PositionGroupTrajectory.java

  1. package org.drip.xva.dynamics;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>PositionGroupTrajectory</i> generates the Customized Position Group Trajectories. The References are:
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management,
  85.  *              and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301
  86.  *              <b>eSSRN</b>
  87.  *      </li>
  88.  *      <li>
  89.  *          Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs <i>Risk</i> <b>24 (12)</b>
  90.  *              82-87
  91.  *      </li>
  92.  *      <li>
  93.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  94.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  95.  *      </li>
  96.  *      <li>
  97.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  98.  *      </li>
  99.  *      <li>
  100.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  101.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  * <br><br>
  113.  * 
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class PositionGroupTrajectory
  118. {
  119.     private double[][] _positionGroupArrayVertex = null;
  120.     private org.drip.exposure.universe.MarketPath _marketPath = null;
  121.     private org.drip.xva.proto.PositionGroupSpecification _positionGroupSpecification = null;

  123.     private org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator (
  124.         final int positionGroupIndex,
  125.         final int vertexIndex)
  126.     {
  127.         int brokenDateScheme = _positionGroupSpecification.brokenDateScheme();

  129.         org.drip.analytics.date.JulianDate[] vertexDateArray = _marketPath.anchorDates();

  131.         try
  132.         {
  133.             if (org.drip.xva.settings.BrokenDateScheme.LINEAR_TIME == brokenDateScheme)
  134.             {
  135.                 return 0 == vertexIndex ? null : new org.drip.measure.bridge.BrokenDateInterpolatorLinearT (
  136.                     vertexDateArray[vertexIndex - 1].julian(),
  137.                     vertexDateArray[vertexIndex].julian(),
  138.                     _positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
  139.                     _positionGroupArrayVertex[positionGroupIndex][vertexIndex]
  140.                 );
  141.             }

  143.             if (org.drip.xva.settings.BrokenDateScheme.SQUARE_ROOT_OF_TIME == brokenDateScheme)
  144.             {
  145.                 return 0 == vertexIndex ? null : new org.drip.measure.bridge.BrokenDateInterpolatorSqrtT (
  146.                     vertexDateArray[vertexIndex - 1].julian(),
  147.                     vertexDateArray[vertexIndex].julian(),
  148.                     _positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
  149.                     _positionGroupArrayVertex[positionGroupIndex][vertexIndex]
  150.                 );
  151.             }

  153.             if (org.drip.xva.settings.BrokenDateScheme.THREE_POINT_BROWNIAN_BRIDGE == brokenDateScheme)
  154.             {
  155.                 return 0 == vertexIndex || 1 == vertexIndex ? null : new
  156.                     org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P (
  157.                         vertexDateArray[vertexIndex - 2].julian(),
  158.                         vertexDateArray[vertexIndex - 1].julian(),
  159.                         vertexDateArray[vertexIndex].julian(),
  160.                         _positionGroupArrayVertex[positionGroupIndex][vertexIndex - 2],
  161.                         _positionGroupArrayVertex[positionGroupIndex][vertexIndex - 1],
  162.                         _positionGroupArrayVertex[positionGroupIndex][vertexIndex]
  163.                     );
  164.             }
  165.         }
  166.         catch (java.lang.Exception e)
  167.         {
  168.             e.printStackTrace();
  169.         }

  171.         return null;
  172.     }

  174.     private double collateralBalance (
  175.         final int positionGroupIndex,
  176.         final int vertexIndex)
  177.         throws java.lang.Exception
  178.     {
  179.         org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator = brokenDateInterpolator (
  180.             positionGroupIndex,
  181.             vertexIndex
  182.         );

  184.         return null == brokenDateInterpolator ? 0. : new org.drip.exposure.mpor.CollateralAmountEstimator (
  185.             _positionGroupSpecification,
  186.             brokenDateInterpolator,
  187.             java.lang.Double.NaN
  188.         ).postingRequirement (_marketPath.anchorDates()[vertexIndex]);
  189.     }

  191.     private double[][] positionGroupCollateralBalanceArray()
  192.     {
  193.         int vertexCount = _marketPath.anchorDates().length;

  195.         int positionGroupCount = _positionGroupArrayVertex.length;
  196.         double[][] collateralBalanceArray = new double[positionGroupCount][vertexCount];

  198.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  199.         {
  200.             for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
  201.             {
  202.                 try
  203.                 {
  204.                     collateralBalanceArray[positionGroupIndex][vertexIndex] = collateralBalance (
  205.                         positionGroupIndex,
  206.                         vertexIndex
  207.                     );
  208.                 }
  209.                 catch (java.lang.Exception e)
  210.                 {
  211.                     e.printStackTrace();

  213.                     return null;
  214.                 }
  215.             }
  216.         }

  218.         return collateralBalanceArray;
  219.     }

  221.     private org.drip.xva.hypothecation.CollateralGroupVertex positionGroupVertex (
  222.         final org.drip.analytics.date.JulianDate anchorDate,
  223.         final double positionGroupValue,
  224.         final double realizedCashFlow,
  225.         final double collateralBalance,
  226.         final org.drip.exposure.universe.MarketVertex marketVertexLeft,
  227.         final org.drip.exposure.universe.MarketVertex marketVertexRight)
  228.     {
  229.         int closeOutScheme = _positionGroupSpecification.closeOutScheme();

  231.         int positionReplicationScheme = _positionGroupSpecification.positionReplicationScheme();

  233.         org.drip.xva.definition.CloseOut closeOut =
  234.             org.drip.xva.settings.CloseOutScheme.ISDA_92 == closeOutScheme ? null :
  235.                 org.drip.xva.definition.CloseOutBilateral.Market (marketVertexRight);

  237.         try
  238.         {
  239.             if (org.drip.xva.settings.PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX ==
  240.                 positionReplicationScheme)
  241.             {
  242.                 return new org.drip.xva.vertex.AlbaneseAndersen (
  243.                     anchorDate,
  244.                     positionGroupValue,
  245.                     realizedCashFlow,
  246.                     collateralBalance
  247.                 );
  248.             }

  250.             if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX ==
  251.                 positionReplicationScheme)
  252.             {
  253.                 return null != marketVertexLeft ?
  254.                     org.drip.xva.vertex.BurgardKjaerBuilder.HedgeErrorDualBond (
  255.                         anchorDate,
  256.                         positionGroupValue,
  257.                         realizedCashFlow,
  258.                         collateralBalance,
  259.                         _positionGroupSpecification.hedgeError(),
  260.                         new org.drip.exposure.universe.MarketEdge (
  261.                             marketVertexLeft,
  262.                             marketVertexRight
  263.                         ),
  264.                         closeOut
  265.                     ) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
  266.                         anchorDate,
  267.                         positionGroupValue,
  268.                         marketVertexRight,
  269.                         closeOut
  270.                     );
  271.             }

  273.             if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX
  274.                 == positionReplicationScheme)
  275.             {
  276.                 return null != marketVertexLeft ?
  277.                     org.drip.xva.vertex.BurgardKjaerBuilder.SemiReplicationDualBond (
  278.                         anchorDate,
  279.                         positionGroupValue,
  280.                         realizedCashFlow,
  281.                         collateralBalance,
  282.                         new org.drip.exposure.universe.MarketEdge (
  283.                             marketVertexLeft,
  284.                             marketVertexRight
  285.                         ),
  286.                         closeOut
  287.                     ) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
  288.                         anchorDate,
  289.                         positionGroupValue,
  290.                         marketVertexRight,
  291.                         closeOut
  292.                     );
  293.             }

  295.             if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX
  296.                 == positionReplicationScheme)
  297.             {
  298.                 return null != marketVertexLeft ?
  299.                     org.drip.xva.vertex.BurgardKjaerBuilder.GoldPlatedTwoWayCSA (
  300.                         anchorDate,
  301.                         positionGroupValue,
  302.                         realizedCashFlow,
  303.                         new org.drip.exposure.universe.MarketEdge (
  304.                             marketVertexLeft,
  305.                             marketVertexRight
  306.                         ),
  307.                         closeOut
  308.                     ) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
  309.                         anchorDate,
  310.                         positionGroupValue,
  311.                         marketVertexRight,
  312.                         closeOut
  313.                     );
  314.             }

  316.             if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_ONE_WAY_CSA_VERTEX ==
  317.                 positionReplicationScheme)
  318.             {
  319.                 return null != marketVertexLeft ?
  320.                     org.drip.xva.vertex.BurgardKjaerBuilder.OneWayCSA (
  321.                         anchorDate,
  322.                         positionGroupValue,
  323.                         realizedCashFlow,
  324.                         new org.drip.exposure.universe.MarketEdge (
  325.                             marketVertexLeft,
  326.                             marketVertexRight
  327.                         ),
  328.                         closeOut
  329.                     ) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
  330.                         anchorDate,
  331.                         positionGroupValue,
  332.                         marketVertexRight,
  333.                         closeOut
  334.                     );
  335.             }

  337.             if (org.drip.xva.settings.PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX ==
  338.                 positionReplicationScheme)
  339.             {
  340.                 return null != marketVertexLeft ?
  341.                     org.drip.xva.vertex.BurgardKjaerBuilder.SetOff (
  342.                         anchorDate,
  343.                         positionGroupValue,
  344.                         realizedCashFlow,
  345.                         collateralBalance,
  346.                         new org.drip.exposure.universe.MarketEdge (
  347.                             marketVertexLeft,
  348.                             marketVertexRight
  349.                         )
  350.                     ) : org.drip.xva.vertex.BurgardKjaerBuilder.Initial (
  351.                         anchorDate,
  352.                         positionGroupValue,
  353.                         marketVertexRight,
  354.                         closeOut
  355.                     );
  356.             }
  357.         }
  358.         catch (java.lang.Exception e)
  359.         {
  360.             e.printStackTrace();
  361.         }

  363.         return null;
  364.     }

  366.     /**
  367.      * PositionGroupTrajectory Constructor
  368.      * 
  369.      * @param positionGroupSpecification The Position Group Specification
  370.      * @param marketPath The Market Path
  371.      * @param positionGroupArrayVertex Vertexes of the Position Group Array
  372.      * 
  373.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  374.      */

  376.     public PositionGroupTrajectory (
  377.         final org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification,
  378.         final org.drip.exposure.universe.MarketPath marketPath,
  379.         final double[][] positionGroupArrayVertex)
  380.         throws java.lang.Exception
  381.     {
  382.         if (null == (_positionGroupSpecification = positionGroupSpecification) ||
  383.             null == (_marketPath = marketPath) ||
  384.             null == (_positionGroupArrayVertex = positionGroupArrayVertex))
  385.         {
  386.             throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
  387.         }

  389.         int positionGroupCount = _positionGroupArrayVertex.length;

  391.         if (0 == positionGroupCount)
  392.         {
  393.             throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
  394.         }

  396.         int vertexCount = _marketPath.anchorDates().length;

  398.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  399.         {
  400.             if (null == _positionGroupArrayVertex[positionGroupIndex] ||
  401.                 vertexCount != _positionGroupArrayVertex[positionGroupIndex].length ||
  402.                 !org.drip.numerical.common.NumberUtil.IsValid (_positionGroupArrayVertex[positionGroupIndex]))
  403.             {
  404.                 throw new java.lang.Exception ("PositionGroupTrajectory Constructor => Invalid Inputs");
  405.             }
  406.         }
  407.     }

  409.     /**
  410.      * Retrieve the Position Group Specification
  411.      * 
  412.      * @return The Position Group Specification
  413.      */

  415.     public org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification()
  416.     {
  417.         return _positionGroupSpecification;
  418.     }

  420.     /**
  421.      * Retrieve the Market Path
  422.      * 
  423.      * @return The Market Path
  424.      */

  426.     public org.drip.exposure.universe.MarketPath marketPath()
  427.     {
  428.         return _marketPath;
  429.     }

  431.     /**
  432.      * Retrieve the Position Group Array Vertex Value
  433.      * 
  434.      * @return The Position Group Array Vertex Value
  435.      */

  437.     public double[][] positionGroupArrayVertex()
  438.     {
  439.         return _positionGroupArrayVertex;
  440.     }

  442.     /**
  443.      * Generate the Position Collateral Group Vertex Array
  444.      * 
  445.      * @return The Position Collateral Group Vertex Array
  446.      */

  448.     public org.drip.xva.hypothecation.CollateralGroupVertex[][] positionGroupVertexArray()
  449.     {
  450.         double[][] collateralBalanceArray = positionGroupCollateralBalanceArray();

  452.         if (null == collateralBalanceArray)
  453.         {
  454.             return null;
  455.         }

  457.         org.drip.analytics.date.JulianDate[] vertexDateArray = _marketPath.anchorDates();

  459.         int vertexCount = vertexDateArray.length;
  460.         int positionGroupCount = _positionGroupArrayVertex.length;
  461.         org.drip.xva.hypothecation.CollateralGroupVertex[][] positionGroupVertexArray = new
  462.             org.drip.xva.hypothecation.CollateralGroupVertex[positionGroupCount][vertexCount];

  464.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  465.         {
  466.             for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
  467.             {
  468.                 org.drip.analytics.date.JulianDate vertexDate = vertexDateArray[vertexIndex];

  470.                 try
  471.                 {
  472.                     positionGroupVertexArray[positionGroupIndex][vertexIndex] = positionGroupVertex (
  473.                         vertexDateArray[vertexIndex],
  474.                         _positionGroupArrayVertex[positionGroupIndex][vertexIndex],
  475.                         0.,
  476.                         collateralBalanceArray[positionGroupIndex][vertexIndex],
  477.                         0 == vertexIndex ? null :
  478.                             _marketPath.marketVertex (vertexDateArray[vertexIndex - 1].julian()),
  479.                             _marketPath.marketVertex (vertexDate.julian())
  480.                     );
  481.                 }
  482.                 catch (java.lang.Exception e)
  483.                 {
  484.                     e.printStackTrace();

  486.                     return null;
  487.                 }
  488.             }
  489.         }

  491.         return positionGroupVertexArray;
  492.     }
  493. }
Created with JaCoCo 0.7.9.201702052155