PnLAttribution.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>PnLAttribution</i> exposes the Path-Level Capital Component Attributions. 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 abstract class PnLAttribution
{
protected double _var = java.lang.Double.NaN;
protected double _expectedShortfall = java.lang.Double.NaN;
protected java.util.Map<java.lang.String, java.lang.Double> _correlatedPnLWorstMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _systemicPnLExplainMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _correlatedPnLExplainMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _idiosyncraticPnLWorstMap = null;
protected java.util.Map<java.lang.String, java.lang.Integer> _systemicInstanceCountMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _idiosyncraticPnLExplainMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _systemicGrossPnLExplainMap = null;
protected java.util.Map<java.lang.String, java.lang.Integer> _correlatedInstanceCountMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _fsPnLDecompositionExplainMap = null;
protected java.util.Map<java.lang.String, java.lang.Integer> _idiosyncraticInstanceCountMap = null;
protected java.util.Map<java.lang.String, java.lang.Double> _paaCategoryDecompositionExplainMap = null;
/**
* Retrieve the FS PnL Decomposition Explain Map
*
* @return The FS PnL Decomposition Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionExplainMap()
{
return _fsPnLDecompositionExplainMap;
}
/**
* Retrieve the PAA Category Decomposition Explain Map
*
* @return The PAA Category Decomposition Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> paaCategoryDecompositionExplainMap()
{
return _paaCategoryDecompositionExplainMap;
}
/**
* Retrieve the Systemic PnL Explain Map
*
* @return The Systemic PnL Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> systemicPnLExplainMap()
{
return _systemicPnLExplainMap;
}
/**
* Retrieve the Systemic Gross PnL Explain Map
*
* @return The Systemic Gross PnL Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> systemicGrossPnLExplainMap()
{
return _systemicGrossPnLExplainMap;
}
/**
* Retrieve the Correlated PnL Explain Map
*
* @return The Correlated PnL Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLExplainMap()
{
return _correlatedPnLExplainMap;
}
/**
* Retrieve the Correlated Worst PnL Map
*
* @return The Correlated Worst PnL Map
*/
public java.util.Map<java.lang.String, java.lang.Double> correlatedPnLWorstMap()
{
return _correlatedPnLWorstMap;
}
/**
* Retrieve the Idiosyncratic PnL Explain Map
*
* @return The Idiosyncratic PnL Explain Map
*/
public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLExplainMap()
{
return _idiosyncraticPnLExplainMap;
}
/**
* Retrieve the Idiosyncratic Worst PnL Map
*
* @return The Idiosyncratic Worst PnL Map
*/
public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticPnLWorstMap()
{
return _idiosyncraticPnLWorstMap;
}
/**
* Retrieve the VaR
*
* @return VaR
*/
public double var()
{
return _var;
}
/**
* Retrieve the Expected Short-fall
*
* @return Expected Short-fall
*/
public double expectedShortfall()
{
return _expectedShortfall;
}
/**
* Retrieve the Systemic Instance Count Map
*
* @return The Systemic Instance Count Map
*/
public java.util.Map<java.lang.String, java.lang.Integer> systemicInstanceCountMap()
{
return _systemicInstanceCountMap;
}
/**
* Retrieve the Correlated Instance Count Map
*
* @return The Correlated Instance Count Map
*/
public java.util.Map<java.lang.String, java.lang.Integer> correlatedInstanceCountMap()
{
return _correlatedInstanceCountMap;
}
/**
* Retrieve the Idiosyncratic Instance Count Map
*
* @return The Idiosyncratic Instance Count Map
*/
public java.util.Map<java.lang.String, java.lang.Integer> idiosyncraticInstanceCountMap()
{
return _idiosyncraticInstanceCountMap;
}
/**
* Generate the Contributing Path Index List
*
* @return Contributing Path Index List
*/
public abstract java.util.List<java.lang.Integer> pathIndexList();
/**
* Retrieve the Number of Contributing Paths
*
* @return The Number of Contributing Paths
*/
public abstract int pathCount();
/**
* Retrieve the Systemic PnL
*
* @return The Systemic PnL
*/
public double systemicPnL()
{
if (null == _systemicPnLExplainMap || 0 == _systemicPnLExplainMap.size())
{
return 0.;
}
double systemicPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicPnLExplainEntry :
_systemicPnLExplainMap.entrySet())
{
systemicPnL = systemicPnL + systemicPnLExplainEntry.getValue();
}
return systemicPnL;
}
/**
* Retrieve the Systemic Gross PnL
*
* @return The Systemic Gross PnL
*/
public double systemicGrossPnL()
{
if (null == _systemicGrossPnLExplainMap || 0 == _systemicGrossPnLExplainMap.size())
{
return 0.;
}
double systemicGrossPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> systemicGrossPnLExplainEntry :
_systemicGrossPnLExplainMap.entrySet())
{
systemicGrossPnL = systemicGrossPnL + systemicGrossPnLExplainEntry.getValue();
}
return systemicGrossPnL;
}
/**
* Retrieve the Correlated PnL
*
* @return The Correlated PnL
*/
public double correlatedPnL()
{
if (null == _correlatedPnLExplainMap || 0 == _correlatedPnLExplainMap.size())
{
return 0.;
}
double correlatedPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> correlatedPnLExplainEntry :
_correlatedPnLExplainMap.entrySet())
{
correlatedPnL = correlatedPnL + correlatedPnLExplainEntry.getValue();
}
return correlatedPnL;
}
/**
* Retrieve the Idiosyncratic Gross PnL
*
* @return The Idiosyncratic Gross PnL
*/
public double idiosyncraticGrossPnL()
{
if (null == _idiosyncraticPnLExplainMap || 0 == _idiosyncraticPnLExplainMap.size())
{
return 0.;
}
double idiosyncraticGrossPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> idiosyncraticPnLExplainEntry :
_idiosyncraticPnLExplainMap.entrySet())
{
idiosyncraticGrossPnL = idiosyncraticGrossPnL + idiosyncraticPnLExplainEntry.getValue();
}
return idiosyncraticGrossPnL;
}
/**
* Retrieve the Gross VaR FS PnL
*
* @return The Gross VaR FS PnL
*/
public double fsGrossPnL()
{
if (null == _fsPnLDecompositionExplainMap || 0 == _fsPnLDecompositionExplainMap.size())
{
return 0.;
}
double fsGrossPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> fsPnLDecompositionExplainEntry :
_fsPnLDecompositionExplainMap.entrySet())
{
fsGrossPnL = fsGrossPnL + fsPnLDecompositionExplainEntry.getValue();
}
return fsGrossPnL;
}
}