EntityElasticityAttribution.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>EntityElasticityAttribution</i> holds the Attributions across all Entity Components 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 EntityElasticityAttribution
{
private org.drip.capital.allocation.EntityComponentElasticityAttribution _noStress = null;
private org.drip.capital.allocation.EntityComponentElasticityAttribution _systemic = null;
private org.drip.capital.allocation.EntityComponentElasticityAttribution _correlated = null;
private org.drip.capital.allocation.EntityComponentElasticityAttribution _idiosyncratic = null;
/**
* EntityElasticityAttribution 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 EntityElasticityAttribution (
final org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager,
final boolean unitLoading)
throws java.lang.Exception
{
_systemic = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
correlationCategoryBetaManager,
unitLoading
);
_correlated = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
correlationCategoryBetaManager,
unitLoading
);
_idiosyncratic = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
correlationCategoryBetaManager,
unitLoading
);
_noStress = new org.drip.capital.allocation.EntityComponentElasticityAttribution (
correlationCategoryBetaManager,
unitLoading
);
}
/**
* Retrieve the Systemic Elasticity Attribution
*
* @return The Systemic Elasticity Attribution
*/
public org.drip.capital.allocation.EntityComponentElasticityAttribution systemic()
{
return _systemic;
}
/**
* Retrieve the Correlated Elasticity Attribution
*
* @return The Correlated Elasticity Attribution
*/
public org.drip.capital.allocation.EntityComponentElasticityAttribution correlated()
{
return _correlated;
}
/**
* Retrieve the Idiosyncratic Elasticity Attribution
*
* @return The Idiosyncratic Elasticity Attribution
*/
public org.drip.capital.allocation.EntityComponentElasticityAttribution idiosyncratic()
{
return _idiosyncratic;
}
/**
* Retrieve the "No Stress" Elasticity Attribution
*
* @return The "No Stress" Elasticity Attribution
*/
public org.drip.capital.allocation.EntityComponentElasticityAttribution noStress()
{
return _noStress;
}
/**
* Accumulate the Systemic Fixed Attribution
*
* @param systemicFixedAttribution Systemic Fixed Attribution
*
* @return TRUE - The Systemic Fixed Attribution successfully updated
*/
public boolean accumulateSystemicFixed (
final double systemicFixedAttribution)
{
return _systemic.accumulateFixed (
systemicFixedAttribution
);
}
/**
* Accumulate the Correlated Fixed Attribution
*
* @param correlatedFixedAttribution Correlated Fixed Attribution
*
* @return TRUE - The Correlated Fixed Attribution successfully updated
*/
public boolean accumulateCorrelatedFixed (
final double correlatedFixedAttribution)
{
return _correlated.accumulateFixed (
correlatedFixedAttribution
);
}
/**
* Accumulate the Idiosyncratic Fixed Attribution
*
* @param idiosyncraticFixedAttribution Idiosyncratic Fixed Attribution
*
* @return TRUE - The Idiosyncratic Fixed Attribution successfully updated
*/
public boolean accumulateIdiosyncraticFixed (
final double idiosyncraticFixedAttribution)
{
return _idiosyncratic.accumulateFixed (
idiosyncraticFixedAttribution
);
}
/**
* Accumulate the No-Stress Fixed Attribution
*
* @param noStressFixedAttribution No-Stress Fixed Attribution
*
* @return TRUE - The No-Stress Fixed Attribution successfully updated
*/
public boolean accumulateNoStressFixed (
final double noStressFixedAttribution)
{
return _noStress.accumulateFixed (
noStressFixedAttribution
);
}
/**
* Accumulate the Systemic Floating Attribution
*
* @param systemicFloatingAttribution Systemic Floating Attribution
*
* @return TRUE - The Systemic Floating Attribution successfully updated
*/
public boolean accumulateSystemicFloating (
final double systemicFloatingAttribution)
{
return _systemic.accumulateFloating (
systemicFloatingAttribution
);
}
/**
* Accumulate the Correlated Floating Attribution
*
* @param correlatedFloatingAttribution Correlated Floating Attribution
*
* @return TRUE - The Correlated Floating Attribution successfully updated
*/
public boolean accumulateCorrelatedFloating (
final double correlatedFloatingAttribution)
{
return _correlated.accumulateFloating (
correlatedFloatingAttribution
);
}
/**
* Accumulate the Idiosyncratic Floating Attribution
*
* @param idiosyncraticFloatingAttribution Idiosyncratic Floating Attribution
*
* @return TRUE - The Idiosyncratic Floating Attribution successfully updated
*/
public boolean accumulateIdiosyncraticFloating (
final double idiosyncraticFloatingAttribution)
{
return _idiosyncratic.accumulateFloating (
idiosyncraticFloatingAttribution
);
}
/**
* Accumulate the No-Stress Floating Attribution
*
* @param noStressFloatingAttribution No-Stress Floating Attribution
*
* @return TRUE - The No-Stress Floating Attribution successfully updated
*/
public boolean accumulateNoStressFloating (
final double noStressFloatingAttribution)
{
return _noStress.accumulateFloating (
noStressFloatingAttribution
);
}
/**
* Accumulate the Systemic Pro-Rata Attribution
*
* @param systemicProRataAttribution Systemic Pro-Rata Attribution
*
* @return TRUE - The Systemic Pro-Rata Attribution successfully updated
*/
public boolean accumulateSystemicProRata (
final double systemicProRataAttribution)
{
return _systemic.accumulateProRata (
systemicProRataAttribution
);
}
/**
* Accumulate the Correlated Pro-Rata Attribution
*
* @param correlatedProRataAttribution Correlated Pro-Rata Attribution
*
* @return TRUE - The Correlated Pro-Rata Attribution successfully updated
*/
public boolean accumulateCorrelatedProRata (
final double correlatedProRataAttribution)
{
return _correlated.accumulateProRata (
correlatedProRataAttribution
);
}
/**
* Accumulate the Idiosyncratic Pro-Rata Attribution
*
* @param idiosyncraticProRataAttribution Idiosyncratic Pro-Rata Attribution
*
* @return TRUE - The Idiosyncratic Pro-Rata Attribution successfully updated
*/
public boolean accumulateIdiosyncraticProRata (
final double idiosyncraticProRataAttribution)
{
return _idiosyncratic.accumulateProRata (
idiosyncraticProRataAttribution
);
}
/**
* Accumulate the No-Stress Pro-Rata Attribution
*
* @param noStressProRataAttribution No-Stress Pro-Rata Attribution
*
* @return TRUE - The No-Stress Pro-Rata Attribution successfully updated
*/
public boolean accumulateNoStressProRata (
final double noStressProRataAttribution)
{
return _noStress.accumulateProRata (
noStressProRataAttribution
);
}
/**
* Accumulate the Systemic Attribution with the Beta-Adjusted Component Attribution
*
* @param systemicAttribution The Systemic Attribution
* @param systemicAllocationCategory The Systemic Allocation Category
* @param systemicAllocationScheme The Systemic Allocation Scheme
*
* @return TRUE - The Systemic Partition with the Beta-Adjusted Increment
*/
public boolean accumulateSystemic (
final double systemicAttribution,
final int systemicAllocationCategory,
final int systemicAllocationScheme)
{
return _systemic.accumulate (
systemicAttribution,
systemicAllocationCategory,
systemicAllocationScheme
);
}
/**
* Accumulate the Correlated Attribution with the Beta-Adjusted Component Attribution
*
* @param correlatedAttribution The Correlated Attribution
* @param correlatedAllocationCategory The Correlated Allocation Category
* @param correlatedAllocationScheme The Correlated Allocation Scheme
*
* @return TRUE - The Correlated Partition with the Beta-Adjusted Increment
*/
public boolean accumulateCorrelated (
final double correlatedAttribution,
final int correlatedAllocationCategory,
final int correlatedAllocationScheme)
{
return _correlated.accumulate (
correlatedAttribution,
correlatedAllocationCategory,
correlatedAllocationScheme
);
}
/**
* Accumulate the Idiosyncratic Attribution with the Beta-Adjusted Component Attribution
*
* @param idiosyncraticAttribution The Idiosyncratic Attribution
* @param idiosyncraticAllocationCategory The Idiosyncratic Allocation Category
* @param idiosyncraticAllocationScheme The Idiosyncratic Allocation Scheme
*
* @return TRUE - The Idiosyncratic Partition with the Beta-Adjusted Increment
*/
public boolean accumulateIdiosyncratic (
final double idiosyncraticAttribution,
final int idiosyncraticAllocationCategory,
final int idiosyncraticAllocationScheme)
{
return _idiosyncratic.accumulate (
idiosyncraticAttribution,
idiosyncraticAllocationCategory,
idiosyncraticAllocationScheme
);
}
/**
* Accumulate the No Stress Attribution with the Beta-Adjusted Component Attribution
*
* @param noStressAttribution The No Stress Attribution
* @param noStressAllocationCategory The No Stress Allocation Category
* @param noStressAllocationScheme The No Stress Allocation Scheme
*
* @return TRUE - The No Stress Partition with the Beta-Adjusted Increment
*/
public boolean accumulateNoStress (
final double noStressAttribution,
final int noStressAllocationCategory,
final int noStressAllocationScheme)
{
return _noStress.accumulate (
noStressAttribution,
noStressAllocationCategory,
noStressAllocationScheme
);
}
/**
* Accumulate with the Beta-Adjusted Component Attribution
*
* @param pnlAttribution PnL Attribution
* @param entityCapitalAssignmentSetting Entity Capital Assignment Setting
*
* @return TRUE - The Accumulation is successful
*/
public boolean accumulate (
final org.drip.capital.explain.PnLAttribution pnlAttribution,
final org.drip.capital.allocation.EntityCapitalAssignmentSetting entityCapitalAssignmentSetting)
{
if (null == pnlAttribution ||
null == entityCapitalAssignmentSetting)
{
return false;
}
if (!accumulateSystemic (
pnlAttribution.systemicPnL(),
entityCapitalAssignmentSetting.systemicAllocationCategory(),
entityCapitalAssignmentSetting.systemicAllocationScheme()
))
{
return false;
}
if (!accumulateCorrelated (
pnlAttribution.correlatedPnL(),
entityCapitalAssignmentSetting.correlatedAllocationCategory(),
entityCapitalAssignmentSetting.correlatedAllocationScheme()
))
{
return false;
}
if (!accumulateIdiosyncratic (
pnlAttribution.idiosyncraticGrossPnL(),
entityCapitalAssignmentSetting.idiosyncraticAllocationCategory(),
entityCapitalAssignmentSetting.idiosyncraticAllocationScheme()
))
{
return false;
}
if (!accumulateNoStress (
pnlAttribution.fsGrossPnL(),
entityCapitalAssignmentSetting.noStressAllocationCategory(),
entityCapitalAssignmentSetting.noStressAllocationScheme()
))
{
return false;
}
return true;
}
/**
* Retrieve the Total Systemic Component Capital
*
* @return The Total Systemic Component Capital
*/
public double systemicTotal()
{
return _systemic.fixed() + _systemic.floating() + _systemic.proRata();
}
/**
* Retrieve the Total Correlated Component Capital
*
* @return The Total Correlated Component Capital
*/
public double correlatedTotal()
{
return _correlated.fixed() + _correlated.floating() + _correlated.proRata();
}
/**
* Retrieve the Total Idiosyncratic Component Capital
*
* @return The Total Idiosyncratic Component Capital
*/
public double idiosyncraticTotal()
{
return _idiosyncratic.fixed() + _idiosyncratic.floating() + _idiosyncratic.proRata();
}
/**
* Retrieve the Total No Stress Component Capital
*
* @return The Total No Stress Component Capital
*/
public double noStressTotal()
{
return _noStress.fixed() + _noStress.floating() + _noStress.proRata();
}
/**
* Retrieve the Fixed Beta Capital Component
*
* @return The Fixed Beta Capital Component
*/
public double fixed()
{
return _systemic.fixed() + _correlated.fixed() + _idiosyncratic.fixed() + _noStress.fixed();
}
/**
* Retrieve the Floating Beta Capital Component
*
* @return The Floating Beta Capital Component
*/
public double floating()
{
return _systemic.floating() + _correlated.floating() + _idiosyncratic.floating() +
_noStress.floating();
}
/**
* Retrieve the Pro-Rata Beta Capital Component
*
* @return The Pro-Rata Beta Capital Component
*/
public double proRata()
{
return _systemic.proRata() + _correlated.proRata() + _idiosyncratic.proRata() + _noStress.proRata();
}
/**
* Retrieve the Pro-Rata Systemic Capital
*
* @return The Pro-Rata Systemic Capital
*/
public double systemicProRata()
{
return _systemic.proRata();
}
/**
* Retrieve the Pro-Rata Correlated Capital
*
* @return The Pro-Rata Correlated Capital
*/
public double correlatedProRata()
{
return _correlated.proRata();
}
/**
* Retrieve the Pro-Rata Idiosyncratic Capital
*
* @return The Pro-Rata Idiosyncratic Capital
*/
public double idiosyncraticProRata()
{
return _idiosyncratic.proRata();
}
/**
* Retrieve the Pro-Rata No-Stress Capital
*
* @return The Pro-Rata No-Stress Capital
*/
public double noStressProRata()
{
return _noStress.proRata();
}
}