fba().average(), 3, 1, 10000.) + "  | " + 
            FormatUtil.FormatDouble (eadExpanded.sfva().average() - eadGround.sfva().average(), 3, 1, 10000.) + "  ||"
        );

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

    private static final void BaselAccountingMetrics (
        final String strHeader,
        final ExposureAdjustmentAggregator eaaGround,
        final ExposureAdjustmentAggregator eaaExpanded)
        throws Exception
    {
        OTCAccountingModus oasFCAFBA = new OTCAccountingModusFCAFBA (eaaGround);

        OTCAccountingModus oasFVAFDA = new OTCAccountingModusFVAFDA (eaaGround);

        OTCAccountingPolicy oapFCAFBA = oasFCAFBA.feePolicy (eaaExpanded);

        OTCAccountingPolicy oapFVAFDA = oasFVAFDA.feePolicy (eaaExpanded);

        System.out.println();

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

        System.out.println (strHeader);

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

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

        System.out.println (
            "\t||         - Accounting Type (FCA/FBA vs. FVA/FDA)                     ||"
        );

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

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

        System.out.println (
            "\t||         - FTP (Funding Transfer Pricing) (bp)                       ||"
        );

        System.out.println (
            "\t||         - CET1 (Common Equity Tier I) Change (bp)                   ||"
        );

        System.out.println (
            "\t||         - CL (Contra Liability) Change (bp)                         ||"
        );

        System.out.println (
            "\t||         - PFV (Porfolio Value) Change (Income) (bp)                 ||"
        );

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

        System.out.println ("\t|| FCA/FBA Accounting => " +
            FormatUtil.FormatDouble (oasFCAFBA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (oasFCAFBA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (oapFCAFBA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFCAFBA.cet1Change(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFCAFBA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFCAFBA.portfolioValueChange(), 3, 0, 10000.) + " || "
        );

        System.out.println ("\t|| FVA/FDA Accounting => " +
            FormatUtil.FormatDouble (oasFVAFDA.contraAssetAdjustment(), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (oasFVAFDA.contraLiabilityAdjustment(), 1, 4, 1.) + " | " +
            FormatUtil.FormatDouble (oapFVAFDA.fundingTransferPricing(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFVAFDA.cet1Change(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFVAFDA.contraLiabilityChange(), 3, 0, 10000.) + " | " +
            FormatUtil.FormatDouble (oapFVAFDA.portfolioValueChange(), 3, 0, 10000.) + " || "
        );

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

        System.out.println();
    }

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

        ExposureAdjustmentAggregator[] aEAA = Mix (
            5.,
            0.,
            100.,
            5.,
            0.05,
            1.
        );

        ExposureAdjustmentAggregator eaaGround = aEAA[0];
        ExposureAdjustmentAggregator eaaExtended = aEAA[1];

        ExposureAdjustmentDigest eadGround = eaaGround.digest();

        ExposureAdjustmentDigest eadExtended = eaaExtended.digest();

        CPGDDump (
            "\t||                                                   GROUND BOOK ADJUSTMENT METRICS                                                  ||",
            eadGround
        );

        CPGDDump (
            "\t||                                                  EXTENDED BOOK ADJUSTMENT METRICS                                                 ||",
            eadExtended
        );

        CPGDDiffDump (
            "\t||                                             TRADE INCREMENT ADJUSTMENT METRICS (bp)                                               ||",
            eadGround,
            eadExtended
        );

        BaselAccountingMetrics (
            "\t||           ALBANESE & ANDERSEN (2015) BCBS OTC ACCOUNTING            ||",
            eaaGround,
            eaaExtended
        );

        EnvManager.TerminateEnv();
    }
}