PathPnLRealization.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>PathPnLRealization</i> holds the Realized PnL and its Components along a Simulated Path. The References
  79.  *  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 PathPnLRealization
  107. {
  108.     private int _pathIndex = -1;
  109.     private org.drip.capital.simulation.StressEventIncidenceEnsemble _systemic = null;
  110.     private org.drip.capital.simulation.StressEventIncidenceEnsemble _idiosyncratic = null;
  111.     private java.util.Map<java.lang.String, java.lang.Double> _fsPnLDecompositionMap = null;

  113.     /**
  114.      * Combine the Path Realizations onto One
  115.      * 
  116.      * @param pathPnLRealizationArray Array of Path PnL Realizations
  117.      * 
  118.      * @return The Path Realizations combined into One
  119.      */

  121.     public static final PathPnLRealization Combine (
  122.         final PathPnLRealization[] pathPnLRealizationArray)
  123.     {
  124.         if (null == pathPnLRealizationArray)
  125.         {
  126.             return null;
  127.         }

  129.         int pathPnLRealizationCount = pathPnLRealizationArray.length;

  131.         if (0 == pathPnLRealizationCount)
  132.         {
  133.             return null;
  134.         }

  136.         java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap = new
  137.             org.drip.analytics.support.CaseInsensitiveHashMap<>();

  139.         org.drip.capital.simulation.StressEventIncidenceEnsemble systemicStressEventIncidenceEnsemble =
  140.             new org.drip.capital.simulation.StressEventIncidenceEnsemble();

  142.         org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncraticStressEventIncidenceEnsemble
  143.             = new org.drip.capital.simulation.StressEventIncidenceEnsemble();

  145.         for (int pathPnLRealizationIndex = 0;
  146.             pathPnLRealizationIndex < pathPnLRealizationCount;
  147.             ++pathPnLRealizationIndex)
  148.         {
  149.             if (null == pathPnLRealizationArray[pathPnLRealizationIndex])
  150.             {
  151.                 return null;
  152.             }

  154.             java.util.Map<java.lang.String, java.lang.Double> pathFSPnLDecompositionMap =
  155.                 pathPnLRealizationArray[pathPnLRealizationIndex].fsPnLDecompositionMap();

  157.             if (null != pathFSPnLDecompositionMap)
  158.             {
  159.                 java.util.Set<java.lang.String> fsPnLDecompositionKeySet = pathFSPnLDecompositionMap.keySet();

  161.                 for (java.lang.String fsPnLDecompositionKey : fsPnLDecompositionKeySet)
  162.                 {
  163.                     if (fsPnLDecompositionMap.containsKey (
  164.                         fsPnLDecompositionKey
  165.                     ))
  166.                     {
  167.                         fsPnLDecompositionMap.put (
  168.                             fsPnLDecompositionKey,
  169.                             fsPnLDecompositionMap.get (
  170.                                 fsPnLDecompositionKey
  171.                             ) + pathFSPnLDecompositionMap.get (
  172.                                 fsPnLDecompositionKey
  173.                             )
  174.                         );
  175.                     }
  176.                     else
  177.                     {
  178.                         fsPnLDecompositionMap.put (
  179.                             fsPnLDecompositionKey,
  180.                             pathFSPnLDecompositionMap.get (
  181.                                 fsPnLDecompositionKey
  182.                             )
  183.                         );
  184.                     }
  185.                 }
  186.             }

  188.             org.drip.capital.simulation.StressEventIncidenceEnsemble
  189.                 pathSystemicStressEventIncidenceEnsemble =
  190.                     pathPnLRealizationArray[pathPnLRealizationIndex].systemic();

  192.             if (null != pathSystemicStressEventIncidenceEnsemble)
  193.             {
  194.                 java.util.List<org.drip.capital.simulation.StressEventIncidence>
  195.                     pathSystemicStressEventIncidenceList =
  196.                         pathSystemicStressEventIncidenceEnsemble.stressEventIncidenceList();

  198.                 for (org.drip.capital.simulation.StressEventIncidence pathSystemicStressEventIncidence :
  199.                     pathSystemicStressEventIncidenceList)
  200.                 {
  201.                     systemicStressEventIncidenceEnsemble.addStressEventIncidence (
  202.                         pathSystemicStressEventIncidence
  203.                     );
  204.                 }
  205.             }

  207.             org.drip.capital.simulation.StressEventIncidenceEnsemble
  208.                 pathIdiosyncraticStressEventIncidenceEnsemble =
  209.                     pathPnLRealizationArray[pathPnLRealizationIndex].idiosyncratic();

  211.             if (null != pathIdiosyncraticStressEventIncidenceEnsemble)
  212.             {
  213.                 java.util.List<org.drip.capital.simulation.StressEventIncidence>
  214.                     pathIdiosyncraticStressEventIncidenceList =
  215.                         pathIdiosyncraticStressEventIncidenceEnsemble.stressEventIncidenceList();

  217.                 for (org.drip.capital.simulation.StressEventIncidence pathIdiosyncraticStressEventIncidence
  218.                     : pathIdiosyncraticStressEventIncidenceList)
  219.                 {
  220.                     idiosyncraticStressEventIncidenceEnsemble.addStressEventIncidence (
  221.                         pathIdiosyncraticStressEventIncidence
  222.                     );
  223.                 }
  224.             }
  225.         }

  227.         try
  228.         {
  229.             return new PathPnLRealization (
  230.                 pathPnLRealizationArray[0].pathIndex(),
  231.                 fsPnLDecompositionMap,
  232.                 systemicStressEventIncidenceEnsemble,
  233.                 idiosyncraticStressEventIncidenceEnsemble
  234.             );
  235.         }
  236.         catch (java.lang.Exception e)
  237.         {
  238.             e.printStackTrace();
  239.         }

  241.         return null;
  242.     }

  244.     /**
  245.      * PathPnLRealization Constructor
  246.      * 
  247.      * @param pathIndex Index of the Realized Path
  248.      * @param fsPnLDecompositionMap Single Path PnL Decomposition Map by FS Type
  249.      * @param systemic Systemic Stress Event Incidence Ensemble
  250.      * @param idiosyncratic Idiosyncratic Stress Event Incidence Ensemble
  251.      * 
  252.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  253.      */

  255.     public PathPnLRealization (
  256.         final int pathIndex,
  257.         final java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap,
  258.         final org.drip.capital.simulation.StressEventIncidenceEnsemble systemic,
  259.         final org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncratic)
  260.         throws java.lang.Exception
  261.     {
  262.         if (-1 >= (_pathIndex = pathIndex))
  263.         {
  264.             throw new java.lang.Exception (
  265.                 "PathPnLRealization Constructor => Invalid Inputs"
  266.             );
  267.         }

  269.         _systemic = systemic;
  270.         _idiosyncratic = idiosyncratic;
  271.         _fsPnLDecompositionMap = fsPnLDecompositionMap;
  272.     }

  274.     /**
  275.      * Retrieve the Path Index
  276.      * 
  277.      * @return Path index
  278.      */

  280.     public int pathIndex()
  281.     {
  282.         return _pathIndex;
  283.     }

  285.     /**
  286.      * Retrieve the Path FS PnL Decomposition
  287.      * 
  288.      * @return Path FS PnL Decomposition
  289.      */

  291.     public java.util.Map<java.lang.String, java.lang.Double> fsPnLDecompositionMap()
  292.     {
  293.         return _fsPnLDecompositionMap;
  294.     }

  296.     /**
  297.      * Retrieve the Idiosyncratic Stress Event Incidence Ensemble
  298.      * 
  299.      * @return The Idiosyncratic Stress Event Incidence Ensemble
  300.      */

  302.     public org.drip.capital.simulation.StressEventIncidenceEnsemble idiosyncratic()
  303.     {
  304.         return _idiosyncratic;
  305.     }

  307.     /**
  308.      * Retrieve the Systemic Stress Event Incidence Ensemble
  309.      * 
  310.      * @return The Systemic Stress Event Incidence Ensemble
  311.      */

  313.     public org.drip.capital.simulation.StressEventIncidenceEnsemble systemic()
  314.     {
  315.         return _systemic;
  316.     }

  318.     /**
  319.      * Retrieve the Realized Systemic Stress PnL
  320.      * 
  321.      * @return The Realized Systemic Stress PnL
  322.      */

  324.     public double grossSystemicStressPnL()
  325.     {
  326.         return null != _systemic ? _systemic.grossPnL() : 0.;
  327.     }

  329.     /**
  330.      * Retrieve the Realized Idiosyncratic Stress PnL
  331.      * 
  332.      * @return The Realized Idiosyncratic Stress PnL
  333.      */

  335.     public double grossIdiosyncraticStressPnL()
  336.     {
  337.         return null != _idiosyncratic ? _idiosyncratic.grossPnL() : 0.;
  338.     }

  340.     /**
  341.      * Retrieve the Realized FS Gross PnL
  342.      * 
  343.      * @return The Realized FS Gross PnL
  344.      */

  346.     public double grossFSPnL()
  347.     {
  348.         if (null == _fsPnLDecompositionMap)
  349.         {
  350.             return 0.;
  351.         }

  353.         double grossFSPnL = 0.;

  355.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> fsPnLDecompositionEntry :
  356.             _fsPnLDecompositionMap.entrySet())
  357.         {
  358.             grossFSPnL = grossFSPnL + fsPnLDecompositionEntry.getValue();
  359.         }

  361.         return grossFSPnL;
  362.     }

  364.     /**
  365.      * Retrieve the Total Realized PnL
  366.      * 
  367.      * @return The Total Realized PnL
  368.      */

  370.     public double grossPnL()
  371.     {
  372.         return grossSystemicStressPnL() + grossIdiosyncraticStressPnL() + grossFSPnL();
  373.     }
  374. }
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