PnLAttribution.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>PnLAttribution</i> exposes the Path-Level Capital Component Attributions. The References are:
  79.  * 
  80.  * <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  84.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  85.  *      </li>
  86.  *      <li>
  87.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  91.  *      </li>
  92.  *  </ul>
  93.  *
  94.  *  <br><br>
  95.  *  <ul>
  96.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  97.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  98.  *      <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>
  99.  *      <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>
  100.  *  </ul>
  101.  * 
  102.  * @author Lakshmi Krishnamurthy
  103.  */

  105. public abstract class PnLAttribution
  106. {
  107.     protected double _var = java.lang.Double.NaN;
  108.     protected double _expectedShortfall = java.lang.Double.NaN;
  109.     protected java.util.Map<java.lang.String, java.lang.Double> _correlatedPnLWorstMap = null;
  110.     protected java.util.Map<java.lang.String, java.lang.Double> _systemicPnLExplainMap = null;
  111.     protected java.util.Map<java.lang.String, java.lang.Double> _correlatedPnLExplainMap = null;
  112.     protected java.util.Map<java.lang.String, java.lang.Double> _idiosyncraticPnLWorstMap = null;
  113.     protected java.util.Map<java.lang.String, java.lang.Integer> _systemicInstanceCountMap = null;
  114.     protected java.util.Map<java.lang.String, java.lang.Double> _idiosyncraticPnLExplainMap = null;
  115.     protected java.util.Map<java.lang.String, java.lang.Double> _systemicGrossPnLExplainMap = null;
  116.     protected java.util.Map<java.lang.String, java.lang.Integer> _correlatedInstanceCountMap = null;
  117.     protected java.util.Map<java.lang.String, java.lang.Double> _fsPnLDecompositionExplainMap = null;
  118.     protected java.util.Map<java.lang.String, java.lang.Integer> _idiosyncraticInstanceCountMap = null;
  119.     protected java.util.Map<java.lang.String, java.lang.Double> _paaCategoryDecompositionExplainMap = null;

  121.     /**
  122.      * Retrieve the FS PnL Decomposition Explain Map
  123.      * 
  124.      * @return The FS PnL Decomposition Explain Map
  125.      */

  127.     public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionExplainMap()
  128.     {
  129.         return _fsPnLDecompositionExplainMap;
  130.     }

  132.     /**
  133.      * Retrieve the PAA Category Decomposition Explain Map
  134.      * 
  135.      * @return The PAA Category Decomposition Explain Map
  136.      */

  138.     public java.util.Map<java.lang.String, java.lang.Double> paaCategoryDecompositionExplainMap()
  139.     {
  140.         return _paaCategoryDecompositionExplainMap;
  141.     }

  143.     /**
  144.      * Retrieve the Systemic PnL Explain Map
  145.      * 
  146.      * @return The Systemic PnL Explain Map
  147.      */

  149.     public java.util.Map<java.lang.String, java.lang.Double> systemicPnLExplainMap()
  150.     {
  151.         return _systemicPnLExplainMap;
  152.     }

  154.     /**
  155.      * Retrieve the Systemic Gross PnL Explain Map
  156.      * 
  157.      * @return The Systemic Gross PnL Explain Map
  158.      */

  160.     public java.util.Map<java.lang.String, java.lang.Double> systemicGrossPnLExplainMap()
  161.     {
  162.         return _systemicGrossPnLExplainMap;
  163.     }

  165.     /**
  166.      * Retrieve the Correlated PnL Explain Map
  167.      * 
  168.      * @return The Correlated PnL Explain Map
  169.      */

  171.     public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLExplainMap()
  172.     {
  173.         return _correlatedPnLExplainMap;
  174.     }

  176.     /**
  177.      * Retrieve the Correlated Worst PnL Map
  178.      * 
  179.      * @return The Correlated Worst PnL Map
  180.      */

  182.     public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLWorstMap()
  183.     {
  184.         return _correlatedPnLWorstMap;
  185.     }

  187.     /**
  188.      * Retrieve the Idiosyncratic PnL Explain Map
  189.      * 
  190.      * @return The Idiosyncratic PnL Explain Map
  191.      */

  193.     public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLExplainMap()
  194.     {
  195.         return _idiosyncraticPnLExplainMap;
  196.     }

  198.     /**
  199.      * Retrieve the Idiosyncratic Worst PnL Map
  200.      * 
  201.      * @return The Idiosyncratic Worst PnL Map
  202.      */

  204.     public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLWorstMap()
  205.     {
  206.         return _idiosyncraticPnLWorstMap;
  207.     }

  209.     /**
  210.      * Retrieve the VaR
  211.      * 
  212.      * @return VaR
  213.      */

  215.     public double var()
  216.     {
  217.         return _var;
  218.     }

  220.     /**
  221.      * Retrieve the Expected Short-fall
  222.      * 
  223.      * @return Expected Short-fall
  224.      */

  226.     public double expectedShortfall()
  227.     {
  228.         return _expectedShortfall;
  229.     }

  231.     /**
  232.      * Retrieve the Systemic Instance Count Map
  233.      * 
  234.      * @return The Systemic Instance Count Map
  235.      */

  237.     public java.util.Map<java.lang.String, java.lang.Integer> systemicInstanceCountMap()
  238.     {
  239.         return _systemicInstanceCountMap;
  240.     }

  242.     /**
  243.      * Retrieve the Correlated Instance Count Map
  244.      * 
  245.      * @return The Correlated Instance Count Map
  246.      */

  248.     public java.util.Map<java.lang.String, java.lang.Integer> correlatedInstanceCountMap()
  249.     {
  250.         return _correlatedInstanceCountMap;
  251.     }

  253.     /**
  254.      * Retrieve the Idiosyncratic Instance Count Map
  255.      * 
  256.      * @return The Idiosyncratic Instance Count Map
  257.      */

  259.     public java.util.Map<java.lang.String, java.lang.Integer> idiosyncraticInstanceCountMap()
  260.     {
  261.         return _idiosyncraticInstanceCountMap;
  262.     }

  264.     /**
  265.      * Generate the Contributing Path Index List
  266.      * 
  267.      * @return Contributing Path Index List
  268.      */

  270.     public abstract java.util.List<java.lang.Integer> pathIndexList();

  272.     /**
  273.      * Retrieve the Number of Contributing Paths
  274.      * 
  275.      * @return The Number of Contributing Paths
  276.      */

  278.     public abstract int pathCount();

  280.     /**
  281.      * Retrieve the Systemic PnL
  282.      * 
  283.      * @return The Systemic PnL
  284.      */

  286.     public double systemicPnL()
  287.     {
  288.         if (null == _systemicPnLExplainMap || 0 == _systemicPnLExplainMap.size())
  289.         {
  290.             return 0.;
  291.         }

  293.         double systemicPnL = 0.;

  295.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicPnLExplainEntry :
  296.             _systemicPnLExplainMap.entrySet())
  297.         {
  298.             systemicPnL = systemicPnL + systemicPnLExplainEntry.getValue();
  299.         }

  301.         return systemicPnL;
  302.     }

  304.     /**
  305.      * Retrieve the Systemic Gross PnL
  306.      * 
  307.      * @return The Systemic Gross PnL
  308.      */

  310.     public double systemicGrossPnL()
  311.     {
  312.         if (null == _systemicGrossPnLExplainMap || 0 == _systemicGrossPnLExplainMap.size())
  313.         {
  314.             return 0.;
  315.         }

  317.         double systemicGrossPnL = 0.;

  319.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicGrossPnLExplainEntry :
  320.             _systemicGrossPnLExplainMap.entrySet())
  321.         {
  322.             systemicGrossPnL = systemicGrossPnL + systemicGrossPnLExplainEntry.getValue();
  323.         }

  325.         return systemicGrossPnL;
  326.     }

  328.     /**
  329.      * Retrieve the Correlated PnL
  330.      * 
  331.      * @return The Correlated PnL
  332.      */

  334.     public double correlatedPnL()
  335.     {
  336.         if (null == _correlatedPnLExplainMap || 0 == _correlatedPnLExplainMap.size())
  337.         {
  338.             return 0.;
  339.         }

  341.         double correlatedPnL = 0.;

  343.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> correlatedPnLExplainEntry :
  344.             _correlatedPnLExplainMap.entrySet())
  345.         {
  346.             correlatedPnL = correlatedPnL + correlatedPnLExplainEntry.getValue();
  347.         }

  349.         return correlatedPnL;
  350.     }

  352.     /**
  353.      * Retrieve the Idiosyncratic Gross PnL
  354.      * 
  355.      * @return The Idiosyncratic Gross PnL
  356.      */

  358.     public double idiosyncraticGrossPnL()
  359.     {
  360.         if (null == _idiosyncraticPnLExplainMap || 0 == _idiosyncraticPnLExplainMap.size())
  361.         {
  362.             return 0.;
  363.         }

  365.         double idiosyncraticGrossPnL = 0.;

  367.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> idiosyncraticPnLExplainEntry :
  368.             _idiosyncraticPnLExplainMap.entrySet())
  369.         {
  370.             idiosyncraticGrossPnL = idiosyncraticGrossPnL + idiosyncraticPnLExplainEntry.getValue();
  371.         }

  373.         return idiosyncraticGrossPnL;
  374.     }

  376.     /**
  377.      * Retrieve the Gross VaR FS PnL
  378.      * 
  379.      * @return The Gross VaR FS PnL
  380.      */

  382.     public double fsGrossPnL()
  383.     {
  384.         if (null == _fsPnLDecompositionExplainMap || 0 == _fsPnLDecompositionExplainMap.size())
  385.         {
  386.             return 0.;
  387.         }

  389.         double fsGrossPnL = 0.;

  391.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> fsPnLDecompositionExplainEntry :
  392.             _fsPnLDecompositionExplainMap.entrySet())
  393.         {
  394.             fsGrossPnL = fsGrossPnL + fsPnLDecompositionExplainEntry.getValue();
  395.         }

  397.         return fsGrossPnL;
  398.     }
  399. }
Created with JaCoCo 0.7.9.201702052155