EntityComponentCapitalAssignment.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>EntityComponentCapitalAssignment</i> contains the Capital Assignment for each Entity and its Component.
  79.  *  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 EntityComponentCapitalAssignment
  107. {
  108.     private double _unitFloatBeta = java.lang.Double.NaN;
  109.     private double _allocatedBetaCapital = java.lang.Double.NaN;
  110.     private double _allocatedProRataCapital = java.lang.Double.NaN;
  111.     private org.drip.capital.allocation.EntityElasticityAttribution _elasticityAttribution = null;
  112.     private java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  113.         _entityComponentCapitalMap = null;

  115.     /**
  116.      * EntityComponentCapitalAssignment Constructor
  117.      * 
  118.      * @param elasticityAttribution Entity Elasticity Attribution 
  119.      * @param entityComponentCapitalMap Entity Component Capital Assignment Map
  120.      * @param unitFloatBeta Unit Float Beta
  121.      * @param allocatedBetaCapital Allocated Beta Capital
  122.      * @param allocatedProRataCapital Allocated Pro-Rata Capital
  123.      * 
  124.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  125.      */

  127.     public EntityComponentCapitalAssignment (
  128.         final org.drip.capital.allocation.EntityElasticityAttribution elasticityAttribution,
  129.         final java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  130.             entityComponentCapitalMap,
  131.         final double unitFloatBeta,
  132.         final double allocatedBetaCapital,
  133.         final double allocatedProRataCapital)
  134.         throws java.lang.Exception
  135.     {
  136.         if (null == (_elasticityAttribution = elasticityAttribution) ||
  137.             null == (_entityComponentCapitalMap = entityComponentCapitalMap) ||
  138.                 0 == _entityComponentCapitalMap.size() ||
  139.             !org.drip.numerical.common.NumberUtil.IsValid (
  140.                 _unitFloatBeta = unitFloatBeta
  141.             ) || !org.drip.numerical.common.NumberUtil.IsValid (
  142.                 _allocatedBetaCapital = allocatedBetaCapital
  143.             ) || !org.drip.numerical.common.NumberUtil.IsValid (
  144.                 _allocatedProRataCapital = allocatedProRataCapital
  145.             )
  146.         )
  147.         {
  148.             throw new java.lang.Exception (
  149.                 "EntityComponentCapitalAssignment Constructor => Invalid Inputs"
  150.             );
  151.         }
  152.     }

  154.     /**
  155.      * Retrieve the Entity Elasticity Attribution
  156.      * 
  157.      * @return The Entity Elasticity Attribution
  158.      */

  160.     public org.drip.capital.allocation.EntityElasticityAttribution elasticityAttribution()
  161.     {
  162.         return _elasticityAttribution;
  163.     }

  165.     /**
  166.      * Retrieve the Entity Component Capital Assignment Map
  167.      * 
  168.      * @return The Entity Component Capital Assignment Map
  169.      */

  171.     public java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  172.         entityComponentCapitalMap()
  173.     {
  174.         return _entityComponentCapitalMap;
  175.     }

  177.     /**
  178.      * Retrieve the Unit Float Beta
  179.      * 
  180.      * @return The Unit Float Beta
  181.      */

  183.     public double unitFloatBeta()
  184.     {
  185.         return _unitFloatBeta;
  186.     }

  188.     /**
  189.      * Retrieve the Allocated Beta Capital
  190.      * 
  191.      * @return The Allocated Beta Capital
  192.      */

  194.     public double allocatedBetaCapital()
  195.     {
  196.         return _allocatedBetaCapital;
  197.     }

  199.     /**
  200.      * Retrieve the Allocated Pro-Rata Capital
  201.      * 
  202.      * @return The Allocated Pro-Rata Capital
  203.      */

  205.     public double allocatedProRataCapital()
  206.     {
  207.         return _allocatedProRataCapital;
  208.     }

  210.     /**
  211.      * Retrieve the Allocated Total Capital
  212.      * 
  213.      * @return The Allocated Total Capital
  214.      */

  216.     public double allocatedTotalCapital()
  217.     {
  218.         return _allocatedBetaCapital + _allocatedProRataCapital;
  219.     }

  221.     /**
  222.      * Retrieve the Total Systemic Entity Capital
  223.      * 
  224.      * @return Total Systemic Entity Capital
  225.      */

  227.     public org.drip.capital.allocation.EntityCapital systemic()
  228.     {
  229.         double systemic = 0.;

  231.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  232.             entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
  233.         {
  234.             systemic = systemic + entityComponentCapitalEntry.getValue().systemic().absolute();
  235.         }

  237.         try
  238.         {
  239.             return new org.drip.capital.allocation.EntityCapital (
  240.                 systemic,
  241.                 systemic / (_allocatedBetaCapital + _allocatedProRataCapital)
  242.             );
  243.         }
  244.         catch (java.lang.Exception e)
  245.         {
  246.             e.printStackTrace();
  247.         }

  249.         return null;
  250.     }

  252.     /**
  253.      * Retrieve the Total Correlated Entity Capital
  254.      * 
  255.      * @return Total Correlated Entity Capital
  256.      */

  258.     public org.drip.capital.allocation.EntityCapital correlated()
  259.     {
  260.         double correlated = 0.;

  262.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  263.             entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
  264.         {
  265.             correlated = correlated + entityComponentCapitalEntry.getValue().correlated().absolute();
  266.         }

  268.         try
  269.         {
  270.             return new org.drip.capital.allocation.EntityCapital (
  271.                 correlated,
  272.                 correlated / (_allocatedBetaCapital + _allocatedProRataCapital)
  273.             );
  274.         }
  275.         catch (java.lang.Exception e)
  276.         {
  277.             e.printStackTrace();
  278.         }

  280.         return null;
  281.     }

  283.     /**
  284.      * Retrieve the Total Idiosyncratic Entity Capital
  285.      * 
  286.      * @return Total Idiosyncratic Entity Capital
  287.      */

  289.     public org.drip.capital.allocation.EntityCapital idiosyncratic()
  290.     {
  291.         double idiosyncratic = 0.;

  293.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  294.             entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
  295.         {
  296.             idiosyncratic = idiosyncratic + entityComponentCapitalEntry.getValue().idiosyncratic().absolute();
  297.         }

  299.         try
  300.         {
  301.             return new org.drip.capital.allocation.EntityCapital (
  302.                 idiosyncratic,
  303.                 idiosyncratic / (_allocatedBetaCapital + _allocatedProRataCapital)
  304.             );
  305.         }
  306.         catch (java.lang.Exception e)
  307.         {
  308.             e.printStackTrace();
  309.         }

  311.         return null;
  312.     }

  314.     /**
  315.      * Retrieve the Total No Stress Entity Capital
  316.      * 
  317.      * @return Total No Stress Entity Capital
  318.      */

  320.     public org.drip.capital.allocation.EntityCapital noStress()
  321.     {
  322.         double noStress = 0.;

  324.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  325.             entityComponentCapitalEntry : _entityComponentCapitalMap.entrySet())
  326.         {
  327.             noStress = noStress + entityComponentCapitalEntry.getValue().noStress().absolute();
  328.         }

  330.         try
  331.         {
  332.             return new org.drip.capital.allocation.EntityCapital (
  333.                 noStress,
  334.                 noStress / (_allocatedBetaCapital + _allocatedProRataCapital)
  335.             );
  336.         }
  337.         catch (java.lang.Exception e)
  338.         {
  339.             e.printStackTrace();
  340.         }

  342.         return null;
  343.     }

  345.     /**
  346.      * Retrieve the Total Fixed Elasticity Capital
  347.      * 
  348.      * @return Total Fixed Elasticity Capital
  349.      */

  351.     public org.drip.capital.allocation.EntityCapital fixed()
  352.     {
  353.         double fixed = _elasticityAttribution.fixed();

  355.         try
  356.         {
  357.             return new org.drip.capital.allocation.EntityCapital (
  358.                 fixed,
  359.                 fixed / (_allocatedBetaCapital + _allocatedProRataCapital)
  360.             );
  361.         }
  362.         catch (java.lang.Exception e)
  363.         {
  364.             e.printStackTrace();
  365.         }

  367.         return null;
  368.     }

  370.     /**
  371.      * Retrieve the Total Floating Elasticity Capital
  372.      * 
  373.      * @return Total Floating Elasticity Capital
  374.      */

  376.     public org.drip.capital.allocation.EntityCapital floating()
  377.     {
  378.         double floating = _elasticityAttribution.floating();

  380.         try
  381.         {
  382.             return new org.drip.capital.allocation.EntityCapital (
  383.                 floating,
  384.                 floating / (_allocatedBetaCapital + _allocatedProRataCapital)
  385.             );
  386.         }
  387.         catch (java.lang.Exception e)
  388.         {
  389.             e.printStackTrace();
  390.         }

  392.         return null;
  393.     }
  394. }
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