AllocatedPnLAttribution.java

  1. package org.drip.capital.explain;

  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>AllocatedPnLAttribution</i> exposes the Path-Level Capital Component Attributions Post Allocation
  79.  *  Adjustments. 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/explain/README.md">Economic Risk Capital Attribution Explain</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class AllocatedPnLAttribution
  107.     extends org.drip.capital.explain.PnLAttribution
  108. {
  109.     private org.drip.capital.explain.PnLAttribution _standalonePnLAttribution = null;
  110.     private org.drip.capital.allocation.EntityComponentCapital _entityComponentCapital = null;

  112.     /**
  113.      * AllocatedPnLAttribution Constructor
  114.      * 
  115.      * @param standalonePnLAttribution The Stand-alone PnL Attribution
  116.      * @param entityComponentCapital The Entity Component Capital
  117.      * 
  118.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  119.      */

  121.     public AllocatedPnLAttribution (
  122.         final org.drip.capital.explain.PnLAttribution standalonePnLAttribution,
  123.         final org.drip.capital.allocation.EntityComponentCapital entityComponentCapital)
  124.         throws java.lang.Exception
  125.     {
  126.         if (null == (_standalonePnLAttribution = standalonePnLAttribution) ||
  127.             null == (_entityComponentCapital = entityComponentCapital)
  128.         )
  129.         {
  130.             throw new java.lang.Exception (
  131.                 "AllocatedPnLAttribution Constructor => Invalid Inputs"
  132.             );
  133.         }
  134.     }

  136.     /**
  137.      * Retrieve the Entity Component Capital
  138.      * 
  139.      * @return The Entity Component Capital
  140.      */

  142.     public org.drip.capital.allocation.EntityComponentCapital entityComponentCapital()
  143.     {
  144.         return _entityComponentCapital;
  145.     }

  147.     @Override public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionExplainMap()
  148.     {
  149.         java.util.Map<java.lang.String, java.lang.Double> standaloneFSPnLDecompositionExplainMap =
  150.             _standalonePnLAttribution.fsPnLDecompositionExplainMap();

  152.         if (null == standaloneFSPnLDecompositionExplainMap ||
  153.             0 == standaloneFSPnLDecompositionExplainMap.size())
  154.         {
  155.             return null;
  156.         }

  158.         double allocationScale = _entityComponentCapital.noStressStandaloneMultiplier();

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

  163.         for (java.util.Map.Entry<java.lang.String, java.lang.Double>
  164.             standaloneFSPnLDecompositionExplainMapEntry : standaloneFSPnLDecompositionExplainMap.entrySet())
  165.         {
  166.             fsPnLDecompositionExplainMap.put (
  167.                 standaloneFSPnLDecompositionExplainMapEntry.getKey(),
  168.                 standaloneFSPnLDecompositionExplainMapEntry.getValue() * allocationScale
  169.             );
  170.         }

  172.         return fsPnLDecompositionExplainMap;
  173.     }

  175.     @Override public java.util.Map<java.lang.String, java.lang.Double> paaCategoryDecompositionExplainMap()
  176.     {
  177.         java.util.Map<java.lang.String, java.lang.Double> standalonePAACategoryDecompositionExplainMap =
  178.             _standalonePnLAttribution.paaCategoryDecompositionExplainMap();

  180.         if (null == standalonePAACategoryDecompositionExplainMap ||
  181.             0 == standalonePAACategoryDecompositionExplainMap.size())
  182.         {
  183.             return null;
  184.         }

  186.         double allocationScale = _entityComponentCapital.systemicStandaloneMultiplier();

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

  191.         for (java.util.Map.Entry<java.lang.String, java.lang.Double>
  192.             standalonePAACategoryDecompositionExplainMapEntry :
  193.                 standalonePAACategoryDecompositionExplainMap.entrySet())
  194.         {
  195.             paaCategoryDecompositionExplainMap.put (
  196.                 standalonePAACategoryDecompositionExplainMapEntry.getKey(),
  197.                 standalonePAACategoryDecompositionExplainMapEntry.getValue() * allocationScale
  198.             );
  199.         }

  201.         return paaCategoryDecompositionExplainMap;
  202.     }

  204.     @Override public java.util.Map<java.lang.String, java.lang.Double> systemicPnLExplainMap()
  205.     {
  206.         java.util.Map<java.lang.String, java.lang.Double> standaloneSystemicPnLExplainMap =
  207.             _standalonePnLAttribution.systemicPnLExplainMap();

  209.         if (null == standaloneSystemicPnLExplainMap || 0 == standaloneSystemicPnLExplainMap.size())
  210.         {
  211.             return null;
  212.         }

  214.         double allocationScale = _entityComponentCapital.systemicStandaloneMultiplier();

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

  219.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneSystemicPnLExplainMapEntry :
  220.             standaloneSystemicPnLExplainMap.entrySet())
  221.         {
  222.             systemicPnLExplainMap.put (
  223.                 standaloneSystemicPnLExplainMapEntry.getKey(),
  224.                 standaloneSystemicPnLExplainMapEntry.getValue() * allocationScale
  225.             );
  226.         }

  228.         return systemicPnLExplainMap;
  229.     }

  231.     @Override public java.util.Map<java.lang.String, java.lang.Double> systemicGrossPnLExplainMap()
  232.     {
  233.         return null;
  234.     }

  236.     @Override public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLExplainMap()
  237.     {
  238.         java.util.Map<java.lang.String, java.lang.Double> standaloneCorrelatedPnLExplainMap =
  239.             _standalonePnLAttribution.correlatedPnLExplainMap();

  241.         if (null == standaloneCorrelatedPnLExplainMap || 0 == standaloneCorrelatedPnLExplainMap.size())
  242.         {
  243.             return null;
  244.         }

  246.         double allocationScale = _entityComponentCapital.correlatedStandaloneMultiplier();

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

  251.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneCorrelatedPnLExplainMapEntry :
  252.             standaloneCorrelatedPnLExplainMap.entrySet())
  253.         {
  254.             correlatedPnLExplainMap.put (
  255.                 standaloneCorrelatedPnLExplainMapEntry.getKey(),
  256.                 standaloneCorrelatedPnLExplainMapEntry.getValue() * allocationScale
  257.             );
  258.         }

  260.         return correlatedPnLExplainMap;
  261.     }

  263.     @Override public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLWorstMap()
  264.     {
  265.         java.util.Map<java.lang.String, java.lang.Double> standaloneCorrelatedPnLWorstMap =
  266.             _standalonePnLAttribution.correlatedPnLWorstMap();

  268.         if (null == standaloneCorrelatedPnLWorstMap || 0 == standaloneCorrelatedPnLWorstMap.size())
  269.         {
  270.             return null;
  271.         }

  273.         double allocationScale = _entityComponentCapital.correlatedStandaloneMultiplier();

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

  278.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneCorrelatedPnLWorstMapEntry :
  279.             standaloneCorrelatedPnLWorstMap.entrySet())
  280.         {
  281.             correlatedPnLWorstMap.put (
  282.                 standaloneCorrelatedPnLWorstMapEntry.getKey(),
  283.                 standaloneCorrelatedPnLWorstMapEntry.getValue() * allocationScale
  284.             );
  285.         }

  287.         return correlatedPnLWorstMap;
  288.     }

  290.     @Override public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLExplainMap()
  291.     {
  292.         java.util.Map<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLExplainMap =
  293.             _standalonePnLAttribution.idiosyncraticPnLExplainMap();

  295.         if (null == standaloneIdiosyncraticPnLExplainMap || 0 == standaloneIdiosyncraticPnLExplainMap.size())
  296.         {
  297.             return null;
  298.         }

  300.         double allocationScale = _entityComponentCapital.idiosyncraticStandaloneMultiplier();

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

  305.         for (java.util.Map.Entry<java.lang.String, java.lang.Double>
  306.             standaloneIdiosyncraticPnLExplainMapEntry : standaloneIdiosyncraticPnLExplainMap.entrySet())
  307.         {
  308.             idiosyncraticPnLExplainMap.put (
  309.                 standaloneIdiosyncraticPnLExplainMapEntry.getKey(),
  310.                 standaloneIdiosyncraticPnLExplainMapEntry.getValue() * allocationScale
  311.             );
  312.         }

  314.         return idiosyncraticPnLExplainMap;
  315.     }

  317.     @Override public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLWorstMap()
  318.     {
  319.         java.util.Map<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLWorstMap =
  320.             _standalonePnLAttribution.idiosyncraticPnLWorstMap();

  322.         if (null == standaloneIdiosyncraticPnLWorstMap || 0 == standaloneIdiosyncraticPnLWorstMap.size())
  323.         {
  324.             return null;
  325.         }

  327.         double allocationScale = _entityComponentCapital.idiosyncraticStandaloneMultiplier();

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

  332.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> standaloneIdiosyncraticPnLWorstMapEntry
  333.             : standaloneIdiosyncraticPnLWorstMap.entrySet())
  334.         {
  335.             idiosyncraticPnLWorstMap.put (
  336.                 standaloneIdiosyncraticPnLWorstMapEntry.getKey(),
  337.                 standaloneIdiosyncraticPnLWorstMapEntry.getValue() * allocationScale
  338.             );
  339.         }

  341.         return idiosyncraticPnLWorstMap;
  342.     }

  344.     @Override public double var()
  345.     {
  346.         return _entityComponentCapital.noStressStandaloneMultiplier() * super.var();
  347.     }

  349.     @Override public double expectedShortfall()
  350.     {
  351.         return systemicPnL() + correlatedPnL() + idiosyncraticGrossPnL() + fsGrossPnL();
  352.     }

  354.     @Override public java.util.Map<java.lang.String, java.lang.Integer> systemicInstanceCountMap()
  355.     {
  356.         return _standalonePnLAttribution.systemicInstanceCountMap();
  357.     }

  359.     @Override public java.util.Map<java.lang.String, java.lang.Integer> correlatedInstanceCountMap()
  360.     {
  361.         return _standalonePnLAttribution.correlatedInstanceCountMap();
  362.     }

  364.     @Override public java.util.Map<java.lang.String, java.lang.Integer> idiosyncraticInstanceCountMap()
  365.     {
  366.         return _standalonePnLAttribution.idiosyncraticInstanceCountMap();
  367.     }

  369.     @Override public java.util.List<java.lang.Integer> pathIndexList()
  370.     {
  371.         return _standalonePnLAttribution.pathIndexList();
  372.     }

  374.     @Override public int pathCount()
  375.     {
  376.         return _standalonePnLAttribution.pathCount();
  377.     }

  379.     @Override public double systemicPnL()
  380.     {
  381.         return _entityComponentCapital.systemicStandaloneMultiplier() *
  382.             _standalonePnLAttribution.systemicPnL();
  383.     }

  385.     @Override public double systemicGrossPnL()
  386.     {
  387.         return _entityComponentCapital.systemicStandaloneMultiplier() *
  388.             _standalonePnLAttribution.systemicGrossPnL();
  389.     }

  391.     @Override public double correlatedPnL()
  392.     {
  393.         return _entityComponentCapital.correlatedStandaloneMultiplier() *
  394.             _standalonePnLAttribution.correlatedPnL();
  395.     }

  397.     @Override public double idiosyncraticGrossPnL()
  398.     {
  399.         return _entityComponentCapital.idiosyncraticStandaloneMultiplier() *
  400.             _standalonePnLAttribution.idiosyncraticGrossPnL();
  401.     }

  403.     @Override public double fsGrossPnL()
  404.     {
  405.         return _entityComponentCapital.noStressStandaloneMultiplier() *
  406.             _standalonePnLAttribution.fsGrossPnL();
  407.     }
  408. }
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