FSPnLDecomposition.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>FSPnLDecomposition</i> holds the Per FS PnL Decomposition. The References are:
  79.  * 
  80.  * <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  84.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  85.  *      </li>
  86.  *      <li>
  87.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  91.  *      </li>
  92.  *  </ul>
  93.  *
  94.  *  <br><br>
  95.  *  <ul>
  96.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  97.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  98.  *      <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>
  99.  *      <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>
  100.  *  </ul>
  101.  * 
  102.  * @author Lakshmi Krishnamurthy
  103.  */

  105. public class FSPnLDecomposition
  106. {
  107.     private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _fsMap = null;

  109.     /**
  110.      * Construct a Standard Instance of FSPnLDecomposition
  111.      * 
  112.      * @param notional Notional the PnL is based upon
  113.      * 
  114.      * @return Standard Instance of FSPnLDecomposition
  115.      */

  117.     public static final FSPnLDecomposition Standard (
  118.         final double notional)
  119.     {
  120.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  121.             notional
  122.         ))
  123.         {
  124.             return null;
  125.         }

  127.         java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> fsMap = new
  128.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();

  130.         java.util.Set<java.lang.String> fsTypeSet =
  131.             org.drip.capital.env.CapitalEstimationContextManager.ContextContainer().volatilityScaleContext().fsTypeAdjustmentMap().keySet();

  133.         for (java.lang.String fsType : fsTypeSet)
  134.         {
  135.             try
  136.             {
  137.                 fsMap.put (
  138.                     fsType,
  139.                     new org.drip.capital.stress.PnLSeries (
  140.                         new double[]
  141.                         {
  142.                             notional * (java.lang.Math.random() - 0.5),
  143.                             notional * (java.lang.Math.random() - 0.5),
  144.                             notional * (java.lang.Math.random() - 0.5),
  145.                         }
  146.                     )
  147.                     {
  148.                         @Override public double composite()
  149.                         {
  150.                             double sum = 0.;
  151.     
  152.                             double[] outcomeArray = outcomeArray();

  154.                             for (double outcome : outcomeArray)
  155.                             {
  156.                                 sum = sum + outcome;
  157.                             }
  158.     
  159.                             return sum / java.lang.Math.sqrt (
  160.                                 outcomeArray.length
  161.                             );
  162.                         }
  163.                     }
  164.                 );
  165.             }
  166.             catch (java.lang.Exception e)
  167.             {
  168.                 e.printStackTrace();

  170.                 return null;
  171.             }
  172.         }

  174.         try
  175.         {
  176.             return new FSPnLDecomposition (
  177.                 fsMap
  178.             );
  179.         }
  180.         catch (java.lang.Exception e)
  181.         {
  182.             e.printStackTrace();
  183.         }

  185.         return null;
  186.     }

  188.     /**
  189.      * FSPnLDecomposition Constructor
  190.      * 
  191.      * @param fsMap FS PnL Decomposition Map
  192.      * 
  193.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  194.      */

  196.     public FSPnLDecomposition (
  197.         final java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> fsMap)
  198.         throws java.lang.Exception
  199.     {
  200.         if (null == (_fsMap = fsMap))
  201.         {
  202.             throw new java.lang.Exception (
  203.                 "FSPnLDecomposition Constructor => Invalid Inputs"
  204.             );
  205.         }
  206.     }

  208.     /**
  209.      * Retrieve the FS PnL Decomposition Map
  210.      * 
  211.      * @return FS PnL Decomposition Map
  212.      */

  214.     public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> fsMap()
  215.     {
  216.         return _fsMap;
  217.     }

  219.     /**
  220.      * Retrieve the Cross-RF Gross PnL
  221.      * 
  222.      * @return Cross-RF Gross PnL
  223.      */

  225.     public double grossPnL()
  226.     {
  227.         if (null == _fsMap || 0 == _fsMap.size())
  228.         {
  229.             return 0.;
  230.         }

  232.         double total = 0.;

  234.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries> fsEntry :
  235.             _fsMap.entrySet())
  236.         {
  237.             total = total + fsEntry.getValue().composite();
  238.         }

  240.         return total;
  241.     }

  243.     /**
  244.      * Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
  245.      * 
  246.      * @param fsTypeAdjustmentMap FS Type Volatility Adjustment Map
  247.      * @param pnlScaler The PnL Scaler
  248.      * 
  249.      * @return Volatility Adjusted FS PnL Decomposition Map
  250.      */

  252.     public java.util.Map<java.lang.String, java.lang.Double> applyVolatilityAdjustment (
  253.         final java.util.Map<java.lang.String, java.lang.Double> fsTypeAdjustmentMap,
  254.         final double pnlScaler)
  255.     {
  256.         if (null == fsTypeAdjustmentMap || 0 == fsTypeAdjustmentMap.size() ||
  257.             !org.drip.numerical.common.NumberUtil.IsValid (
  258.                 pnlScaler
  259.             )
  260.         )
  261.         {
  262.             return null;
  263.         }

  265.         java.util.Map<java.lang.String, java.lang.Double> volatilityAdjustedFSMap = new
  266.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  268.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries> fsMapEntry :
  269.             _fsMap.entrySet())
  270.         {
  271.             java.lang.String fsType = fsMapEntry.getKey();

  273.             if (!fsTypeAdjustmentMap.containsKey (
  274.                 fsType
  275.             ))
  276.             {
  277.                 return null;
  278.             }

  280.             volatilityAdjustedFSMap.put (
  281.                 fsType,
  282.                 fsMapEntry.getValue().composite() * fsTypeAdjustmentMap.get (
  283.                     fsType
  284.                 ) * pnlScaler
  285.             );
  286.         }

  288.         return volatilityAdjustedFSMap;
  289.     }
  290. }
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