HedgeErrorBaselProxy.java

package org.drip.sample.xvafixfloat;

import java.util.ArrayList;
import java.util.List;

import org.drip.analytics.date.*;
import org.drip.exposure.evolver.*;
import org.drip.exposure.holdings.*;
import org.drip.exposure.universe.*;
import org.drip.measure.crng.*;
import org.drip.measure.discrete.CorrelatedPathVertexDimension;
import org.drip.measure.dynamics.*;
import org.drip.measure.process.*;
import org.drip.measure.statistics.UnivariateDiscreteThin;
import org.drip.numerical.common.FormatUtil;
import org.drip.numerical.common.StringUtil;
import org.drip.numerical.linearalgebra.Matrix;
import org.drip.service.env.EnvManager;
import org.drip.state.identifier.*;
import org.drip.xva.dynamics.*;
import org.drip.xva.gross.*;
import org.drip.xva.proto.*;
import org.drip.xva.settings.*;

/*
 * -*- 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.
 */

/**
 * HedgeErrorBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes
 *  the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Dual Bond Hedge Error
 *  Vertexes. 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.
 *  
 *  - Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
 *      Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955.
 *  
 *  - Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and
 *      Collateral Trading <b>https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301</b><br><br>
 *  
 *  - Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting, eSSRN,
 *      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class HedgeErrorBaselProxy
{

    private static final PrimarySecurity OvernightReplicator (
        final String currency,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double overnightReplicatorDrift = 0.0025;
        double overnightReplicatorVolatility = 0.001;
        double overnightReplicatorRepo = 0.0;

        LatentStateLabel overnightLabel = OvernightLabel.Create (currency);

        latentStateLabelList.add (overnightLabel);

        return new PrimarySecurity (
            currency + "_OVERNIGHT",
            overnightLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    overnightReplicatorDrift,
                    overnightReplicatorVolatility
                )
            ),
            overnightReplicatorRepo
        );
    }

    private static final PrimarySecurity CSAReplicator (
        final String currency,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double csaReplicatorDrift = 0.01;
        double csaReplicatorVolatility = 0.002;
        double csaReplicatorRepo = 0.005;

        LatentStateLabel csaLabel = CSALabel.ISDA (currency);

        latentStateLabelList.add (csaLabel);

        return new PrimarySecurity (
            currency + "_CSA",
            csaLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    csaReplicatorDrift,
                    csaReplicatorVolatility
                )
            ),
            csaReplicatorRepo
        );
    }

    private static final PrimarySecurity DealerSeniorFundingReplicator (
        final String currency,
        final String dealer,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double dealerSeniorFundingReplicatorDrift = 0.03;
        double dealerSeniorFundingReplicatorVolatility = 0.002;
        double dealerSeniorFundingReplicatorRepo = 0.028;

        LatentStateLabel dealerSeniorFundingLabel = EntityFundingLabel.Senior (
            dealer,
            currency
        );

        latentStateLabelList.add (dealerSeniorFundingLabel);

        return new PrimarySecurity (
            dealer + "_" + currency + "_SENIOR_ZERO",
            dealerSeniorFundingLabel,
            new JumpDiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    dealerSeniorFundingReplicatorDrift,
                    dealerSeniorFundingReplicatorVolatility
                ),
                HazardJumpEvaluator.Standard (
                    0.3,
                    0.45
                )
            ),
            dealerSeniorFundingReplicatorRepo
        );
    }

    private static final PrimarySecurity DealerSubordinateFundingReplicator (
        final String currency,
        final String dealer,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double dealerSubordinateFundingReplicatorDrift = 0.045;
        double dealerSubordinateFundingReplicatorVolatility = 0.002;
        double dealerSubordinateFundingReplicatorRepo = 0.028;

        LatentStateLabel dealerSubordinateFundingLabel = EntityFundingLabel.Subordinate (
            dealer,
            currency
        );

        latentStateLabelList.add (dealerSubordinateFundingLabel);

        return new PrimarySecurity (
            dealer + "_" + currency + "_SUBORDINATE_ZERO",
            dealerSubordinateFundingLabel,
            new JumpDiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    dealerSubordinateFundingReplicatorDrift,
                    dealerSubordinateFundingReplicatorVolatility
                ),
                HazardJumpEvaluator.Standard (
                    0.3,
                    0.25
                )
            ),
            dealerSubordinateFundingReplicatorRepo
        );
    }

    private static final PrimarySecurity ClientFundingReplicator (
        final String currency,
        final String client,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double clientFundingReplicatorDrift = 0.03;
        double clientFundingReplicatorVolatility = 0.003;
        double clientFundingReplicatorRepo = 0.028;

        LatentStateLabel clientFundingLabel = EntityFundingLabel.Senior (
            client,
            currency
        );

        latentStateLabelList.add (clientFundingLabel);

        return new PrimarySecurity (
            client + "_" + currency + "_SENIOR_ZERO",
            clientFundingLabel,
            new JumpDiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    clientFundingReplicatorDrift,
                    clientFundingReplicatorVolatility
                ),
                HazardJumpEvaluator.Standard (
                    0.5,
                    0.30
                )
            ),
            clientFundingReplicatorRepo
        );
    }

    private static final TerminalLatentState DealerHazard (
        final String currency,
        final String dealer,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double dealerHazardDrift = 0.0002;
        double dealerHazardVolatility = 0.02;

        LatentStateLabel dealerHazardLabel = EntityHazardLabel.Standard (
            dealer,
            currency
        );

        latentStateLabelList.add (dealerHazardLabel);

        return new TerminalLatentState (
            dealerHazardLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    dealerHazardDrift,
                    dealerHazardVolatility
                )
            )
        );
    }

    private static final TerminalLatentState DealerSeniorRecovery (
        final String currency,
        final String dealer,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double dealerSeniorRecoveryDrift = 0.0002;
        double dealerSeniorRecoveryVolatility = 0.02;

        LatentStateLabel dealerSeniorRecoveryLabel = EntityRecoveryLabel.Senior (
            dealer,
            currency
        );

        latentStateLabelList.add (dealerSeniorRecoveryLabel);

        return new TerminalLatentState (
            dealerSeniorRecoveryLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    dealerSeniorRecoveryDrift,
                    dealerSeniorRecoveryVolatility
                )
            )
        );
    }

    private static final TerminalLatentState DealerSubordinateRecovery (
        final String currency,
        final String dealer,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double dealerSubordinateRecoveryDrift = 0.0002;
        double dealerSubordinateRecoveryVolatility = 0.02;

        LatentStateLabel dealerSubordinateRecoveryLabel = EntityRecoveryLabel.Subordinate (
            dealer,
            currency
        );

        latentStateLabelList.add (dealerSubordinateRecoveryLabel);

        return new TerminalLatentState (
            dealerSubordinateRecoveryLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    dealerSubordinateRecoveryDrift,
                    dealerSubordinateRecoveryVolatility
                )
            )
        );
    }

    private static final TerminalLatentState ClientHazard (
        final String currency,
        final String client,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double clientHazardDrift = 0.0002;
        double clientHazardVolatility = 0.02;

        LatentStateLabel clientHazardLabel = EntityHazardLabel.Standard (
            client,
            currency
        );

        latentStateLabelList.add (clientHazardLabel);

        return new TerminalLatentState (
            clientHazardLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    clientHazardDrift,
                    clientHazardVolatility
                )
            )
        );
    }

    private static final TerminalLatentState ClientRecovery (
        final String currency,
        final String client,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double clientRecoveryDrift = 0.0002;
        double clientRecoveryVolatility = 0.02;

        LatentStateLabel clientRecoveryLabel = EntityRecoveryLabel.Senior (
            client,
            currency
        );

        latentStateLabelList.add (clientRecoveryLabel);

        return new TerminalLatentState (
            clientRecoveryLabel,
            new DiffusionEvolver (
                DiffusionEvaluatorLogarithmic.Standard (
                    clientRecoveryDrift,
                    clientRecoveryVolatility
                )
            )
        );
    }

    private static final EntityDynamicsContainer EntityEvolver (
        final String currency,
        final String dealer,
        final String client,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        return new EntityDynamicsContainer (
            DealerHazard (
                currency,
                dealer,
                latentStateLabelList
            ),
            DealerSeniorRecovery (
                currency,
                dealer,
                latentStateLabelList
            ),
            DealerSubordinateRecovery (
                currency,
                dealer,
                latentStateLabelList
            ),
            ClientHazard (
                currency,
                client,
                latentStateLabelList
            ),
            ClientRecovery (
                currency,
                client,
                latentStateLabelList
            )
        );
    }

    private static final PrimarySecurityDynamicsContainer PrimarySecurityEvolver (
        final String currency,
        final String dealer,
        final String client,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        return new PrimarySecurityDynamicsContainer (
            null,
            OvernightReplicator (
                currency,
                latentStateLabelList
            ),
            CSAReplicator (
                currency,
                latentStateLabelList
            ),
            DealerSeniorFundingReplicator (
                currency,
                dealer,
                latentStateLabelList
            ),
            DealerSubordinateFundingReplicator (
                currency,
                dealer,
                latentStateLabelList
            ),
            ClientFundingReplicator (
                currency,
                client,
                latentStateLabelList
            )
        );
    }

    private static final LatentStateDynamicsContainer LatentStateEvolver (
        final OTCFixFloatLabel otcFixFloatLabel,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        double otcFixFloatNumeraireDrift = 0.0;
        double otcFixFloatNumeraireVolatility = 0.25;

        latentStateLabelList.add (otcFixFloatLabel);

        LatentStateDynamicsContainer latentStateDynamicsContainer = new LatentStateDynamicsContainer();

        latentStateDynamicsContainer.addOTCFixFloat (
            new TerminalLatentState (
                otcFixFloatLabel,
                new DiffusionEvolver (
                    DiffusionEvaluatorLinear.Standard (
                        otcFixFloatNumeraireDrift,
                        otcFixFloatNumeraireVolatility
                    )
                )
            )
        );

        return latentStateDynamicsContainer;
    }

    private static final MarketVertexGenerator ConstructMarketVertexGenerator (
        final JulianDate spotDate,
        final String exposureSamplingTenor,
        final int exposureSamplingNodeCount,
        final String currency,
        final String dealer,
        final String client,
        final OTCFixFloatLabel otcFixFloatLabel,
        final List<LatentStateLabel> latentStateLabelList)
        throws Exception
    {
        JulianDate terminationDate = spotDate;
        int[] eventVertexArray = new int[exposureSamplingNodeCount];

        for (int i = 0; i < exposureSamplingNodeCount; ++i)
        {
            terminationDate = terminationDate.addTenor (exposureSamplingTenor);

            eventVertexArray[i] = terminationDate.julian();
        }

        return new MarketVertexGenerator (
            spotDate.julian(),
            eventVertexArray,
            EntityEvolver (
                currency,
                dealer,
                client,
                latentStateLabelList
            ),
            PrimarySecurityEvolver (
                currency,
                dealer,
                client,
                latentStateLabelList
            ),
            LatentStateEvolver (
                otcFixFloatLabel,
                latentStateLabelList
            )
        );
    }

    private static final void ThinStatistics (
        final String header,
        final JulianDate[] vertexDateArray,
        final UnivariateDiscreteThin[] thinStatisticsArray)
        throws Exception
    {
        System.out.println ("\t|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|");

        System.out.println (header);

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

        String statisticsDump = "\t|       DATE      =>" ;

        for (int i = 0; i < vertexDateArray.length; ++i)
        {
            statisticsDump = statisticsDump + " " + vertexDateArray[i] + "  |";
        }

        System.out.println (statisticsDump);

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

        statisticsDump = "\t|     AVERAGE     =>";

        for (int j = 0; j < thinStatisticsArray.length; ++j)
        {
            statisticsDump = statisticsDump + "   " + FormatUtil.FormatDouble (thinStatisticsArray[j].average(), 2, 4, 1.) + "   |";
        }

        System.out.println (statisticsDump);

        statisticsDump = "\t|     MAXIMUM     =>";

        for (int j = 0; j < thinStatisticsArray.length; ++j)
        {
            statisticsDump = statisticsDump + "   " + FormatUtil.FormatDouble (thinStatisticsArray[j].maximum(), 2, 4, 1.) + "   |";
        }

        System.out.println (statisticsDump);

        statisticsDump = "\t|     MINIMUM     =>";

        for (int j = 0; j < thinStatisticsArray.length; ++j)
        {
            statisticsDump = statisticsDump + "   " + FormatUtil.FormatDouble (thinStatisticsArray[j].minimum(), 2, 4, 1.) + "   |";
        }

        System.out.println (statisticsDump);

        statisticsDump = "\t|      ERROR      =>";

        for (int j = 0; j < thinStatisticsArray.length; ++j)
        {
            statisticsDump = statisticsDump + "   " + FormatUtil.FormatDouble (thinStatisticsArray[j].error(), 2, 4, 1.) + "   |";
        }

        System.out.println (statisticsDump);

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

    private static final void ThinStatistics (
        final String header,
        final UnivariateDiscreteThin thinStatistics)
        throws Exception
    {
        System.out.println (
            header +
            FormatUtil.FormatDouble (thinStatistics.average(), 3, 2, 100.) + "% | " +
            FormatUtil.FormatDouble (thinStatistics.maximum(), 3, 2, 100.) + "% | " +
            FormatUtil.FormatDouble (thinStatistics.minimum(), 3, 2, 100.) + "% | " +
            FormatUtil.FormatDouble (thinStatistics.error(), 3, 2, 100.) + "% ||"
        );
    }

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

        String dealer = "CITI";
        String client = "AIG";
        String currency = "USD";

        double dealerVMThreshold = -0.1;
        double clientVMThreshold = 0.1;

        /*
         * Evolution Control
         */

        int pathCount = 60000;
        int exposureSamplingNodeCount = 10;
        String exposureSamplingTenor = "6M";
        double[][] correlationMatrix = new double[][] {
            {1.00, 0.00, 0.00, 0.20, 0.15, 0.05, 0.00, 0.00, 0.00, 0.00, 0.00}, // #0  DEALER HAZARD
            {0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #1  DEALER SENIOR RECOVERY
            {0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #2  DEALER SUBORDINATE RECOVERY
            {0.20, 0.00, 0.00, 1.00, 0.13, 0.25, 0.00, 0.00, 0.00, 0.00, 0.00}, // #3  CLIENT HAZARD
            {0.15, 0.00, 0.00, 0.13, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #4  CLIENT RECOVERY
            {0.05, 0.00, 0.25, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #5  OVERNIGHT REPLICATOR
            {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00, 0.00}, // #6  CSA REPLICATOR
            {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00, 0.00}, // #7  DEALER SENIOR FUNDING REPLICATOR
            {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00, 0.00}, // #8  DEALER SUBORDINATE FUNDING REPLICATOR
            {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #9  CLIENT FUNDING REPLICATOR
            {0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #10 OTC FIX FLOAT REPLICATOR
        };

        JulianDate spotDate = DateUtil.Today();

        OTCFixFloatLabel otcFixFloatLabel = OTCFixFloatLabel.Standard (currency + "-3M-10Y");

        JulianDate terminationDate = spotDate;
        PathExposureAdjustment[] pathExposureAdjustmentArray = new PathExposureAdjustment[pathCount];

        for (int i = 0; i < exposureSamplingNodeCount; ++i)
        {
            terminationDate = terminationDate.addTenor (exposureSamplingTenor);
        }

        final int maturityDate = terminationDate.julian();

        List<LatentStateLabel> latentStateLabelList = new ArrayList<LatentStateLabel>();

        PathSimulator fixFloatPathSimulator = new PathSimulator (
            pathCount,
            ConstructMarketVertexGenerator (
                spotDate,
                exposureSamplingTenor,
                exposureSamplingNodeCount,
                currency,
                dealer,
                client,
                otcFixFloatLabel,
                latentStateLabelList
            ),
            AdjustmentDigestScheme.ALBANESE_ANDERSEN_METRICS_POINTER,
            PositionGroupContainer.Solo (
                new PositionGroup (
                    new PositionSchemaSpecification (
                        "POSGRPSPEC1",
                        "POSGRPSPEC1",
                        PositionGroupSpecification.FixedThreshold (
                            "FIXEDTHRESHOLD",
                            clientVMThreshold,
                            dealerVMThreshold,
                            PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
                            BrokenDateScheme.SQUARE_ROOT_OF_TIME,
                            0.,
                            CloseOutScheme.BILATERAL
                        ),
                        new CollateralGroupSpecification (
                            StringUtil.GUID(),
                            "FIXEDTHRESHOLD",
                            OvernightLabel.Create (currency),
                            CSALabel.ISDA (currency)
                        ),
                        new CreditDebtGroupSpecification (
                            "NETGRPSPEC1",
                            "NETGRPSPEC1",
                            EntityHazardLabel.Standard (
                                dealer,
                                currency
                            ),
                            EntityHazardLabel.Standard (
                                client,
                                currency
                            ),
                            EntityRecoveryLabel.Senior (
                                dealer,
                                currency
                            ),
                            EntityRecoveryLabel.Senior (
                                client,
                                currency
                            ),
                            EntityRecoveryLabel.Subordinate (
                                dealer,
                                currency
                            ),
                            true,
                            true
                        ),
                        new FundingGroupSpecification (
                            "FUNDGRPSPEC1",
                            "FUNDGRPSPEC1",
                            EntityFundingLabel.Senior (
                                dealer,
                                currency
                            ),
                            EntityFundingLabel.Senior (
                                client,
                                currency
                            ),
                            EntityFundingLabel.Subordinate (
                                dealer,
                                currency
                            )
                        )
                    ),
                    new FixFloatBaselPositionEstimator (
                        maturityDate,
                        otcFixFloatLabel
                    )
                )
            )
        );

        LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

        latentStateVertexContainer.add (
            otcFixFloatLabel,
            0.
        );

        MarketVertex initialMarketVertex = MarketVertex.Epochal (
            spotDate,
            1.000,              // dblOvernightNumeraireInitial
            1.000,              // dblCSANumeraire
            0.015,              // dblBankHazardRate
            0.400,              // dblBankRecoveryRate
            0.015 / (1 - 0.40), // dblBankFundingSpread
            0.250,              // dblBankRecoveryRate
            0.015 / (1 - 0.25), // dblBankFundingSpread
            0.030,              // dblCounterPartyHazardRate
            0.300,              // dblCounterPartyRecoveryRate
            0.030 / (1 - 0.30), // dblCounterPartyFundingSpread
            latentStateVertexContainer
        );

        CorrelatedPathVertexDimension correlatedPathVertexDimension = new CorrelatedPathVertexDimension (
            new RandomNumberGenerator(),
            correlationMatrix,
            exposureSamplingNodeCount,
            1,
            true,
            null
        );

        for (int i = 0; i < pathCount; ++i)
        {
            pathExposureAdjustmentArray[i] = fixFloatPathSimulator.singleTrajectory (
                initialMarketVertex,
                LatentStateWeiner.FromUnitRandom (
                    latentStateLabelList,
                    Matrix.Transpose (correlatedPathVertexDimension.straightPathVertexRd().flatform())
                )
            );
        }

        ExposureAdjustmentAggregator exposureAdjustmentAggregator = new ExposureAdjustmentAggregator
            (pathExposureAdjustmentArray);

        ExposureAdjustmentDigest exposureAdjustmentDigest = exposureAdjustmentAggregator.digest();

        System.out.println();

        ThinStatistics (
            "\t|                                                                                COLLATERALIZED EXPOSURE                                                                                |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.collateralizedExposure()
        );

        ThinStatistics (
            "\t|                                                                               UNCOLLATERALIZED EXPOSURE                                                                               |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.uncollateralizedExposure()
        );

        ThinStatistics (
            "\t|                                                                                COLLATERALIZED EXPOSURE PV                                                                             |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.collateralizedExposurePV()
        );

        ThinStatistics (
            "\t|                                                                               UNCOLLATERALIZED EXPOSURE PV                                                                            |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.uncollateralizedExposurePV()
        );

        ThinStatistics (
            "\t|                                                                            COLLATERALIZED POSITIVE EXPOSURE PV                                                                        |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.collateralizedPositiveExposurePV()
        );

        ThinStatistics (
            "\t|                                                                           UNCOLLATERALIZED POSITIVE EXPOSURE PV                                                                       |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.uncollateralizedPositiveExposurePV()
        );

        ThinStatistics (
            "\t|                                                                            COLLATERALIZED NEGATIVE EXPOSURE PV                                                                        |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.collateralizedNegativeExposurePV()
        );

        ThinStatistics (
            "\t|                                                                           UNCOLLATERALIZED NEGATIVE EXPOSURE PV                                                                       |",
            exposureAdjustmentAggregator.vertexDates(),
            exposureAdjustmentDigest.uncollateralizedNegativeExposurePV()
        );

        System.out.println();

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

        System.out.println ("\t||  UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||");

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

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

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

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

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

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

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

        ThinStatistics (
            "\t||  UCVA  => ",
            exposureAdjustmentDigest.ucva()
        );

        ThinStatistics (
            "\t|| FTDCVA => ",
            exposureAdjustmentDigest.ftdcva()
        );

        ThinStatistics (
            "\t||   CVA  => ",
            exposureAdjustmentDigest.cva()
        );

        ThinStatistics (
            "\t||  CVACL => ",
            exposureAdjustmentDigest.cvacl()
        );

        ThinStatistics (
            "\t||   DVA  => ",
            exposureAdjustmentDigest.dva()
        );

        ThinStatistics (
            "\t||   FVA  => ",
            exposureAdjustmentDigest.fva()
        );

        ThinStatistics (
            "\t||   FDA  => ",
            exposureAdjustmentDigest.fda()
        );

        ThinStatistics (
            "\t||   FCA  => ",
            exposureAdjustmentDigest.fca()
        );

        ThinStatistics (
            "\t||   FBA  => ",
            exposureAdjustmentDigest.fba()
        );

        ThinStatistics (
            "\t||  SFVA  => ",
            exposureAdjustmentDigest.sfva()
        );

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

        ThinStatistics (
            "\t||  Total => ",
            exposureAdjustmentDigest.totalVA()
        );

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

        EnvManager.TerminateEnv();
    }
}