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;
}
}