FundingGroupHedgeError.java

package org.drip.sample.xvastrategy;

import org.drip.analytics.date.*;
import org.drip.exposure.evolver.LatentStateVertexContainer;
import org.drip.exposure.universe.*;
import org.drip.measure.discrete.SequenceGenerator;
import org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic;
import org.drip.measure.process.DiffusionEvolver;
import org.drip.measure.realization.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.state.identifier.OTCFixFloatLabel;
import org.drip.xva.definition.*;
import org.drip.xva.derivative.ReplicationPortfolioVertexDealer;
import org.drip.xva.gross.*;
import org.drip.xva.netting.CollateralGroupPath;
import org.drip.xva.strategy.*;
import org.drip.xva.vertex.*;

/*
 * -*- 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.
 */

/**
 * FundingGroupHedgeError demonstrates the Simulation Run of the Funding Group Exposure using the "Hedge
 *  Error" Funding Strategy laid out in Burgard and Kjaer (2013). 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 FundingGroupHedgeError {

    private static final double[] AssetValueRealization (
        final DiffusionEvolver deAssetValue,
        final double dblAssetValueInitial,
        final double dblTime,
        final double dblTimeWidth,
        final int iNumStep)
        throws Exception
    {
        double[] ablAssetValue = new double[iNumStep + 1];
        double[] adblTimeWidth = new double[iNumStep];
        ablAssetValue[0] = dblAssetValueInitial;

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

        JumpDiffusionEdge[] aJDE = deAssetValue.incrementSequence (
            new JumpDiffusionVertex (
                dblTime,
                dblAssetValueInitial,
                0.,
                false
            ),
            JumpDiffusionEdgeUnit.Diffusion (
                adblTimeWidth,
                SequenceGenerator.Gaussian (iNumStep)
            ),
            dblTimeWidth
        );

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

        return ablAssetValue;
    }

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

        int iNumStep = 10;
        double dblTime = 5.;
        double dblFixedHedgeError = 0.01;
        double dblAssetDrift = 0.06;
        double dblAssetVolatility = 0.15;
        double dblAssetValueInitial = 1.;
        double dblOISRate = 0.004;
        double dblCSADrift = 0.01;
        double dblBankHazardRate = 0.015;
        double dblBankSeniorRecoveryRate = 0.40;
        double dblBankSubordinateRecoveryRate = 0.15;
        double dblCounterPartyHazardRate = 0.030;
        double dblCounterPartyRecoveryRate = 0.30;

        double dblTimeWidth = dblTime / iNumStep;
        MarketVertex[] aMV = new MarketVertex[iNumStep + 1];
        JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
        BurgardKjaer[] aBKV1 = new BurgardKjaer[iNumStep + 1];
        BurgardKjaer[] aBKV2 = new BurgardKjaer[iNumStep + 1];
        double dblBankSeniorFundingSpread = dblBankHazardRate / (1. - dblBankSeniorRecoveryRate);
        double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
        double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);

        JulianDate dtSpot = DateUtil.Today();

        CloseOut cog = new CloseOutBilateral (
            dblBankSeniorRecoveryRate,
            dblCounterPartyRecoveryRate
        );

        DiffusionEvolver deAssetValue = new DiffusionEvolver (
            DiffusionEvaluatorLogarithmic.Standard (
                dblAssetDrift,
                dblAssetVolatility
            )
        );

        double[] adblAssetValuePath1 = AssetValueRealization (
            deAssetValue,
            dblAssetValueInitial,
            dblTime,
            dblTimeWidth,
            iNumStep
        );

        double[] adblAssetValuePath2 = AssetValueRealization (
            deAssetValue,
            dblAssetValueInitial,
            dblTime,
            dblTimeWidth,
            iNumStep
        );

        System.out.println();

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

        System.out.println ("\t|                                                       PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS                                                       ||");

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

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

        System.out.println ("\t|            - Path #1 Gross Exposure                                                                                                                          ||");

        System.out.println ("\t|            - Path #1 Positive Exposure                                                                                                                       ||");

        System.out.println ("\t|            - Path #1 Negative Exposure                                                                                                                       ||");

        System.out.println ("\t|            - Path #2 Gross Exposure                                                                                                                          ||");

        System.out.println ("\t|            - Path #2 Positive Exposure                                                                                                                       ||");

        System.out.println ("\t|            - Path #2 Negative Exposure                                                                                                                       ||");

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

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

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

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

        System.out.println ("\t|            - Counter Party Survival Probability                                                                                                              ||");

        System.out.println ("\t|            - Counter Party Recovery Rate                                                                                                                     ||");

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

        for (int i = 0; i <= iNumStep; ++i)
        {
            LatentStateVertexContainer latentStateVertexContainer = new LatentStateVertexContainer();

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

            aMV[i] = MarketVertex.Nodal (
                adtVertex[i] = dtSpot.addMonths (6 * i),
                dblOISRate,
                Math.exp (-0.5 * dblOISRate * (iNumStep - i)),
                dblCSADrift,
                Math.exp (-0.5 * dblCSADrift * (iNumStep - i)),
                new MarketVertexEntity (
                    Math.exp (-0.5 * dblBankHazardRate * (iNumStep - i)),
                    dblBankHazardRate,
                    dblBankSeniorRecoveryRate,
                    dblBankSeniorFundingSpread,
                    Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSeniorRecoveryRate) * (iNumStep - i)),
                    dblBankSubordinateRecoveryRate,
                    dblBankSubordinateFundingSpread,
                    Math.exp (-0.5 * dblBankHazardRate * (1. - dblBankSubordinateRecoveryRate) * (iNumStep - i))
                ),
                new MarketVertexEntity (
                    Math.exp (-0.5 * dblCounterPartyHazardRate * i),
                    dblCounterPartyHazardRate,
                    dblCounterPartyRecoveryRate,
                    dblCounterPartyFundingSpread,
                    Math.exp (-0.5 * dblCounterPartyHazardRate * (1. - dblCounterPartyRecoveryRate) * (iNumStep - i)),
                    Double.NaN,
                    Double.NaN,
                    Double.NaN
                ),
                latentStateVertexContainer
            );

            if (0 != i) {
                aBKV1[i] = BurgardKjaerBuilder.HedgeErrorDualBond (
                    adtVertex[i],
                    adblAssetValuePath1[i],
                    0.,
                    0.,
                    dblFixedHedgeError,
                    new MarketEdge (
                        aMV[i - 1],
                        aMV[i]
                    ),
                    cog
                );

                aBKV2[i] = BurgardKjaerBuilder.HedgeErrorDualBond (
                    adtVertex[i],
                    adblAssetValuePath2[i],
                    0.,
                    0.,
                    dblFixedHedgeError,
                    new MarketEdge (
                        aMV[i - 1],
                        aMV[i]
                    ),
                    cog
                );
            } else {
                aBKV1[i] = BurgardKjaerBuilder.Initial (
                    adtVertex[i],
                    adblAssetValuePath1[i],
                    aMV[i],
                    cog
                );

                aBKV2[i] = BurgardKjaerBuilder.Initial (
                    adtVertex[i],
                    adblAssetValuePath2[i],
                    aMV[i],
                    cog
                );
            }

            System.out.println (
                "\t| " + adtVertex[i] + " => " +
                FormatUtil.FormatDouble (aBKV1[i].collateralized(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aBKV1[i].uncollateralized(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aBKV1[i].variationMarginPosting(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aBKV2[i].collateralized(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aBKV2[i].uncollateralized(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aBKV2[i].variationMarginPosting(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].overnightRate(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].dealer().survivalProbability(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].dealer().seniorRecoveryRate(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].dealer().seniorFundingSpread(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].client().survivalProbability(), 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (aMV[i].client().seniorRecoveryRate(), 1, 6, 1.) + " ||"
            );
        }

        MarketPath mp = MarketPath.FromMarketVertexArray (aMV);

        CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
            new CollateralGroupPath (
                aBKV1,
                mp
            )
        };

        CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
            new CollateralGroupPath (
                aBKV2,
                mp
            )
        };

        AlbaneseAndersenNettingGroupPath ngpaa2014_1 = new AlbaneseAndersenNettingGroupPath (
            aCGP1,
            mp
        );

        AlbaneseAndersenFundingGroupPath fgpaa2014_1 = AlbaneseAndersenFundingGroupPath.Mono (
            ngpaa2014_1,
            mp
        );

        AlbaneseAndersenNettingGroupPath ngpaa2014_2 = new AlbaneseAndersenNettingGroupPath (
            aCGP2,
            mp
        );

        AlbaneseAndersenFundingGroupPath fgpaa2014_2 = AlbaneseAndersenFundingGroupPath.Mono (
            ngpaa2014_1,
            mp
        );

        double[] adblPeriodUnilateralCreditAdjustment1 = ngpaa2014_1.periodUnilateralCreditAdjustment();

        double[] adblPeriodBilateralCreditAdjustment1 = ngpaa2014_1.periodBilateralCreditAdjustment();

        double[] adblPeriodCreditAdjustment1 = ngpaa2014_1.periodCreditAdjustment();

        double[] adblPeriodContraLiabilityCreditAdjustment1 = ngpaa2014_1.periodContraLiabilityCreditAdjustment();

        double[] adblPeriodUnilateralCreditAdjustment2 = ngpaa2014_2.periodUnilateralCreditAdjustment();

        double[] adblPeriodBilateralCreditAdjustment2 = ngpaa2014_2.periodBilateralCreditAdjustment();

        double[] adblPeriodCreditAdjustment2 = ngpaa2014_2.periodCreditAdjustment();

        double[] adblPeriodContraLiabilityCreditAdjustment2 = ngpaa2014_2.periodContraLiabilityCreditAdjustment();

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

        System.out.println();

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

        System.out.println ("\t|               PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS               ||");

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

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

        System.out.println ("\t|    - Path #1 Period Unilateral Credit Adjustments                                                                               ||");

        System.out.println ("\t|    - Path #1 Period Bilateral Credit Adjustments                                                                                ||");

        System.out.println ("\t|    - Path #1 Period Credit Adjustments                                                                                          ||");

        System.out.println ("\t|    - Path #1 Period Contra-Liability Credit Adjustments                                                                         ||");

        System.out.println ("\t|    - Path #2 Period Unilateral Credit Adjustments                                                                               ||");

        System.out.println ("\t|    - Path #2 Period Bilateral Credit Adjustments                                                                                ||");

        System.out.println ("\t|    - Path #2 Period Credit Adjustments                                                                                          ||");

        System.out.println ("\t|    - Path #2 Period Contra-Liability Credit Adjustments                                                                         ||");

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

        for (int i = 1; i <= iNumStep; ++i) {
            System.out.println ("\t| [" +
                adtVertex[i - 1] + " -> " + adtVertex[i] + "] => " +
                FormatUtil.FormatDouble (adblPeriodUnilateralCreditAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodBilateralCreditAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodCreditAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodContraLiabilityCreditAdjustment1[i - 1], 1, 6, 1.) + " ||| " +
                FormatUtil.FormatDouble (adblPeriodUnilateralCreditAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodBilateralCreditAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodCreditAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodContraLiabilityCreditAdjustment2[i - 1], 1, 6, 1.) + " ||"
            );
        }

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

        System.out.println();

        double[] adblPeriodDebtAdjustment1 = ngpaa2014_1.periodDebtAdjustment();

        double[] adblPeriodFundingValueAdjustment1 = fgpaa2014_1.periodFundingValueAdjustment();

        double[] adblPeriodFundingDebtAdjustment1 = fgpaa2014_1.periodFundingDebtAdjustment();

        double[] adblPeriodFundingCostAdjustment1 = fgpaa2014_1.periodFundingCostAdjustment();

        double[] adblPeriodFundingBenefitAdjustment1 = fgpaa2014_1.periodFundingBenefitAdjustment();

        double[] adblPeriodSymmetricFundingValueAdjustment1 = fgpaa2014_1.periodSymmetricFundingValueAdjustment();

        double[] adblPeriodDebtAdjustment2 = ngpaa2014_2.periodDebtAdjustment();

        double[] adblPeriodFundingValueAdjustment2 = fgpaa2014_2.periodFundingValueAdjustment();

        double[] adblPeriodFundingDebtAdjustment2 = fgpaa2014_2.periodFundingDebtAdjustment();

        double[] adblPeriodFundingCostAdjustment2 = fgpaa2014_2.periodFundingCostAdjustment();

        double[] adblPeriodFundingBenefitAdjustment2 = fgpaa2014_2.periodFundingBenefitAdjustment();

        double[] adblPeriodSymmetricFundingValueAdjustment2 = fgpaa2014_2.periodSymmetricFundingValueAdjustment();

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

        System.out.println ("\t|                             DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS                              ||");

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

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

        System.out.println ("\t|          - Path #1 Debt Valuation Adjustment                                                                                                                                       ||");

        System.out.println ("\t|          - Path #1 Funding Valuation Adjustment                                                                                                                                    ||");

        System.out.println ("\t|          - Path #1 Funding Debt Adjustment                                                                                                                                         ||");

        System.out.println ("\t|          - Path #1 Funding Cost Adjustment                                                                                                                                         ||");

        System.out.println ("\t|          - Path #1 Funding Benefit Adjustment                                                                                                                                      ||");

        System.out.println ("\t|          - Path #1 Symmatric Funding Valuation Adjustment                                                                                                                          ||");

        System.out.println ("\t|          - Path #2 Debt Valuation Adjustment                                                                                                                                       ||");

        System.out.println ("\t|          - Path #2 Funding Valuation Adjustment                                                                                                                                    ||");

        System.out.println ("\t|          - Path #2 Funding Debt Adjustment                                                                                                                                         ||");

        System.out.println ("\t|          - Path #2 Funding Cost Adjustment                                                                                                                                         ||");

        System.out.println ("\t|          - Path #2 Funding Benefit Adjustment                                                                                                                                      ||");

        System.out.println ("\t|          - Path #2 Symmatric Funding Valuation Adjustment                                                                                                                          ||");

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

        for (int i = 1; i <= iNumStep; ++i) {
            System.out.println ("\t| [" +
                adtVertex[i - 1] + " -> " + adtVertex[i] + "] => " +
                FormatUtil.FormatDouble (adblPeriodDebtAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingValueAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingDebtAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingCostAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingBenefitAdjustment1[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodSymmetricFundingValueAdjustment1[i - 1], 1, 6, 1.) + " || " +
                FormatUtil.FormatDouble (adblPeriodDebtAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingValueAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingDebtAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingCostAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodFundingBenefitAdjustment2[i - 1], 1, 6, 1.) + " | " +
                FormatUtil.FormatDouble (adblPeriodSymmetricFundingValueAdjustment2[i - 1], 1, 6, 1.) + " || "
            );
        }

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

        System.out.println();

        ExposureAdjustmentAggregator eaa = new ExposureAdjustmentAggregator (
            new MonoPathExposureAdjustment[] {
                new MonoPathExposureAdjustment (
                    new AlbaneseAndersenFundingGroupPath[] {fgpaa2014_1}
                ),
                new MonoPathExposureAdjustment (
                    new AlbaneseAndersenFundingGroupPath[] {fgpaa2014_2}
                )
            }
        );

        JulianDate[] adtVertexNode = eaa.vertexDates();

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

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

        for (int i = 0; i < adtVertexNode.length; ++i)
            strDump = strDump + " " + adtVertexNode[i] + " |";

        System.out.println (strDump);

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

        double[] adblExposure = eaa.collateralizedExposure();

        strDump = "\t|       EXPOSURE       =>";

        for (int j = 0; j < adblExposure.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblExposure[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

        double[] adblPositiveExposure = eaa.collateralizedPositiveExposure();

        strDump = "\t|  POSITIVE EXPOSURE   =>";

        for (int j = 0; j < adblPositiveExposure.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblPositiveExposure[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

        double[] adblNegativeExposure = eaa.collateralizedNegativeExposure();

        strDump = "\t|  NEGATIVE EXPOSURE   =>";

        for (int j = 0; j < adblNegativeExposure.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblNegativeExposure[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

        double[] adblExposurePV = eaa.collateralizedExposurePV();

        strDump = "\t|      EXPOSURE PV     =>";

        for (int j = 0; j < adblExposurePV.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblExposurePV[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

        double[] adblPositiveExposurePV = eaa.collateralizedPositiveExposurePV();

        strDump = "\t| POSITIVE EXPOSURE PV =>";

        for (int j = 0; j < adblPositiveExposurePV.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblPositiveExposurePV[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

        double[] adblNegativeExposurePV = eaa.collateralizedNegativeExposurePV();

        strDump = "\t| NEGATIVE EXPOSURE PV =>";

        for (int j = 0; j < adblNegativeExposurePV.length; ++j)
            strDump = strDump + "   " + FormatUtil.FormatDouble (adblNegativeExposurePV[j], 1, 4, 1.) + "   |";

        System.out.println (strDump);

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

        System.out.println();

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

        System.out.println ("\t||  UCVA  => " + FormatUtil.FormatDouble (eaa.ucva().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t|| FTDCVA => " + FormatUtil.FormatDouble (eaa.ftdcva().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  CVA   => " + FormatUtil.FormatDouble (eaa.cva().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  CVACL => " + FormatUtil.FormatDouble (eaa.cvacl().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  DVA   => " + FormatUtil.FormatDouble (eaa.dva().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  FVA   => " + FormatUtil.FormatDouble (eaa.fva().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  FDA   => " + FormatUtil.FormatDouble (eaa.fda().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  FCA   => " + FormatUtil.FormatDouble (eaa.fca().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  FBA   => " + FormatUtil.FormatDouble (eaa.fba().amount(), 2, 2, 100.) + "% ||");

        System.out.println ("\t||  SFVA  => " + FormatUtil.FormatDouble (eaa.sfva().amount(), 2, 2, 100.) + "% ||");

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

        System.out.println();

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

        System.out.println ("\t|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||");

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

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

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

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

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

        for (int i = 0; i <= iNumStep; ++i) {
            ReplicationPortfolioVertexDealer rpvb = aBKV1[i].dealerReplicationPortfolio();

            System.out.println ("\t|| [" + adtVertex[i] + "] =>   " +
                FormatUtil.FormatDouble (rpvb.seniorNumeraireHoldings(), 1, 3, 1.) + "  |  " +
                FormatUtil.FormatDouble (rpvb.subordinateNumeraireHoldings(), 1, 3, 1.) + "   || "
            );
        }

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

        System.out.println();

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

        System.out.println ("\t|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||");

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

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

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

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

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

        for (int i = 0; i <= iNumStep; ++i) {
            ReplicationPortfolioVertexDealer rpvb = aBKV2[i].dealerReplicationPortfolio();

            System.out.println ("\t|| [" + adtVertex[i] + "] =>   " +
                FormatUtil.FormatDouble (rpvb.seniorNumeraireHoldings(), 1, 3, 1.) + "  |  " +
                FormatUtil.FormatDouble (rpvb.subordinateNumeraireHoldings(), 1, 3, 1.) + "   || "
            );
        }

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

        System.out.println();

        EnvManager.TerminateEnv();
    }
}