Features:

Bug Fixes/Clean-up: Samples: - OTC Payer CSA Classical+ #1 (1, 2) - OTC Payer CSA Classical+ #2 (3, 4) - OTC Payer CSA Classical+ #3 (5, 6) - OTC Payer CSA Classical+ #4 (7, 8) - OTC Payer CSA Classical+ #5 (9, 10) - OTC Payer CSA Classical+ #6 (11, 12)
lakshmiDRIP · May 23, 2018 · bbdecaf · bbdecaf
1 parent 55441e1
commit bbdecaf
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diff --git a/ReleaseNotes/05_23_2018.txt b/ReleaseNotes/05_23_2018.txt
@@ -0,0 +1,13 @@
+
+Features:
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+	- OTC Payer CSA Classical+ #1 (1, 2)
+	- OTC Payer CSA Classical+ #2 (3, 4)
+	- OTC Payer CSA Classical+ #3 (5, 6)
+	- OTC Payer CSA Classical+ #4 (7, 8)
+	- OTC Payer CSA Classical+ #5 (9, 10)
+	- OTC Payer CSA Classical+ #6 (11, 12)
diff --git a/src/main/java/org/drip/sample/mporfixfloatxva/OTCPayerCSAClassicalPlus.java b/src/main/java/org/drip/sample/mporfixfloatxva/OTCPayerCSAClassicalPlus.java
@@ -42,6 +42,7 @@
 import org.drip.state.identifier.ForwardLabel;
 import org.drip.state.identifier.LatentStateLabel;
 import org.drip.state.identifier.OvernightLabel;
+import org.drip.xva.gross.BaselExposureDigest;
 import org.drip.xva.gross.ExposureAdjustmentAggregator;
 import org.drip.xva.gross.ExposureAdjustmentDigest;
 import org.drip.xva.gross.MonoPathExposureAdjustment;
@@ -50,6 +51,7 @@
 import org.drip.xva.netting.CollateralGroupPath;
 import org.drip.xva.netting.CreditDebtGroupPath;
 import org.drip.xva.netting.FundingGroupPath;
+import org.drip.xva.settings.StandardizedExposureGeneratorScheme;
 import org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath;
 import org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath;
 import org.drip.xva.vertex.AlbaneseAndersen;
@@ -546,6 +548,50 @@ private static final MarketVertexGenerator ConstructMarketVertexGenerator (
 		);
 	}
 
+	private static final void DisplayThinStatistics (
+		final String annotation,
+		final UnivariateDiscreteThin univariateDiscreteThin)
+		throws Exception
+	{
+		System.out.println (
+			annotation + " => " +
+			FormatUtil.FormatDouble (univariateDiscreteThin.average(), 3, 0, 1.) + " | " +
+			FormatUtil.FormatDouble (univariateDiscreteThin.minimum(), 3, 0, 1.) + " | " +
+			FormatUtil.FormatDouble (univariateDiscreteThin.maximum(), 3, 0, 1.) + " | " +
+			FormatUtil.FormatDouble (univariateDiscreteThin.error(), 3, 0, 1.) + " ||"
+		);
+	}
+
+	private static final void DisplayBaselMeasures (
+		final BaselExposureDigest baselExposureDigest)
+		throws Exception
+	{
+		System.out.println (
+			"\t| Expected Exposure                    => " +
+			FormatUtil.FormatDouble (baselExposureDigest.expectedExposure(), 6, 0, 1.) + " ||"
+		);
+
+		System.out.println (
+			"\t| Expected Positive Exposure           => " +
+			FormatUtil.FormatDouble (baselExposureDigest.expectedPositiveExposure(), 6, 0, 1.) + " ||"
+		);
+
+		System.out.println (
+			"\t| Effective Expected Exposure          => " +
+			FormatUtil.FormatDouble (baselExposureDigest.effectiveExpectedExposure(), 6, 0, 1.) + " ||"
+		);
+
+		System.out.println (
+			"\t| Effective Expected Positive Exposure => " +
+			FormatUtil.FormatDouble (baselExposureDigest.effectiveExpectedPositiveExposure(), 6, 0, 1.) + " ||"
+		);
+
+		System.out.println (
+			"\t| Exposure At Default                  => " +
+			FormatUtil.FormatDouble (baselExposureDigest.exposureAtDefault(), 6, 0, 1.) + " ||"
+		);
+	}
+
 	public static final void main (
 		final String[] args)
 		throws Exception
@@ -578,10 +624,20 @@ public static final void main (
 			{0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00, 0.00}, // #8  CLIENT FUNDING REPLICATOR
 			{0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 1.00}, // #9  FORWARD NUMERAIRE
 		};
+
 		String fixFloatMaturityTenor = "1Y";
 		double fixFloatCoupon = 0.02;
 		double fixFloatNotional = -10.e+06;
 
+		double eadMultiplier = 1.;
+		int timeIntegrand = 365;
+
+		StandardizedExposureGeneratorScheme standardizedExposureGeneratorScheme =
+			new StandardizedExposureGeneratorScheme (
+				eadMultiplier,
+				timeIntegrand
+			);
+
 		ForwardLabel forwardLabel = ForwardLabel.Create (
 			currency,
 			"3M"
@@ -774,20 +830,19 @@ public static final void main (
 
 		System.out.println ("\t|---------------------------------------||");
 
-		EnvManager.TerminateEnv();
-	}
+		System.out.println();
 
-	private static final void DisplayThinStatistics (
-		final String annotation,
-		final UnivariateDiscreteThin univariateDiscreteThin)
-		throws Exception
-	{
-		System.out.println (
-			annotation + " => " +
-			FormatUtil.FormatDouble (univariateDiscreteThin.average(), 3, 0, 1.) + " | " +
-			FormatUtil.FormatDouble (univariateDiscreteThin.minimum(), 3, 0, 1.) + " | " +
-			FormatUtil.FormatDouble (univariateDiscreteThin.maximum(), 3, 0, 1.) + " | " +
-			FormatUtil.FormatDouble (univariateDiscreteThin.error(), 3, 0, 1.) + " ||"
-		);
+		System.out.println ("\t|-------------------------------------------------||");
+
+		System.out.println ("\t|             BASEL EXPOSURE MEASURES             ||");
+
+		System.out.println ("\t|-------------------------------------------------||");
+
+		DisplayBaselMeasures (exposureAdjustmentAggregator.baselExposureDigest
+			(standardizedExposureGeneratorScheme));
+
+		System.out.println ("\t|-------------------------------------------------||");
+
+		EnvManager.TerminateEnv();
 	}
 }
diff --git a/src/main/java/org/drip/xva/gross/ExposureAdjustmentAggregator.java b/src/main/java/org/drip/xva/gross/ExposureAdjustmentAggregator.java
@@ -1327,20 +1327,22 @@ public org.drip.xva.gross.BaselExposureDigest baselExposureDigest (
 				return null;
 			}
 
-			int integrandFinish = vertexDateArray[0] + standardizedExposureGeneratorScheme.timeIntegrand();
+			int exposureGeneratorTimeIntegrand = standardizedExposureGeneratorScheme.timeIntegrand();
+
+			int integrandFinishDate = vertexDateArray[0] + exposureGeneratorTimeIntegrand;
 
 			double effectiveExpectedPositiveExposure =
 				multiSegmentSequenceEffectiveCollateralizedPositiveExposure.toAU().integrate (
 					vertexDateArray[0],
-					integrandFinish
-				);
+					integrandFinishDate
+				) / exposureGeneratorTimeIntegrand;
 
 			return new BaselExposureDigest (
-				vertexDateArray[0],
+				collateralizedPositiveExposure[0],
 				multiSegmentSequenceCollateralizedPositiveExposure.toAU().integrate (
 					vertexDateArray[0],
-					integrandFinish
-				),
+					integrandFinishDate
+				) / exposureGeneratorTimeIntegrand,
 				effectiveCollateralizedPositiveExposure[vertexCount - 1],
 				effectiveExpectedPositiveExposure,
 				effectiveExpectedPositiveExposure * standardizedExposureGeneratorScheme.eadMultiplier()