FSPnLDecompositionContainer.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>FSPnLDecompositionContainer</i> holds the Series of Decomposed FS PnL's. 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 FSPnLDecompositionContainer
{
private java.util.List<org.drip.capital.simulation.FSPnLDecomposition> _fsPnLDecompositionList = null;
/**
* Generate a Standard Instance of FSPnLDecompositionContainer
*
* @param notional The Notional
* @param count Count of the PnL List
*
* @return Standard Instance of FSPnLDecompositionContainer
*/
public static final FSPnLDecompositionContainer Standard (
final double notional,
final int count)
{
if (0 >= count)
{
return null;
}
java.util.List<org.drip.capital.simulation.FSPnLDecomposition> fsPnLDecompositionList = new
java.util.ArrayList<org.drip.capital.simulation.FSPnLDecomposition>();
for (int index = 0;
index < count;
++index)
{
fsPnLDecompositionList.add (
org.drip.capital.simulation.FSPnLDecomposition.Standard (
notional
)
);
}
try
{
return new FSPnLDecompositionContainer (
fsPnLDecompositionList
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* FSPnLDecompositionContainer Constructor
*
* @param fsPnLDecompositionList List of FS PnL Decomposition
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public FSPnLDecompositionContainer (
final java.util.List<org.drip.capital.simulation.FSPnLDecomposition> fsPnLDecompositionList)
throws java.lang.Exception
{
if (null == (_fsPnLDecompositionList = fsPnLDecompositionList))
{
throw new java.lang.Exception (
"FSPnLDecompositionContainer Constructor => Invalid Inputs"
);
}
}
/**
* Retrieve the List of FS PnL Decomposition
*
* @return List of FS PnL Decomposition
*/
public java.util.List<org.drip.capital.simulation.FSPnLDecomposition> fsPnLDecompositionList()
{
return _fsPnLDecompositionList;
}
/**
* Retrieve the Count of the PnL List
*
* @return Count of the PnL List
*/
public int count()
{
return null == _fsPnLDecompositionList ? 0 : _fsPnLDecompositionList.size();
}
/**
* Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
*
* @param fsTypeAdjustmentMap FS Type Volatility Adjustment Map
*
* @return FS Type Specific Volatility Adjusted List
*/
public java.util.List<java.util.Map<java.lang.String, java.lang.Double>> applyVolatilityAdjustment (
final java.util.Map<java.lang.String, java.lang.Double> fsTypeAdjustmentMap)
{
java.util.List<java.util.Map<java.lang.String, java.lang.Double>>
volatilityAdjustedFSPnLDecompositionList = new
java.util.ArrayList<java.util.Map<java.lang.String, java.lang.Double>>();
for (org.drip.capital.simulation.FSPnLDecomposition pnlFSDecomposition : _fsPnLDecompositionList)
{
java.util.Map<java.lang.String, java.lang.Double> volatilityAdjustedFSPnLDecomposition =
pnlFSDecomposition.applyVolatilityAdjustment (
fsTypeAdjustmentMap,
1.
);
if (null == volatilityAdjustedFSPnLDecomposition)
{
return null;
}
volatilityAdjustedFSPnLDecompositionList.add (
volatilityAdjustedFSPnLDecomposition
);
}
return volatilityAdjustedFSPnLDecompositionList;
}
}