EntityComponentElasticityAttribution.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>EntityComponentElasticityAttribution</i> holds the Attributions of a single Individual Entity Component
* into Fixed, Float, and Pro-rata Elasticities. 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 EntityComponentElasticityAttribution
{
private double _fixed = -0.;
private double _proRata = -0.;
private double _floating = -0.;
private boolean _unitLoading = false;
private org.drip.capital.allocation.CorrelationCategoryBetaManager _correlationCategoryBetaManager =
null;
/**
* EntityComponentElasticityAttribution Constructor
*
* @param correlationCategoryBetaManager The Correlation Category Beta Manager
* @param unitLoading The Unit Loading Flag
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public EntityComponentElasticityAttribution (
final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
final boolean unitLoading)
throws java.lang.Exception
{
if (null == (_correlationCategoryBetaManager = correlationCategoryBetaManager))
{
throw new java.lang.Exception (
"EntityComponentElasticityAttribution Constructor => Invalid Inputs"
);
}
_unitLoading = unitLoading;
}
/**
* Retrieve the Correlation Category Beta Manager
*
* @return The Correlation Category Beta Manager
*/
public org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager()
{
return _correlationCategoryBetaManager;
}
/**
* Retrieve the Fixed Attribution
*
* @return Total Fixed Attribution
*/
public double fixed()
{
return _fixed;
}
/**
* Retrieve the Floating Attribution
*
* @return Floating Attribution
*/
public double floating()
{
return _floating;
}
/**
* Retrieve the Pro-Rata Attribution
*
* @return Pro-Rata Attribution
*/
public double proRata()
{
return _proRata;
}
/**
* Retrieve the Unit Loading Flag
*
* @return Unit Loading Flag
*/
public boolean unitLoading()
{
return _unitLoading;
}
/**
* Accumulate the Fixed Attribution
*
* @param fixedAttribution The Component Fixed Attribution
*
* @return TRUE - The Fixed Attribution successfully updated
*/
public boolean accumulateFixed (
final double fixedAttribution)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
fixedAttribution
))
{
return false;
}
_fixed += fixedAttribution;
return true;
}
/**
* Accumulate the Floating Attribution
*
* @param floatingAttribution The Component Floating Attribution
*
* @return TRUE - The Floating Attribution successfully updated
*/
public boolean accumulateFloating (
final double floatingAttribution)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
floatingAttribution
))
{
return false;
}
_floating += floatingAttribution;
return true;
}
/**
* Accumulate the Pro-Rata Attribution
*
* @param proRataAttribution The Component Pro-Rata Attribution
*
* @return TRUE - The Pro-Rata Attribution successfully updated
*/
public boolean accumulateProRata (
final double proRataAttribution)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
proRataAttribution
))
{
return false;
}
_proRata += proRataAttribution;
return true;
}
/**
* Accumulate the Appropriate Attribution with the Beta-Adjusted Component Attribution
*
* @param attribution The Component Attribution
* @param componentAllocationCategory The Component Allocation Category
* @param componentAllocationScheme The Component Allocation Scheme
*
* @return TRUE - The Appropriate Partition with the Beta-Adjusted Increment
*/
public boolean accumulate (
final double attribution,
final int componentAllocationCategory,
final int componentAllocationScheme)
{
if (org.drip.capital.allocation.EntityComponentAssignmentScheme.PRO_RATA ==
componentAllocationScheme)
{
return accumulateProRata (
attribution
);
}
org.drip.capital.allocation.CorrelationCategoryBeta correlationCategoryBeta =
_correlationCategoryBetaManager.correlationCategoryBeta (
componentAllocationCategory
);
if (null == correlationCategoryBeta)
{
return false;
}
if (org.drip.capital.allocation.EntityComponentCorrelationCategory.HEDGE ==
componentAllocationCategory)
{
return true;
}
int componentElasticity = correlationCategoryBeta.elasticity();
if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FIXED == componentElasticity)
{
return accumulateFixed (
(_unitLoading ? 1. : correlationCategoryBeta.loading()) * attribution
);
}
if (org.drip.capital.allocation.CorrelationCategoryBeta.ELASTICITY_FLOAT == componentElasticity)
{
return accumulateFloating (
(_unitLoading ? 1. : correlationCategoryBeta.loading()) * attribution
);
}
return false;
}
}