AllocatedPnLAttribution.java

package org.drip.capital.explain;

/*
 * -*- 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>AllocatedPnLAttribution</i> exposes the Path-Level Capital Component Attributions Post Allocation
 * 	Adjustments. 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/explain/README.md">Economic Risk Capital Attribution Explain</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class AllocatedPnLAttribution
	extends org.drip.capital.explain.PnLAttribution
{
	private org.drip.capital.explain.PnLAttribution _standalonePnLAttribution = null;
	private org.drip.capital.allocation.EntityComponentCapital _entityComponentCapital = null;

	/**
	 * AllocatedPnLAttribution Constructor
	 * 
	 * @param standalonePnLAttribution The Stand-alone PnL Attribution
	 * @param entityComponentCapital The Entity Component Capital
	 * 
	 * @throws java.lang.Exception Thrown if the Inputs are invalid
	 */

	public AllocatedPnLAttribution (
		final org.drip.capital.explain.PnLAttribution standalonePnLAttribution,
		final org.drip.capital.allocation.EntityComponentCapital entityComponentCapital)
		throws java.lang.Exception
	{
		if (null == (_standalonePnLAttribution = standalonePnLAttribution) ||
			null == (_entityComponentCapital = entityComponentCapital)
		)
		{
			throw new java.lang.Exception (
				"AllocatedPnLAttribution Constructor => Invalid Inputs"
			);
		}
	}

	/**
	 * Retrieve the Entity Component Capital
	 * 
	 * @return The Entity Component Capital
	 */

	public org.drip.capital.allocation.EntityComponentCapital entityComponentCapital()
	{
		return _entityComponentCapital;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionExplainMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneFSPnLDecompositionExplainMap =
			_standalonePnLAttribution.fsPnLDecompositionExplainMap();

		if (null == standaloneFSPnLDecompositionExplainMap ||
			0 == standaloneFSPnLDecompositionExplainMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.noStressStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionExplainMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double>
			standaloneFSPnLDecompositionExplainMapEntry : standaloneFSPnLDecompositionExplainMap.entrySet())
		{
			fsPnLDecompositionExplainMap.put (
				standaloneFSPnLDecompositionExplainMapEntry.getKey(),
				standaloneFSPnLDecompositionExplainMapEntry.getValue() * allocationScale
			);
		}

		return fsPnLDecompositionExplainMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> paaCategoryDecompositionExplainMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standalonePAACategoryDecompositionExplainMap =
			_standalonePnLAttribution.paaCategoryDecompositionExplainMap();

		if (null == standalonePAACategoryDecompositionExplainMap ||
			0 == standalonePAACategoryDecompositionExplainMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.systemicStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> paaCategoryDecompositionExplainMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double>
			standalonePAACategoryDecompositionExplainMapEntry :
				standalonePAACategoryDecompositionExplainMap.entrySet())
		{
			paaCategoryDecompositionExplainMap.put (
				standalonePAACategoryDecompositionExplainMapEntry.getKey(),
				standalonePAACategoryDecompositionExplainMapEntry.getValue() * allocationScale
			);
		}

		return paaCategoryDecompositionExplainMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> systemicPnLExplainMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneSystemicPnLExplainMap =
			_standalonePnLAttribution.systemicPnLExplainMap();

		if (null == standaloneSystemicPnLExplainMap || 0 == standaloneSystemicPnLExplainMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.systemicStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> systemicPnLExplainMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneSystemicPnLExplainMapEntry :
			standaloneSystemicPnLExplainMap.entrySet())
		{
			systemicPnLExplainMap.put (
				standaloneSystemicPnLExplainMapEntry.getKey(),
				standaloneSystemicPnLExplainMapEntry.getValue() * allocationScale
			);
		}

		return systemicPnLExplainMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> systemicGrossPnLExplainMap()
	{
		return null;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLExplainMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneCorrelatedPnLExplainMap =
			_standalonePnLAttribution.correlatedPnLExplainMap();

		if (null == standaloneCorrelatedPnLExplainMap || 0 == standaloneCorrelatedPnLExplainMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.correlatedStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> correlatedPnLExplainMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneCorrelatedPnLExplainMapEntry :
			standaloneCorrelatedPnLExplainMap.entrySet())
		{
			correlatedPnLExplainMap.put (
				standaloneCorrelatedPnLExplainMapEntry.getKey(),
				standaloneCorrelatedPnLExplainMapEntry.getValue() * allocationScale
			);
		}

		return correlatedPnLExplainMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLWorstMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneCorrelatedPnLWorstMap =
			_standalonePnLAttribution.correlatedPnLWorstMap();

		if (null == standaloneCorrelatedPnLWorstMap || 0 == standaloneCorrelatedPnLWorstMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.correlatedStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> correlatedPnLWorstMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneCorrelatedPnLWorstMapEntry :
			standaloneCorrelatedPnLWorstMap.entrySet())
		{
			correlatedPnLWorstMap.put (
				standaloneCorrelatedPnLWorstMapEntry.getKey(),
				standaloneCorrelatedPnLWorstMapEntry.getValue() * allocationScale
			);
		}

		return correlatedPnLWorstMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLExplainMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLExplainMap =
			_standalonePnLAttribution.idiosyncraticPnLExplainMap();

		if (null == standaloneIdiosyncraticPnLExplainMap || 0 == standaloneIdiosyncraticPnLExplainMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.idiosyncraticStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLExplainMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double>
			standaloneIdiosyncraticPnLExplainMapEntry : standaloneIdiosyncraticPnLExplainMap.entrySet())
		{
			idiosyncraticPnLExplainMap.put (
				standaloneIdiosyncraticPnLExplainMapEntry.getKey(),
				standaloneIdiosyncraticPnLExplainMapEntry.getValue() * allocationScale
			);
		}

		return idiosyncraticPnLExplainMap;
	}

	@Override public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLWorstMap()
	{
		java.util.Map<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLWorstMap =
			_standalonePnLAttribution.idiosyncraticPnLWorstMap();

		if (null == standaloneIdiosyncraticPnLWorstMap || 0 == standaloneIdiosyncraticPnLWorstMap.size())
		{
			return null;
		}

		double allocationScale = _entityComponentCapital.idiosyncraticStandaloneMultiplier();

		java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLWorstMap = new
			org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

		for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLWorstMapEntry
			: standaloneIdiosyncraticPnLWorstMap.entrySet())
		{
			idiosyncraticPnLWorstMap.put (
				standaloneIdiosyncraticPnLWorstMapEntry.getKey(),
				standaloneIdiosyncraticPnLWorstMapEntry.getValue() * allocationScale
			);
		}

		return idiosyncraticPnLWorstMap;
	}

	@Override public double var()
	{
		return _entityComponentCapital.noStressStandaloneMultiplier() * super.var();
	}

	@Override public double expectedShortfall()
	{
		return systemicPnL() + correlatedPnL() + idiosyncraticGrossPnL() + fsGrossPnL();
	}

	@Override public java.util.Map<java.lang.String, java.lang.Integer> systemicInstanceCountMap()
	{
		return _standalonePnLAttribution.systemicInstanceCountMap();
	}

	@Override public java.util.Map<java.lang.String, java.lang.Integer> correlatedInstanceCountMap()
	{
		return _standalonePnLAttribution.correlatedInstanceCountMap();
	}

	@Override public java.util.Map<java.lang.String, java.lang.Integer> idiosyncraticInstanceCountMap()
	{
		return _standalonePnLAttribution.idiosyncraticInstanceCountMap();
	}

	@Override public java.util.List<java.lang.Integer> pathIndexList()
	{
		return _standalonePnLAttribution.pathIndexList();
	}

	@Override public int pathCount()
	{
		return _standalonePnLAttribution.pathCount();
	}

	@Override public double systemicPnL()
	{
		return _entityComponentCapital.systemicStandaloneMultiplier() *
			_standalonePnLAttribution.systemicPnL();
	}

	@Override public double systemicGrossPnL()
	{
		return _entityComponentCapital.systemicStandaloneMultiplier() *
			_standalonePnLAttribution.systemicGrossPnL();
	}

	@Override public double correlatedPnL()
	{
		return _entityComponentCapital.correlatedStandaloneMultiplier() *
			_standalonePnLAttribution.correlatedPnL();
	}

	@Override public double idiosyncraticGrossPnL()
	{
		return _entityComponentCapital.idiosyncraticStandaloneMultiplier() *
			_standalonePnLAttribution.idiosyncraticGrossPnL();
	}

	@Override public double fsGrossPnL()
	{
		return _entityComponentCapital.noStressStandaloneMultiplier() *
			_standalonePnLAttribution.fsGrossPnL();
	}
}