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

  106. public class CapitalUnit
  107.     implements org.drip.capital.entity.CapitalSimulator
  108. {
  109.     private double _notional = java.lang.Double.NaN;
  110.     private org.drip.capital.label.Coordinate _coordinate = null;
  111.     private org.drip.capital.entity.CapitalUnitEventContainer _stressEventContainer = null;

  113.     private org.drip.capital.simulation.PathPnLRealization pathPnLRealization (
  114.         final int pathIndex,
  115.         final double pnlScaler,
  116.         final org.drip.capital.simulation.FSPnLDecomposition fsPnLDecomposition,
  117.         final java.util.Map<java.lang.String, java.lang.Double> fsTypeVolatilityAjustmentMap,
  118.         final double stressPnLScaler,
  119.         final org.drip.capital.simulation.StressEventIndicator stressEventIndicator)
  120.     {
  121.         if (null == fsPnLDecomposition || null == stressEventIndicator)
  122.         {
  123.             return null;
  124.         }

  126.         org.drip.capital.stress.SystemicEventContainer gsstEventContainer =
  127.             _stressEventContainer.systemicEventContainer();

  129.         org.drip.capital.stress.IdiosyncraticEventContainer iBSSTEventContainer =
  130.             _stressEventContainer.idiosyncraticEventContainer();

  132.         try
  133.         {
  134.             return new org.drip.capital.simulation.PathPnLRealization (
  135.                 pathIndex,
  136.                 fsPnLDecomposition.applyVolatilityAdjustment (
  137.                     fsTypeVolatilityAjustmentMap,
  138.                     pnlScaler
  139.                 ),
  140.                 null == gsstEventContainer ? null : gsstEventContainer.realizeIncidenceEnsemble (
  141.                     stressPnLScaler,
  142.                     stressEventIndicator.systemic()
  143.                 ),
  144.                 null == iBSSTEventContainer ? null : iBSSTEventContainer.realizeIncidenceEnsemble (
  145.                     stressPnLScaler,
  146.                     stressEventIndicator.idiosyncraticMap()
  147.                 )
  148.             );
  149.         }
  150.         catch (java.lang.Exception e)
  151.         {
  152.             e.printStackTrace();
  153.         }

  155.         return null;
  156.     }

  158.     /**
  159.      * CapitalUnit Constructor
  160.      * 
  161.      * @param coordinate Capital Unit Coordinate
  162.      * @param stressEventContainer Capital Unit Stress Event Container
  163.      * @param notional The Capital Unit Notional
  164.      * 
  165.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  166.      */

  168.     public CapitalUnit (
  169.         final org.drip.capital.label.Coordinate coordinate,
  170.         final org.drip.capital.entity.CapitalUnitEventContainer stressEventContainer,
  171.         final double notional)
  172.         throws java.lang.Exception
  173.     {
  174.         if (null == (_coordinate = coordinate) ||
  175.             null == (_stressEventContainer = stressEventContainer) ||
  176.             !org.drip.numerical.common.NumberUtil.IsValid (
  177.                 _notional = notional
  178.             )
  179.         )
  180.         {
  181.             throw new java.lang.Exception (
  182.                 "CapitalUnit Constructor => Invalid Inputs"
  183.             );
  184.         }
  185.     }

  187.     /**
  188.      * Retrieve the Capital Unit Coordinate
  189.      * 
  190.      * @return The Capital Unit Coordinate
  191.      */

  193.     public org.drip.capital.label.Coordinate coordinate()
  194.     {
  195.         return _coordinate;
  196.     }

  198.     /**
  199.      * Retrieve the Capital Unit Stress Event Container
  200.      * 
  201.      * @return The Capital Unit Stress Event Container
  202.      */

  204.     public org.drip.capital.entity.CapitalUnitEventContainer stressEventContainer()
  205.     {
  206.         return _stressEventContainer;
  207.     }

  209.     /**
  210.      * Retrieve the Capital Unit Notional
  211.      * 
  212.      * @return The Capital Unit Notional
  213.      */

  215.     public double notional()
  216.     {
  217.         return _notional;
  218.     }

  220.     @Override public org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray (
  221.         final org.drip.capital.setting.SimulationControl simulationControl,
  222.         final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
  223.     {
  224.         if (null == simulationControl ||
  225.             null == simulationPnLControl)
  226.         {
  227.             return null;
  228.         }

  230.         org.drip.capital.stress.IdiosyncraticEventContainer idiosyncraticEventContainer =
  231.             _stressEventContainer.idiosyncraticEventContainer();

  233.         java.util.Set<java.lang.String> idiosyncraticEventSet = null == idiosyncraticEventContainer ? null :
  234.             idiosyncraticEventContainer.eventMap().keySet();

  236.         org.drip.capital.setting.HorizonTailFSPnLControl pnlControl = simulationPnLControl.noStress();

  238.         java.util.Map<java.lang.String, java.lang.Double> fsTypeVolatilityAjustmentMap =
  239.             pnlControl.fsTypeVolatilityAjustmentMap();

  241.         int systemicStressIncidenceSampling = simulationControl.systemicStressIncidenceSampling();

  243.         double stressPnLScaler = simulationPnLControl.stress().grossScaler();

  245.         int pathCount = simulationControl.pathCount();

  247.         double pnlScaler = pnlControl.grossScaler();

  249.         org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray =
  250.             new org.drip.capital.simulation.PathPnLRealization[pathCount];

  252.         for (int pathIndex = 0;
  253.             pathIndex < pathCount;
  254.             ++pathIndex)
  255.         {
  256.             if (null == (
  257.                 pathPnLRealizationArray[pathIndex] = pathPnLRealization (
  258.                     pathIndex,
  259.                     pnlScaler,
  260.                     org.drip.capital.simulation.FSPnLDecomposition.Standard (
  261.                         _notional
  262.                     ),
  263.                     fsTypeVolatilityAjustmentMap,
  264.                     stressPnLScaler,
  265.                     org.drip.capital.setting.SimulationControl.SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING
  266.                         == systemicStressIncidenceSampling ?
  267.                         org.drip.capital.simulation.StressEventIndicator.RandomSystemic (
  268.                             idiosyncraticEventSet
  269.                         ) : org.drip.capital.simulation.StressEventIndicator.CustomSystemic (
  270.                             idiosyncraticEventSet,
  271.                             ((double) pathIndex) / ((double) pathCount)
  272.                         )
  273.                     )
  274.                 ))
  275.             {
  276.                 return null;
  277.             }
  278.         }

  280.         return pathPnLRealizationArray;
  281.     }

  283.     @Override public org.drip.capital.simulation.CapitalUnitPathEnsemble pathEnsemble (
  284.         final org.drip.capital.setting.SimulationControl simulationControl,
  285.         final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
  286.     {
  287.         org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray = pathPnLRealizationArray
  288.         (
  289.             simulationControl,
  290.             simulationPnLControl
  291.         );

  293.         if (null == pathPnLRealizationArray)
  294.         {
  295.             return null;
  296.         }

  298.         org.drip.capital.simulation.CapitalUnitPathEnsemble capitalUnitPathEnsemble =
  299.             new org.drip.capital.simulation.CapitalUnitPathEnsemble();

  301.         for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : pathPnLRealizationArray)
  302.         {
  303.             if (!capitalUnitPathEnsemble.addPathPnLRealization (
  304.                 pathPnLRealization
  305.             ))
  306.             {
  307.                 return null;
  308.             }
  309.         }

  311.         return capitalUnitPathEnsemble;
  312.     }
  313. }
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