CapitalUnitPathEnsemble.java

package org.drip.capital.simulation;

/*
 * -*- 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>CapitalUnitPathEnsemble</i> generates the Ensemble of Capital Paths from the Simulation PnL
 *  Realizations for the specified Capital Unit. 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/simulation/README.md">Economic Risk Capital Simulation Ensemble</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CapitalUnitPathEnsemble
    implements org.drip.capital.simulation.PathEnsemble
{
    private java.util.Map<java.lang.Double, java.util.List<java.lang.Integer>> _pnlListMap = null;
    private java.util.Map<java.lang.String, java.lang.Integer> _systemicEventIncidenceCountMap = null;
    private java.util.List<org.drip.capital.simulation.PathPnLRealization> _pathPnLRealizationList = null;
    private java.util.Map<java.lang.String, java.lang.Integer> _idiosyncraticEventIncidenceCountMap = null;

    /**
     * CapitalUnitPathEnsemble Constructor
     */

    public CapitalUnitPathEnsemble()
    {
        _pnlListMap = new java.util.TreeMap<java.lang.Double, java.util.List<java.lang.Integer>>();

        _systemicEventIncidenceCountMap = new java.util.HashMap<java.lang.String, java.lang.Integer>();

        _idiosyncraticEventIncidenceCountMap = new java.util.HashMap<java.lang.String, java.lang.Integer>();

        _pathPnLRealizationList = new
            java.util.ArrayList<org.drip.capital.simulation.PathPnLRealization>();
    }

    /**
     * Retrieve the Path PnL Realization List
     * 
     * @return The Path PnL Realization List
     */

    public java.util.List<org.drip.capital.simulation.PathPnLRealization> pathPnLRealizationList()
    {
        return _pathPnLRealizationList;
    }

    /**
     * Retrieve the Path PnL Realization Array
     * 
     * @return The Path PnL Realization Array
     */

    public org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray()
    {
        int pathCount = _pathPnLRealizationList.size();

        org.drip.capital.simulation.PathPnLRealization[] pathPnLRealizationArray =
            new org.drip.capital.simulation.PathPnLRealization[pathCount];

        for (int pathIndex = 0; pathIndex < pathCount; ++pathIndex)
        {
            pathPnLRealizationArray[pathIndex] = _pathPnLRealizationList.get (
                pathIndex
            );
        }

        return pathPnLRealizationArray;
    }

    @Override public boolean addPathPnLRealization (
        final org.drip.capital.simulation.PathPnLRealization pathPnLRealization)
    {
        if (null == pathPnLRealization)
        {
            return false;
        }

        _pathPnLRealizationList.add (
            pathPnLRealization
        );

        double grossPnL = pathPnLRealization.grossPnL();

        if (_pnlListMap.containsKey (
            grossPnL
        ))
        {
            _pnlListMap.get (
                grossPnL
            ).add (
                _pathPnLRealizationList.size() - 1
            );
        }
        else
        {
            java.util.List<java.lang.Integer> instanceList = new java.util.ArrayList<java.lang.Integer>();

            instanceList.add (
                _pathPnLRealizationList.size() - 1
            );

            _pnlListMap.put (
                grossPnL,
                instanceList
            );
        }

        org.drip.capital.simulation.StressEventIncidenceEnsemble systemicStressEventIncidenceEnsemble =
            pathPnLRealization.systemic();

        if (null != systemicStressEventIncidenceEnsemble)
        {
            for (org.drip.capital.simulation.StressEventIncidence stressEventIncidence :
                systemicStressEventIncidenceEnsemble.stressEventIncidenceList())
            {
                java.lang.String event = stressEventIncidence.name();

                if (_systemicEventIncidenceCountMap.containsKey (
                    event
                ))
                {
                    _systemicEventIncidenceCountMap.put (
                        event,
                        _systemicEventIncidenceCountMap.get (
                            event
                        ) + 1
                    );
                }
                else
                {
                    _systemicEventIncidenceCountMap.put (
                        event,
                        1
                    );
                }
            }
        }

        org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncraticStressEventIncidenceEnsemble
            = pathPnLRealization.idiosyncratic();

        if (null != idiosyncraticStressEventIncidenceEnsemble)
        {
            for (org.drip.capital.simulation.StressEventIncidence stressEventIncidence :
                idiosyncraticStressEventIncidenceEnsemble.stressEventIncidenceList())
            {
                java.lang.String event = stressEventIncidence.name();

                if (_idiosyncraticEventIncidenceCountMap.containsKey (
                    event
                ))
                {
                    _idiosyncraticEventIncidenceCountMap.put (
                        event,
                        _idiosyncraticEventIncidenceCountMap.get (
                            event
                        ) + 1
                    );
                }
                else
                {
                    _idiosyncraticEventIncidenceCountMap.put (
                        event,
                        1
                    );
                }
            }
        }

        return true;
    }

    @Override public java.util.Map<java.lang.Double, java.util.List<java.lang.Integer>> pnlListMap()
    {
        return _pnlListMap;
    }

    @Override public java.util.Map<java.lang.String, java.lang.Integer> systemicEventIncidenceCountMap()
    {
        return _systemicEventIncidenceCountMap;
    }

    @Override public java.util.Map<java.lang.String, java.lang.Integer> idiosyncraticEventIncidenceCountMap()
    {
        return _idiosyncraticEventIncidenceCountMap;
    }

    @Override public int count()
    {
        return _pathPnLRealizationList.size();
    }

    @Override public int systemicEventIncidenceCount (
        final java.lang.String event)
    {
        return null == event || event.isEmpty() || !_systemicEventIncidenceCountMap.containsKey (
            event
        ) ? 0 : _systemicEventIncidenceCountMap.get (
            event
        );
    }

    @Override public int idiosyncraticEventIncidenceCount (
        final java.lang.String event)
    {
        return null == event || event.isEmpty() || !_idiosyncraticEventIncidenceCountMap.containsKey (
            event
        ) ? 0 : _idiosyncraticEventIncidenceCountMap.get (
            event
        );
    }

    @Override public double var (
        final int confidenceCount)
        throws java.lang.Exception
    {
        if (0 >= confidenceCount || _pathPnLRealizationList.size() <= confidenceCount)
        {
            throw new java.lang.Exception (
                "CapitalUnitPathEnsemble::var => Invalid Inputs!"
            );
        }

        int cumulativeInstanceCount = 0;

        for (java.util.Map.Entry<java.lang.Double, java.util.List<java.lang.Integer>> pnlListEntry :
            _pnlListMap.entrySet())
        {
            if (confidenceCount <=
                (cumulativeInstanceCount = cumulativeInstanceCount + pnlListEntry.getValue().size()))
            {
                return pnlListEntry.getKey();
            }
        }

        throw new java.lang.Exception (
            "CapitalUnitPathEnsemble::var => Confidence Count Too High!"
        );
    }

    @Override public double var (
        final double confidenceLevel)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (
                confidenceLevel
            ) || 0. >= confidenceLevel || 1. <= confidenceLevel)
        {
            throw new java.lang.Exception (
                "CapitalUnitPathEnsemble::var => Invalid Inputs!"
            );
        }

        return var (
            (int) (_pathPnLRealizationList.size() * (1. - confidenceLevel))
        );
    }

    @Override public double expectedShortfall (
        final int confidenceCount)
        throws java.lang.Exception
    {
        if (0 >= confidenceCount || _pathPnLRealizationList.size() <= confidenceCount)
        {
            throw new java.lang.Exception (
                "CapitalUnitPathEnsemble::expectedShortfall => Invalid Inputs!"
            );
        }

        int instanceCount = 0;
        double cumulativeShortfall = 0.;

        for (java.util.Map.Entry<java.lang.Double, java.util.List<java.lang.Integer>> pnlListEntry :
            _pnlListMap.entrySet())
        {
            double pnl = pnlListEntry.getKey();

            int entrySize = pnlListEntry.getValue().size();

            for (int entryIndex = 0;
                entryIndex < entrySize;
                ++entryIndex)
            {
                cumulativeShortfall = cumulativeShortfall + pnl;

                if (++instanceCount == confidenceCount)
                {
                    return cumulativeShortfall / confidenceCount;
                }
            }
        }

        throw new java.lang.Exception (
            "CapitalUnitPathEnsemble::expectedShortfall => Confidence Count Too High!"
        );
    }

    @Override public double expectedShortfall (
        final double confidenceLevel)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (
                confidenceLevel
            ) || 0. >= confidenceLevel || 1. <= confidenceLevel
        )
        {
            throw new java.lang.Exception (
                "CapitalUnitPathEnsemble::expectedShortfall => Invalid Inputs!"
            );
        }

        return expectedShortfall (
            (int) (_pathPnLRealizationList.size() * (1. - confidenceLevel))
        );
    }

    @Override public org.drip.capital.explain.CapitalUnitPnLAttribution pnlAttribution (
        final int confidenceCount)
    {
        if (0 >= confidenceCount || _pathPnLRealizationList.size() <= confidenceCount)
        {
            return null;
        }

        int instanceCount = 0;

        java.util.List<org.drip.capital.simulation.PathPnLRealization> selectedPathPnLRealizationList =
            new java.util.ArrayList<org.drip.capital.simulation.PathPnLRealization>();

        for (java.util.Map.Entry<java.lang.Double, java.util.List<java.lang.Integer>> pnlListEntry :
            _pnlListMap.entrySet())
        {
            for (int listIndex : pnlListEntry.getValue())
            {
                selectedPathPnLRealizationList.add (
                    _pathPnLRealizationList.get (
                        listIndex
                    )
                );

                if (++instanceCount == confidenceCount)
                {
                    break;
                }
            }

            if (instanceCount == confidenceCount)
            {
                break;
            }
        }

        try
        {
            return new org.drip.capital.explain.CapitalUnitPnLAttribution (
                selectedPathPnLRealizationList
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }

    @Override public org.drip.capital.explain.CapitalUnitPnLAttribution pnlAttribution (
        final double confidenceLevel)
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (
                confidenceLevel
            ) || 0. >= confidenceLevel || 1. <= confidenceLevel
        )
        {
            return null;
        }

        return pnlAttribution (
            (int) (_pathPnLRealizationList.size() * (1. - confidenceLevel))
        );
    }

    @Override public org.drip.capital.explain.CapitalUnitPnLAttribution pnlAttribution (
        final java.util.List<java.lang.Integer> pathIndexList)
    {
        if (null == pathIndexList || 0 == pathIndexList.size())
        {
            return null;
        }

        java.util.List<org.drip.capital.simulation.PathPnLRealization> selectedPathPnLRealizationList =
            new java.util.ArrayList<org.drip.capital.simulation.PathPnLRealization>();

        for (int pathIndex : pathIndexList)
        {
            selectedPathPnLRealizationList.add (
                _pathPnLRealizationList.get (
                    pathIndex
                )
            );
        }

        try
        {
            return new org.drip.capital.explain.CapitalUnitPnLAttribution (
                selectedPathPnLRealizationList
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }

    @Override public java.util.List<java.lang.Double> grossSystemicStressPnLList()
    {
        java.util.List<java.lang.Double> grossSystemicStressPnLList =
            new java.util.ArrayList<java.lang.Double>();

        for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : _pathPnLRealizationList)
        {
            grossSystemicStressPnLList.add (
                pathPnLRealization.grossSystemicStressPnL()
            );
        }

        return grossSystemicStressPnLList;
    }

    @Override public java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList()
    {
        java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList =
            new java.util.ArrayList<java.lang.Double>();

        for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : _pathPnLRealizationList)
        {
            grossIdiosyncraticStressPnLList.add (
                pathPnLRealization.grossIdiosyncraticStressPnL()
            );
        }

        return grossIdiosyncraticStressPnLList;
    }

    @Override public java.util.List<java.lang.Double> grossFSPnLList()
    {
        java.util.List<java.lang.Double> grossFSPnLList = new java.util.ArrayList<java.lang.Double>();

        for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : _pathPnLRealizationList)
        {
            grossFSPnLList.add (
                pathPnLRealization.grossFSPnL()
            );
        }

        return grossFSPnLList;
    }

    @Override public java.util.List<java.lang.Double> grossPnLList()
    {
        java.util.List<java.lang.Double> grossPnLList = new java.util.ArrayList<java.lang.Double>();

        for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : _pathPnLRealizationList)
        {
            grossPnLList.add (
                pathPnLRealization.grossPnL()
            );
        }

        return grossPnLList;
    }

    @Override public org.drip.capital.simulation.EnsemblePnLDistribution ensembleDistribution()
    {
        java.util.List<java.lang.Double> grossPnLList = new java.util.ArrayList<java.lang.Double>();

        java.util.List<java.lang.Double> grossFSPnLList = new java.util.ArrayList<java.lang.Double>();

        java.util.List<java.lang.Double> grossSystemicStressPnLList =
            new java.util.ArrayList<java.lang.Double>();

        java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList =
            new java.util.ArrayList<java.lang.Double>();

        for (org.drip.capital.simulation.PathPnLRealization pathPnLRealization : _pathPnLRealizationList)
        {
            grossSystemicStressPnLList.add (
                pathPnLRealization.grossSystemicStressPnL()
            );

            grossIdiosyncraticStressPnLList.add (
                pathPnLRealization.grossIdiosyncraticStressPnL()
            );

            grossFSPnLList.add (
                pathPnLRealization.grossFSPnL()
            );

            grossPnLList.add (
                pathPnLRealization.grossPnL()
            );
        }

        try
        {
            return new org.drip.capital.simulation.EnsemblePnLDistribution (
                grossSystemicStressPnLList,
                grossIdiosyncraticStressPnLList,
                grossFSPnLList,
                grossPnLList
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }
}