SystemicScenarioPnLSeries.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>SystemicScenarioPnLSeries</i> contains the PnL Series of a Systemic Stress Scenario. The References
  79.  *  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 SystemicScenarioPnLSeries
  107. {
  108.     private org.drip.capital.stress.PnLSeries _lostDecade = null;
  109.     private org.drip.capital.stress.PnLSeries _baseline1974 = null;
  110.     private org.drip.capital.stress.PnLSeries _baseline2008 = null;
  111.     private org.drip.capital.stress.PnLSeries _deepDownturn = null;
  112.     private org.drip.capital.stress.PnLSeries _dollarDecline = null;
  113.     private org.drip.capital.stress.PnLSeries _interestRateShock = null;

  115.     /**
  116.      * Construct the SystemicScenarioPnLSeries with Zeros
  117.      * 
  118.      * @return The SystemicScenarioPnLSeries with Zeros
  119.      */

  121.     public static final SystemicScenarioPnLSeries ZERO()
  122.     {
  123.         try
  124.         {
  125.             return new SystemicScenarioPnLSeries (
  126.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome(),
  127.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome(),
  128.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome(),
  129.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome(),
  130.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome(),
  131.                 org.drip.capital.stress.PnLSeries.SingleZeroOutcome()
  132.             );
  133.         }
  134.         catch (java.lang.Exception e)
  135.         {
  136.             e.printStackTrace();
  137.         }

  139.         return null;
  140.     }

  142.     /**
  143.      * Construct the SystemicScenarioPnLSeries with Single Outcome
  144.      * 
  145.      * @param baseline1974PnL 1974 Baseline PnL
  146.      * @param baseline2008PnL 2008 Baseline PnL
  147.      * @param deepDownturnPnL Deep Down-turn PnL
  148.      * @param dollarDeclinePnL Dollar Decline PnL
  149.      * @param interestRateShockPnL Interest Rate Shock PnL
  150.      * @param lostDecadePnL Lost Decade PnL
  151.      * 
  152.      * @return The SystemicScenarioPnLSeries with Single Outcome
  153.      */

  155.     public static final SystemicScenarioPnLSeries SingleOutcome (
  156.         final double baseline1974PnL,
  157.         final double baseline2008PnL,
  158.         final double deepDownturnPnL,
  159.         final double dollarDeclinePnL,
  160.         final double interestRateShockPnL,
  161.         final double lostDecadePnL)
  162.     {
  163.         try
  164.         {
  165.             return new SystemicScenarioPnLSeries (
  166.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  167.                     baseline1974PnL
  168.                 ),
  169.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  170.                     baseline2008PnL
  171.                 ),
  172.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  173.                     deepDownturnPnL
  174.                 ),
  175.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  176.                     dollarDeclinePnL
  177.                 ),
  178.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  179.                     interestRateShockPnL
  180.                 ),
  181.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  182.                     lostDecadePnL
  183.                 )
  184.             );
  185.         }
  186.         catch (java.lang.Exception e)
  187.         {
  188.             e.printStackTrace();
  189.         }

  191.         return null;
  192.     }

  194.     /**
  195.      * Aggregate the Array of SystemicScenarioPnLSeries onto a Composite SystemicScenarioPnLSeries
  196.      * 
  197.      * @param systemicScenarioPnLSeriesArray Array of SystemicScenarioPnLSeries
  198.      * 
  199.      * @return The Aggregated, Composite SystemicScenarioPnLSeries
  200.      */

  202.     public static final SystemicScenarioPnLSeries AggregateComposite (
  203.         final SystemicScenarioPnLSeries[] systemicScenarioPnLSeriesArray)
  204.     {
  205.         if (null == systemicScenarioPnLSeriesArray)
  206.         {
  207.             return null;
  208.         }

  210.         double lostDecadePnLComposite = 0.;
  211.         double baseline1974PnLComposite = 0.;
  212.         double baseline2008PnLComposite = 0.;
  213.         double deepDownturnPnLComposite = 0.;
  214.         double dollarDeclinePnLComposite = 0.;
  215.         double interestRateShockPnLComposite = 0.;
  216.         int pnlCount = systemicScenarioPnLSeriesArray.length;

  218.         if (0 == pnlCount)
  219.         {
  220.             return null;
  221.         }

  223.         for (int pnlIndex = 0;
  224.             pnlIndex < pnlCount;
  225.             ++pnlIndex)
  226.         {
  227.             if (null != systemicScenarioPnLSeriesArray[pnlIndex])
  228.             {
  229.                 lostDecadePnLComposite = lostDecadePnLComposite +
  230.                     systemicScenarioPnLSeriesArray[pnlIndex].lostDecade().composite();

  232.                 baseline1974PnLComposite = baseline1974PnLComposite +
  233.                     systemicScenarioPnLSeriesArray[pnlIndex].baseline1974().composite();

  235.                 baseline2008PnLComposite = baseline2008PnLComposite +
  236.                     systemicScenarioPnLSeriesArray[pnlIndex].baseline2008().composite();

  238.                 deepDownturnPnLComposite = deepDownturnPnLComposite +
  239.                     systemicScenarioPnLSeriesArray[pnlIndex].deepDownturn().composite();

  241.                 dollarDeclinePnLComposite = dollarDeclinePnLComposite +
  242.                     systemicScenarioPnLSeriesArray[pnlIndex].dollarDecline().composite();

  244.                 interestRateShockPnLComposite = interestRateShockPnLComposite +
  245.                     systemicScenarioPnLSeriesArray[pnlIndex].interestRateShock().composite();
  246.             }
  247.         }

  249.         try
  250.         {
  251.             return new SystemicScenarioPnLSeries (
  252.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  253.                     baseline1974PnLComposite
  254.                 ),
  255.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  256.                     baseline2008PnLComposite
  257.                 ),
  258.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  259.                     deepDownturnPnLComposite
  260.                 ),
  261.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  262.                     dollarDeclinePnLComposite
  263.                 ),
  264.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  265.                     interestRateShockPnLComposite
  266.                 ),
  267.                 org.drip.capital.stress.PnLSeries.SingleOutcome (
  268.                     lostDecadePnLComposite
  269.                 )
  270.             );
  271.         }
  272.         catch (java.lang.Exception e)
  273.         {
  274.             e.printStackTrace();
  275.         }

  277.         return null;
  278.     }

  280.     /**
  281.      * SystemicScenarioPnLSeries Constructor
  282.      * 
  283.      * @param baseline1974 1974 Baseline PnL Series
  284.      * @param baseline2008 2008 Baseline PnL Series
  285.      * @param deepDownturn Deep Down-turn PnL Series
  286.      * @param dollarDecline Dollar Decline PnL Series
  287.      * @param interestRateShock Interest Rate Shock PnL Series
  288.      * @param lostDecade Lost Decade PnL Series
  289.      * 
  290.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  291.      */

  293.     public SystemicScenarioPnLSeries (
  294.         final org.drip.capital.stress.PnLSeries baseline1974,
  295.         final org.drip.capital.stress.PnLSeries baseline2008,
  296.         final org.drip.capital.stress.PnLSeries deepDownturn,
  297.         final org.drip.capital.stress.PnLSeries dollarDecline,
  298.         final org.drip.capital.stress.PnLSeries interestRateShock,
  299.         final org.drip.capital.stress.PnLSeries lostDecade)
  300.         throws java.lang.Exception
  301.     {
  302.         if (null == (_baseline1974 = baseline1974) ||
  303.             null == (_baseline2008 = baseline2008) ||
  304.             null == (_deepDownturn = deepDownturn) ||
  305.             null == (_dollarDecline = dollarDecline) ||
  306.             null == (_interestRateShock = interestRateShock) ||
  307.             null == (_lostDecade = lostDecade))
  308.         {
  309.             throw new java.lang.Exception (
  310.                 "SystemicScenarioPnLSeries Constructor => Invalid inputs"
  311.             );
  312.         }
  313.     }

  315.     /**
  316.      * Retrieve the 1974 Baseline PnL Series
  317.      * 
  318.      * @return The 1974 Baseline PnL Series
  319.      */

  321.     public org.drip.capital.stress.PnLSeries baseline1974()
  322.     {
  323.         return _baseline1974;
  324.     }

  326.     /**
  327.      * Retrieve the 2008 Baseline PnL Series
  328.      * 
  329.      * @return The 2008 Baseline PnL Series
  330.      */

  332.     public org.drip.capital.stress.PnLSeries baseline2008()
  333.     {
  334.         return _baseline2008;
  335.     }

  337.     /**
  338.      * Retrieve the Deep Down-turn PnL Series
  339.      * 
  340.      * @return The Deep Down-turn PnL Series
  341.      */

  343.     public org.drip.capital.stress.PnLSeries deepDownturn()
  344.     {
  345.         return _deepDownturn;
  346.     }

  348.     /**
  349.      * Retrieve the Dollar Decline PnL Series
  350.      * 
  351.      * @return The Dollar Decline PnL Series
  352.      */

  354.     public org.drip.capital.stress.PnLSeries dollarDecline()
  355.     {
  356.         return _dollarDecline;
  357.     }

  359.     /**
  360.      * Retrieve the Interest Rate Shock PnL Series
  361.      * 
  362.      * @return The Interest Rate Shock PnL Series
  363.      */

  365.     public org.drip.capital.stress.PnLSeries interestRateShock()
  366.     {
  367.         return _interestRateShock;
  368.     }

  370.     /**
  371.      * Retrieve the Lost Decade PnL Series
  372.      * 
  373.      * @return The Lost Decade PnL Series
  374.      */

  376.     public org.drip.capital.stress.PnLSeries lostDecade()
  377.     {
  378.         return _lostDecade;
  379.     }

  381.     @Override public java.lang.String toString()
  382.     {
  383.         return "[" + _baseline1974.toString() + " | " +
  384.             _baseline2008.toString() + " | " +
  385.             _deepDownturn.toString() + " | " +
  386.             _dollarDecline.toString() + " | " +
  387.             _interestRateShock.toString() + " | " +
  388.             _lostDecade.toString() + "]";
  389.     }
  390. }
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