CapitalUnitStressEventContext.java
package org.drip.capital.shell;
/*
* -*- 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>CapitalUnitStressEventContext</i> maintains the Systemic, Idiosyncratic, and Correlated Scenarios at
* the Capital Unit Coordinate Level. 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/shell/README.md">Economic Risk Capital Parameter Contexts</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CapitalUnitStressEventContext
{
private java.util.Map<java.lang.String, org.drip.capital.entity.CapitalUnitEventContainer>
_capitalUnitEventMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.entity.CapitalUnitEventContainer>();
/**
* Empty CapitalUnitStressEventContext Constructor
*/
public CapitalUnitStressEventContext()
{
}
/**
* Add a Systemic Event to the Capital Unit Coordinate
*
* @param capitalCoordinateFQN The Capital Coordinate FQN
* @param systemicScenarioPnLSeries Systemic Scenario PnL Series
* @param systemicScenarioPnLSeriesPAA Systemic Scenario PnL Series PAA
*
* @return TRUE - Systemic Event successfully created and added to the Capital Unit Event Map
*/
public boolean addSystemic (
final java.lang.String capitalCoordinateFQN,
final org.drip.capital.shell.SystemicScenarioPnLSeries systemicScenarioPnLSeries,
final org.drip.capital.shell.SystemicScenarioPnLSeriesPAA systemicScenarioPnLSeriesPAA)
{
if (null == systemicScenarioPnLSeries)
{
return false;
}
org.drip.capital.entity.CapitalUnitEventContainer capitalUnitEventContainer =
new org.drip.capital.entity.CapitalUnitEventContainer();
try
{
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.Systemic1974Baseline(),
systemicScenarioPnLSeries.baseline1974(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.baseline1974DecompositionMap()
)
))
{
return false;
}
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.Systemic2008Baseline(),
systemicScenarioPnLSeries.baseline2008(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.baseline2008DecompositionMap()
)
))
{
return false;
}
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.SystemicDeepDownturn(),
systemicScenarioPnLSeries.deepDownturn(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.deepDownturnDecompositionMap()
)
))
{
return false;
}
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.SystemicDollarDecline(),
systemicScenarioPnLSeries.dollarDecline(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.dollarDeclineDecompositionMap()
)
))
{
return false;
}
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.SystemicInterestRateShock(),
systemicScenarioPnLSeries.interestRateShock(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.interestRateShockDecompositionMap()
)
))
{
return false;
}
if (!capitalUnitEventContainer.addSystemicEvent (
new org.drip.capital.stress.Event (
org.drip.capital.stress.EventSpecification.SystemicLostDecade(),
systemicScenarioPnLSeries.lostDecade(),
null == systemicScenarioPnLSeriesPAA ?
null : systemicScenarioPnLSeriesPAA.lostDecadeDecompositionMap()
)
))
{
return false;
}
_capitalUnitEventMap.put (
new org.drip.capital.label.CapitalSegmentCoordinate (
capitalCoordinateFQN
).fullyQualifiedName(),
capitalUnitEventContainer
);
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
/**
* Add a Correlated Event to the Capital Unit Coordinate
*
* @param capitalCoordinateFQN The Capital Coordinate FQN
* @param correlatedEventName Correlated Event Name
* @param correlatedSystemicScenarioPnLSeries Correlated Systemic Scenario PnL Series
*
* @return TRUE - Correlated Event successfully created and added to the Capital Unit Event Map
*/
public boolean addCorrelated (
final java.lang.String capitalCoordinateFQN,
final java.lang.String correlatedEventName,
final org.drip.capital.shell.SystemicScenarioPnLSeries correlatedSystemicScenarioPnLSeries)
{
try
{
if (!_capitalUnitEventMap.containsKey (
capitalCoordinateFQN
))
{
addSystemic (
capitalCoordinateFQN,
org.drip.capital.shell.SystemicScenarioPnLSeries.ZERO(),
null
);
}
org.drip.capital.entity.CapitalUnitEventContainer capitalUnitEventContainer =
_capitalUnitEventMap.get (
capitalCoordinateFQN
);
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_1974,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.baseline1974()
))
{
return false;
}
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_2008,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.baseline2008()
))
{
return false;
}
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.DEEP_DOWNTURN,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.deepDownturn()
))
{
return false;
}
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.DOLLAR_DECLINE,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.dollarDecline()
))
{
return false;
}
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.INTEREST_RATE_SHOCK,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.interestRateShock()
))
{
return false;
}
if (!capitalUnitEventContainer.addCorrelatedEvent (
org.drip.capital.definition.SystemicScenarioDefinition.LOST_DECADE,
correlatedEventName,
correlatedSystemicScenarioPnLSeries.lostDecade()
))
{
return false;
}
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
/**
* Add a Idiosyncratic Event to the Capital Unit Coordinate
*
* @param capitalUnitCoordinateFQN The Capital Unit Coordinate FQN
* @param scenarioName Scenario Name
* @param scenarioProbability Scenario Probability
* @param scenarioPnL Scenario PnL
*
* @return TRUE - Idiosyncratic Event successfully created and added to the Capital Unit Event Map
*/
public boolean addIdiosyncratic (
final java.lang.String capitalUnitCoordinateFQN,
final java.lang.String scenarioName,
final double scenarioProbability,
final double scenarioPnL)
{
try
{
if (!_capitalUnitEventMap.containsKey (
capitalUnitCoordinateFQN
))
{
addSystemic (
capitalUnitCoordinateFQN,
org.drip.capital.shell.SystemicScenarioPnLSeries.ZERO(),
null
);
}
org.drip.capital.entity.CapitalUnitEventContainer capitalUnitEventContainer =
_capitalUnitEventMap.get (
capitalUnitCoordinateFQN
);
if (!capitalUnitEventContainer.addIdiosyncraticEvent (
new org.drip.capital.stress.Event (
new org.drip.capital.stress.EventSpecification (
scenarioName,
scenarioProbability
),
org.drip.capital.stress.PnLSeries.SingleOutcome (
scenarioPnL
),
null
)
))
{
return false;
}
if (!_capitalUnitEventMap.containsKey (
capitalUnitCoordinateFQN
))
{
_capitalUnitEventMap.put (
capitalUnitCoordinateFQN,
capitalUnitEventContainer
);
}
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
/**
* Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the
* specified Risk Type and Region
*
* @param region Region
* @param riskType Risk Type
*
* @return The Capital Unit Coordinate Set
*/
public java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet (
final java.lang.String region,
final java.lang.String riskType)
{
if (null == region || region.isEmpty() ||
null == riskType || riskType.isEmpty())
{
return null;
}
java.util.Set<java.lang.String> matchingCapitalUnitCoordinateFQNSet =
new java.util.HashSet<java.lang.String>();
java.util.Set<java.lang.String> capitalUnitCoordinateFQNSet = _capitalUnitEventMap.keySet();
for (java.lang.String capitalUnitCoordinateFQN : capitalUnitCoordinateFQNSet)
{
org.drip.capital.label.BusinessRegionRiskTypeCoordinate capitalUnitCoordinate =
org.drip.capital.label.BusinessRegionRiskTypeCoordinate.Standard (
capitalUnitCoordinateFQN
);
if (null == capitalUnitCoordinate)
{
return null;
}
if (region.equalsIgnoreCase (
capitalUnitCoordinate.region()
) && riskType.equalsIgnoreCase (
capitalUnitCoordinate.riskType()
)
)
{
matchingCapitalUnitCoordinateFQNSet.add (
capitalUnitCoordinateFQN
);
}
}
return matchingCapitalUnitCoordinateFQNSet;
}
/**
* Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the
* specified Region
*
* @param region Region
*
* @return The Child Coordinate Set
*/
public java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet (
final java.lang.String region)
{
if (null == region || region.isEmpty())
{
return null;
}
java.util.Set<java.lang.String> matchingCapitalUnitCoordinateFQNSet =
new java.util.HashSet<java.lang.String>();
java.util.Set<java.lang.String> capitalUnitCoordinateFQNSet = _capitalUnitEventMap.keySet();
for (java.lang.String capitalUnitCoordinateFQN : capitalUnitCoordinateFQNSet)
{
org.drip.capital.label.BusinessRegionRiskTypeCoordinate capitalUnitCoordinate =
org.drip.capital.label.BusinessRegionRiskTypeCoordinate.Standard (
capitalUnitCoordinateFQN
);
if (null == capitalUnitCoordinate)
{
return null;
}
if (region.equalsIgnoreCase (
capitalUnitCoordinate.region()
))
{
matchingCapitalUnitCoordinateFQNSet.add (
capitalUnitCoordinateFQN
);
}
}
return matchingCapitalUnitCoordinateFQNSet;
}
/**
* Retrieve the Capital Unit Stress Map
*
* @return The Capital Unit Stress Map
*/
public java.util.Map<java.lang.String, org.drip.capital.entity.CapitalUnitEventContainer>
capitalUnitEventMap()
{
return _capitalUnitEventMap;
}
}