CapitalSegmentPathEnsemble.java

  1. package org.drip.capital.simulation;

  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>CapitalSegmentPathEnsemble</i> generates the Ensemble of Capital Paths from the Simulation PnL
  79.  *  Realizations for the Capital Units under the specified Capital Segments. 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/simulation/README.md">Economic Risk Capital Simulation Ensemble</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class CapitalSegmentPathEnsemble
  107.     extends org.drip.capital.simulation.CapitalUnitPathEnsemble
  108. {
  109.     private java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble> _pathEnsembleMap =
  110.         null;

  112.     /**
  113.      * CapitalSegmentPathEnsemble Constructor
  114.      * 
  115.      * @param pathEnsembleMap Map of Path Ensemble
  116.      * 
  117.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  118.      */

  120.     public CapitalSegmentPathEnsemble (
  121.         final java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble> pathEnsembleMap)
  122.         throws java.lang.Exception
  123.     {
  124.         if (null == (_pathEnsembleMap = pathEnsembleMap))
  125.         {
  126.             throw new java.lang.Exception (
  127.                 "CapitalSegmentPathEnsemble Constructor => Invalid Inputs"
  128.             );
  129.         }
  130.     }

  132.     /**
  133.      * Retrieve the Map of Path Ensembles
  134.      * 
  135.      * @return The Map of Path Ensembles
  136.      */

  138.     public java.util.Map<java.lang.String, org.drip.capital.simulation.PathEnsemble> pathEnsembleMap()
  139.     {
  140.         return _pathEnsembleMap;
  141.     }

  143.     /**
  144.      * Construct the Contributing Marginal PnL Attribution given the Confidence Level by Count
  145.      * 
  146.      * @param confidenceCount Confidence Level by Count
  147.      * 
  148.      * @return The Contributing Marginal PnL Attribution
  149.      */

  151.     public org.drip.capital.explain.CapitalSegmentStandaloneMarginal marginalPnLAttribution (
  152.         final int confidenceCount)
  153.     {
  154.         org.drip.capital.explain.CapitalUnitPnLAttribution segmentCapitalUnitPnLAttribution =
  155.             super.pnlAttribution (confidenceCount);

  157.         if (null == segmentCapitalUnitPnLAttribution)
  158.         {
  159.             return null;
  160.         }

  162.         java.util.List<java.lang.Integer> pathIndexList = segmentCapitalUnitPnLAttribution.pathIndexList();

  164.         java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  165.             marginalPnLAttributionMap = new
  166.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.explain.PnLAttribution>();

  168.         java.util.Set<java.lang.String> capitalUnitCoordinateSet = _pathEnsembleMap.keySet();

  170.         for (java.lang.String capitalUnitCoordinate : capitalUnitCoordinateSet)
  171.         {
  172.             org.drip.capital.explain.CapitalUnitPnLAttribution capitalUnitPnLAttribution =
  173.                 _pathEnsembleMap.get (
  174.                     capitalUnitCoordinate
  175.                 ).pnlAttribution (
  176.                     pathIndexList
  177.                 );

  179.             if (null == capitalUnitPnLAttribution)
  180.             {
  181.                 return null;
  182.             }

  184.             marginalPnLAttributionMap.put (
  185.                 capitalUnitCoordinate,
  186.                 capitalUnitPnLAttribution
  187.             );
  188.         }

  190.         try
  191.         {
  192.             return new org.drip.capital.explain.CapitalSegmentStandaloneMarginal (
  193.                 segmentCapitalUnitPnLAttribution.pathPnLRealizationList(),
  194.                 marginalPnLAttributionMap,
  195.                 null
  196.             );
  197.         }
  198.         catch (java.lang.Exception e)
  199.         {
  200.             e.printStackTrace();
  201.         }

  203.         return null;
  204.     }

  206.     /**
  207.      * Construct the Contributing Marginal PnL Attribution given the Confidence Level by Percentage
  208.      * 
  209.      * @param confidenceLevel Confidence Level by Percentage
  210.      * 
  211.      * @return The Contributing Marginal PnL Attribution
  212.      */

  214.     public org.drip.capital.explain.CapitalSegmentStandaloneMarginal marginalPnLAttribution (
  215.         final double confidenceLevel)
  216.     {
  217.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  218.                 confidenceLevel
  219.             ) || 0. >= confidenceLevel || 1. <= confidenceLevel
  220.         )
  221.         {
  222.             return null;
  223.         }

  225.         return marginalPnLAttribution (
  226.             (int) (count() * (1. - confidenceLevel))
  227.         );
  228.     }

  230.     /**
  231.      * Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Count
  232.      * 
  233.      * @param confidenceCount Confidence Level by Count
  234.      * 
  235.      * @return The Capital Segment Stand-alone PnL Attribution
  236.      */

  238.     public org.drip.capital.explain.CapitalSegmentPnLAttribution standalonePnLAttribution (
  239.         final int confidenceCount)
  240.     {
  241.         int capitalUnitIndex = 0;

  243.         org.drip.capital.explain.CapitalUnitPnLAttribution[] capitalUnitPathAttributionArray =
  244.             new org.drip.capital.explain.CapitalUnitPnLAttribution[_pathEnsembleMap.size()];

  246.         java.util.Set<java.lang.String> capitalUnitCoordinateSet = _pathEnsembleMap.keySet();

  248.         for (java.lang.String capitalUnitCoordinate : capitalUnitCoordinateSet)
  249.         {
  250.             if (null == (
  251.                 capitalUnitPathAttributionArray[capitalUnitIndex++] =
  252.                     _pathEnsembleMap.get (
  253.                         capitalUnitCoordinate
  254.                     ).pnlAttribution (
  255.                         confidenceCount
  256.                     )
  257.                 )
  258.             )
  259.             {
  260.                 return null;
  261.             }
  262.         }

  264.         try
  265.         {
  266.             return new org.drip.capital.explain.CapitalSegmentPnLAttribution (
  267.                 capitalUnitPathAttributionArray
  268.             );
  269.         }
  270.         catch (java.lang.Exception e)
  271.         {
  272.             e.printStackTrace();
  273.         }

  275.         return null;
  276.     }

  278.     /**
  279.      * Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Percentage
  280.      * 
  281.      * @param confidenceLevel Confidence Level by Percentage
  282.      * 
  283.      * @return The Capital Segment Stand-alone PnL Attribution
  284.      */

  286.     public org.drip.capital.explain.CapitalSegmentPnLAttribution standalonePnLAttribution (
  287.         final double confidenceLevel)
  288.     {
  289.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  290.                 confidenceLevel
  291.             ) || 0. >= confidenceLevel || 1. <= confidenceLevel
  292.         )
  293.         {
  294.             return null;
  295.         }

  297.         return standalonePnLAttribution (
  298.             (int) (count() * (1. - confidenceLevel))
  299.         );
  300.     }

  302.     /**
  303.      * Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by
  304.      *  Count
  305.      * 
  306.      * @param confidenceCount Confidence Level by Count
  307.      * 
  308.      * @return The Contributing Marginal and Stand-alone PnL Attribution
  309.      */

  311.     public org.drip.capital.explain.CapitalSegmentStandaloneMarginal marginalStandalonePnLAttribution (
  312.         final int confidenceCount)
  313.     {
  314.         org.drip.capital.explain.CapitalUnitPnLAttribution segmentCapitalUnitPnLAttribution =
  315.             super.pnlAttribution (
  316.                 confidenceCount
  317.             );

  319.         if (null == segmentCapitalUnitPnLAttribution)
  320.         {
  321.             return null;
  322.         }

  324.         java.util.List<java.lang.Integer> pathIndexList = segmentCapitalUnitPnLAttribution.pathIndexList();

  326.         java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution> marginalPnLAttributionMap
  327.             = new org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.explain.PnLAttribution>();

  329.         java.util.Map<java.lang.String, org.drip.capital.explain.PnLAttribution>
  330.             standalonePnLAttributionMap = new
  331.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.explain.PnLAttribution>();

  333.         java.util.Set<java.lang.String> capitalUnitCoordinateSet = _pathEnsembleMap.keySet();

  335.         for (java.lang.String capitalUnitCoordinate : capitalUnitCoordinateSet)
  336.         {
  337.             org.drip.capital.explain.CapitalUnitPnLAttribution capitalUnitMarginalAttribution =
  338.                 _pathEnsembleMap.get (
  339.                     capitalUnitCoordinate
  340.                 ).pnlAttribution (
  341.                     pathIndexList
  342.                 );

  344.             if (null == capitalUnitMarginalAttribution)
  345.             {
  346.                 return null;
  347.             }

  349.             marginalPnLAttributionMap.put (
  350.                 capitalUnitCoordinate,
  351.                 capitalUnitMarginalAttribution
  352.             );

  354.             org.drip.capital.explain.CapitalUnitPnLAttribution capitalUnitStandaloneAttribution =
  355.                 _pathEnsembleMap.get (
  356.                     capitalUnitCoordinate
  357.                 ).pnlAttribution (
  358.                     confidenceCount
  359.                 );

  361.             if (null == capitalUnitStandaloneAttribution)
  362.             {
  363.                 return null;
  364.             }

  366.             standalonePnLAttributionMap.put (
  367.                 capitalUnitCoordinate,
  368.                 capitalUnitStandaloneAttribution
  369.             );
  370.         }

  372.         try
  373.         {
  374.             return new org.drip.capital.explain.CapitalSegmentStandaloneMarginal (
  375.                 segmentCapitalUnitPnLAttribution.pathPnLRealizationList(),
  376.                 marginalPnLAttributionMap,
  377.                 standalonePnLAttributionMap
  378.             );
  379.         }
  380.         catch (java.lang.Exception e)
  381.         {
  382.             e.printStackTrace();
  383.         }

  385.         return null;
  386.     }

  388.     /**
  389.      * Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by
  390.      *  Percentage
  391.      * 
  392.      * @param confidenceLevel Confidence Level by Count
  393.      * 
  394.      * @return The Contributing Marginal and Stand-alone PnL Attribution
  395.      */

  397.     public org.drip.capital.explain.CapitalSegmentStandaloneMarginal marginalStandalonePnLAttribution (
  398.         final double confidenceLevel)
  399.     {
  400.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  401.                 confidenceLevel
  402.             ) || 0. >= confidenceLevel || 1. <= confidenceLevel
  403.         )
  404.         {
  405.             return null;
  406.         }

  408.         return marginalStandalonePnLAttribution (
  409.             (int) (count() * (1. - confidenceLevel))
  410.         );
  411.     }
  412. }
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