CapitalUnitEventContainer.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>CapitalUnitEventContainer</i> contains all the Stress Event Specifications across all of the Event Types that
* belong inside of the a 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 CapitalUnitEventContainer
{
private org.drip.capital.stress.SystemicEventContainer _systemicEventContainer = null;
private org.drip.capital.stress.IdiosyncraticEventContainer _idiosyncraticEventContainer = null;
/**
* Empty CapitalUnitEventContainer Constructor
*/
public CapitalUnitEventContainer()
{
}
/**
* Add Systemic Event
*
* @param systemicEvent The Systemic Event
*
* @return TRUE - The Systemic Event successfully added
*/
public boolean addSystemicEvent (
final org.drip.capital.stress.Event systemicEvent)
{
if (null == _systemicEventContainer)
{
_systemicEventContainer = new org.drip.capital.stress.SystemicEventContainer();
}
return _systemicEventContainer.addEvent (
systemicEvent
);
}
/**
* Indicate if the Systemic Event is Available
*
* @param systemicEventName Systemic Event Name
*
* @return TRUE - The Systemic Event is Available
*/
public boolean containsSystemicEvent (
final java.lang.String systemicEventName)
{
return null == _systemicEventContainer ? false : _systemicEventContainer.containsEvent (
systemicEventName
);
}
/**
* Retrieve the Systemic Event by Name
*
* @param systemicEventName Systemic Event by Name
*
* @return The Systemic Event
*/
public org.drip.capital.stress.Event systemicEvent (
final java.lang.String systemicEventName)
{
return null == _systemicEventContainer ? null : _systemicEventContainer.event (
systemicEventName
);
}
/**
* Add Idiosyncratic Event
*
* @param idiosyncraticEvent The Idiosyncratic Event
*
* @return TRUE - The Idiosyncratic Event successfully added
*/
public boolean addIdiosyncraticEvent (
final org.drip.capital.stress.Event idiosyncraticEvent)
{
if (null == _idiosyncraticEventContainer)
{
_idiosyncraticEventContainer = new org.drip.capital.stress.IdiosyncraticEventContainer();
}
return _idiosyncraticEventContainer.addEvent (
idiosyncraticEvent
);
}
/**
* Indicate if the Idiosyncratic Event is Available
*
* @param idiosyncraticEventName Idiosyncratic Event Name
*
* @return TRUE - The Idiosyncratic Event is Available
*/
public boolean containsIdiosyncraticEvent (
final java.lang.String idiosyncraticEventName)
{
return null == _idiosyncraticEventContainer ? false : _idiosyncraticEventContainer.containsEvent (
idiosyncraticEventName
);
}
/**
* Retrieve the Idiosyncratic Event by Name
*
* @param idiosyncraticEventName Idiosyncratic Event by Name
*
* @return The Idiosyncratic Event
*/
public org.drip.capital.stress.Event idiosyncraticEvent (
final java.lang.String idiosyncraticEventName)
{
return null == _idiosyncraticEventContainer ? null : _idiosyncraticEventContainer.event (
idiosyncraticEventName
);
}
/**
* Retrieve the Systemic Event Container
*
* @return The Systemic Event Container
*/
public org.drip.capital.stress.SystemicEventContainer systemicEventContainer()
{
return _systemicEventContainer;
}
/**
* Retrieve the Idiosyncratic Event Container
*
* @return The Idiosyncratic Event Container
*/
public org.drip.capital.stress.IdiosyncraticEventContainer idiosyncraticEventContainer()
{
return _idiosyncraticEventContainer;
}
/**
* Add Correlated Stress Event PnL Series
*
* @param systemicEventName Systemic Stress Event Name
* @param correlatedEventName Correlated Stress Event Name
* @param correlatedEventPnLSeries Correlated Stress Event PnL Series
*
* @return TRUE - The Correlated Stress Event PnL Series successfully added
*/
public boolean addCorrelatedEvent (
final java.lang.String systemicEventName,
final java.lang.String correlatedEventName,
final org.drip.capital.stress.PnLSeries correlatedEventPnLSeries)
{
if (null == _systemicEventContainer)
{
return false;
}
org.drip.capital.stress.Event systemicEvent = _systemicEventContainer.event (
systemicEventName
);
if (null == systemicEvent)
{
return false;
}
return systemicEvent.attachStressEventPnL (
correlatedEventName,
correlatedEventPnLSeries
);
}
/**
* Indicate if the Correlated Event is Available
*
* @param systemicEventName Systemic Stress Event Name
* @param correlatedEventName Correlated Stress Event Name
*
* @return TRUE - The Correlated Event is Available
*/
public boolean containsCorrelatedEvent (
final java.lang.String systemicEventName,
final java.lang.String correlatedEventName)
{
if (null == _systemicEventContainer)
{
return false;
}
return !_systemicEventContainer.containsEvent (
systemicEventName
) ? false : _systemicEventContainer.event (
systemicEventName
).containsAttachedEvent (
correlatedEventName
);
}
/**
* Retrieve the Correlated Stress Event PnL
*
* @param systemicEventName Systemic Stress Event Name
* @param correlatedEventName Correlated Stress Event Name
*
* @return TRUE - The Correlated Stress Event PnL
*/
public org.drip.capital.stress.PnLSeries correlatedEvent (
final java.lang.String systemicEventName,
final java.lang.String correlatedEventName)
{
return !_systemicEventContainer.containsEvent (
systemicEventName
) ? null : _systemicEventContainer.event (
systemicEventName
).attachedEventPnL (
correlatedEventName
);
}
}