EntityElasticityAttribution.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>EntityElasticityAttribution</i> holds the Attributions across all Entity Components into Fixed, Float,
  79.  *  and Pro-rata Elasticities. 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 EntityElasticityAttribution
  107. {
  108.     private org.drip.capital.allocation.EntityComponentElasticityAttribution _noStress = null;
  109.     private org.drip.capital.allocation.EntityComponentElasticityAttribution _systemic = null;
  110.     private org.drip.capital.allocation.EntityComponentElasticityAttribution _correlated = null;
  111.     private org.drip.capital.allocation.EntityComponentElasticityAttribution _idiosyncratic = null;

  113.     /**
  114.      * EntityElasticityAttribution Constructor
  115.      * 
  116.      * @param correlationCategoryBetaManager The Correlation Category Beta Manager
  117.      * @param unitLoading The Unit Loading Flag
  118.      * 
  119.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  120.      */

  122.     public EntityElasticityAttribution (
  123.         final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
  124.         final boolean unitLoading)
  125.         throws java.lang.Exception
  126.     {
  127.         _systemic = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
  128.             correlationCategoryBetaManager,
  129.             unitLoading
  130.         );

  132.         _correlated = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
  133.             correlationCategoryBetaManager,
  134.             unitLoading
  135.         );

  137.         _idiosyncratic = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
  138.             correlationCategoryBetaManager,
  139.             unitLoading
  140.         );

  142.         _noStress = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
  143.             correlationCategoryBetaManager,
  144.             unitLoading
  145.         );
  146.     }

  148.     /**
  149.      * Retrieve the Systemic Elasticity Attribution
  150.      * 
  151.      * @return The Systemic Elasticity Attribution
  152.      */

  154.     public org.drip.capital.allocation.EntityComponentElasticityAttribution systemic()
  155.     {
  156.         return _systemic;
  157.     }

  159.     /**
  160.      * Retrieve the Correlated Elasticity Attribution
  161.      * 
  162.      * @return The Correlated Elasticity Attribution
  163.      */

  165.     public org.drip.capital.allocation.EntityComponentElasticityAttribution correlated()
  166.     {
  167.         return _correlated;
  168.     }

  170.     /**
  171.      * Retrieve the Idiosyncratic Elasticity Attribution
  172.      * 
  173.      * @return The Idiosyncratic Elasticity Attribution
  174.      */

  176.     public org.drip.capital.allocation.EntityComponentElasticityAttribution idiosyncratic()
  177.     {
  178.         return _idiosyncratic;
  179.     }

  181.     /**
  182.      * Retrieve the "No Stress" Elasticity Attribution
  183.      * 
  184.      * @return The "No Stress" Elasticity Attribution
  185.      */

  187.     public org.drip.capital.allocation.EntityComponentElasticityAttribution noStress()
  188.     {
  189.         return _noStress;
  190.     }

  192.     /**
  193.      * Accumulate the Systemic Fixed Attribution
  194.      * 
  195.      * @param systemicFixedAttribution Systemic Fixed Attribution
  196.      * 
  197.      * @return TRUE - The Systemic Fixed Attribution successfully updated
  198.      */

  200.     public boolean accumulateSystemicFixed (
  201.         final double systemicFixedAttribution)
  202.     {
  203.         return _systemic.accumulateFixed (
  204.             systemicFixedAttribution
  205.         );
  206.     }

  208.     /**
  209.      * Accumulate the Correlated Fixed Attribution
  210.      * 
  211.      * @param correlatedFixedAttribution Correlated Fixed Attribution
  212.      * 
  213.      * @return TRUE - The Correlated Fixed Attribution successfully updated
  214.      */

  216.     public boolean accumulateCorrelatedFixed (
  217.         final double correlatedFixedAttribution)
  218.     {
  219.         return _correlated.accumulateFixed (
  220.             correlatedFixedAttribution
  221.         );
  222.     }

  224.     /**
  225.      * Accumulate the Idiosyncratic Fixed Attribution
  226.      * 
  227.      * @param idiosyncraticFixedAttribution Idiosyncratic Fixed Attribution
  228.      * 
  229.      * @return TRUE - The Idiosyncratic Fixed Attribution successfully updated
  230.      */

  232.     public boolean accumulateIdiosyncraticFixed (
  233.         final double idiosyncraticFixedAttribution)
  234.     {
  235.         return _idiosyncratic.accumulateFixed (
  236.             idiosyncraticFixedAttribution
  237.         );
  238.     }

  240.     /**
  241.      * Accumulate the No-Stress Fixed Attribution
  242.      * 
  243.      * @param noStressFixedAttribution No-Stress Fixed Attribution
  244.      * 
  245.      * @return TRUE - The No-Stress Fixed Attribution successfully updated
  246.      */

  248.     public boolean accumulateNoStressFixed (
  249.         final double noStressFixedAttribution)
  250.     {
  251.         return _noStress.accumulateFixed (
  252.             noStressFixedAttribution
  253.         );
  254.     }

  256.     /**
  257.      * Accumulate the Systemic Floating Attribution
  258.      * 
  259.      * @param systemicFloatingAttribution Systemic Floating Attribution
  260.      * 
  261.      * @return TRUE - The Systemic Floating Attribution successfully updated
  262.      */

  264.     public boolean accumulateSystemicFloating (
  265.         final double systemicFloatingAttribution)
  266.     {
  267.         return _systemic.accumulateFloating (
  268.             systemicFloatingAttribution
  269.         );
  270.     }

  272.     /**
  273.      * Accumulate the Correlated Floating Attribution
  274.      * 
  275.      * @param correlatedFloatingAttribution Correlated Floating Attribution
  276.      * 
  277.      * @return TRUE - The Correlated Floating Attribution successfully updated
  278.      */

  280.     public boolean accumulateCorrelatedFloating (
  281.         final double correlatedFloatingAttribution)
  282.     {
  283.         return _correlated.accumulateFloating (
  284.             correlatedFloatingAttribution
  285.         );
  286.     }

  288.     /**
  289.      * Accumulate the Idiosyncratic Floating Attribution
  290.      * 
  291.      * @param idiosyncraticFloatingAttribution Idiosyncratic Floating Attribution
  292.      * 
  293.      * @return TRUE - The Idiosyncratic Floating Attribution successfully updated
  294.      */

  296.     public boolean accumulateIdiosyncraticFloating (
  297.         final double idiosyncraticFloatingAttribution)
  298.     {
  299.         return _idiosyncratic.accumulateFloating (
  300.             idiosyncraticFloatingAttribution
  301.         );
  302.     }

  304.     /**
  305.      * Accumulate the No-Stress Floating Attribution
  306.      * 
  307.      * @param noStressFloatingAttribution No-Stress Floating Attribution
  308.      * 
  309.      * @return TRUE - The No-Stress Floating Attribution successfully updated
  310.      */

  312.     public boolean accumulateNoStressFloating (
  313.         final double noStressFloatingAttribution)
  314.     {
  315.         return _noStress.accumulateFloating (
  316.             noStressFloatingAttribution
  317.         );
  318.     }

  320.     /**
  321.      * Accumulate the Systemic Pro-Rata Attribution
  322.      * 
  323.      * @param systemicProRataAttribution Systemic Pro-Rata Attribution
  324.      * 
  325.      * @return TRUE - The Systemic Pro-Rata Attribution successfully updated
  326.      */

  328.     public boolean accumulateSystemicProRata (
  329.         final double systemicProRataAttribution)
  330.     {
  331.         return _systemic.accumulateProRata (
  332.             systemicProRataAttribution
  333.         );
  334.     }

  336.     /**
  337.      * Accumulate the Correlated Pro-Rata Attribution
  338.      * 
  339.      * @param correlatedProRataAttribution Correlated Pro-Rata Attribution
  340.      * 
  341.      * @return TRUE - The Correlated Pro-Rata Attribution successfully updated
  342.      */

  344.     public boolean accumulateCorrelatedProRata (
  345.         final double correlatedProRataAttribution)
  346.     {
  347.         return _correlated.accumulateProRata (
  348.             correlatedProRataAttribution
  349.         );
  350.     }

  352.     /**
  353.      * Accumulate the Idiosyncratic Pro-Rata Attribution
  354.      * 
  355.      * @param idiosyncraticProRataAttribution Idiosyncratic Pro-Rata Attribution
  356.      * 
  357.      * @return TRUE - The Idiosyncratic Pro-Rata Attribution successfully updated
  358.      */

  360.     public boolean accumulateIdiosyncraticProRata (
  361.         final double idiosyncraticProRataAttribution)
  362.     {
  363.         return _idiosyncratic.accumulateProRata (
  364.             idiosyncraticProRataAttribution
  365.         );
  366.     }

  368.     /**
  369.      * Accumulate the No-Stress Pro-Rata Attribution
  370.      * 
  371.      * @param noStressProRataAttribution No-Stress Pro-Rata Attribution
  372.      * 
  373.      * @return TRUE - The No-Stress Pro-Rata Attribution successfully updated
  374.      */

  376.     public boolean accumulateNoStressProRata (
  377.         final double noStressProRataAttribution)
  378.     {
  379.         return _noStress.accumulateProRata (
  380.             noStressProRataAttribution
  381.         );
  382.     }

  384.     /**
  385.      * Accumulate the Systemic Attribution with the Beta-Adjusted Component Attribution
  386.      * 
  387.      * @param systemicAttribution The Systemic Attribution
  388.      * @param systemicAllocationCategory The Systemic Allocation Category
  389.      * @param systemicAllocationScheme The Systemic Allocation Scheme
  390.      * 
  391.      * @return TRUE - The Systemic Partition with the Beta-Adjusted Increment
  392.      */

  394.     public boolean accumulateSystemic (
  395.         final double systemicAttribution,
  396.         final int systemicAllocationCategory,
  397.         final int systemicAllocationScheme)
  398.     {
  399.         return _systemic.accumulate (
  400.             systemicAttribution,
  401.             systemicAllocationCategory,
  402.             systemicAllocationScheme
  403.         );
  404.     }

  406.     /**
  407.      * Accumulate the Correlated Attribution with the Beta-Adjusted Component Attribution
  408.      * 
  409.      * @param correlatedAttribution The Correlated Attribution
  410.      * @param correlatedAllocationCategory The Correlated Allocation Category
  411.      * @param correlatedAllocationScheme The Correlated Allocation Scheme
  412.      * 
  413.      * @return TRUE - The Correlated Partition with the Beta-Adjusted Increment
  414.      */

  416.     public boolean accumulateCorrelated (
  417.         final double correlatedAttribution,
  418.         final int correlatedAllocationCategory,
  419.         final int correlatedAllocationScheme)
  420.     {
  421.         return _correlated.accumulate (
  422.             correlatedAttribution,
  423.             correlatedAllocationCategory,
  424.             correlatedAllocationScheme
  425.         );
  426.     }

  428.     /**
  429.      * Accumulate the Idiosyncratic Attribution with the Beta-Adjusted Component Attribution
  430.      * 
  431.      * @param idiosyncraticAttribution The Idiosyncratic Attribution
  432.      * @param idiosyncraticAllocationCategory The Idiosyncratic Allocation Category
  433.      * @param idiosyncraticAllocationScheme The Idiosyncratic Allocation Scheme
  434.      * 
  435.      * @return TRUE - The Idiosyncratic Partition with the Beta-Adjusted Increment
  436.      */

  438.     public boolean accumulateIdiosyncratic (
  439.         final double idiosyncraticAttribution,
  440.         final int idiosyncraticAllocationCategory,
  441.         final int idiosyncraticAllocationScheme)
  442.     {
  443.         return _idiosyncratic.accumulate (
  444.             idiosyncraticAttribution,
  445.             idiosyncraticAllocationCategory,
  446.             idiosyncraticAllocationScheme
  447.         );
  448.     }

  450.     /**
  451.      * Accumulate the No Stress Attribution with the Beta-Adjusted Component Attribution
  452.      * 
  453.      * @param noStressAttribution The No Stress Attribution
  454.      * @param noStressAllocationCategory The No Stress Allocation Category
  455.      * @param noStressAllocationScheme The No Stress Allocation Scheme
  456.      * 
  457.      * @return TRUE - The No Stress Partition with the Beta-Adjusted Increment
  458.      */

  460.     public boolean accumulateNoStress (
  461.         final double noStressAttribution,
  462.         final int noStressAllocationCategory,
  463.         final int noStressAllocationScheme)
  464.     {
  465.         return _noStress.accumulate (
  466.             noStressAttribution,
  467.             noStressAllocationCategory,
  468.             noStressAllocationScheme
  469.         );
  470.     }

  472.     /**
  473.      * Accumulate with the Beta-Adjusted Component Attribution
  474.      * 
  475.      * @param pnlAttribution PnL Attribution
  476.      * @param entityCapitalAssignmentSetting Entity Capital Assignment Setting
  477.      * 
  478.      * @return TRUE - The Accumulation is successful
  479.      */

  481.     public boolean accumulate (
  482.         final org.drip.capital.explain.PnLAttribution pnlAttribution,
  483.         final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting)
  484.     {
  485.         if (null == pnlAttribution ||
  486.             null == entityCapitalAssignmentSetting)
  487.         {
  488.             return false;
  489.         }

  491.         if (!accumulateSystemic (
  492.             pnlAttribution.systemicPnL(),
  493.             entityCapitalAssignmentSetting.systemicAllocationCategory(),
  494.             entityCapitalAssignmentSetting.systemicAllocationScheme()
  495.         ))
  496.         {
  497.             return false;
  498.         }

  500.         if (!accumulateCorrelated (
  501.             pnlAttribution.correlatedPnL(),
  502.             entityCapitalAssignmentSetting.correlatedAllocationCategory(),
  503.             entityCapitalAssignmentSetting.correlatedAllocationScheme()
  504.         ))
  505.         {
  506.             return false;
  507.         }

  509.         if (!accumulateIdiosyncratic (
  510.             pnlAttribution.idiosyncraticGrossPnL(),
  511.             entityCapitalAssignmentSetting.idiosyncraticAllocationCategory(),
  512.             entityCapitalAssignmentSetting.idiosyncraticAllocationScheme()
  513.         ))
  514.         {
  515.             return false;
  516.         }

  518.         if (!accumulateNoStress (
  519.             pnlAttribution.fsGrossPnL(),
  520.             entityCapitalAssignmentSetting.noStressAllocationCategory(),
  521.             entityCapitalAssignmentSetting.noStressAllocationScheme()
  522.         ))
  523.         {
  524.             return false;
  525.         }

  527.         return true;
  528.     }

  530.     /**
  531.      * Retrieve the Total Systemic Component Capital
  532.      * 
  533.      * @return The Total Systemic Component Capital
  534.      */

  536.     public double systemicTotal()
  537.     {
  538.         return _systemic.fixed() + _systemic.floating() + _systemic.proRata();
  539.     }

  541.     /**
  542.      * Retrieve the Total Correlated Component Capital
  543.      * 
  544.      * @return The Total Correlated Component Capital
  545.      */

  547.     public double correlatedTotal()
  548.     {
  549.         return _correlated.fixed() + _correlated.floating() + _correlated.proRata();
  550.     }

  552.     /**
  553.      * Retrieve the Total Idiosyncratic Component Capital
  554.      * 
  555.      * @return The Total Idiosyncratic Component Capital
  556.      */

  558.     public double idiosyncraticTotal()
  559.     {
  560.         return _idiosyncratic.fixed() + _idiosyncratic.floating() + _idiosyncratic.proRata();
  561.     }

  563.     /**
  564.      * Retrieve the Total No Stress Component Capital
  565.      * 
  566.      * @return The Total No Stress Component Capital
  567.      */

  569.     public double noStressTotal()
  570.     {
  571.         return _noStress.fixed() + _noStress.floating() + _noStress.proRata();
  572.     }

  574.     /**
  575.      * Retrieve the Fixed Beta Capital Component
  576.      * 
  577.      * @return The Fixed Beta Capital Component
  578.      */

  580.     public double fixed()
  581.     {
  582.         return _systemic.fixed() + _correlated.fixed() + _idiosyncratic.fixed() + _noStress.fixed();
  583.     }

  585.     /**
  586.      * Retrieve the Floating Beta Capital Component
  587.      * 
  588.      * @return The Floating Beta Capital Component
  589.      */

  591.     public double floating()
  592.     {
  593.         return _systemic.floating() + _correlated.floating() + _idiosyncratic.floating() +
  594.             _noStress.floating();
  595.     }

  597.     /**
  598.      * Retrieve the Pro-Rata Beta Capital Component
  599.      * 
  600.      * @return The Pro-Rata Beta Capital Component
  601.      */

  603.     public double proRata()
  604.     {
  605.         return _systemic.proRata() + _correlated.proRata() + _idiosyncratic.proRata() + _noStress.proRata();
  606.     }

  608.     /**
  609.      * Retrieve the Pro-Rata Systemic Capital
  610.      *  
  611.      * @return The Pro-Rata Systemic Capital
  612.      */

  614.     public double systemicProRata()
  615.     {
  616.         return _systemic.proRata();
  617.     }

  619.     /**
  620.      * Retrieve the Pro-Rata Correlated Capital
  621.      *  
  622.      * @return The Pro-Rata Correlated Capital
  623.      */

  625.     public double correlatedProRata()
  626.     {
  627.         return _correlated.proRata();
  628.     }

  630.     /**
  631.      * Retrieve the Pro-Rata Idiosyncratic Capital
  632.      *  
  633.      * @return The Pro-Rata Idiosyncratic Capital
  634.      */

  636.     public double idiosyncraticProRata()
  637.     {
  638.         return _idiosyncratic.proRata();
  639.     }

  641.     /**
  642.      * Retrieve the Pro-Rata No-Stress Capital
  643.      *  
  644.      * @return The Pro-Rata No-Stress Capital
  645.      */

  647.     public double noStressProRata()
  648.     {
  649.         return _noStress.proRata();
  650.     }
  651. }
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