CorrelationCategoryBetaManager.java
package org.drip.capital.allocation;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 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>CorrelationCategoryBetaManager</i> holds the Beta Loading Map Scheme for the different Correlation
* Categories. The References are:
*
* <br><br>
* <ul>
* <li>
* Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
* Results and Practice https://www.bis.org/publ/cgfs24.htm
* </li>
* <li>
* Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
* </li>
* <li>
* Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
* </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/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CorrelationCategoryBetaManager
{
private java.util.Map<java.lang.Integer, org.drip.capital.allocation.CorrelationCategoryBeta>
_correlationCategoryBetaMap = null;
/**
* Construct the Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager
*
* @param highCorrelationFixedBetaLoading High Correlation Beta FIXED Loading
* @param mediumCorrelationFloatBetaLoading Medium Correlation Beta FLOAT Loading
*
* @return The Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager
*/
public static final CorrelationCategoryBetaManager ThreeBetaFixedFloatFloat (
final double highCorrelationFixedBetaLoading,
final double mediumCorrelationFloatBetaLoading)
{
CorrelationCategoryBetaManager correlationCategoryBetaManager =
new CorrelationCategoryBetaManager();
try
{
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
highCorrelationFixedBetaLoading
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.MEDIUM_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
mediumCorrelationFloatBetaLoading
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
1.
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
-1.
)
))
{
return null;
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
return correlationCategoryBetaManager;
}
/**
* Construct the Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
*
* @param highCorrelationFixedBetaLoading High Correlation Beta FIXED Loading
*
* @return The Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
*/
public static final CorrelationCategoryBetaManager TwoBetaFixedFloat (
final double highCorrelationFixedBetaLoading)
{
CorrelationCategoryBetaManager correlationCategoryBetaManager =
new CorrelationCategoryBetaManager();
try
{
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
highCorrelationFixedBetaLoading
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
1.
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
-1.
)
))
{
return null;
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
return correlationCategoryBetaManager;
}
/**
* Construct the Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
*
* @param highCorrelationFloatBetaLoading High Correlation Beta FLOAT Loading
*
* @return The Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
*/
public static final CorrelationCategoryBetaManager TwoBetaFloatFloat (
final double highCorrelationFloatBetaLoading)
{
CorrelationCategoryBetaManager correlationCategoryBetaManager =
new CorrelationCategoryBetaManager();
try
{
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HIGH_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
highCorrelationFloatBetaLoading
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.LOW_CORRELATION,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT,
1.
)
))
{
return null;
}
if (!correlationCategoryBetaManager.addCorrelationCategoryBeta (
org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE,
new org.drip.capital.allocation.CorrelationCategoryBeta (
org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED,
-1.
)
))
{
return null;
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
return correlationCategoryBetaManager;
}
/**
* Empty CorrelationCategoryBetaManager Constructor
*/
public CorrelationCategoryBetaManager()
{
}
/**
* Retrieve the Historical Correlation Category Beta Map
*
* @return The Historical Correlation Category Beta Map
*/
public java.util.Map<java.lang.Integer, org.drip.capital.allocation.CorrelationCategoryBeta>
correlationCategoryBetaMap()
{
return _correlationCategoryBetaMap;
}
/**
* Add the Beta Loading corresponding to the Correlation Category
*
* @param correlationCategory The Correlation Category
* @param correlationCategoryBeta The Correlation Category Beta Loading
*
* @return TRUE - The Beta Loading successfully added
*/
public boolean addCorrelationCategoryBeta (
final int correlationCategory,
final org.drip.capital.allocation.CorrelationCategoryBeta correlationCategoryBeta)
{
if (null == correlationCategoryBeta)
{
return false;
}
if (null == _correlationCategoryBetaMap)
{
_correlationCategoryBetaMap =
new java.util.TreeMap<java.lang.Integer,
org.drip.capital.allocation.CorrelationCategoryBeta>();
}
_correlationCategoryBetaMap.put (
correlationCategory,
correlationCategoryBeta
);
return true;
}
/**
* Indicate of the Correlation Category Exists
*
* @param correlationCategory The Correlation Category
*
* @return TRUE - The Correlation Category Exists
*/
public boolean categoryExists (
final int correlationCategory)
{
return _correlationCategoryBetaMap.containsKey (
correlationCategory
);
}
/**
* Retrieve the Correlation Category Beta Loading for the Correlation Category
*
* @param correlationCategory The Correlation Category
*
* @return The Correlation Category Beta Loading
*/
public org.drip.capital.allocation.CorrelationCategoryBeta correlationCategoryBeta (
final int correlationCategory)
{
return categoryExists (
correlationCategory
) ? _correlationCategoryBetaMap.get (
correlationCategory
) : null;
}
}