SystemicScenarioPnLSeriesPAA.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>SystemicScenarioPnLSeriesPAA</i> contains the PAA Category Decomposition of the PnL Series of a
* Systemic Stress Scenario. 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 SystemicScenarioPnLSeriesPAA
{
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _lostDecadeDecompositionMap
= new org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
_baseline1974DecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
_baseline2008DecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
_deepDownturnDecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
_dollarDeclineDecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
_interestRateShockDecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
private static final boolean UpdateMap (
final java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> map,
final java.lang.String key,
final double value)
{
if (map.containsKey (
key
))
{
return false;
}
map.put (
key,
org.drip.capital.stress.PnLSeries.SingleOutcome (
value
)
);
return true;
}
private static final double AggregateEntryValues (
final java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> map)
{
if (0 == map.size())
{
return 0.;
}
double aggregate = 0.;
for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries> entry :
map.entrySet())
{
aggregate = aggregate + entry.getValue().composite();
}
return aggregate;
}
/**
* Empty SystemicScenarioPnLSeriesPAA Constructor
*/
public SystemicScenarioPnLSeriesPAA()
{
}
/**
* Retrieve the 1974 Baseline PAA Category PnL Decomposition Map
*
* @return 1974 Baseline PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
baseline1974DecompositionMap()
{
return _baseline1974DecompositionMap;
}
/**
* Retrieve the 2008 Baseline PAA Category PnL Decomposition Map
*
* @return 2008 Baseline PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
baseline2008DecompositionMap()
{
return _baseline2008DecompositionMap;
}
/**
* Retrieve the Deep Down-turn PAA Category PnL Decomposition Map
*
* @return Deep Down-turn PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
deepDownturnDecompositionMap()
{
return _deepDownturnDecompositionMap;
}
/**
* Retrieve the Dollar Decline PAA Category PnL Decomposition Map
*
* @return Dollar Decline PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
dollarDeclineDecompositionMap()
{
return _dollarDeclineDecompositionMap;
}
/**
* Retrieve the Interest Rate Shock PAA Category PnL Decomposition Map
*
* @return Interest Rate Shock PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries>
interestRateShockDecompositionMap()
{
return _interestRateShockDecompositionMap;
}
/**
* Retrieve the Lost Decade PAA Category PnL Decomposition Map
*
* @return Lost Decade PAA Category PnL Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> lostDecadeDecompositionMap()
{
return _lostDecadeDecompositionMap;
}
/**
* Add a Decomposed PnL Entry for the Specified Systemic Scenario and PAA Category
*
* @param systemicScenarioName Systemic Scenario Name
* @param paaCategoryName PAA Category Name
* @param pnlDecomposition PnL Entry
*
* @return TRUE - The Entry is successfully added
*/
public boolean addDecompositionEntry (
final java.lang.String systemicScenarioName,
final java.lang.String paaCategoryName,
final double pnlDecomposition)
{
if (null == systemicScenarioName || systemicScenarioName.isEmpty() ||
null == paaCategoryName || paaCategoryName.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (
pnlDecomposition
)
)
{
return false;
}
if (org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_1974.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_baseline1974DecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
if (org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_2008.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_baseline2008DecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
if (org.drip.capital.definition.SystemicScenarioDefinition.DEEP_DOWNTURN.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_deepDownturnDecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
if (org.drip.capital.definition.SystemicScenarioDefinition.DOLLAR_DECLINE.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_dollarDeclineDecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
if (org.drip.capital.definition.SystemicScenarioDefinition.INTEREST_RATE_SHOCK.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_interestRateShockDecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
if (org.drip.capital.definition.SystemicScenarioDefinition.LOST_DECADE.equalsIgnoreCase (
systemicScenarioName
))
{
return UpdateMap (
_lostDecadeDecompositionMap,
paaCategoryName,
pnlDecomposition
);
}
return false;
}
/**
* Generate the Aggregated GSST PnL
*
* @return Aggregated GSST PnL
*/
public org.drip.capital.shell.SystemicScenarioPnLSeries aggregatePnL()
{
return SystemicScenarioPnLSeries.SingleOutcome (
AggregateEntryValues (
_baseline1974DecompositionMap
),
AggregateEntryValues (
_baseline2008DecompositionMap
),
AggregateEntryValues (
_deepDownturnDecompositionMap
),
AggregateEntryValues (
_dollarDeclineDecompositionMap
),
AggregateEntryValues (
_interestRateShockDecompositionMap
),
AggregateEntryValues (
_lostDecadeDecompositionMap
)
);
}
@Override public java.lang.String toString()
{
return "[" +
"{" + _baseline1974DecompositionMap.toString() + "} | " +
"{" + _baseline2008DecompositionMap.toString() + "} | " +
"{" + _deepDownturnDecompositionMap.toString() + "} | " +
"{" + _dollarDeclineDecompositionMap.toString() + "} | " +
"{" + _interestRateShockDecompositionMap.toString() + "} | " +
"{" + _lostDecadeDecompositionMap.toString() + "} | " +
"]";
}
}