Adding valuation over margin limit increments

Author: RKP1101

src/main/java/net/finmath/smartcontract/simulation/ExcelTableWriter.java

@@ -0,0 +1,140 @@
+package net.finmath.smartcontract.simulation;
+
+import java.io.Closeable;
+import java.io.IOException;
+import java.io.InputStream;
+import java.io.OutputStream;
+import java.nio.file.Files;
+import java.nio.file.Path;
+import java.util.LinkedHashMap;
+import java.util.List;
+import java.util.Objects;
+
+import org.apache.poi.ss.usermodel.Cell;
+import org.apache.poi.ss.usermodel.CellStyle;
+import org.apache.poi.ss.usermodel.CellType;
+import org.apache.poi.ss.usermodel.DataFormat;
+import org.apache.poi.ss.usermodel.Row;
+import org.apache.poi.ss.usermodel.Sheet;
+import org.apache.poi.ss.usermodel.Workbook;
+import org.apache.poi.ss.usermodel.WorkbookFactory;
+import org.apache.poi.xssf.usermodel.XSSFWorkbook;
+
+public class ExcelTableWriter implements Closeable {
+	
+	private final Path path;
+    private final Workbook wb;
+
+    private final CellStyle numericStyle;
+
+    public ExcelTableWriter(Path path) throws IOException {
+        this.path = path;
+
+        if (Files.exists(path)) {
+            try (InputStream in = Files.newInputStream(path)) {
+                this.wb = WorkbookFactory.create(in);
+            }
+        } else {
+            this.wb = new XSSFWorkbook();
+        }
+
+        DataFormat df = wb.createDataFormat();
+
+        numericStyle = wb.createCellStyle();
+        numericStyle.setDataFormat(df.getFormat("0.###############"));
+    }
+    
+    
+    /**
+     * Writes a "column table" to a sheet.
+     *
+     * @param sheetName    sheet to write into
+     * @param columns      LinkedHashMap preserves column order
+     * @param replaceSheet if true, deletes existing sheet with same name
+     * @param autosize     if true, autosize columns (can be slow on big sheets)
+     */
+    public void writeTable(
+            String sheetName,
+            LinkedHashMap<String, ? extends List<?>> columns,
+            boolean replaceSheet,
+            boolean autosize
+    ) {
+        Objects.requireNonNull(sheetName, "sheetName");
+        Objects.requireNonNull(columns, "columns");
+
+        if (columns.isEmpty()) {
+            throw new IllegalArgumentException("No columns provided.");
+        }
+
+        // Determine row count (max length)
+        int rowCount = columns.values().stream().mapToInt(List::size).max().orElse(0);
+
+        Sheet sheet = getOrCreateSheet(sheetName, replaceSheet);
+
+        // Header
+        Row header = sheet.createRow(0);
+        int colIdx = 0;
+        for (String name : columns.keySet()) {
+            Cell cell = header.createCell(colIdx++, CellType.STRING);
+            cell.setCellValue(name);
+        }
+
+        // Data
+        for (int r = 0; r < rowCount; r++) {
+            Row row = sheet.createRow(r + 1);
+
+            colIdx = 0;
+            for (List<?> col : columns.values()) {
+                Object value = (r < col.size()) ? col.get(r) : null;
+                writeValue(row.createCell(colIdx++), value);
+            }
+        }
+
+        if (autosize) {
+            for (int c = 0; c < columns.size(); c++) {
+                sheet.autoSizeColumn(c);
+            }
+        }
+    }
+
+    private Sheet getOrCreateSheet(String sheetName, boolean replaceSheet) {
+        Sheet existing = wb.getSheet(sheetName);
+
+        if (existing != null && replaceSheet) {
+            int idx = wb.getSheetIndex(existing);
+            wb.removeSheetAt(idx);
+            return wb.createSheet(sheetName);
+        }
+
+        return existing != null ? existing : wb.createSheet(sheetName);
+    }
+    
+    private void writeValue(Cell cell, Object value) {
+        if (value == null) {
+            cell.setBlank();
+            return;
+        }
+
+        if (value instanceof Number n) {
+            cell.setCellValue(n.doubleValue());
+            cell.setCellStyle(numericStyle);
+            return;
+        }
+
+        // Fallback: string
+        cell.setCellValue(String.valueOf(value));
+    }
+    
+    public void save() throws IOException {
+        Files.createDirectories(path.toAbsolutePath().getParent());
+        try (OutputStream out = Files.newOutputStream(path)) {
+            wb.write(out);
+        }
+    }
+    
+	@Override
+	public void close() throws IOException {
+		wb.close();
+	}
+
+}

src/main/java/net/finmath/smartcontract/simulation/InterestRateAnalyticCalibrator.java

@@ -45,15 +45,11 @@ public enum CURVE_NAME {
 		ESTR,
 		EURIBOR06M
 	}
-	
-	
-	
+
 	private HashMap<CURVE_NAME, List<CalibrationDataItem>> fixings = new HashMap<>();
 
 	public InterestRateAnalyticCalibrator() {
 	}
-	
-	
 
 	public AnalyticModel getCalibratedModel(LocalDate referenceDate, double[] discountCurveQuotes, double[] forwardCurveQuotes) throws CloneNotSupportedException, SolverException {
 
@@ -246,7 +242,7 @@ private static CalibratedCurves.CalibrationSpec[] getCalibrationSpecsEur6M(Local
 			specs[i] = new CalibratedCurves.CalibrationSpec("EUR-" + tenorLabel + maturities[i], "FRA", scheduleInterfaceFinal, FORWARD_EUR_6M, quotes[i], DISCOUNT_EUR_OIS, null, "", 0.0, null, FORWARD_EUR_6M, calibrationTime);
 		}
 		// 6M Swaps
-		for (int i=8; i < quotes.length; i++) {
+		for (int i=7; i < quotes.length; i++) {
 			Schedule scheduleInterfaceRec = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequencyFloat[i], daycountConventionsFloat[i], "first", "modfollow", new BusinessdayCalendarExcludingTARGETHolidays(), -2, 0);
 			Schedule scheduleInterfacePay = ScheduleGenerator.createScheduleFromConventions(referenceDate, 2, "0D", maturities[i], frequency[i], daycountConventions[i], "first", "modfollow", new BusinessdayCalendarExcludingTARGETHolidays(), -2, 0);
 			double calibrationTime = scheduleInterfaceRec.getFixing(scheduleInterfaceRec.getNumberOfPeriods() - 1);

src/main/java/net/finmath/smartcontract/simulation/MarketDataLoader.java

@@ -19,6 +19,7 @@ public MarketDataLoader(Path csvPath) {
         this.csvPath = csvPath;
     }
 
+    // Skips all entries that are not business dates
     public List<MarketDataSnapshot> load(BusinessdayCalendar businessdayCalendar) throws IOException {
         List<MarketDataSnapshot> snapshots = new ArrayList<>();
 
@@ -52,6 +53,7 @@ public List<MarketDataSnapshot> load(BusinessdayCalendar businessdayCalendar) th
 
                 snapshots.add(new MarketDataSnapshot(date, quotes));
             }
+            Collections.reverse(snapshots);
         }
 
         return snapshots;

src/main/java/net/finmath/smartcontract/simulation/MarketDataSnapshot.java

@@ -1,6 +1,7 @@
 package net.finmath.smartcontract.simulation;
 
 import java.time.LocalDate;
+import java.util.Arrays;
 
 
 public class MarketDataSnapshot {
@@ -21,13 +22,8 @@ public double[] getQuotes() {
     }
 
     // Assumes the fixing is stored in the first entry of quotes
-    // TODO google for optimization
     public double[] getQuotesWithoutFixing() {
-    	double[] quotesWithoutFixing = new double[this.quotes.length - 1];
-    	for (int i = 1; i < quotes.length; i++) {
-    		quotesWithoutFixing[i - 1] = this.quotes[i]; 
-    	}
-    	return quotesWithoutFixing;
+    	 return Arrays.copyOfRange(this.quotes, 1, this.quotes.length);
     }
 
     // Assumes the fixing is stored in the first entry of quotes