PositionGroupTrajectory.java
package org.drip.xva.dynamics;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* 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.
*/
/**
* <i>PositionGroupTrajectory</i> generates the Customized Position Group Trajectories. The References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management,
* and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301
* <b>eSSRN</b>
* </li>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs <i>Risk</i> <b>24 (12)</b>
* 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
* Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
* <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/README.md">Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/dynamics/README.md">XVA Dynamics - Settings and Evolution</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class PositionGroupTrajectory
{
private double[][] _positionGroupArrayVertex = null;
private org.drip.exposure.universe.MarketPath _marketPath = null;
private org.drip.xva.proto.PositionGroupSpecification _positionGroupSpecification = null;
private org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator (
final int positionGroupIndex,
final int vertexIndex)
{
int brokenDateScheme = _positionGroupSpecification.brokenDateScheme();
org.drip.analytics.date.JulianDate[] vertexDateArray = _marketPath.anchorDates();
try
{
if (org.drip.xva.settings.BrokenDateScheme.LINEAR_TIME == brokenDateScheme)
{
return 0 == vertexIndex ? null : new org.drip.measure.bridge.BrokenDateInterpolatorLinearT (
vertexDateArray[vertexIndex - 1].julian(),
vertexDateArray[vertexIndex].julian(),
_positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
_positionGroupArrayVertex[positionGroupIndex][vertexIndex]
);
}
if (org.drip.xva.settings.BrokenDateScheme.SQUARE_ROOT_OF_TIME == brokenDateScheme)
{
return 0 == vertexIndex ? null : new org.drip.measure.bridge.BrokenDateInterpolatorSqrtT (
vertexDateArray[vertexIndex - 1].julian(),
vertexDateArray[vertexIndex].julian(),
_positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
_positionGroupArrayVertex[positionGroupIndex][vertexIndex]
);
}
if (org.drip.xva.settings.BrokenDateScheme.THREE_POINT_BROWNIAN_BRIDGE == brokenDateScheme)
{
return 0 == vertexIndex || 1 == vertexIndex ? null : new
org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P (
vertexDateArray[vertexIndex - 2].julian(),
vertexDateArray[vertexIndex - 1].julian(),
vertexDateArray[vertexIndex].julian(),
_positionGroupArrayVertex[positionGroupIndex][vertexIndex - 2],
_positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
_positionGroupArrayVertex[positionGroupIndex][vertexIndex]
);
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private double collateralBalance (
final int positionGroupIndex,
final int vertexIndex)
throws java.lang.Exception
{
org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator = brokenDateInterpolator (
positionGroupIndex,
vertexIndex
);
return null == brokenDateInterpolator ? 0. : new org.drip.exposure.mpor.CollateralAmountEstimator (
_positionGroupSpecification,
brokenDateInterpolator,
java.lang.Double.NaN
).postingRequirement (_marketPath.anchorDates()[vertexIndex]);
}
private double[][] positionGroupCollateralBalanceArray()
{
int vertexCount = _marketPath.anchorDates().length;
int positionGroupCount = _positionGroupArrayVertex.length;
double[][] collateralBalanceArray = new double[positionGroupCount][vertexCount];
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
{
try
{
collateralBalanceArray[positionGroupIndex][vertexIndex] = collateralBalance (
positionGroupIndex,
vertexIndex
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
}
return collateralBalanceArray;
}
private org.drip.xva.hypothecation.CollateralGroupVertex positionGroupVertex (
final org.drip.analytics.date.JulianDate anchorDate,
final double positionGroupValue,
final double realizedCashFlow,
final double collateralBalance,
final org.drip.exposure.universe.MarketVertex marketVertexLeft,
final org.drip.exposure.universe.MarketVertex marketVertexRight)
{
int closeOutScheme = _positionGroupSpecification.closeOutScheme();
int positionReplicationScheme = _positionGroupSpecification.positionReplicationScheme();
org.drip.xva.definition.CloseOut closeOut =
org.drip.xva.settings.CloseOutScheme.ISDA_92 == closeOutScheme ? null :
org.drip.xva.definition.CloseOutBilateral.Market (marketVertexRight);
try
{
if (org.drip.xva.settings.PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX ==
positionReplicationScheme)
{
return new org.drip.xva.vertex.AlbaneseAndersen (
anchorDate,
positionGroupValue,
realizedCashFlow,
collateralBalance
);
}
if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX ==
positionReplicationScheme)
{
return null != marketVertexLeft ?
org.drip.xva.vertex.BurgardKjaerBuilder.HedgeErrorDualBond (
anchorDate,
positionGroupValue,
realizedCashFlow,
collateralBalance,
_positionGroupSpecification.hedgeError(),
new org.drip.exposure.universe.MarketEdge (
marketVertexLeft,
marketVertexRight
),
closeOut
) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
anchorDate,
positionGroupValue,
marketVertexRight,
closeOut
);
}
if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX
== positionReplicationScheme)
{
return null != marketVertexLeft ?
org.drip.xva.vertex.BurgardKjaerBuilder.SemiReplicationDualBond (
anchorDate,
positionGroupValue,
realizedCashFlow,
collateralBalance,
new org.drip.exposure.universe.MarketEdge (
marketVertexLeft,
marketVertexRight
),
closeOut
) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
anchorDate,
positionGroupValue,
marketVertexRight,
closeOut
);
}
if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX
== positionReplicationScheme)
{
return null != marketVertexLeft ?
org.drip.xva.vertex.BurgardKjaerBuilder.GoldPlatedTwoWayCSA (
anchorDate,
positionGroupValue,
realizedCashFlow,
new org.drip.exposure.universe.MarketEdge (
marketVertexLeft,
marketVertexRight
),
closeOut
) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
anchorDate,
positionGroupValue,
marketVertexRight,
closeOut
);
}
if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_ONE_WAY_CSA_VERTEX ==
positionReplicationScheme)
{
return null != marketVertexLeft ?
org.drip.xva.vertex.BurgardKjaerBuilder.OneWayCSA (
anchorDate,
positionGroupValue,
realizedCashFlow,
new org.drip.exposure.universe.MarketEdge (
marketVertexLeft,
marketVertexRight
),
closeOut
) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
anchorDate,
positionGroupValue,
marketVertexRight,
closeOut
);
}
if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX ==
positionReplicationScheme)
{
return null != marketVertexLeft ?
org.drip.xva.vertex.BurgardKjaerBuilder.SetOff (
anchorDate,
positionGroupValue,
realizedCashFlow,
collateralBalance,
new org.drip.exposure.universe.MarketEdge (
marketVertexLeft,
marketVertexRight
)
) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
anchorDate,
positionGroupValue,
marketVertexRight,
closeOut
);
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* PositionGroupTrajectory Constructor
*
* @param positionGroupSpecification The Position Group Specification
* @param marketPath The Market Path
* @param positionGroupArrayVertex Vertexes of the Position Group Array
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PositionGroupTrajectory (
final org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification,
final org.drip.exposure.universe.MarketPath marketPath,
final double[][] positionGroupArrayVertex)
throws java.lang.Exception
{
if (null == (_positionGroupSpecification = positionGroupSpecification) ||
null == (_marketPath = marketPath) ||
null == (_positionGroupArrayVertex = positionGroupArrayVertex))
{
throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
}
int positionGroupCount = _positionGroupArrayVertex.length;
if (0 == positionGroupCount)
{
throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
}
int vertexCount = _marketPath.anchorDates().length;
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
if (null == _positionGroupArrayVertex[positionGroupIndex] ||
vertexCount != _positionGroupArrayVertex[positionGroupIndex].length ||
!org.drip.numerical.common.NumberUtil.IsValid (_positionGroupArrayVertex[positionGroupIndex]))
{
throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
}
}
}
/**
* Retrieve the Position Group Specification
*
* @return The Position Group Specification
*/
public org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification()
{
return _positionGroupSpecification;
}
/**
* Retrieve the Market Path
*
* @return The Market Path
*/
public org.drip.exposure.universe.MarketPath marketPath()
{
return _marketPath;
}
/**
* Retrieve the Position Group Array Vertex Value
*
* @return The Position Group Array Vertex Value
*/
public double[][] positionGroupArrayVertex()
{
return _positionGroupArrayVertex;
}
/**
* Generate the Position Collateral Group Vertex Array
*
* @return The Position Collateral Group Vertex Array
*/
public org.drip.xva.hypothecation.CollateralGroupVertex[][] positionGroupVertexArray()
{
double[][] collateralBalanceArray = positionGroupCollateralBalanceArray();
if (null == collateralBalanceArray)
{
return null;
}
org.drip.analytics.date.JulianDate[] vertexDateArray = _marketPath.anchorDates();
int vertexCount = vertexDateArray.length;
int positionGroupCount = _positionGroupArrayVertex.length;
org.drip.xva.hypothecation.CollateralGroupVertex[][] positionGroupVertexArray = new
org.drip.xva.hypothecation.CollateralGroupVertex[positionGroupCount][vertexCount];
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
{
org.drip.analytics.date.JulianDate vertexDate = vertexDateArray[vertexIndex];
try
{
positionGroupVertexArray[positionGroupIndex][vertexIndex] = positionGroupVertex (
vertexDateArray[vertexIndex],
_positionGroupArrayVertex[positionGroupIndex][vertexIndex],
0.,
collateralBalanceArray[positionGroupIndex][vertexIndex],
0 == vertexIndex ? null :
_marketPath.marketVertex (vertexDateArray[vertexIndex - 1].julian()),
_marketPath.marketVertex (vertexDate.julian())
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
}
return positionGroupVertexArray;
}
}