CapitalUnitEventContainer.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>CapitalUnitEventContainer</i> contains all the Stress Event Specifications across all of the Event Types that
  79.  *  belong inside of the a Capital Unit. 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/entity/README.md">Economic Risk Capital Estimation Nodes</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class CapitalUnitEventContainer
  107. {
  108.     private org.drip.capital.stress.SystemicEventContainer _systemicEventContainer = null;
  109.     private org.drip.capital.stress.IdiosyncraticEventContainer _idiosyncraticEventContainer = null;

  111.     /**
  112.      * Empty CapitalUnitEventContainer Constructor
  113.      */

  115.     public CapitalUnitEventContainer()
  116.     {
  117.     }

  119.     /**
  120.      * Add Systemic Event
  121.      * 
  122.      * @param systemicEvent The Systemic Event
  123.      * 
  124.      * @return TRUE - The Systemic Event successfully added
  125.      */

  127.     public boolean addSystemicEvent (
  128.         final org.drip.capital.stress.Event systemicEvent)
  129.     {
  130.         if (null == _systemicEventContainer)
  131.         {
  132.             _systemicEventContainer = new org.drip.capital.stress.SystemicEventContainer();
  133.         }

  135.         return _systemicEventContainer.addEvent (
  136.             systemicEvent
  137.         );
  138.     }

  140.     /**
  141.      * Indicate if the Systemic Event is Available
  142.      * 
  143.      * @param systemicEventName Systemic Event Name
  144.      * 
  145.      * @return TRUE - The Systemic Event is Available
  146.      */

  148.     public boolean containsSystemicEvent (
  149.         final java.lang.String systemicEventName)
  150.     {
  151.         return null == _systemicEventContainer ? false : _systemicEventContainer.containsEvent (
  152.             systemicEventName
  153.         );
  154.     }

  156.     /**
  157.      * Retrieve the Systemic Event by Name
  158.      * 
  159.      * @param systemicEventName Systemic Event by Name
  160.      * 
  161.      * @return The Systemic Event
  162.      */

  164.     public org.drip.capital.stress.Event systemicEvent (
  165.         final java.lang.String systemicEventName)
  166.     {
  167.         return null == _systemicEventContainer ? null : _systemicEventContainer.event (
  168.             systemicEventName
  169.         );
  170.     }

  172.     /**
  173.      * Add Idiosyncratic Event
  174.      * 
  175.      * @param idiosyncraticEvent The Idiosyncratic Event
  176.      * 
  177.      * @return TRUE - The Idiosyncratic Event successfully added
  178.      */

  180.     public boolean addIdiosyncraticEvent (
  181.         final org.drip.capital.stress.Event idiosyncraticEvent)
  182.     {
  183.         if (null == _idiosyncraticEventContainer)
  184.         {
  185.             _idiosyncraticEventContainer = new org.drip.capital.stress.IdiosyncraticEventContainer();
  186.         }

  188.         return _idiosyncraticEventContainer.addEvent (
  189.             idiosyncraticEvent
  190.         );
  191.     }

  193.     /**
  194.      * Indicate if the Idiosyncratic Event is Available
  195.      * 
  196.      * @param idiosyncraticEventName Idiosyncratic Event Name
  197.      * 
  198.      * @return TRUE - The Idiosyncratic Event is Available
  199.      */

  201.     public boolean containsIdiosyncraticEvent (
  202.         final java.lang.String idiosyncraticEventName)
  203.     {
  204.         return null == _idiosyncraticEventContainer ? false : _idiosyncraticEventContainer.containsEvent (
  205.             idiosyncraticEventName
  206.         );
  207.     }

  209.     /**
  210.      * Retrieve the Idiosyncratic Event by Name
  211.      * 
  212.      * @param idiosyncraticEventName Idiosyncratic Event by Name
  213.      * 
  214.      * @return The Idiosyncratic Event
  215.      */

  217.     public org.drip.capital.stress.Event idiosyncraticEvent (
  218.         final java.lang.String idiosyncraticEventName)
  219.     {
  220.         return null == _idiosyncraticEventContainer ? null : _idiosyncraticEventContainer.event (
  221.             idiosyncraticEventName
  222.         );
  223.     }

  225.     /**
  226.      * Retrieve the Systemic Event Container
  227.      * 
  228.      * @return The Systemic Event Container
  229.      */

  231.     public org.drip.capital.stress.SystemicEventContainer systemicEventContainer()
  232.     {
  233.         return _systemicEventContainer;
  234.     }

  236.     /**
  237.      * Retrieve the Idiosyncratic Event Container
  238.      * 
  239.      * @return The Idiosyncratic Event Container
  240.      */

  242.     public org.drip.capital.stress.IdiosyncraticEventContainer idiosyncraticEventContainer()
  243.     {
  244.         return _idiosyncraticEventContainer;
  245.     }

  247.     /**
  248.      * Add Correlated Stress Event PnL Series
  249.      * 
  250.      * @param systemicEventName Systemic Stress Event Name
  251.      * @param correlatedEventName Correlated Stress Event Name
  252.      * @param correlatedEventPnLSeries Correlated Stress Event PnL Series
  253.      * 
  254.      * @return TRUE - The Correlated Stress Event PnL Series successfully added
  255.      */

  257.     public boolean addCorrelatedEvent (
  258.         final java.lang.String systemicEventName,
  259.         final java.lang.String correlatedEventName,
  260.         final org.drip.capital.stress.PnLSeries correlatedEventPnLSeries)
  261.     {
  262.         if (null == _systemicEventContainer)
  263.         {
  264.             return false;
  265.         }

  267.         org.drip.capital.stress.Event systemicEvent = _systemicEventContainer.event (
  268.             systemicEventName
  269.         );

  271.         if (null == systemicEvent)
  272.         {
  273.             return false;
  274.         }

  276.         return systemicEvent.attachStressEventPnL (
  277.             correlatedEventName,
  278.             correlatedEventPnLSeries
  279.         );
  280.     }

  282.     /**
  283.      * Indicate if the Correlated Event is Available
  284.      * 
  285.      * @param systemicEventName Systemic Stress Event Name
  286.      * @param correlatedEventName Correlated Stress Event Name
  287.      * 
  288.      * @return TRUE - The Correlated Event is Available
  289.      */

  291.     public boolean containsCorrelatedEvent (
  292.         final java.lang.String systemicEventName,
  293.         final java.lang.String correlatedEventName)
  294.     {
  295.         if (null == _systemicEventContainer)
  296.         {
  297.             return false;
  298.         }

  300.         return !_systemicEventContainer.containsEvent (
  301.             systemicEventName
  302.         ) ? false : _systemicEventContainer.event (
  303.             systemicEventName
  304.         ).containsAttachedEvent (
  305.             correlatedEventName
  306.         );
  307.     }

  309.     /**
  310.      * Retrieve the Correlated Stress Event PnL
  311.      * 
  312.      * @param systemicEventName Systemic Stress Event Name
  313.      * @param correlatedEventName Correlated Stress Event Name
  314.      * 
  315.      * @return TRUE - The Correlated Stress Event PnL
  316.      */

  318.     public org.drip.capital.stress.PnLSeries correlatedEvent (
  319.         final java.lang.String systemicEventName,
  320.         final java.lang.String correlatedEventName)
  321.     {
  322.         return !_systemicEventContainer.containsEvent (
  323.             systemicEventName
  324.         ) ? null : _systemicEventContainer.event (
  325.             systemicEventName
  326.         ).attachedEventPnL (
  327.             correlatedEventName
  328.         );
  329.     }
  330. }
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