EntityCapitalAssignmentSetting.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>EntityCapitalAssignmentSetting</i> holds the Correlation Elasticities for the different Capital
  79.  *  Components as well as the Entity's Correlation Category. 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 EntityCapitalAssignmentSetting
  107. {
  108.     private int _noStressAllocationScheme = java.lang.Integer.MIN_VALUE;
  109.     private int _systemicAllocationScheme = java.lang.Integer.MIN_VALUE;
  110.     private int _noStressAllocationCategory = java.lang.Integer.MIN_VALUE;
  111.     private int _correlatedAllocationScheme = java.lang.Integer.MIN_VALUE;
  112.     private int _systemicAllocationCategory = java.lang.Integer.MIN_VALUE;
  113.     private int _correlatedAllocationCategory = java.lang.Integer.MIN_VALUE;
  114.     private int _allocationCorrelationCategory = java.lang.Integer.MIN_VALUE;
  115.     private int _idiosyncraticAllocationScheme = java.lang.Integer.MIN_VALUE;
  116.     private int _idiosyncraticAllocationCategory = java.lang.Integer.MIN_VALUE;

  118.     /**
  119.      * Construct the Uniform Beta Instance of EntityCapitalAssignmentSetting
  120.      * 
  121.      * @param allocationCorrelationCategory Allocation Correlation Category of the Capital Entity
  122.      * @param noStressAllocationCategory Allocation Category for the "No-Stress" Capital Component
  123.      * @param systemicAllocationCategory Allocation Category for the Systemic Capital Component
  124.      * @param correlatedAllocationCategory Allocation Category for the Correlated Capital Component
  125.      * @param idiosyncraticAllocationCategory Allocation Category for the Idiosyncratic Capital Component
  126.      * 
  127.      * @return Uniform Beta Instance of EntityCapitalAssignmentSetting
  128.      */

  130.     public static final EntityCapitalAssignmentSetting UniformBeta (
  131.         final int allocationCorrelationCategory,
  132.         final int noStressAllocationCategory,
  133.         final int systemicAllocationCategory,
  134.         final int correlatedAllocationCategory,
  135.         final int idiosyncraticAllocationCategory)
  136.     {
  137.         try
  138.         {
  139.             return new EntityCapitalAssignmentSetting (
  140.                 allocationCorrelationCategory,
  141.                 noStressAllocationCategory,
  142.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  143.                 systemicAllocationCategory,
  144.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  145.                 correlatedAllocationCategory,
  146.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  147.                 idiosyncraticAllocationCategory,
  148.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA
  149.             );
  150.         }
  151.         catch (java.lang.Exception e)
  152.         {
  153.             e.printStackTrace();
  154.         }

  156.         return null;
  157.     }

  159.     /**
  160.      * Construct the Idiosyncratic Pro-Rata + Others Beta Instance of EntityCapitalAssignmentSetting
  161.      * 
  162.      * @param allocationCorrelationCategory Allocation Correlation Category of the Capital Entity
  163.      * @param noStressAllocationCategory Allocation Category for the "No-Stress" Capital Component
  164.      * @param systemicAllocationCategory Allocation Category for the Systemic Capital Component
  165.      * @param correlatedAllocationCategory Allocation Category for the Correlated Capital Component
  166.      * @param idiosyncraticAllocationCategory Allocation Category for the Idiosyncratic Capital Component
  167.      * 
  168.      * @return Idiosyncratic Pro-Rata + Others Beta Instance of EntityCapitalAssignmentSetting
  169.      */

  171.     public static final EntityCapitalAssignmentSetting UniformBetaIdiosyncraticProRata (
  172.         final int allocationCorrelationCategory,
  173.         final int noStressAllocationCategory,
  174.         final int systemicAllocationCategory,
  175.         final int correlatedAllocationCategory,
  176.         final int idiosyncraticAllocationCategory)
  177.     {
  178.         try
  179.         {
  180.             return new EntityCapitalAssignmentSetting (
  181.                 allocationCorrelationCategory,
  182.                 noStressAllocationCategory,
  183.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  184.                 systemicAllocationCategory,
  185.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  186.                 correlatedAllocationCategory,
  187.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA,
  188.                 idiosyncraticAllocationCategory,
  189.                 org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA
  190.             );
  191.         }
  192.         catch (java.lang.Exception e)
  193.         {
  194.             e.printStackTrace();
  195.         }

  197.         return null;
  198.     }

  200.     /**
  201.      * EntityCapitalAssignmentSetting Constructor
  202.      * 
  203.      * @param allocationCorrelationCategory Allocation Correlation Category of the Capital Entity
  204.      * @param noStressAllocationCategory Allocation Category for the "No-Stress" Capital Component
  205.      * @param noStressAllocationScheme Allocation Scheme for the "No-Stress" Capital Component
  206.      * @param systemicAllocationCategory Allocation Category for the Systemic Capital Component
  207.      * @param gsstAllocationScheme Allocation Scheme for the Systemic Capital Component
  208.      * @param correlatedAllocationCategory Allocation Category for the Correlated Capital Component
  209.      * @param correlatedAllocationScheme Allocation Scheme for the Correlated Capital Component
  210.      * @param idiosyncraticAllocationCategory Allocation Category for the Idiosyncratic Capital Component
  211.      * @param idiosyncraticAllocationScheme Allocation Scheme for the Idiosyncratic Capital Component
  212.      * 
  213.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  214.      */

  216.     public EntityCapitalAssignmentSetting (
  217.         final int allocationCorrelationCategory,
  218.         final int noStressAllocationCategory,
  219.         final int noStressAllocationScheme,
  220.         final int systemicAllocationCategory,
  221.         final int gsstAllocationScheme,
  222.         final int correlatedAllocationCategory,
  223.         final int correlatedAllocationScheme,
  224.         final int idiosyncraticAllocationCategory,
  225.         final int idiosyncraticAllocationScheme)
  226.         throws java.lang.Exception
  227.     {
  228.         if (java.lang.Integer.MIN_VALUE == (
  229.                 _allocationCorrelationCategory = allocationCorrelationCategory
  230.             ) || java.lang.Integer.MIN_VALUE == (
  231.                 _noStressAllocationCategory = noStressAllocationCategory
  232.             ) || java.lang.Integer.MIN_VALUE == (
  233.                 _noStressAllocationScheme = noStressAllocationScheme
  234.             ) || java.lang.Integer.MIN_VALUE == (
  235.                 _systemicAllocationCategory = systemicAllocationCategory
  236.             ) || java.lang.Integer.MIN_VALUE == (
  237.                 _systemicAllocationScheme = gsstAllocationScheme
  238.             ) || java.lang.Integer.MIN_VALUE == (
  239.                 _correlatedAllocationCategory = correlatedAllocationCategory
  240.             ) || java.lang.Integer.MIN_VALUE == (
  241.                 _correlatedAllocationScheme = correlatedAllocationScheme
  242.             ) || java.lang.Integer.MIN_VALUE == (
  243.                 _idiosyncraticAllocationCategory = idiosyncraticAllocationCategory
  244.             ) || java.lang.Integer.MIN_VALUE == (
  245.                 _idiosyncraticAllocationScheme = idiosyncraticAllocationScheme
  246.             ) || org.drip.capital.allocation.EntityComponentCorrelationCategory.ENTITY_CORRELATION ==
  247.                 _allocationCorrelationCategory
  248.         )
  249.         {
  250.             throw new java.lang.Exception (
  251.                 "EntityCapitalAssignmentSetting Constructor => Invalid Inputs"
  252.             );
  253.         }
  254.     }

  256.     /**
  257.      * Retrieve the Allocation Correlation Category of the Capital Entity
  258.      * 
  259.      * @return TRUE - The Allocation Correlation Category of the Capital Entity
  260.      */

  262.     public int allocationCorrelationCategory()
  263.     {
  264.         return _allocationCorrelationCategory;
  265.     }

  267.     /**
  268.      * Retrieve the Allocation Category for the "No-Stress" Capital Component
  269.      * 
  270.      * @return The Allocation Category for the "No-Stress" Capital Component
  271.      */

  273.     public int noStressAllocationCategory()
  274.     {
  275.         if (org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA == _noStressAllocationScheme
  276.             && org.drip.capital.allocation.EntityComponentCorrelationCategory.ENTITY_CORRELATION ==
  277.                 _noStressAllocationCategory)
  278.         {
  279.             return _allocationCorrelationCategory;
  280.         }

  282.         return _noStressAllocationCategory;
  283.     }

  285.     /**
  286.      * Retrieve the Allocation Scheme for the "No-Stress" Capital Component
  287.      * 
  288.      * @return The Elasticity for the "No-Stress" Capital Component
  289.      */

  291.     public int noStressAllocationScheme()
  292.     {
  293.         return _noStressAllocationScheme;
  294.     }

  296.     /**
  297.      * Retrieve the Systemic Allocation Category of the Capital Entity
  298.      * 
  299.      * @return TRUE - The Systemic Allocation Category of the Capital Entity
  300.      */

  302.     public int systemicAllocationCategory()
  303.     {
  304.         if (org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA == _systemicAllocationScheme &&
  305.             org.drip.capital.allocation.EntityComponentCorrelationCategory.ENTITY_CORRELATION ==
  306.                 _systemicAllocationCategory)
  307.         {
  308.             return _allocationCorrelationCategory;
  309.         }

  311.         return _systemicAllocationCategory;
  312.     }

  314.     /**
  315.      * Retrieve the Allocation Scheme for the Systemic Capital Component
  316.      * 
  317.      * @return The Allocation Scheme for the Systemic Capital Component
  318.      */

  320.     public int systemicAllocationScheme()
  321.     {
  322.         return _systemicAllocationScheme;
  323.     }

  325.     /**
  326.      * Retrieve the Allocation Category for the Correlated Capital Component
  327.      * 
  328.      * @return The Allocation Category for the Correlated Capital Component
  329.      */

  331.     public int correlatedAllocationCategory()
  332.     {
  333.         if (org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA == _correlatedAllocationScheme
  334.             && org.drip.capital.allocation.EntityComponentCorrelationCategory.ENTITY_CORRELATION ==
  335.                 _correlatedAllocationCategory)
  336.         {
  337.             return _allocationCorrelationCategory;
  338.         }

  340.         return _correlatedAllocationCategory;
  341.     }

  343.     /**
  344.      * Retrieve the Allocation Scheme for the Correlated Capital Component
  345.      * 
  346.      * @return The Allocation Scheme for the Correlated Capital Component
  347.      */

  349.     public int correlatedAllocationScheme()
  350.     {
  351.         return _correlatedAllocationScheme;
  352.     }

  354.     /**
  355.      * Retrieve the Allocation Category for the Idiosyncratic Capital Component
  356.      * 
  357.      * @return The Allocation Category for the Idiosyncratic Capital Component
  358.      */

  360.     public int idiosyncraticAllocationCategory()
  361.     {
  362.         if (org.drip.capital.allocation.EntityComponentAssignmentScheme.BETA ==
  363.                 _idiosyncraticAllocationScheme &&
  364.             org.drip.capital.allocation.EntityComponentCorrelationCategory.ENTITY_CORRELATION ==
  365.                 _idiosyncraticAllocationCategory)
  366.         {
  367.             return _allocationCorrelationCategory;
  368.         }

  370.         return _idiosyncraticAllocationCategory;
  371.     }

  373.     /**
  374.      * Retrieve the Allocation Scheme for the Idiosyncratic Capital Component
  375.      * 
  376.      * @return The Allocation Scheme for the Idiosyncratic Capital Component
  377.      */

  379.     public int idiosyncraticAllocationScheme()
  380.     {
  381.         return _idiosyncraticAllocationScheme;
  382.     }
  383. }
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