CapitalSegmentStandaloneMarginal.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>CapitalSegmentStandaloneMarginal</i> holds the Top-of-the-House Capital Attributions as well the
  79.  *  Segment-Level Contributions from the Stand-alone Capital Units. 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 CapitalSegmentStandaloneMarginal
  107.     extends org.drip.capital.explain.CapitalUnitPnLAttribution
  108. {
  109.     private java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  110.         _marginalPnLAttributionMap = null;

  112.     private java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  113.         _standalonePnLAttributionMap = null;

  115.     private static final java.util.Map<java.lang.String, java.lang.Double> UpdateProRataNormalizerMap (
  116.         final org.drip.capital.allocation.EntityElasticityAttribution
  117.             standaloneEntityCapitalElasticityAttribution,
  118.         final org.drip.capital.allocation.EntityElasticityAttribution
  119.             marginalEntityCapitalElasticityAttribution)
  120.     {
  121.         java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap =
  122.             new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  124.         double systemicProRataStandalone = standaloneEntityCapitalElasticityAttribution.systemicProRata();

  126.         if (0. != systemicProRataStandalone)
  127.         {
  128.             proRataNormalizerMap.put (
  129.                 "Systemic",
  130.                 marginalEntityCapitalElasticityAttribution.systemicProRata() / systemicProRataStandalone
  131.             );
  132.         }

  134.         double correlatedProRataStandalone =
  135.             standaloneEntityCapitalElasticityAttribution.correlatedProRata();

  137.         if (0. != correlatedProRataStandalone)
  138.         {
  139.             proRataNormalizerMap.put (
  140.                 "Correlated",
  141.                 marginalEntityCapitalElasticityAttribution.correlatedProRata() / correlatedProRataStandalone
  142.             );
  143.         }

  145.         double idiosyncraticProRataStandalone =
  146.             standaloneEntityCapitalElasticityAttribution.idiosyncraticProRata();

  148.         if (0. != idiosyncraticProRataStandalone)
  149.         {
  150.             proRataNormalizerMap.put (
  151.                 "Idiosyncratic",
  152.                 marginalEntityCapitalElasticityAttribution.idiosyncraticProRata() /
  153.                     idiosyncraticProRataStandalone
  154.             );
  155.         }

  157.         double noStressProRataStandalone = standaloneEntityCapitalElasticityAttribution.noStressProRata();

  159.         if (0. != noStressProRataStandalone)
  160.         {
  161.             proRataNormalizerMap.put (
  162.                 "NOSTRESS",
  163.                 marginalEntityCapitalElasticityAttribution.noStressProRata() / noStressProRataStandalone
  164.             );
  165.         }

  167.         return proRataNormalizerMap;
  168.     }

  170.     /**
  171.      * CapitalSegmentStandaloneMarginal Constructor
  172.      * 
  173.      * @param pathPnLRealizationList Segment Level Merged Path PnL Realization List
  174.      * @param marginalPnLAttributionMap Capital Unit Marginal PnL Attribution Map
  175.      * @param standalonePnLAttributionMap Capital Unit Marginal PnL Attribution Map
  176.      * 
  177.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  178.      */

  180.     public CapitalSegmentStandaloneMarginal (
  181.         final java.util.List<org.drip.capital.simulation.PathPnLRealization> pathPnLRealizationList,
  182.         final java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  183.             marginalPnLAttributionMap,
  184.         final java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  185.             standalonePnLAttributionMap)
  186.         throws java.lang.Exception
  187.     {
  188.         super (
  189.             pathPnLRealizationList
  190.         );

  192.         _marginalPnLAttributionMap = marginalPnLAttributionMap;
  193.         _standalonePnLAttributionMap = standalonePnLAttributionMap;
  194.     }

  196.     /**
  197.      * Retrieve the Capital Unit Marginal PnL Attribution Map
  198.      * 
  199.      * @return The Capital Unit Marginal PnL Attribution Map
  200.      */

  202.     public java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  203.         marginalPnLAttributionMap()
  204.     {
  205.         return _marginalPnLAttributionMap;
  206.     }

  208.     /**
  209.      * Retrieve the Capital Unit Stand-alone PnL Attribution Map
  210.      * 
  211.      * @return The Capital Unit Stand-alone PnL Attribution Map
  212.      */

  214.     public java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  215.         standalonePnLAttributionMap()
  216.     {
  217.         return _standalonePnLAttributionMap;
  218.     }

  220.     /**
  221.      * Compute the Expected Short-fall Based Beta Allocation Map
  222.      * 
  223.      * @param capitalAllocationControl Capital Allocation Setting Control
  224.      * 
  225.      * @return The Expected Short-fall Based Beta Allocation Map
  226.      */

  228.     public org.drip.capital.allocation.EntityComponentCapitalAssignment betaAllocation (
  229.         final org.drip.capital.setting.CapitalAllocationControl capitalAllocationControl)
  230.     {
  231.         if (null == capitalAllocationControl)
  232.         {
  233.             return null;
  234.         }

  236.         org.drip.capital.allocation.EntityElasticityAttribution
  237.             marginalEntityCapitalElasticityAttribution = null;
  238.         org.drip.capital.allocation.EntityElasticityAttribution
  239.             allocatedEntityCapitalElasticityAttribution = null;

  241.         org.drip.capital.allocation.CorrelationCategoryBetaManager correlationCategoryBetaManager =
  242.             capitalAllocationControl.correlationCategoryBetaManager();

  244.         java.util.Map<java.lang.String, org.drip.capital.allocation.EntityCapitalAssignmentSetting>
  245.             entityCapitalAssignmentSettingMap =
  246.                 capitalAllocationControl.entityCapitalAssignmentSettingMap();

  248.         try
  249.         {
  250.             marginalEntityCapitalElasticityAttribution =
  251.                 new org.drip.capital.allocation.EntityElasticityAttribution (
  252.                     correlationCategoryBetaManager,
  253.                     true
  254.                 );

  256.             allocatedEntityCapitalElasticityAttribution =
  257.                 new org.drip.capital.allocation.EntityElasticityAttribution (
  258.                     correlationCategoryBetaManager,
  259.                     false
  260.                 );
  261.         }
  262.         catch (java.lang.Exception e)
  263.         {
  264.             e.printStackTrace();

  266.             return null;
  267.         }

  269.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.explain.PnLAttribution>
  270.             marginalPnLAttributionEntry : _marginalPnLAttributionMap.entrySet())
  271.         {
  272.             if (!marginalEntityCapitalElasticityAttribution.accumulate (
  273.                 marginalPnLAttributionEntry.getValue(),
  274.                 entityCapitalAssignmentSettingMap.get (
  275.                     marginalPnLAttributionEntry.getKey()
  276.                 )
  277.             ))
  278.             {
  279.                 return null;
  280.             }
  281.         }

  283.         java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution> pnlAttributionMap =
  284.             capitalAllocationControl.useMarginal() ? _marginalPnLAttributionMap :
  285.                 _standalonePnLAttributionMap;

  287.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.explain.PnLAttribution>
  288.             pnlAttributionEntry : pnlAttributionMap.entrySet())
  289.         {
  290.             if (!allocatedEntityCapitalElasticityAttribution.accumulate (
  291.                 pnlAttributionEntry.getValue(),
  292.                 entityCapitalAssignmentSettingMap.get (
  293.                     pnlAttributionEntry.getKey()
  294.                 )
  295.             ))
  296.             {
  297.                 return null;
  298.             }
  299.         }

  301.         double floatingBetaCapitalStandalone = allocatedEntityCapitalElasticityAttribution.floating();

  303.         double fixedBetaCapitalStandalone = allocatedEntityCapitalElasticityAttribution.fixed();

  305.         double allocatedBetaCapital = marginalEntityCapitalElasticityAttribution.floating() +
  306.             marginalEntityCapitalElasticityAttribution.fixed();

  308.         if (0. == floatingBetaCapitalStandalone ||
  309.             allocatedBetaCapital > fixedBetaCapitalStandalone)
  310.         {
  311.             return null;
  312.         }

  314.         double unitFloatBeta = (allocatedBetaCapital - fixedBetaCapitalStandalone) /
  315.             floatingBetaCapitalStandalone;

  317.         java.util.Map<java.lang.String, java.lang.Double> proRataNormalizerMap = UpdateProRataNormalizerMap (
  318.             allocatedEntityCapitalElasticityAttribution,
  319.             marginalEntityCapitalElasticityAttribution
  320.         );

  322.         if (null == proRataNormalizerMap)
  323.         {
  324.             return null;
  325.         }

  327.         double allocatedProRataCapital = marginalEntityCapitalElasticityAttribution.noStressProRata() +
  328.             marginalEntityCapitalElasticityAttribution.systemicProRata() +
  329.             marginalEntityCapitalElasticityAttribution.correlatedProRata() +
  330.             marginalEntityCapitalElasticityAttribution.idiosyncraticProRata();

  332.         java.util.Map<java.lang.String, org.drip.capital.allocation.EntityComponentCapital>
  333.             entityComponentCapitalMap = new
  334.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.allocation.EntityComponentCapital>();

  336.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.explain.PnLAttribution>
  337.             pnlAttributionEntry : pnlAttributionMap.entrySet())
  338.         {
  339.             java.lang.String capitalUnitCoordinate = pnlAttributionEntry.getKey();

  341.             entityComponentCapitalMap.put (
  342.                 capitalUnitCoordinate,
  343.                 org.drip.capital.allocation.EntityComponentCapital.FromPnLAttribution (
  344.                     correlationCategoryBetaManager,
  345.                     entityCapitalAssignmentSettingMap.get (
  346.                         capitalUnitCoordinate
  347.                     ),
  348.                     pnlAttributionEntry.getValue(),
  349.                     proRataNormalizerMap,
  350.                     unitFloatBeta,
  351.                     allocatedBetaCapital + allocatedProRataCapital
  352.                 )
  353.             );
  354.         }

  356.         try
  357.         {
  358.             return new org.drip.capital.allocation.EntityComponentCapitalAssignment (
  359.                 allocatedEntityCapitalElasticityAttribution,
  360.                 entityComponentCapitalMap,
  361.                 unitFloatBeta,
  362.                 allocatedBetaCapital,
  363.                 allocatedProRataCapital
  364.             );
  365.         }
  366.         catch (java.lang.Exception e)
  367.         {
  368.             e.printStackTrace();
  369.         }

  371.         return null;
  372.     }
  373. }
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