EntityComponentCapital.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>EntityComponentCapital</i> holds the Component Capital for each Entity. 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 EntityComponentCapital
{
    private org.drip.capital.allocation.EntityCapital _noStress = null;
    private org.drip.capital.allocation.EntityCapital _systemic = null;
    private double _noStressStandaloneMultiplier = java.lang.Double.NaN;
    private double _systemicStandaloneMultiplier = java.lang.Double.NaN;
    private org.drip.capital.allocation.EntityCapital _correlated = null;
    private double _correlatedStandaloneMultiplier = java.lang.Double.NaN;
    private org.drip.capital.allocation.EntityCapital _idiosyncratic = null;
    private double _idiosyncraticStandaloneMultiplier = java.lang.Double.NaN;

    private static final double NoStressComponentCapitalMultiplier (
        final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
        final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
        final java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap,
        final double unitFloatBeta)
    {
        if (org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA ==
            entityCapitalAssignmentSetting.noStressAllocationScheme())
        {
            return null == proRataNormalizerMap || !proRataNormalizerMap.containsKey (
                "NOSTRESS"
            ) ? 0. : proRataNormalizerMap.get (
                "NOSTRESS"
            );
        }

        org.drip.capital.allocation.CorrelationCategoryBeta betaLoading =
            correlationCategoryBetaManager.correlationCategoryBeta (
                entityCapitalAssignmentSetting.noStressAllocationCategory()
            );

        int elasticity = betaLoading.elasticity();

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED == elasticity)
        {
            return betaLoading.loading();
        }

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT == elasticity)
        {
            return betaLoading.loading() * unitFloatBeta;
        }

        return 0.;
    }

    private static final double SystemicComponentCapitalMultiplier (
        final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
        final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
        final java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap,
        final double unitFloatBeta)
    {
        if (org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA ==
            entityCapitalAssignmentSetting.systemicAllocationScheme())
        {
            return null == proRataNormalizerMap || !proRataNormalizerMap.containsKey (
                "Systemic"
            ) ? 0. : proRataNormalizerMap.get (
                "Systemic"
            );
        }

        org.drip.capital.allocation.CorrelationCategoryBeta betaLoading =
            correlationCategoryBetaManager.correlationCategoryBeta (
                entityCapitalAssignmentSetting.systemicAllocationCategory()
            );

        int elasticity = betaLoading.elasticity();

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED == elasticity)
        {
            return betaLoading.loading();
        }

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT == elasticity)
        {
            return betaLoading.loading() * unitFloatBeta;
        }

        return 0.;
    }

    private static final double CorrelatedComponentCapitalMultiplier (
        final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
        final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
        final java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap,
        final double unitFloatBeta)
    {
        if (org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA ==
            entityCapitalAssignmentSetting.correlatedAllocationScheme())
        {
            return null == proRataNormalizerMap || !proRataNormalizerMap.containsKey (
                "Correlated"
            ) ? 0. : proRataNormalizerMap.get (
                "Correlated"
            );
        }

        org.drip.capital.allocation.CorrelationCategoryBeta betaLoading =
            correlationCategoryBetaManager.correlationCategoryBeta (
                entityCapitalAssignmentSetting.correlatedAllocationCategory()
            );

        int elasticity = betaLoading.elasticity();

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED == elasticity)
        {
            return betaLoading.loading();
        }

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT == elasticity)
        {
            return betaLoading.loading() * unitFloatBeta;
        }

        return 0.;
    }

    private static final double IdiosyncraticComponentCapitalMultiplier (
        final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
        final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
        final java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap,
        final double unitFloatBeta)
    {
        if (org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA ==
            entityCapitalAssignmentSetting.idiosyncraticAllocationScheme())
        {
            return null == proRataNormalizerMap || !proRataNormalizerMap.containsKey (
                "Idiosyncratic"
            ) ? 0. : proRataNormalizerMap.get (
                "Idiosyncratic"
            );
        }

        org.drip.capital.allocation.CorrelationCategoryBeta betaLoading =
            correlationCategoryBetaManager.correlationCategoryBeta (
                entityCapitalAssignmentSetting.idiosyncraticAllocationCategory()
            );

        int elasticity = betaLoading.elasticity();

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED == elasticity)
        {
            return betaLoading.loading();
        }

        if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT == elasticity)
        {
            return betaLoading.loading() * unitFloatBeta;
        }

        return 0.;
    }

    /**
     * Construct the Entity Component Capital Instance from the Individual Component Capital
     * 
     * @param noStressComponentCapital No Stress Capital Component
     * @param noStressStandaloneMultiplier No-Stress Stand-alone Multiplier
     * @param systemicComponentCapital Systemic Capital Component
     * @param systemicStandaloneMultiplier Systemic Stand-alone Multiplier
     * @param correlatedComponentCapital Correlated Capital Component
     * @param correlatedStandaloneMultiplier Correlated Stand-alone Multiplier
     * @param idiosyncraticComponentCapital Idiosyncratic Capital Component
     * @param idiosyncraticStandaloneMultiplier Idiosyncratic Stand-alone Multiplier
     * @param grossEntityAllocation Entity Gross Capital Allocation
     * 
     * @return The Entity Component Capital Instance from the Individual Component Capital
     */

    public static final EntityComponentCapital FromComponentCapital (
        final double noStressComponentCapital,
        final double noStressStandaloneMultiplier,
        final double systemicComponentCapital,
        final double systemicStandaloneMultiplier,
        final double correlatedComponentCapital,
        final double correlatedStandaloneMultiplier,
        final double idiosyncraticComponentCapital,
        final double idiosyncraticStandaloneMultiplier,
        final double grossEntityAllocation)
    {
        try
        {
            return new EntityComponentCapital (
                new org.drip.capital.allocation.EntityCapital (
                    noStressComponentCapital,
                    noStressComponentCapital / grossEntityAllocation
                ),
                noStressStandaloneMultiplier,
                new org.drip.capital.allocation.EntityCapital (
                    systemicComponentCapital,
                    systemicComponentCapital / grossEntityAllocation
                ),
                systemicStandaloneMultiplier,
                new org.drip.capital.allocation.EntityCapital (
                    correlatedComponentCapital,
                    correlatedComponentCapital / grossEntityAllocation
                ),
                correlatedStandaloneMultiplier,
                new org.drip.capital.allocation.EntityCapital (
                    idiosyncraticComponentCapital,
                    idiosyncraticComponentCapital / grossEntityAllocation
                ),
                idiosyncraticStandaloneMultiplier
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Generate the Entity Component Capital from the PnL Attribution
     * 
     * @param correlationCategoryBetaManager The Correlation Category Beta Manager
     * @param entityCapitalAssignmentSetting The Entity Capital Component Setting
     * @param pnlAttribution The PnL Attribution
     * @param proRataNormalizerMap The Pro-Rata Normalizer Map
     * @param unitFloatBeta Unit Float Beta
     * @param grossEntityAllocation Entity Gross Allocated Capital
     * 
     * @return The Entity Component Capital Instance from the PnL Attribution
     */

    public static final EntityComponentCapital FromPnLAttribution (
        final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
        final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
        final org.drip.capital.explain.PnLAttribution pnlAttribution,
        final java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap,
        final double unitFloatBeta,
        final double grossEntityAllocation)
    {
        double noStressStandaloneMultiplier = NoStressComponentCapitalMultiplier (
            correlationCategoryBetaManager,
            entityCapitalAssignmentSetting,
            proRataNormalizerMap,
            unitFloatBeta
        );

        double systemicStandaloneMultiplier = SystemicComponentCapitalMultiplier (
            correlationCategoryBetaManager,
            entityCapitalAssignmentSetting,
            proRataNormalizerMap,
            unitFloatBeta
        );

        double correlatedStandaloneMultiplier = CorrelatedComponentCapitalMultiplier (
            correlationCategoryBetaManager,
            entityCapitalAssignmentSetting,
            proRataNormalizerMap,
            unitFloatBeta
        );

        double idiosyncraticStandaloneMultiplier = IdiosyncraticComponentCapitalMultiplier (
            correlationCategoryBetaManager,
            entityCapitalAssignmentSetting,
            proRataNormalizerMap,
            unitFloatBeta
        );

        return null == correlationCategoryBetaManager ||
            null == entityCapitalAssignmentSetting ||
            null == pnlAttribution ? null :
            FromComponentCapital (
                noStressStandaloneMultiplier * pnlAttribution.fsGrossPnL(),
                noStressStandaloneMultiplier,
                systemicStandaloneMultiplier * pnlAttribution.systemicPnL(),
                systemicStandaloneMultiplier,
                correlatedStandaloneMultiplier * pnlAttribution.correlatedPnL(),
                correlatedStandaloneMultiplier,
                idiosyncraticStandaloneMultiplier * pnlAttribution.idiosyncraticGrossPnL(),
                idiosyncraticStandaloneMultiplier,
                grossEntityAllocation
            );
    }

    /**
     * EntityComponentCapital Constructor
     * 
     * @param noStress Entity No Stress Capital
     * @param noStressStandaloneMultiplier No-Stress Stand-alone Multiplier
     * @param systemic Entity Systemic Capital
     * @param systemicStandaloneMultiplier Systemic Stand-alone Multiplier
     * @param correlated Entity cBSST Capital
     * @param correlatedStandaloneMultiplier Correlated Stand-alone Multiplier
     * @param idiosyncratic Entity Idiosyncratic Capital
     * @param idiosyncraticStandaloneMultiplier Idiosyncratic Stand-alone Multiplier
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public EntityComponentCapital (
        final org.drip.capital.allocation.EntityCapital noStress,
        final double noStressStandaloneMultiplier,
        final org.drip.capital.allocation.EntityCapital systemic,
        final double systemicStandaloneMultiplier,
        final org.drip.capital.allocation.EntityCapital correlated,
        final double correlatedStandaloneMultiplier,
        final org.drip.capital.allocation.EntityCapital idiosyncratic,
        final double idiosyncraticStandaloneMultiplier)
        throws java.lang.Exception
    {
        if (null == (_noStress = noStress) || !org.drip.numerical.common.NumberUtil.IsValid (
                _noStressStandaloneMultiplier = noStressStandaloneMultiplier
            ) || null == (_systemic = systemic) || !org.drip.numerical.common.NumberUtil.IsValid (
                _systemicStandaloneMultiplier = systemicStandaloneMultiplier
            ) || null == (_correlated = correlated) || !org.drip.numerical.common.NumberUtil.IsValid (
                _correlatedStandaloneMultiplier = correlatedStandaloneMultiplier
            ) || null == (_idiosyncratic = idiosyncratic) || !org.drip.numerical.common.NumberUtil.IsValid (
                _idiosyncraticStandaloneMultiplier = idiosyncraticStandaloneMultiplier
            )
        )
        {
            throw new java.lang.Exception (
                "EntityComponentCapital Constructor => Invalid Inputs"
            );
        }
    }

    /**
     * Retrieve the Entity No Stress Capital
     * 
     * @return The Entity No Stress Capital
     */

    public org.drip.capital.allocation.EntityCapital noStress()
    {
        return _noStress;
    }

    /**
     * Retrieve the Entity Systemic Capital
     * 
     * @return The Entity Systemic Capital
     */

    public org.drip.capital.allocation.EntityCapital systemic()
    {
        return _systemic;
    }

    /**
     * Retrieve the Systemic Stand-alone Multiplier
     * 
     * @return The Systemic Stand-alone Multiplier
     */

    public double systemicStandaloneMultiplier()
    {
        return _systemicStandaloneMultiplier;
    }

    /**
     * Retrieve the Correlated Stand-alone Multiplier
     * 
     * @return The Correlated Stand-alone Multiplier
     */

    public double correlatedStandaloneMultiplier()
    {
        return _correlatedStandaloneMultiplier;
    }

    /**
     * Retrieve the Idiosyncratic Stand-alone Multiplier
     * 
     * @return The Idiosyncratic Stand-alone Multiplier
     */

    public double idiosyncraticStandaloneMultiplier()
    {
        return _idiosyncraticStandaloneMultiplier;
    }

    /**
     * Retrieve the No-Stress Stand-alone Multiplier
     * 
     * @return The No-Stress Stand-alone Multiplier
     */

    public double noStressStandaloneMultiplier()
    {
        return _noStressStandaloneMultiplier;
    }

    /**
     * Retrieve the Entity Correlated Capital
     * 
     * @return The Entity Correlated Capital
     */

    public org.drip.capital.allocation.EntityCapital correlated()
    {
        return _correlated;
    }

    /**
     * Retrieve the Entity Idiosyncratic Capital
     * 
     * @return The Entity Idiosyncratic Capital
     */

    public org.drip.capital.allocation.EntityCapital idiosyncratic()
    {
        return _idiosyncratic;
    }

    /**
     * Retrieve the Total Entity Capital
     * 
     * @return The Total Entity Capital
     */

    public org.drip.capital.allocation.EntityCapital total()
    {
        try
        {
            return new org.drip.capital.allocation.EntityCapital (
                _noStress.absolute() + _systemic.absolute() + _correlated.absolute() +
                    _idiosyncratic.absolute(),
                _noStress.fractional() + _systemic.fractional() + _correlated.fractional() +
                    _idiosyncratic.fractional()
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }
}