CorrelationCategoryBetaManager.java

  1. package org.drip.capital.allocation;

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

  77. /**
  78.  * <i>CorrelationCategoryBetaManager</i> holds the Beta Loading Map Scheme for the different Correlation
  79.  *  Categories. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  85.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  86.  *      </li>
  87.  *      <li>
  88.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  92.  *      </li>
  93.  *  </ul>
  94.  *
  95.  *  <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  99.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/README.md">Basel Market Risk and Operational Capital</a></li>
  100.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/allocation/README.md">Economic Risk Capital Entity Allocation</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class CorrelationCategoryBetaManager
  107. {

  109.     private java.util.Map<java.lang.Integer, org.drip.capital.allocation.CorrelationCategoryBeta>
  110.         _correlationCategoryBetaMap = null;

  112.     /**
  113.      * Construct the Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager
  114.      * 
  115.      * @param highCorrelationFixedBetaLoading High Correlation Beta FIXED Loading
  116.      * @param mediumCorrelationFloatBetaLoading Medium Correlation Beta FLOAT Loading
  117.      * 
  118.      * @return The Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager
  119.      */

  121.     public static final CorrelationCategoryBetaManager ThreeBetaFixedFloatFloat (
  122.         final double highCorrelationFixedBetaLoading,
  123.         final double mediumCorrelationFloatBetaLoading)
  124.     {
  125.         CorrelationCategoryBetaManager correlationCategoryBetaManager =
  126.             new CorrelationCategoryBetaManager();

  128.         try
  129.         {
  130.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  131.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
  132.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  133.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
  134.                     highCorrelationFixedBetaLoading
  135.                 )
  136.             ))
  137.             {
  138.                 return null;
  139.             }

  141.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  142.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.MEDIUM_CORRELATION,
  143.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  144.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
  145.                     mediumCorrelationFloatBetaLoading
  146.                 )
  147.             ))
  148.             {
  149.                 return null;
  150.             }

  152.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  153.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
  154.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  155.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
  156.                     1.
  157.                 )
  158.             ))
  159.             {
  160.                 return null;
  161.             }

  163.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  164.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
  165.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  166.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
  167.                     -1.
  168.                 )
  169.             ))
  170.             {
  171.                 return null;
  172.             }

  174.         }
  175.         catch (java.lang.Exception e)
  176.         {
  177.             e.printStackTrace();

  179.             return null;
  180.         }

  182.         return correlationCategoryBetaManager;
  183.     }

  185.     /**
  186.      * Construct the Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
  187.      * 
  188.      * @param highCorrelationFixedBetaLoading High Correlation Beta FIXED Loading
  189.      * 
  190.      * @return The Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
  191.      */

  193.     public static final CorrelationCategoryBetaManager TwoBetaFixedFloat (
  194.         final double highCorrelationFixedBetaLoading)
  195.     {
  196.         CorrelationCategoryBetaManager correlationCategoryBetaManager =
  197.             new CorrelationCategoryBetaManager();

  199.         try
  200.         {
  201.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  202.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
  203.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  204.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
  205.                     highCorrelationFixedBetaLoading
  206.                 )
  207.             ))
  208.             {
  209.                 return null;
  210.             }

  212.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  213.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
  214.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  215.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
  216.                     1.
  217.                 )
  218.             ))
  219.             {
  220.                 return null;
  221.             }

  223.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  224.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
  225.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  226.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
  227.                     -1.
  228.                 )
  229.             ))
  230.             {
  231.                 return null;
  232.             }
  233.         }
  234.         catch (java.lang.Exception e)
  235.         {
  236.             e.printStackTrace();

  238.             return null;
  239.         }

  241.         return correlationCategoryBetaManager;
  242.     }

  244.     /**
  245.      * Construct the Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
  246.      * 
  247.      * @param highCorrelationFloatBetaLoading High Correlation Beta FLOAT Loading
  248.      * 
  249.      * @return The Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
  250.      */

  252.     public static final CorrelationCategoryBetaManager TwoBetaFloatFloat (
  253.         final double highCorrelationFloatBetaLoading)
  254.     {
  255.         CorrelationCategoryBetaManager correlationCategoryBetaManager =
  256.             new CorrelationCategoryBetaManager();

  258.         try
  259.         {
  260.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  261.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
  262.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  263.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
  264.                     highCorrelationFloatBetaLoading
  265.                 )
  266.             ))
  267.             {
  268.                 return null;
  269.             }

  271.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  272.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
  273.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  274.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
  275.                     1.
  276.                 )
  277.             ))
  278.             {
  279.                 return null;
  280.             }

  282.             if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
  283.                 org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
  284.                 new org.drip.capital.allocation.CorrelationCategoryBeta (
  285.                     org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
  286.                     -1.
  287.                 )
  288.             ))
  289.             {
  290.                 return null;
  291.             }
  292.         }
  293.         catch (java.lang.Exception e)
  294.         {
  295.             e.printStackTrace();

  297.             return null;
  298.         }

  300.         return correlationCategoryBetaManager;
  301.     }

  303.     /**
  304.      * Empty CorrelationCategoryBetaManager Constructor
  305.      */

  307.     public CorrelationCategoryBetaManager()
  308.     {
  309.     }

  311.     /**
  312.      * Retrieve the Historical Correlation Category Beta Map
  313.      * 
  314.      * @return The Historical Correlation Category Beta Map
  315.      */

  317.     public java.util.Map<java.lang.Integer, org.drip.capital.allocation.CorrelationCategoryBeta>
  318.         correlationCategoryBetaMap()
  319.     {
  320.         return _correlationCategoryBetaMap;
  321.     }

  323.     /**
  324.      * Add the Beta Loading corresponding to the Correlation Category
  325.      * 
  326.      * @param correlationCategory The Correlation Category
  327.      * @param correlationCategoryBeta The Correlation Category Beta Loading
  328.      * 
  329.      * @return TRUE - The Beta Loading successfully added
  330.      */

  332.     public boolean addCorrelationCategoryBeta (
  333.         final int correlationCategory,
  334.         final org.drip.capital.allocation.CorrelationCategoryBeta correlationCategoryBeta)
  335.     {
  336.         if (null == correlationCategoryBeta)
  337.         {
  338.             return false;
  339.         }

  341.         if (null == _correlationCategoryBetaMap)
  342.         {
  343.             _correlationCategoryBetaMap =
  344.                 new java.util.TreeMap<java.lang.Integer,
  345.                     org.drip.capital.allocation.CorrelationCategoryBeta>();
  346.         }

  348.         _correlationCategoryBetaMap.put (
  349.             correlationCategory,
  350.             correlationCategoryBeta
  351.         );

  353.         return true;
  354.     }

  356.     /**
  357.      * Indicate of the Correlation Category Exists
  358.      * 
  359.      * @param correlationCategory The Correlation Category
  360.      * 
  361.      * @return TRUE - The Correlation Category Exists
  362.      */

  364.     public boolean categoryExists (
  365.         final int correlationCategory)
  366.     {
  367.         return _correlationCategoryBetaMap.containsKey (
  368.             correlationCategory
  369.         );
  370.     }

  372.     /**
  373.      * Retrieve the Correlation Category Beta Loading for the Correlation Category
  374.      * 
  375.      * @param correlationCategory The Correlation Category
  376.      * 
  377.      * @return The Correlation Category Beta Loading
  378.      */

  380.     public org.drip.capital.allocation.CorrelationCategoryBeta correlationCategoryBeta (
  381.         final int correlationCategory)
  382.     {
  383.         return categoryExists (
  384.             correlationCategory
  385.         ) ? _correlationCategoryBetaMap.get (
  386.             correlationCategory
  387.         ) : null;
  388.     }
  389. }
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