CapitalUnitStressScenarioLoader.java
package org.drip.capital.feed;
/*
* -*- 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>CapitalUnitStressScenarioLoader</i> loads the Stress Scenario Specifications of a Capital Unit. 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/feed/README.md">Risk Capital Estimation - Feed Processors</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CapitalUnitStressScenarioLoader
{
@SuppressWarnings ("deprecation") private static final double StringToDouble (
final java.lang.String string)
{
if (null == string|| string.isEmpty())
{
return 0.;
}
try
{
return new java.lang.Double (string).doubleValue();
}
catch (java.lang.Exception e)
{
}
return 0.;
}
/**
* Load the Capital Unit Correlated Stress Scenarios
*
* @param capitalUnitCorrelatedInputFile Capital Unit Correlated Stress Scenario Specifications File
* @param skipHeader TRUE - Interpret the First Row as a Header
*
* @return The Map of Capital Unit Correlated Stress Scenarios
*/
public static final java.util.Map<java.lang.String, org.drip.capital.feed.CapitalUnitCorrelatedScenario>
LoadCorrelated (
final java.lang.String capitalUnitCorrelatedInputFile,
final boolean skipHeader)
{
if (null == capitalUnitCorrelatedInputFile || capitalUnitCorrelatedInputFile.isEmpty())
{
return null;
}
boolean firstLine = true;
java.lang.String capitalUnitCorrelatedLine = "";
java.io.BufferedReader capitalUnitCorrelatedBufferedReader = null;
java.util.Map<java.lang.String, org.drip.capital.feed.CapitalUnitCorrelatedScenario>
capitalUnitCorrelatedScenarioMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.feed.CapitalUnitCorrelatedScenario>();
try
{
capitalUnitCorrelatedBufferedReader = new java.io.BufferedReader (
new java.io.FileReader (
capitalUnitCorrelatedInputFile
)
);
while (null != (capitalUnitCorrelatedLine = capitalUnitCorrelatedBufferedReader.readLine()))
{
if (firstLine)
{
firstLine = false;
if (skipHeader)
{
continue;
}
}
java.lang.String[] capitalUnitCorrelatedFieldArray =
org.drip.numerical.common.StringUtil.Split (
capitalUnitCorrelatedLine,
","
);
if (null == capitalUnitCorrelatedFieldArray || 9 > capitalUnitCorrelatedFieldArray.length)
{
return null;
}
capitalUnitCorrelatedScenarioMap.put (
new org.drip.capital.label.CapitalUnitCoordinate (
capitalUnitCorrelatedFieldArray[0],
capitalUnitCorrelatedFieldArray[2]
).fullyQualifiedName(),
new org.drip.capital.feed.CapitalUnitCorrelatedScenario (
capitalUnitCorrelatedFieldArray[1],
capitalUnitCorrelatedFieldArray[3],
org.drip.capital.shell.SystemicScenarioPnLSeries.SingleOutcome (
StringToDouble (
capitalUnitCorrelatedFieldArray[7]
), StringToDouble (
capitalUnitCorrelatedFieldArray[8]
), StringToDouble (
capitalUnitCorrelatedFieldArray[4]
),
0.,
StringToDouble (
capitalUnitCorrelatedFieldArray[6]
),
StringToDouble (
capitalUnitCorrelatedFieldArray[5]
)
)
)
);
}
}
catch (java.lang.Exception e1)
{
e1.printStackTrace();
}
finally
{
try
{
capitalUnitCorrelatedBufferedReader.close();
}
catch (java.lang.Exception e2)
{
capitalUnitCorrelatedBufferedReader = null;
}
}
return capitalUnitCorrelatedScenarioMap;
}
/**
* Load the Capital Unit Idiosyncratic Stress Scenarios
*
* @param capitalUnitIdiosyncraticInputFile Capital Unit Idiosyncratic Stress Scenario Specifications
* File
* @param skipHeader TRUE - Interpret the First Row as a Header
*
* @return The Map of Capital Unit Idiosyncratic Stress Scenarios
*/
public static final java.util.Map<java.lang.String, org.drip.capital.feed.CapitalUnitIdiosyncraticScenario>
LoadIdiosyncratic (
final java.lang.String capitalUnitIdiosyncraticInputFile,
final boolean skipHeader)
{
if (null == capitalUnitIdiosyncraticInputFile || capitalUnitIdiosyncraticInputFile.isEmpty())
{
return null;
}
boolean firstLine = true;
java.lang.String capitalUnitIdiosyncraticLine = "";
java.io.BufferedReader capitalUnitIdiosyncraticBufferedReader = null;
java.util.Map<java.lang.String, org.drip.capital.feed.CapitalUnitIdiosyncraticScenario>
capitalUnitIdiosyncraticScenarioMap = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.capital.feed.CapitalUnitIdiosyncraticScenario>();
try
{
capitalUnitIdiosyncraticBufferedReader = new java.io.BufferedReader (
new java.io.FileReader (
capitalUnitIdiosyncraticInputFile
)
);
while (null != (capitalUnitIdiosyncraticLine =
capitalUnitIdiosyncraticBufferedReader.readLine()))
{
if (firstLine)
{
firstLine = false;
if (skipHeader)
{
continue;
}
}
java.lang.String[] capitalUnitIdiosyncraticFieldArray =
org.drip.numerical.common.StringUtil.Split (
capitalUnitIdiosyncraticLine,
","
);
if (null == capitalUnitIdiosyncraticFieldArray ||
6 > capitalUnitIdiosyncraticFieldArray.length)
{
return null;
}
capitalUnitIdiosyncraticScenarioMap.put (
new org.drip.capital.label.CapitalUnitCoordinate (
capitalUnitIdiosyncraticFieldArray[0],
capitalUnitIdiosyncraticFieldArray[2]
).fullyQualifiedName(),
new org.drip.capital.feed.CapitalUnitIdiosyncraticScenario (
capitalUnitIdiosyncraticFieldArray[1],
capitalUnitIdiosyncraticFieldArray[3],
StringToDouble (
capitalUnitIdiosyncraticFieldArray[4]
), StringToDouble (
capitalUnitIdiosyncraticFieldArray[5]
)
)
);
}
}
catch (java.lang.Exception e1)
{
e1.printStackTrace();
}
finally
{
try
{
capitalUnitIdiosyncraticBufferedReader.close();
}
catch (java.lang.Exception e2)
{
capitalUnitIdiosyncraticBufferedReader = null;
}
}
return capitalUnitIdiosyncraticScenarioMap;
}
/**
* Load the Capital Unit Systemic Stress Scenarios
*
* @param capitalUnitSystemicInputFile Capital Unit Systemic Stress Scenario Specifications File
* @param skipHeader TRUE - Interpret the First Row as a Header
*
* @return The Map of Capital Unit Systemic Stress Scenarios
*/
public static final java.util.Map<java.lang.String, org.drip.capital.shell.SystemicScenarioPnLSeriesPAA>
LoadSystemic (
final java.lang.String capitalUnitSystemicInputFile,
final boolean skipHeader)
{
if (null == capitalUnitSystemicInputFile || capitalUnitSystemicInputFile.isEmpty())
{
return null;
}
boolean firstLine = true;
int capitalUnitLineIndex = 0;
int capitalUnitLineArrayCount = 6;
java.lang.String capitalUnitSystemicLine = "";
java.io.BufferedReader capitalUnitSystemicBufferedReader = null;
java.lang.String[] capitalUnitLineArray = new java.lang.String[capitalUnitLineArrayCount];
java.util.Map<java.lang.String, org.drip.capital.shell.SystemicScenarioPnLSeriesPAA>
capitalUnitSystemicPAAMap = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.capital.shell.SystemicScenarioPnLSeriesPAA>();
try
{
capitalUnitSystemicBufferedReader = new java.io.BufferedReader (
new java.io.FileReader (
capitalUnitSystemicInputFile
)
);
while (null != (capitalUnitSystemicLine = capitalUnitSystemicBufferedReader.readLine()))
{
if (firstLine)
{
firstLine = false;
if (skipHeader)
{
continue;
}
}
capitalUnitLineArray[capitalUnitLineIndex++] = capitalUnitSystemicLine;
if (capitalUnitLineArrayCount == capitalUnitLineIndex)
{
capitalUnitLineIndex = 0;
java.lang.String capitalUnitID = "";
java.lang.String capitalUnitRiskType = "";
org.drip.capital.shell.SystemicScenarioPnLSeriesPAA systemicScenarioPnLPAA =
new org.drip.capital.shell.SystemicScenarioPnLSeriesPAA();
for (int capitalUnitLineArrayIndex = 0;
capitalUnitLineArrayIndex < capitalUnitLineArrayCount;
++capitalUnitLineArrayIndex)
{
java.lang.String[] capitalUnitLineSystemicFieldArray =
org.drip.numerical.common.StringUtil.Split (
capitalUnitLineArray[capitalUnitLineArrayIndex],
","
);
if (null == capitalUnitLineSystemicFieldArray ||
6 > capitalUnitLineSystemicFieldArray.length)
{
return null;
}
if (!systemicScenarioPnLPAA.addDecompositionEntry (
capitalUnitLineSystemicFieldArray[4],
capitalUnitLineSystemicFieldArray[3],
StringToDouble (
capitalUnitLineSystemicFieldArray[5]
)
))
{
return null;
}
if (0 == capitalUnitLineArrayIndex)
{
capitalUnitRiskType = capitalUnitLineSystemicFieldArray[0];
capitalUnitID = capitalUnitLineSystemicFieldArray[1];
}
}
capitalUnitSystemicPAAMap.put (
new org.drip.capital.label.CapitalUnitCoordinate (
capitalUnitID,
capitalUnitRiskType
).fullyQualifiedName(),
systemicScenarioPnLPAA
);
}
}
}
catch (java.lang.Exception e1)
{
e1.printStackTrace();
}
finally
{
try
{
capitalUnitSystemicBufferedReader.close();
}
catch (java.lang.Exception e2)
{
capitalUnitSystemicBufferedReader = null;
}
}
return capitalUnitSystemicPAAMap;
}
/**
* Load the Capital Unit Stress Scenarios
*
* @param capitalUnitCorrelatedInputFile Capital Unit Correlated Stress Scenario Specifications File
* @param capitalUnitIdiosyncraticInputFile Capital Unit Idiosyncratic Stress Scenario Specifications
* File
* @param capitalUnitSystemicInputFile Capital Unit Systemic Stress Scenario Specifications File
* @param skipHeader TRUE - Interpret the First Row as a Header
*
* @return The Map of Capital Unit Stress Scenarios
*/
public static final org.drip.capital.shell.CapitalUnitStressEventContext LoadStressScenario (
final java.lang.String capitalUnitCorrelatedInputFile,
final java.lang.String capitalUnitIdiosyncraticInputFile,
final java.lang.String capitalUnitSystemicInputFile,
final boolean skipHeader)
{
java.util.Map<String, org.drip.capital.shell.SystemicScenarioPnLSeriesPAA>
capitalUnitSystemicScenarioMap = LoadSystemic (
capitalUnitSystemicInputFile,
skipHeader
);
if (null == capitalUnitSystemicScenarioMap)
{
return null;
}
java.util.Map<String, org.drip.capital.feed.CapitalUnitCorrelatedScenario>
capitalUnitCorrelatedScenarioMap = LoadCorrelated (
capitalUnitCorrelatedInputFile,
skipHeader
);
if (null == capitalUnitCorrelatedScenarioMap)
{
return null;
}
java.util.Map<String, org.drip.capital.feed.CapitalUnitIdiosyncraticScenario>
capitalUnitIdiosyncraticScenarioMap = LoadIdiosyncratic (
capitalUnitIdiosyncraticInputFile,
skipHeader
);
if (null == capitalUnitIdiosyncraticScenarioMap)
{
return null;
}
org.drip.capital.shell.CapitalUnitStressEventContext capitalUnitStressEventContext =
new org.drip.capital.shell.CapitalUnitStressEventContext();
java.util.Set<java.lang.String> systemicStressCapitalUnitCoordinateFQNSet =
capitalUnitSystemicScenarioMap.keySet();
for (java.lang.String systemicStressCapitalUnitCoordinateFQN :
systemicStressCapitalUnitCoordinateFQNSet)
{
org.drip.capital.shell.SystemicScenarioPnLSeriesPAA scenarioPnLPAA =
capitalUnitSystemicScenarioMap.get (
systemicStressCapitalUnitCoordinateFQN
);
if (!capitalUnitStressEventContext.addSystemic (
systemicStressCapitalUnitCoordinateFQN,
scenarioPnLPAA.aggregatePnL(),
scenarioPnLPAA
))
{
return null;
}
}
java.util.Set<java.lang.String> correlatedScenarioCapitalUnitCoordinateFQNSet =
capitalUnitCorrelatedScenarioMap.keySet();
for (java.lang.String correlatedScenarioCapitalUnitCoordinateFQN :
correlatedScenarioCapitalUnitCoordinateFQNSet)
{
org.drip.capital.feed.CapitalUnitCorrelatedScenario capitalUnitCorrelatedScenario =
capitalUnitCorrelatedScenarioMap.get (
correlatedScenarioCapitalUnitCoordinateFQN
);
if (!capitalUnitStressEventContext.addCorrelated (
correlatedScenarioCapitalUnitCoordinateFQN,
capitalUnitCorrelatedScenario.scenarioName(),
capitalUnitCorrelatedScenario.scenarioPnL()
))
{
return null;
}
}
java.util.Set<java.lang.String> idiosyncraticScenarioCapitalUnitCoordinateFQNSet =
capitalUnitIdiosyncraticScenarioMap.keySet();
for (java.lang.String capitalUnitCoordinateFQN : idiosyncraticScenarioCapitalUnitCoordinateFQNSet)
{
org.drip.capital.feed.CapitalUnitIdiosyncraticScenario capitalUnitIdiosyncraticScenario =
capitalUnitIdiosyncraticScenarioMap.get (
capitalUnitCoordinateFQN
);
if (!capitalUnitStressEventContext.addIdiosyncratic (
capitalUnitCoordinateFQN,
capitalUnitIdiosyncraticScenario.scenarioName(),
capitalUnitIdiosyncraticScenario.probability(),
capitalUnitIdiosyncraticScenario.pnl()
))
{
return null;
}
}
return capitalUnitStressEventContext;
}
}