SystemicScenarioDesignContextManager.java
package org.drip.capital.env;
/*
* -*- 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>SystemicScenarioDesignContextManager</i> sets up the Credit Spread Event Container. 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/env/README.md">Economic Risk Capital Parameter Factories</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class SystemicScenarioDesignContextManager
{
private static org.drip.capital.shell.CreditSpreadEventContainer s_CreditSpreadEventContainer = null;
/**
* Initialize the GSST Design Context Manager
*
* @return TRUE - The GSST Design Context Manager successfully initialized
*/
public static final boolean Init()
{
s_CreditSpreadEventContainer = new org.drip.capital.shell.CreditSpreadEventContainer();
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"NOV-2008",
371.,
-39.5,
-197.,
129.,
7.8,
-55.0,
-28.5,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.Deflationary()
)
))
{
return false;
}
try
{
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"APR-1932",
332.,
-61.4,
42.,
96.,
java.lang.Double.NaN,
33.8,
java.lang.Double.NaN,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED
)
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"JAN-1975",
221.,
-29.7,
183.,
-53.,
-8.5,
159.0,
49.2,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.Inflationary()
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"APR-1938",
180.,
-40.5,
-17.,
30.,
java.lang.Double.NaN,
-4.2,
java.lang.Double.NaN,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED
)
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"AUG-1982",
161.,
-2.7,
-256.,
520.,
-0.8,
-6.0,
-7.8,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.Deflationary()
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"APR-1980",
147.,
4.5,
259.,
-135.,
-1.0,
149.0,
4.1,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.Inflationary()
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"NOV-1970",
140.,
-7.0,
-106.,
169.,
java.lang.Double.NaN,
-1.0,
3.9,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP
)
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"JAN-2001",
125.,
-2.0,
-172.,
-148.,
8.1,
9.0,
3.2,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP
)
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"APR-1931",
113.,
-39.4,
-11.,
java.lang.Double.NaN,
java.lang.Double.NaN,
-45.4,
java.lang.Double.NaN,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED
)
)
))
{
return false;
}
if (!s_CreditSpreadEventContainer.add (
org.drip.capital.systemicscenario.CreditSpreadEvent.Standard (
"DEC-1966",
94.,
-13.1,
28.,
-36.,
java.lang.Double.NaN,
2.0,
java.lang.Double.NaN,
new org.drip.capital.systemicscenario.SystemicStressShockIndicator (
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.DOWN,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UP,
org.drip.capital.systemicscenario.SystemicStressShockIndicator.UNSPECIFIED
)
)
))
{
return false;
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the Built-in Credit Spread Event Container
*
* @return The Built-in Credit Spread Event Container
*/
public static final org.drip.capital.shell.CreditSpreadEventContainer CreditSpreadEventContainer()
{
return s_CreditSpreadEventContainer;
}
}