ZeroThresholdCollateralPayableStochastic.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.
*/
/**
* ZeroThresholdCollateralPayableStochastic 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 - Fully Collateralized (Zero Threshold)
* - 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 ZeroThresholdCollateralPayableStochastic {
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 = 0.000022;
double dblCounterPartyFundingSpreadVolatility = 0.0022;
double dblBankThreshold = 0.;
double dblCounterPartyThreshold = 0.;
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[] aCPGPGround = new MonoPathExposureAdjustment[iNumPath];
MonoPathExposureAdjustment[] aCPGPExtended = 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[] aNV = new MarketVertex [iNumStep + 1];
double dblValueStart1 = dblTime * dblATMSwapRateOffsetStart1;
double dblValueStart2 = dblTime * dblATMSwapRateOffsetStart2;
AlbaneseAndersen[] aCGV1 = new AlbaneseAndersen[iNumStep + 1];
AlbaneseAndersen[] aCGV2 = 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 cae1 = new CollateralAmountEstimator (
positionGroupSpecification,
new BrokenDateInterpolatorLinearT (
dtStart.julian(),
dtEnd.julian(),
dblValueStart1,
dblValueEnd1
),
Double.NaN
);
dblCollateralBalance1 = cae1.postingRequirement (dtEnd);
CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
positionGroupSpecification,
new BrokenDateInterpolatorLinearT (
dtStart.julian(),
dtEnd.julian(),
dblValueStart2,
dblValueEnd2
),
Double.NaN
);
dblCollateralBalance2 = cae2.postingRequirement (dtEnd);
}
LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();
latentStateVertexContainer.add (
OTCFixFloatLabel.Standard ("USD-3M-10Y"),
Double.NaN
);
aNV[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),
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),
Double.NaN,
Double.NaN,
Double.NaN
),
latentStateVertexContainer
);
aCGV1[j] = new AlbaneseAndersen (
adtVertex[j],
aadblPortfolio1Value[i][j],
0.,
dblCollateralBalance1
);
aCGV2[j] = new AlbaneseAndersen (
adtVertex[j],
aadblPortfolio2Value[i][j],
0.,
dblCollateralBalance2
);
}
MarketPath np = MarketPath.FromMarketVertexArray (aNV);
CollateralGroupPath[] aCGPGround = new CollateralGroupPath[] {
new CollateralGroupPath (
aCGV1,
np
)
};
CollateralGroupPath[] aCGPExtended = new CollateralGroupPath[] {
new CollateralGroupPath (
aCGV1,
np
),
new CollateralGroupPath (
aCGV2,
np
)
};
aCPGPGround[i] = new MonoPathExposureAdjustment (
new AlbaneseAndersenFundingGroupPath[] {
new AlbaneseAndersenFundingGroupPath (
new AlbaneseAndersenNettingGroupPath[] {
new AlbaneseAndersenNettingGroupPath (
aCGPGround,
np
)
},
np
)
}
);
aCPGPExtended[i] = new MonoPathExposureAdjustment (
new AlbaneseAndersenFundingGroupPath[] {
new AlbaneseAndersenFundingGroupPath (
new AlbaneseAndersenNettingGroupPath[] {
new AlbaneseAndersenNettingGroupPath (
aCGPExtended,
np
)
},
np
)
}
);
}
return new ExposureAdjustmentAggregator[] {
new ExposureAdjustmentAggregator (aCPGPGround),
new ExposureAdjustmentAggregator (aCPGPExtended)
};
}
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 cpgaGround,
final ExposureAdjustmentAggregator cpgaExpanded)
throws Exception
{
OTCAccountingModus oasFCAFBA = new OTCAccountingModusFCAFBA (cpgaGround);
OTCAccountingModus oasFVAFDA = new OTCAccountingModusFVAFDA (cpgaGround);
OTCAccountingPolicy oapFCAFBA = oasFCAFBA.feePolicy (cpgaExpanded);
OTCAccountingPolicy oapFVAFDA = oasFVAFDA.feePolicy (cpgaExpanded);
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[] aCPGA = Mix (
5.,
0.,
100.,
5.,
0.05,
1.
);
ExposureAdjustmentAggregator cpgaGround = aCPGA[0];
ExposureAdjustmentAggregator cpgaExtended = aCPGA[1];
ExposureAdjustmentDigest cpgdGround = cpgaGround.digest();
ExposureAdjustmentDigest cpgdExtended = cpgaExtended.digest();
CPGDDump (
"\t|| GROUND BOOK ADJUSTMENT METRICS ||",
cpgdGround
);
CPGDDump (
"\t|| EXTENDED BOOK ADJUSTMENT METRICS ||",
cpgdExtended
);
CPGDDiffDump (
"\t|| TRADE INCREMENT ADJUSTMENT METRICS (bp) ||",
cpgdGround,
cpgdExtended
);
BaselAccountingMetrics (
"\t|| ALBANESE & ANDERSEN (2015) BCBS OTC ACCOUNTING ||",
cpgaGround,
cpgaExtended
);
EnvManager.TerminateEnv();
}
}