StressEventIncidenceEnsemble.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>StressEventIncidenceEnsemble</i> holds the Ensemble of Stress Event Occurrences. 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 StressEventIncidenceEnsemble
{
    private java.util.List<org.drip.capital.simulation.StressEventIncidence> _stressEventIncidenceList =
        null;

    /**
     * StressEventIncidenceEnsemble Constructor
     */

    public StressEventIncidenceEnsemble()
    {
        _stressEventIncidenceList = new
            java.util.ArrayList<org.drip.capital.simulation.StressEventIncidence>();
    }

    /**
     * Retrieve the List of Stress Event Incidences
     * 
     * @return The List of Stress Event Incidences
     */

    public java.util.List<org.drip.capital.simulation.StressEventIncidence> stressEventIncidenceList()
    {
        return _stressEventIncidenceList;
    }

    /**
     * Add the Specified Stress Event Incidence
     * 
     * @param stressEventIncidence The Stress Event Incidence
     * 
     * @return TRUE - The Stress Event Incidence successfully added
     */

    public boolean addStressEventIncidence (
        final org.drip.capital.simulation.StressEventIncidence stressEventIncidence)
    {
        if (null == stressEventIncidence)
        {
            return false;
        }

        _stressEventIncidenceList.add (stressEventIncidence);

        return true;
    }

    /**
     * Compute the Gross PnL
     * 
     * @return The Gross PnL
     */

    public double grossPnL()
    {
        double grossPnL = 0.;

        for (org.drip.capital.simulation.StressEventIncidence stressEventIncidence :
            _stressEventIncidenceList)
        {
            grossPnL = grossPnL + stressEventIncidence.pnl();
        }

        return grossPnL;
    }

    /**
     * Compute the Gross PAA Category PnL Decomposition
     * 
     * @return The Gross PAA Category PnL Decomposition
     */

    public java.util.Map<java.lang.String, java.lang.Double> grossPAACategoryPnLDecomposition()
    {
        java.util.Map<java.lang.String, java.lang.Double> paaCategoryPnLDecomposition =
            new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

        for (org.drip.capital.simulation.StressEventIncidence stressEventIncidence :
            _stressEventIncidenceList)
        {
            java.util.Map<java.lang.String, java.lang.Double> incidencePAACategoryPnLDecomposition =
                stressEventIncidence.paaCategoryPnLDecomposition();

            if (null == incidencePAACategoryPnLDecomposition)
            {
                continue;
            }

            java.lang.String stressEventNamePrefix = stressEventIncidence.name() + "::";

            for (java.util.Map.Entry<java.lang.String, java.lang.Double>
                incidencePAACategoryPnLDecompositionEntry : incidencePAACategoryPnLDecomposition.entrySet())
            {
                java.lang.String paaCategoryName = stressEventNamePrefix +
                    incidencePAACategoryPnLDecompositionEntry.getKey();

                if (paaCategoryPnLDecomposition.containsKey (
                    paaCategoryName
                ))
                {
                    paaCategoryPnLDecomposition.put (
                        paaCategoryName,
                        incidencePAACategoryPnLDecompositionEntry.getValue() +
                            paaCategoryPnLDecomposition.get (
                                paaCategoryName
                            )
                    );
                }
                else
                {
                    paaCategoryPnLDecomposition.put (
                        paaCategoryName,
                        incidencePAACategoryPnLDecompositionEntry.getValue()
                    );
                }
            }
        }

        return paaCategoryPnLDecomposition;
    }
}