PredictorScenarioSpecificationContainer.java

  1. package org.drip.capital.shell;

  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>PredictorScenarioSpecificationContainer</i> maintains the Map of Predictors and their Scenario Stress
  79.  *  Specification as well the Map of Predictors and their Categories. 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/shell/README.md">Economic Risk Capital Parameter Contexts</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class PredictorScenarioSpecificationContainer
  107. {
  108.     private java.util.Map<java.lang.String, java.util.List<java.lang.String>>
  109.         _categoryPredictorListMap = null;
  110.     private java.util.Map<java.lang.String, org.drip.capital.systemicscenario.PredictorScenarioSpecification>
  111.         _predictorScenarioSpecificationMap = null;

  113.     /**
  114.      * Empty PredictorScenarioSpecificationContainer Constructor
  115.      */

  117.     public PredictorScenarioSpecificationContainer()
  118.     {
  119.     }

  121.     /**
  122.      * Retrieve the Predictor Stress Scenario Specification Map
  123.      * 
  124.      * @return The Predictor Stress Scenario Specification Map
  125.      */

  127.     public java.util.Map<java.lang.String, org.drip.capital.systemicscenario.PredictorScenarioSpecification>
  128.         predictorScenarioSpecificationMap()
  129.     {
  130.         return _predictorScenarioSpecificationMap;
  131.     }

  133.     /**
  134.      * Retrieve the Map of the Categories to their corresponding Predictor Lists
  135.      * 
  136.      * @return Map of the Categories to their corresponding Predictor Lists
  137.      */

  139.     public java.util.Map<java.lang.String, java.util.List<java.lang.String>> categoryPredictorListMap()
  140.     {
  141.         return _categoryPredictorListMap;
  142.     }

  144.     /**
  145.      * Add the specified Predictor Scenario Specification
  146.      * 
  147.      * @param predictorScenarioSpecification The Predictor Scenario Specification
  148.      * 
  149.      * @return TRUE - The Predictor Scenario Specification successfully added
  150.      */

  152.     public boolean addPredictorScenarioSpecification (
  153.         final org.drip.capital.systemicscenario.PredictorScenarioSpecification
  154.             predictorScenarioSpecification)
  155.     {
  156.         if (null == predictorScenarioSpecification)
  157.         {
  158.             return false;
  159.         }

  161.         java.lang.String name = predictorScenarioSpecification.name();

  163.         java.lang.String category = predictorScenarioSpecification.category();

  165.         if (null == _predictorScenarioSpecificationMap)
  166.         {
  167.             _predictorScenarioSpecificationMap = new
  168.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.systemicscenario.PredictorScenarioSpecification>();
  169.         }

  171.         _predictorScenarioSpecificationMap.put (
  172.             name,
  173.             predictorScenarioSpecification
  174.         );

  176.         if (null == _categoryPredictorListMap)
  177.         {
  178.             _categoryPredictorListMap =
  179.                 new org.drip.analytics.support.CaseInsensitiveHashMap<java.util.List<java.lang.String>>();
  180.         }

  182.         if (_categoryPredictorListMap.containsKey (
  183.             category
  184.         ))
  185.         {
  186.             _categoryPredictorListMap.get (
  187.                 category
  188.             ).add (
  189.                 name
  190.             );
  191.         }
  192.         else
  193.         {
  194.             java.util.List<java.lang.String> nameList = new java.util.ArrayList<java.lang.String>();

  196.             nameList.add (
  197.                 name
  198.             );

  200.             _categoryPredictorListMap.put (
  201.                 category,
  202.                 nameList
  203.             );
  204.         }

  206.         return true;
  207.     }

  209.     /**
  210.      * Indicate if the Predictor has a Stress Specification Available
  211.      * 
  212.      * @param predictorName The Predictor
  213.      * 
  214.      * @return TRUE - The Predictor has a Stress Specification Available
  215.      */

  217.     public boolean containsPredictor (
  218.         final java.lang.String predictorName)
  219.     {
  220.         return null != predictorName && !predictorName.isEmpty() &&
  221.             null != _predictorScenarioSpecificationMap &&
  222.             _predictorScenarioSpecificationMap.containsKey (
  223.                 predictorName
  224.             );
  225.     }

  227.     /**
  228.      * Indicate if the Category has Predictor(s) Available
  229.      * 
  230.      * @param category The Category
  231.      * 
  232.      * @return TRUE - The Category has Predictor(s) Available
  233.      */

  235.     public boolean containsCategory (
  236.         final java.lang.String category)
  237.     {
  238.         return null != category && !category.isEmpty() && null != _categoryPredictorListMap &&
  239.             _categoryPredictorListMap.containsKey (
  240.                 category
  241.             );
  242.     }

  244.     /**
  245.      * Retrieve the Predictor Scenario Specification
  246.      * 
  247.      * @param predictorName The Predictor
  248.      * 
  249.      * @return The Predictor Scenario Specification
  250.      */

  252.     public org.drip.capital.systemicscenario.PredictorScenarioSpecification predictorScenarioSpecification (
  253.         final java.lang.String predictorName)
  254.     {
  255.         return containsPredictor (
  256.             predictorName
  257.         ) ? _predictorScenarioSpecificationMap.get (
  258.             predictorName
  259.         ) : null;
  260.     }

  262.     /**
  263.      * Retrieve the Predictors corresponding to the Category
  264.      * 
  265.      * @param category The Category
  266.      * 
  267.      * @return The Predictors corresponding to the Category
  268.      */

  270.     public java.util.List<java.lang.String> predictorList (
  271.         final java.lang.String category)
  272.     {
  273.         return containsCategory (
  274.             category
  275.         ) ? _categoryPredictorListMap.get (
  276.             category
  277.         ) : null;
  278.     }
  279. }
Created with JaCoCo 0.7.9.201702052155