CapitalUnit.java
package org.drip.capital.entity;
/*
* -*- 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>CapitalUnit</i> implements the VaR and the Stress Functionality for the specified Capital Unit. 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/entity/README.md">Economic Risk Capital Estimation Nodes</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CapitalUnit
implements org.drip.capital.entity.CapitalSimulator
{
private double _notional = java.lang.Double.NaN;
private org.drip.capital.label.Coordinate _coordinate = null;
private org.drip.capital.entity.CapitalUnitEventContainer _stressEventContainer = null;
private org.drip.capital.simulation.PathPnLRealization pathPnLRealization (
final int pathIndex,
final double pnlScaler,
final org.drip.capital.simulation.FSPnLDecomposition fsPnLDecomposition,
final java.util.Map<java.lang.String, java.lang.Double> fsTypeVolatilityAjustmentMap,
final double stressPnLScaler,
final org.drip.capital.simulation.StressEventIndicator stressEventIndicator)
{
if (null == fsPnLDecomposition || null == stressEventIndicator)
{
return null;
}
org.drip.capital.stress.SystemicEventContainer gsstEventContainer =
_stressEventContainer.systemicEventContainer();
org.drip.capital.stress.IdiosyncraticEventContainer iBSSTEventContainer =
_stressEventContainer.idiosyncraticEventContainer();
try
{
return new org.drip.capital.simulation.PathPnLRealization (
pathIndex,
fsPnLDecomposition.applyVolatilityAdjustment (
fsTypeVolatilityAjustmentMap,
pnlScaler
),
null == gsstEventContainer ? null : gsstEventContainer.realizeIncidenceEnsemble (
stressPnLScaler,
stressEventIndicator.systemic()
),
null == iBSSTEventContainer ? null : iBSSTEventContainer.realizeIncidenceEnsemble (
stressPnLScaler,
stressEventIndicator.idiosyncraticMap()
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* CapitalUnit Constructor
*
* @param coordinate Capital Unit Coordinate
* @param stressEventContainer Capital Unit Stress Event Container
* @param notional The Capital Unit Notional
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public CapitalUnit (
final org.drip.capital.label.Coordinate coordinate,
final org.drip.capital.entity.CapitalUnitEventContainer stressEventContainer,
final double notional)
throws java.lang.Exception
{
if (null == (_coordinate = coordinate) ||
null == (_stressEventContainer = stressEventContainer) ||
!org.drip.numerical.common.NumberUtil.IsValid (
_notional = notional
)
)
{
throw new java.lang.Exception (
"CapitalUnit Constructor => Invalid Inputs"
);
}
}
/**
* Retrieve the Capital Unit Coordinate
*
* @return The Capital Unit Coordinate
*/
public org.drip.capital.label.Coordinate coordinate()
{
return _coordinate;
}
/**
* Retrieve the Capital Unit Stress Event Container
*
* @return The Capital Unit Stress Event Container
*/
public org.drip.capital.entity.CapitalUnitEventContainer stressEventContainer()
{
return _stressEventContainer;
}
/**
* Retrieve the Capital Unit Notional
*
* @return The Capital Unit Notional
*/
public double notional()
{
return _notional;
}
@Override public org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray (
final org.drip.capital.setting.SimulationControl simulationControl,
final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
{
if (null == simulationControl ||
null == simulationPnLControl)
{
return null;
}
org.drip.capital.stress.IdiosyncraticEventContainer idiosyncraticEventContainer =
_stressEventContainer.idiosyncraticEventContainer();
java.util.Set<java.lang.String> idiosyncraticEventSet = null == idiosyncraticEventContainer ? null :
idiosyncraticEventContainer.eventMap().keySet();
org.drip.capital.setting.HorizonTailFSPnLControl pnlControl = simulationPnLControl.noStress();
java.util.Map<java.lang.String, java.lang.Double> fsTypeVolatilityAjustmentMap =
pnlControl.fsTypeVolatilityAjustmentMap();
int systemicStressIncidenceSampling = simulationControl.systemicStressIncidenceSampling();
double stressPnLScaler = simulationPnLControl.stress().grossScaler();
int pathCount = simulationControl.pathCount();
double pnlScaler = pnlControl.grossScaler();
org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray =
new org.drip.capital.simulation.PathPnLRealization[pathCount];
for (int pathIndex = 0;
pathIndex < pathCount;
++pathIndex)
{
if (null == (
pathPnLRealizationArray[pathIndex] = pathPnLRealization (
pathIndex,
pnlScaler,
org.drip.capital.simulation.FSPnLDecomposition.Standard (
_notional
),
fsTypeVolatilityAjustmentMap,
stressPnLScaler,
org.drip.capital.setting.SimulationControl.SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING
== systemicStressIncidenceSampling ?
org.drip.capital.simulation.StressEventIndicator.RandomSystemic (
idiosyncraticEventSet
) : org.drip.capital.simulation.StressEventIndicator.CustomSystemic (
idiosyncraticEventSet,
((double) pathIndex) / ((double) pathCount)
)
)
))
{
return null;
}
}
return pathPnLRealizationArray;
}
@Override public org.drip.capital.simulation.CapitalUnitPathEnsemble pathEnsemble (
final org.drip.capital.setting.SimulationControl simulationControl,
final org.drip.capital.setting.SimulationPnLControl simulationPnLControl)
{
org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray = pathPnLRealizationArray
(
simulationControl,
simulationPnLControl
);
if (null == pathPnLRealizationArray)
{
return null;
}
org.drip.capital.simulation.CapitalUnitPathEnsemble capitalUnitPathEnsemble =
new org.drip.capital.simulation.CapitalUnitPathEnsemble();
for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : pathPnLRealizationArray)
{
if (!capitalUnitPathEnsemble.addPathPnLRealization (
pathPnLRealization
))
{
return null;
}
}
return capitalUnitPathEnsemble;
}
}