CapitalSegmentPnLAttribution.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>CapitalSegmentPnLAttribution</i> holds the Scenario-Level Cumulative Capital Attributions from the
* Contributing Paths of the Stand-alone Capital Units corresponding to a Capital Segment. 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 CapitalSegmentPnLAttribution
extends org.drip.capital.explain.PnLAttribution
{
private int _pathCount = -1;
private java.util.List<java.lang.Integer> _pathIndexList = null;
private boolean updateFSDecompositionExplainMap (
final java.util.Map<java.lang.String, java.lang.Double> unitFSPnLDecompositionExplainMap)
{
if (null == unitFSPnLDecompositionExplainMap)
{
return true;
}
if (null == _fsPnLDecompositionExplainMap)
{
_fsPnLDecompositionExplainMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> fsPnLDecompositionExplainEntry :
unitFSPnLDecompositionExplainMap.entrySet())
{
java.lang.String fsType = fsPnLDecompositionExplainEntry.getKey();
if (_fsPnLDecompositionExplainMap.containsKey (
fsType
))
{
_fsPnLDecompositionExplainMap.put (
fsType,
_fsPnLDecompositionExplainMap.get (
fsType
) + fsPnLDecompositionExplainEntry.getValue()
);
}
else
{
_fsPnLDecompositionExplainMap.put (
fsType,
fsPnLDecompositionExplainEntry.getValue()
);
}
}
return true;
}
private boolean updateSystemicEventNamePnLExplainMap (
final java.util.Map<java.lang.String, java.lang.Double> unitSystemicPnLExplainMap)
{
if (null == unitSystemicPnLExplainMap)
{
return true;
}
if (null == _systemicPnLExplainMap)
{
_systemicPnLExplainMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicExplainEntry :
unitSystemicPnLExplainMap.entrySet())
{
java.lang.String systemicEventName = systemicExplainEntry.getKey();
if (_systemicPnLExplainMap.containsKey (
systemicEventName
))
{
_systemicPnLExplainMap.put (
systemicEventName,
_systemicPnLExplainMap.get (
systemicEventName
) + systemicExplainEntry.getValue()
);
}
else
{
_systemicPnLExplainMap.put (
systemicEventName,
systemicExplainEntry.getValue()
);
}
}
return true;
}
private boolean updateSystemicGrossPnLExplainMap (
final java.util.Map<java.lang.String, java.lang.Double> unitSystemicGrossPnLExplainMap)
{
if (null == unitSystemicGrossPnLExplainMap)
{
return true;
}
if (null == _systemicGrossPnLExplainMap)
{
_systemicGrossPnLExplainMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicGrossExplainEntry :
unitSystemicGrossPnLExplainMap.entrySet())
{
java.lang.String systemicEventName = systemicGrossExplainEntry.getKey();
if (_systemicGrossPnLExplainMap.containsKey (
systemicEventName
))
{
_systemicGrossPnLExplainMap.put (
systemicEventName,
_systemicGrossPnLExplainMap.get (
systemicEventName
) + systemicGrossExplainEntry.getValue()
);
}
else
{
_systemicGrossPnLExplainMap.put (
systemicEventName,
systemicGrossExplainEntry.getValue()
);
}
}
return true;
}
private boolean updateSystemicInstanceCountMap (
final java.util.Map<java.lang.String, java.lang.Integer> unitSystemicInstanceCountMap)
{
if (null == unitSystemicInstanceCountMap)
{
return true;
}
if (null == _systemicInstanceCountMap)
{
_systemicInstanceCountMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Integer>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Integer> systemicInstanceCountEntry :
unitSystemicInstanceCountMap.entrySet())
{
java.lang.String systemicEventName = systemicInstanceCountEntry.getKey();
if (_systemicInstanceCountMap.containsKey (
systemicEventName
))
{
_systemicInstanceCountMap.put (
systemicEventName,
_systemicInstanceCountMap.get (
systemicEventName
) + systemicInstanceCountEntry.getValue()
);
}
else
{
_systemicInstanceCountMap.put (
systemicEventName,
systemicInstanceCountEntry.getValue()
);
}
}
return true;
}
private boolean updateCorrelatedPnLExplainMap (
final java.util.Map<java.lang.String, java.lang.Double> unitCorrelatedPnLExplainMap)
{
if (null == unitCorrelatedPnLExplainMap)
{
return true;
}
if (null == _correlatedPnLExplainMap)
{
_correlatedPnLExplainMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> correlatedExplainEntry :
unitCorrelatedPnLExplainMap.entrySet())
{
java.lang.String correlatedEventName = correlatedExplainEntry.getKey();
if (_correlatedPnLExplainMap.containsKey (
correlatedEventName
))
{
_correlatedPnLExplainMap.put (
correlatedEventName,
_correlatedPnLExplainMap.get (
correlatedEventName
) + correlatedExplainEntry.getValue()
);
}
else
{
_correlatedPnLExplainMap.put (
correlatedEventName,
correlatedExplainEntry.getValue()
);
}
}
return true;
}
private boolean updateCorrelatedInstanceCountMap (
final java.util.Map<java.lang.String, java.lang.Integer> unitCorrelatedInstanceCountMap)
{
if (null == unitCorrelatedInstanceCountMap)
{
return true;
}
if (null == _correlatedInstanceCountMap)
{
_correlatedInstanceCountMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Integer>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Integer> correlatedInstanceCountEntry :
unitCorrelatedInstanceCountMap.entrySet())
{
java.lang.String correlatedEventName = correlatedInstanceCountEntry.getKey();
if (_correlatedInstanceCountMap.containsKey (
correlatedEventName
))
{
_correlatedInstanceCountMap.put (
correlatedEventName,
_correlatedInstanceCountMap.get (
correlatedEventName
) + correlatedInstanceCountEntry.getValue()
);
}
else
{
_correlatedInstanceCountMap.put (
correlatedEventName,
correlatedInstanceCountEntry.getValue()
);
}
}
return true;
}
private boolean updateIdiosyncraticPnLExplainMap (
final java.util.Map<java.lang.String, java.lang.Double> unitIdiosyncraticPnLExplainMap)
{
if (null == unitIdiosyncraticPnLExplainMap)
{
return true;
}
if (null == _idiosyncraticPnLExplainMap)
{
_idiosyncraticPnLExplainMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> idiosyncraticExplainEntry :
unitIdiosyncraticPnLExplainMap.entrySet())
{
java.lang.String idiosyncraticEventName = idiosyncraticExplainEntry.getKey();
if (_idiosyncraticPnLExplainMap.containsKey (
idiosyncraticEventName
))
{
_idiosyncraticPnLExplainMap.put (
idiosyncraticEventName,
_idiosyncraticPnLExplainMap.get (
idiosyncraticEventName
) + idiosyncraticExplainEntry.getValue()
);
}
else
{
_idiosyncraticPnLExplainMap.put (
idiosyncraticEventName,
idiosyncraticExplainEntry.getValue()
);
}
}
return true;
}
private boolean updateIdiosyncraticInstanceCountMap (
final java.util.Map<java.lang.String, java.lang.Integer> unitIdiosyncraticInstanceCountMap)
{
if (null == unitIdiosyncraticInstanceCountMap)
{
return true;
}
if (null == _idiosyncraticInstanceCountMap)
{
_idiosyncraticInstanceCountMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Integer>();
}
for (java.util.Map.Entry<java.lang.String, java.lang.Integer> idiosyncraticInstanceCountEntry :
unitIdiosyncraticInstanceCountMap.entrySet())
{
java.lang.String idiosyncraticEventName = idiosyncraticInstanceCountEntry.getKey();
if (_idiosyncraticInstanceCountMap.containsKey (
idiosyncraticEventName
))
{
_idiosyncraticInstanceCountMap.put (
idiosyncraticEventName,
_idiosyncraticInstanceCountMap.get (
idiosyncraticEventName
) + idiosyncraticInstanceCountEntry.getValue()
);
}
else
{
_idiosyncraticInstanceCountMap.put (
idiosyncraticEventName,
idiosyncraticInstanceCountEntry.getValue()
);
}
}
return true;
}
private boolean accumulateUnitAttribution (
final org.drip.capital.explain.PnLAttribution pnlAttribution)
{
if (!updateFSDecompositionExplainMap (
pnlAttribution.fsPnLDecompositionExplainMap()
))
{
return false;
}
if (!updateSystemicEventNamePnLExplainMap (
pnlAttribution.systemicPnLExplainMap()
))
{
return false;
}
if (!updateSystemicGrossPnLExplainMap (
pnlAttribution.systemicGrossPnLExplainMap()
))
{
return false;
}
if (!updateSystemicInstanceCountMap (
pnlAttribution.systemicInstanceCountMap()
))
{
return false;
}
if (!updateCorrelatedPnLExplainMap (
pnlAttribution.correlatedPnLExplainMap()
))
{
return false;
}
if (!updateCorrelatedInstanceCountMap (
pnlAttribution.correlatedInstanceCountMap()
))
{
return false;
}
if (!updateIdiosyncraticPnLExplainMap (
pnlAttribution.idiosyncraticPnLExplainMap()
))
{
return false;
}
if (!updateIdiosyncraticInstanceCountMap (
pnlAttribution.idiosyncraticInstanceCountMap()
))
{
return false;
}
return true;
}
/**
* CapitalSegmentPnLAttribution Constructor
*
* @param pnlAttributionArray Array of PnL Attributions
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public CapitalSegmentPnLAttribution (
final org.drip.capital.explain.PnLAttribution[] pnlAttributionArray)
throws java.lang.Exception
{
if (null == pnlAttributionArray)
{
throw new java.lang.Exception (
"CapitalSegmentPnLAttribution Constructor => Invalid Inputs"
);
}
int capitalUnitCount = pnlAttributionArray.length;
if (0 >= capitalUnitCount)
{
throw new java.lang.Exception (
"CapitalSegmentPnLAttribution Constructor => Invalid Inputs"
);
}
_var = 0.;
_expectedShortfall = 0.;
_pathCount = pnlAttributionArray[0].pathCount();
for (int capitalUnitIndex = 0; capitalUnitIndex < capitalUnitCount; ++capitalUnitIndex)
{
if (null == pnlAttributionArray[capitalUnitIndex])
{
throw new java.lang.Exception (
"CapitalSegmentPnLAttribution Constructor => Invalid Inputs"
);
}
_var = _var + pnlAttributionArray[capitalUnitIndex].var();
_expectedShortfall = _expectedShortfall +
pnlAttributionArray[capitalUnitIndex].expectedShortfall();
if (!accumulateUnitAttribution (
pnlAttributionArray[capitalUnitIndex]
))
{
throw new java.lang.Exception (
"CapitalSegmentPnLAttribution Constructor => Invalid Inputs"
);
}
}
_pathIndexList = pnlAttributionArray[0].pathIndexList();
}
@Override public java.util.List<java.lang.Integer> pathIndexList()
{
return _pathIndexList;
}
@Override public int pathCount()
{
return _pathCount;
}
}