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() + "} | " +
        "]";
    }
}