CapitalSegment.java

  1. package org.drip.capital.entity;

  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>CapitalSegment</i> exposes the VaR and the Stress Functionality for a Capital Segment. The References
  79.  *  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/entity/README.md">Economic Risk Capital Estimation Nodes</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public abstract class CapitalSegment
  107.     implements org.drip.capital.entity.CapitalSimulator
  108. {
  109.     private org.drip.capital.label.CapitalSegmentCoordinate _coordinate = null;

  111.     protected CapitalSegment (
  112.         final org.drip.capital.label.CapitalSegmentCoordinate coordinate)
  113.         throws java.lang.Exception
  114.     {
  115.         if (null == (_coordinate = coordinate))
  116.         {
  117.             throw new java.lang.Exception (
  118.                 "CapitalSegment Constructor => Invalid Inputs"
  119.             );
  120.         }
  121.     }

  123.     /**
  124.      * Retrieve the Capital Segment Coordinate
  125.      * 
  126.      * @return Capital Segment Coordinate
  127.      */

  129.     public org.drip.capital.label.CapitalSegmentCoordinate coordinate()
  130.     {
  131.         return _coordinate;
  132.     }

  134.     /**
  135.      * Retrieve the Array of Capital Units
  136.      * 
  137.      * @return Array of Capital Units
  138.      */

  140.     public abstract org.drip.capital.entity.CapitalUnit[] capitalUnitArray();

  142.     /**
  143.      * Generate the Grid of Capital Unit Path Realizations
  144.      * 
  145.      * @param simulationControl Simulation Settings
  146.      * @param simulationPnLControl PnL Settings
  147.      * 
  148.      * @return Grid of Capital Unit Path Realizations
  149.      */

  151.     public org.drip.capital.simulation.PathPnLRealization[][] capitalUnitPathPnLRealizationGrid (
  152.         final org.drip.capital.setting.SimulationControl simulationControl,
  153.         final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
  154.     {
  155.         org.drip.capital.entity.CapitalUnit[] capitalUnitArray = capitalUnitArray();

  157.         int capitalUnitCount = capitalUnitArray.length;
  158.         org.drip.capital.simulation.PathPnLRealization[][] capitalUnitPathPnLRealizationGrid = new
  159.             org.drip.capital.simulation.PathPnLRealization[capitalUnitCount][];

  161.         for (int capitalUnitIndex = 0; capitalUnitIndex < capitalUnitCount; ++capitalUnitIndex)
  162.         {
  163.             if (null == (capitalUnitPathPnLRealizationGrid[capitalUnitIndex] =
  164.                 capitalUnitArray[capitalUnitIndex].pathPnLRealizationArray (
  165.                     simulationControl,
  166.                     simulationPnLControl
  167.                 )
  168.             ))
  169.             {
  170.                 return null;
  171.             }
  172.         }

  174.         return capitalUnitPathPnLRealizationGrid;
  175.     }

  177.     @Override public org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray (
  178.         final org.drip.capital.setting.SimulationControl simulationControl,
  179.         final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
  180.     {
  181.         int pathCount = simulationControl.pathCount();

  183.         org.drip.capital.simulation.PathPnLRealization[][] capitalUnitPathPnLRealizationGrid =
  184.             capitalUnitPathPnLRealizationGrid (
  185.                 simulationControl,
  186.                 simulationPnLControl
  187.             );

  189.         if (null == capitalUnitPathPnLRealizationGrid)
  190.         {
  191.             return null;
  192.         }

  194.         org.drip.capital.entity.CapitalUnit[] capitalUnitArray = capitalUnitArray();

  196.         int capitalUnitCount = capitalUnitArray.length;
  197.         org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray =
  198.             new org.drip.capital.simulation.PathPnLRealization[pathCount];

  200.         for (int pathIndex = 0;
  201.             pathIndex < pathCount;
  202.             ++pathIndex)
  203.         {
  204.             org.drip.capital.simulation.PathPnLRealization[] singlePathPnLRealizationArray =
  205.                 new org.drip.capital.simulation.PathPnLRealization[capitalUnitCount];

  207.             for (int capitalUnitIndex = 0;
  208.                 capitalUnitIndex < capitalUnitCount;
  209.                 ++capitalUnitIndex)
  210.             {
  211.                 singlePathPnLRealizationArray[capitalUnitIndex] =
  212.                     capitalUnitPathPnLRealizationGrid[capitalUnitIndex][pathIndex];
  213.             }

  215.             if (null == (pathPnLRealizationArray[pathIndex] =
  216.                     org.drip.capital.simulation.PathPnLRealization.Combine (
  217.                         singlePathPnLRealizationArray
  218.                     )
  219.                 )
  220.             )
  221.             {
  222.                 return null;
  223.             }
  224.         }

  226.         return pathPnLRealizationArray;
  227.     }

  229.     @Override public org.drip.capital.simulation.CapitalSegmentPathEnsemble pathEnsemble (
  230.         final org.drip.capital.setting.SimulationControl simulationControl,
  231.         final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
  232.     {
  233.         org.drip.capital.simulation.PathPnLRealization[][] capitalUnitPathPnLRealizationGrid =
  234.             capitalUnitPathPnLRealizationGrid (
  235.                 simulationControl,
  236.                 simulationPnLControl
  237.             );

  239.         if (null == capitalUnitPathPnLRealizationGrid)
  240.         {
  241.             return null;
  242.         }

  244.         int pathCount = simulationControl.pathCount();

  246.         java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble> pathEnsembleMap = new
  247.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.simulation.PathEnsemble>();

  249.         org.drip.capital.entity.CapitalUnit[] capitalUnitArray = capitalUnitArray();

  251.         int capitalUnitCount = capitalUnitArray.length;
  252.         org.drip.capital.simulation.CapitalSegmentPathEnsemble capitalSegmentPathEnsemble = null;
  253.         org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray = new
  254.             org.drip.capital.simulation.PathPnLRealization[pathCount];

  256.         for (int capitalUnitIndex = 0;
  257.             capitalUnitIndex < capitalUnitCount;
  258.             ++capitalUnitIndex)
  259.         {
  260.             org.drip.capital.simulation.CapitalUnitPathEnsemble capitalUnitPathEnsemble =
  261.                 new org.drip.capital.simulation.CapitalUnitPathEnsemble();

  263.             for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization :
  264.                 capitalUnitPathPnLRealizationGrid[capitalUnitIndex])
  265.             {
  266.                 if (!capitalUnitPathEnsemble.addPathPnLRealization (pathPnLRealization))
  267.                 {
  268.                     return null;
  269.                 }
  270.             }

  272.             pathEnsembleMap.put (
  273.                 capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName(),
  274.                 capitalUnitPathEnsemble
  275.             );
  276.         }

  278.         try
  279.         {
  280.             capitalSegmentPathEnsemble = new org.drip.capital.simulation.CapitalSegmentPathEnsemble (
  281.                 pathEnsembleMap
  282.             );
  283.         }
  284.         catch (java.lang.Exception e)
  285.         {
  286.             e.printStackTrace();

  288.             return null;
  289.         }

  291.         for (int pathIndex = 0;
  292.             pathIndex < pathCount;
  293.             ++pathIndex)
  294.         {
  295.             org.drip.capital.simulation.PathPnLRealization[] singlePathPnLRealizationArray =
  296.                 new org.drip.capital.simulation.PathPnLRealization[capitalUnitCount];

  298.             for (int capitalUnitIndex = 0;
  299.                 capitalUnitIndex < capitalUnitCount;
  300.                 ++capitalUnitIndex)
  301.             {
  302.                 singlePathPnLRealizationArray[capitalUnitIndex] =
  303.                     capitalUnitPathPnLRealizationGrid[capitalUnitIndex][pathIndex];
  304.             }

  306.             if (null == (pathPnLRealizationArray[pathIndex] =
  307.                     org.drip.capital.simulation.PathPnLRealization.Combine (
  308.                         singlePathPnLRealizationArray
  309.                     )
  310.                 )
  311.             )
  312.             {
  313.                 return null;
  314.             }
  315.         }

  317.         for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : pathPnLRealizationArray)
  318.         {
  319.             if (!capitalSegmentPathEnsemble.addPathPnLRealization (
  320.                 pathPnLRealization
  321.             ))
  322.             {
  323.                 return null;
  324.             }
  325.         }

  327.         return capitalSegmentPathEnsemble;
  328.     }

  330.     /**
  331.      * Generate the Simulation Path Ensemble Constricted to the specified Path Ensemble Map
  332.      * 
  333.      * @param pathEnsembleMap The Path Ensemble Constriction Map
  334.      * 
  335.      * @return The Constricted Simulation Path Ensemble
  336.      */

  338.     public org.drip.capital.simulation.CapitalSegmentPathEnsemble pathEnsemble (
  339.         final java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble> pathEnsembleMap)
  340.     {
  341.         if (null == pathEnsembleMap || 0 == pathEnsembleMap.size())
  342.         {
  343.             return null;
  344.         }

  346.         java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble>
  347.             constrictedPathEnsembleMap = new
  348.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.simulation.PathEnsemble>();

  350.         org.drip.capital.entity.CapitalUnit[] capitalUnitArray = capitalUnitArray();

  352.         int pathCount = -1;
  353.         int capitalUnitCount = capitalUnitArray.length;
  354.         org.drip.capital.simulation.PathPnLRealization[][] capitalUnitPathPnLRealizationGrid =
  355.             new org.drip.capital.simulation.PathPnLRealization[capitalUnitCount][];
  356.         org.drip.capital.simulation.CapitalSegmentPathEnsemble constrictedCapitalSegmentPathEnsemble =
  357.             null;

  359.         for (int capitalUnitIndex = 0;
  360.             capitalUnitIndex < capitalUnitCount;
  361.             ++capitalUnitIndex)
  362.         {
  363.             java.lang.String capitalUnitCoordinateFQN =
  364.                 capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName();

  366.             if (!pathEnsembleMap.containsKey (
  367.                 capitalUnitCoordinateFQN
  368.             ))
  369.             {
  370.                 return null;
  371.             }

  373.             org.drip.capital.simulation.PathEnsemble pathEnsemble = pathEnsembleMap.get (
  374.                 capitalUnitCoordinateFQN
  375.             );

  377.             constrictedPathEnsembleMap.put (
  378.                 capitalUnitCoordinateFQN,
  379.                 pathEnsemble
  380.             );

  382.             capitalUnitPathPnLRealizationGrid[capitalUnitIndex] = (
  383.                 (org.drip.capital.simulation.CapitalUnitPathEnsemble) pathEnsemble
  384.             ).pathPnLRealizationArray();

  386.             if (0 == capitalUnitIndex)
  387.             {
  388.                 pathCount = pathEnsemble.count();
  389.             }
  390.         }

  392.         try
  393.         {
  394.             constrictedCapitalSegmentPathEnsemble = new
  395.                 org.drip.capital.simulation.CapitalSegmentPathEnsemble (
  396.                     constrictedPathEnsembleMap
  397.                 );
  398.         }
  399.         catch (java.lang.Exception e)
  400.         {
  401.             e.printStackTrace();

  403.             return null;
  404.         }

  406.         org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray =
  407.             new org.drip.capital.simulation.PathPnLRealization[pathCount];

  409.         for (int pathIndex = 0;
  410.             pathIndex < pathCount;
  411.             ++pathIndex)
  412.         {
  413.             org.drip.capital.simulation.PathPnLRealization[] singlePathPnLRealizationArray =
  414.                 new org.drip.capital.simulation.PathPnLRealization[capitalUnitCount];

  416.             for (int capitalUnitIndex = 0;
  417.                 capitalUnitIndex < capitalUnitCount;
  418.                 ++capitalUnitIndex)
  419.             {
  420.                 singlePathPnLRealizationArray[capitalUnitIndex] =
  421.                     capitalUnitPathPnLRealizationGrid[capitalUnitIndex][pathIndex];
  422.             }

  424.             if (null == (pathPnLRealizationArray[pathIndex] =
  425.                     org.drip.capital.simulation.PathPnLRealization.Combine (
  426.                         singlePathPnLRealizationArray
  427.                     )
  428.                 )
  429.             )
  430.             {
  431.                 return null;
  432.             }
  433.         }

  435.         for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : pathPnLRealizationArray)
  436.         {
  437.             if (!constrictedCapitalSegmentPathEnsemble.addPathPnLRealization (
  438.                 pathPnLRealization
  439.             ))
  440.             {
  441.                 return null;
  442.             }
  443.         }

  445.         return constrictedCapitalSegmentPathEnsemble;
  446.     }
  447. }
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