EntityComponentCapitalAssignment.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>EntityComponentCapitalAssignment</i> contains the Capital Assignment for each Entity and its Component.
* 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 EntityComponentCapitalAssignment
{
private double _unitFloatBeta = java.lang.Double.NaN;
private double _allocatedBetaCapital = java.lang.Double.NaN;
private double _allocatedProRataCapital = java.lang.Double.NaN;
private org.drip.capital.allocation.EntityElasticityAttribution _elasticityAttribution = null;
private java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
_entityComponentCapitalMap = null;
/**
* EntityComponentCapitalAssignment Constructor
*
* @param elasticityAttribution Entity Elasticity Attribution
* @param entityComponentCapitalMap Entity Component Capital Assignment Map
* @param unitFloatBeta Unit Float Beta
* @param allocatedBetaCapital Allocated Beta Capital
* @param allocatedProRataCapital Allocated Pro-Rata Capital
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public EntityComponentCapitalAssignment (
final org.drip.capital.allocation.EntityElasticityAttribution elasticityAttribution,
final java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalMap,
final double unitFloatBeta,
final double allocatedBetaCapital,
final double allocatedProRataCapital)
throws java.lang.Exception
{
if (null == (_elasticityAttribution = elasticityAttribution) ||
null == (_entityComponentCapitalMap = entityComponentCapitalMap) ||
0 == _entityComponentCapitalMap.size() ||
!org.drip.numerical.common.NumberUtil.IsValid (
_unitFloatBeta = unitFloatBeta
) || !org.drip.numerical.common.NumberUtil.IsValid (
_allocatedBetaCapital = allocatedBetaCapital
) || !org.drip.numerical.common.NumberUtil.IsValid (
_allocatedProRataCapital = allocatedProRataCapital
)
)
{
throw new java.lang.Exception (
"EntityComponentCapitalAssignment Constructor => Invalid Inputs"
);
}
}
/**
* Retrieve the Entity Elasticity Attribution
*
* @return The Entity Elasticity Attribution
*/
public org.drip.capital.allocation.EntityElasticityAttribution elasticityAttribution()
{
return _elasticityAttribution;
}
/**
* Retrieve the Entity Component Capital Assignment Map
*
* @return The Entity Component Capital Assignment Map
*/
public java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalMap()
{
return _entityComponentCapitalMap;
}
/**
* Retrieve the Unit Float Beta
*
* @return The Unit Float Beta
*/
public double unitFloatBeta()
{
return _unitFloatBeta;
}
/**
* Retrieve the Allocated Beta Capital
*
* @return The Allocated Beta Capital
*/
public double allocatedBetaCapital()
{
return _allocatedBetaCapital;
}
/**
* Retrieve the Allocated Pro-Rata Capital
*
* @return The Allocated Pro-Rata Capital
*/
public double allocatedProRataCapital()
{
return _allocatedProRataCapital;
}
/**
* Retrieve the Allocated Total Capital
*
* @return The Allocated Total Capital
*/
public double allocatedTotalCapital()
{
return _allocatedBetaCapital + _allocatedProRataCapital;
}
/**
* Retrieve the Total Systemic Entity Capital
*
* @return Total Systemic Entity Capital
*/
public org.drip.capital.allocation.EntityCapital systemic()
{
double systemic = 0.;
for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
{
systemic = systemic + entityComponentCapitalEntry.getValue().systemic().absolute();
}
try
{
return new org.drip.capital.allocation.EntityCapital (
systemic,
systemic / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Total Correlated Entity Capital
*
* @return Total Correlated Entity Capital
*/
public org.drip.capital.allocation.EntityCapital correlated()
{
double correlated = 0.;
for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
{
correlated = correlated + entityComponentCapitalEntry.getValue().correlated().absolute();
}
try
{
return new org.drip.capital.allocation.EntityCapital (
correlated,
correlated / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Total Idiosyncratic Entity Capital
*
* @return Total Idiosyncratic Entity Capital
*/
public org.drip.capital.allocation.EntityCapital idiosyncratic()
{
double idiosyncratic = 0.;
for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
{
idiosyncratic = idiosyncratic + entityComponentCapitalEntry.getValue().idiosyncratic().absolute();
}
try
{
return new org.drip.capital.allocation.EntityCapital (
idiosyncratic,
idiosyncratic / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Total No Stress Entity Capital
*
* @return Total No Stress Entity Capital
*/
public org.drip.capital.allocation.EntityCapital noStress()
{
double noStress = 0.;
for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
{
noStress = noStress + entityComponentCapitalEntry.getValue().noStress().absolute();
}
try
{
return new org.drip.capital.allocation.EntityCapital (
noStress,
noStress / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Total Fixed Elasticity Capital
*
* @return Total Fixed Elasticity Capital
*/
public org.drip.capital.allocation.EntityCapital fixed()
{
double fixed = _elasticityAttribution.fixed();
try
{
return new org.drip.capital.allocation.EntityCapital (
fixed,
fixed / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve the Total Floating Elasticity Capital
*
* @return Total Floating Elasticity Capital
*/
public org.drip.capital.allocation.EntityCapital floating()
{
double floating = _elasticityAttribution.floating();
try
{
return new org.drip.capital.allocation.EntityCapital (
floating,
floating / (_allocatedBetaCapital + _allocatedProRataCapital)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}