PathPnLRealization.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>PathPnLRealization</i> holds the Realized PnL and its Components along a Simulated Path. 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 PathPnLRealization
{
private int _pathIndex = -1;
private org.drip.capital.simulation.StressEventIncidenceEnsemble _systemic = null;
private org.drip.capital.simulation.StressEventIncidenceEnsemble _idiosyncratic = null;
private java.util.Map<java.lang.String, java.lang.Double> _fsPnLDecompositionMap = null;
/**
* Combine the Path Realizations onto One
*
* @param pathPnLRealizationArray Array of Path PnL Realizations
*
* @return The Path Realizations combined into One
*/
public static final PathPnLRealization Combine (
final PathPnLRealization[] pathPnLRealizationArray)
{
if (null == pathPnLRealizationArray)
{
return null;
}
int pathPnLRealizationCount = pathPnLRealizationArray.length;
if (0 == pathPnLRealizationCount)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<>();
org.drip.capital.simulation.StressEventIncidenceEnsemble systemicStressEventIncidenceEnsemble =
new org.drip.capital.simulation.StressEventIncidenceEnsemble();
org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncraticStressEventIncidenceEnsemble
= new org.drip.capital.simulation.StressEventIncidenceEnsemble();
for (int pathPnLRealizationIndex = 0;
pathPnLRealizationIndex < pathPnLRealizationCount;
++pathPnLRealizationIndex)
{
if (null == pathPnLRealizationArray[pathPnLRealizationIndex])
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> pathFSPnLDecompositionMap =
pathPnLRealizationArray[pathPnLRealizationIndex].fsPnLDecompositionMap();
if (null != pathFSPnLDecompositionMap)
{
java.util.Set<java.lang.String> fsPnLDecompositionKeySet = pathFSPnLDecompositionMap.keySet();
for (java.lang.String fsPnLDecompositionKey : fsPnLDecompositionKeySet)
{
if (fsPnLDecompositionMap.containsKey (
fsPnLDecompositionKey
))
{
fsPnLDecompositionMap.put (
fsPnLDecompositionKey,
fsPnLDecompositionMap.get (
fsPnLDecompositionKey
) + pathFSPnLDecompositionMap.get (
fsPnLDecompositionKey
)
);
}
else
{
fsPnLDecompositionMap.put (
fsPnLDecompositionKey,
pathFSPnLDecompositionMap.get (
fsPnLDecompositionKey
)
);
}
}
}
org.drip.capital.simulation.StressEventIncidenceEnsemble
pathSystemicStressEventIncidenceEnsemble =
pathPnLRealizationArray[pathPnLRealizationIndex].systemic();
if (null != pathSystemicStressEventIncidenceEnsemble)
{
java.util.List<org.drip.capital.simulation.StressEventIncidence>
pathSystemicStressEventIncidenceList =
pathSystemicStressEventIncidenceEnsemble.stressEventIncidenceList();
for (org.drip.capital.simulation.StressEventIncidence pathSystemicStressEventIncidence :
pathSystemicStressEventIncidenceList)
{
systemicStressEventIncidenceEnsemble.addStressEventIncidence (
pathSystemicStressEventIncidence
);
}
}
org.drip.capital.simulation.StressEventIncidenceEnsemble
pathIdiosyncraticStressEventIncidenceEnsemble =
pathPnLRealizationArray[pathPnLRealizationIndex].idiosyncratic();
if (null != pathIdiosyncraticStressEventIncidenceEnsemble)
{
java.util.List<org.drip.capital.simulation.StressEventIncidence>
pathIdiosyncraticStressEventIncidenceList =
pathIdiosyncraticStressEventIncidenceEnsemble.stressEventIncidenceList();
for (org.drip.capital.simulation.StressEventIncidence pathIdiosyncraticStressEventIncidence
: pathIdiosyncraticStressEventIncidenceList)
{
idiosyncraticStressEventIncidenceEnsemble.addStressEventIncidence (
pathIdiosyncraticStressEventIncidence
);
}
}
}
try
{
return new PathPnLRealization (
pathPnLRealizationArray[0].pathIndex(),
fsPnLDecompositionMap,
systemicStressEventIncidenceEnsemble,
idiosyncraticStressEventIncidenceEnsemble
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* PathPnLRealization Constructor
*
* @param pathIndex Index of the Realized Path
* @param fsPnLDecompositionMap Single Path PnL Decomposition Map by FS Type
* @param systemic Systemic Stress Event Incidence Ensemble
* @param idiosyncratic Idiosyncratic Stress Event Incidence Ensemble
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PathPnLRealization (
final int pathIndex,
final java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap,
final org.drip.capital.simulation.StressEventIncidenceEnsemble systemic,
final org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncratic)
throws java.lang.Exception
{
if (-1 >= (_pathIndex = pathIndex))
{
throw new java.lang.Exception (
"PathPnLRealization Constructor => Invalid Inputs"
);
}
_systemic = systemic;
_idiosyncratic = idiosyncratic;
_fsPnLDecompositionMap = fsPnLDecompositionMap;
}
/**
* Retrieve the Path Index
*
* @return Path index
*/
public int pathIndex()
{
return _pathIndex;
}
/**
* Retrieve the Path FS PnL Decomposition
*
* @return Path FS PnL Decomposition
*/
public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap()
{
return _fsPnLDecompositionMap;
}
/**
* Retrieve the Idiosyncratic Stress Event Incidence Ensemble
*
* @return The Idiosyncratic Stress Event Incidence Ensemble
*/
public org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncratic()
{
return _idiosyncratic;
}
/**
* Retrieve the Systemic Stress Event Incidence Ensemble
*
* @return The Systemic Stress Event Incidence Ensemble
*/
public org.drip.capital.simulation.StressEventIncidenceEnsemble systemic()
{
return _systemic;
}
/**
* Retrieve the Realized Systemic Stress PnL
*
* @return The Realized Systemic Stress PnL
*/
public double grossSystemicStressPnL()
{
return null != _systemic ? _systemic.grossPnL() : 0.;
}
/**
* Retrieve the Realized Idiosyncratic Stress PnL
*
* @return The Realized Idiosyncratic Stress PnL
*/
public double grossIdiosyncraticStressPnL()
{
return null != _idiosyncratic ? _idiosyncratic.grossPnL() : 0.;
}
/**
* Retrieve the Realized FS Gross PnL
*
* @return The Realized FS Gross PnL
*/
public double grossFSPnL()
{
if (null == _fsPnLDecompositionMap)
{
return 0.;
}
double grossFSPnL = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> fsPnLDecompositionEntry :
_fsPnLDecompositionMap.entrySet())
{
grossFSPnL = grossFSPnL + fsPnLDecompositionEntry.getValue();
}
return grossFSPnL;
}
/**
* Retrieve the Total Realized PnL
*
* @return The Total Realized PnL
*/
public double grossPnL()
{
return grossSystemicStressPnL() + grossIdiosyncraticStressPnL() + grossFSPnL();
}
}