StressEventIndicator.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>StressEventIndicator</i> holds the Systemic and the Idiosyncratic Stress Event Indicators corresponding
  79.  *  to the specified Entity. The References 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 StressEventIndicator
  107. {
  108.     private double _systemic = java.lang.Double.NaN;
  109.     private java.util.Map<java.lang.String, java.lang.Double> _idiosyncraticMap = null;

  111.     /**
  112.      * Construct the Instance of StressEventIndicator where the Systemic Indicator is Random
  113.      * 
  114.      * @param idiosyncraticEventSet The Set of Idiosyncratic Events
  115.      * 
  116.      * @return Instance of StressEventIndicator where the Systemic Indicator is Random
  117.      */

  119.     public static final StressEventIndicator RandomSystemic (
  120.         final java.util.Set<java.lang.String> idiosyncraticEventSet)
  121.     {
  122.         java.util.Map<java.lang.String, java.lang.Double> idiosyncraticMap = null;

  124.         if (null != idiosyncraticEventSet && 0 != idiosyncraticEventSet.size())
  125.         {
  126.             idiosyncraticMap = new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  128.             for (java.lang.String event : idiosyncraticEventSet)
  129.             {
  130.                 idiosyncraticMap.put (
  131.                     event,
  132.                     java.lang.Math.random()
  133.                 );
  134.             }
  135.         }

  137.         try
  138.         {
  139.             return new StressEventIndicator (
  140.                 java.lang.Math.random(),
  141.                 idiosyncraticMap
  142.             );
  143.         }
  144.         catch (java.lang.Exception e)
  145.         {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     /**
  153.      * Construct the Instance of StressEventIndicator where the Systemic Indicator is Custom
  154.      * 
  155.      * @param idiosyncraticEventSet The Set of Idiosyncratic Events
  156.      * @param systemicEventIndicator Systemic Event Indicator
  157.      * 
  158.      * @return Instance of StressEventIndicator where the Systemic Indicator is Custom
  159.      */

  161.     public static final StressEventIndicator CustomSystemic (
  162.         final java.util.Set<java.lang.String> idiosyncraticEventSet,
  163.         final double systemicEventIndicator)
  164.     {
  165.         java.util.Map<java.lang.String, java.lang.Double> idiosyncraticMap = null;

  167.         if (null != idiosyncraticEventSet && 0 != idiosyncraticEventSet.size())
  168.         {
  169.             idiosyncraticMap = new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  171.             for (java.lang.String event : idiosyncraticEventSet)
  172.             {
  173.                 idiosyncraticMap.put (
  174.                     event,
  175.                     java.lang.Math.random()
  176.                 );
  177.             }
  178.         }

  180.         try
  181.         {
  182.             return new StressEventIndicator (
  183.                 systemicEventIndicator,
  184.                 idiosyncraticMap
  185.             );
  186.         }
  187.         catch (java.lang.Exception e)
  188.         {
  189.             e.printStackTrace();
  190.         }

  192.         return null;
  193.     }

  195.     /**
  196.      * StressEventIndicator Constructor
  197.      * 
  198.      * @param systemic Systemic Random Event Indicator
  199.      * @param idiosyncraticMap Idiosyncratic Random Event Indicator Map
  200.      * 
  201.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  202.      */

  204.     public StressEventIndicator (
  205.         final double systemic,
  206.         final java.util.Map<java.lang.String, java.lang.Double> idiosyncraticMap)
  207.         throws java.lang.Exception
  208.     {
  209.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  210.                 _systemic = systemic
  211.             ) || 0. > _systemic || 1. < _systemic
  212.         )
  213.         {
  214.             throw new java.lang.Exception (
  215.                 "StressEventIndicator Constructor => Invalid Inputs"
  216.             );
  217.         }

  219.         _idiosyncraticMap = idiosyncraticMap;
  220.     }

  222.     /**
  223.      * Retrieve the Systemic Random Event Indicator
  224.      * 
  225.      * @return The Systemic Random Event Indicator
  226.      */

  228.     public double systemic()
  229.     {
  230.         return _systemic;
  231.     }

  233.     /**
  234.      * Retrieve the Idiosyncratic Random Event Indicator Map
  235.      * 
  236.      * @return The Idiosyncratic Random Event Indicator Map
  237.      */

  239.     public java.util.Map<java.lang.String, java.lang.Double> idiosyncraticMap()
  240.     {
  241.         return _idiosyncraticMap;
  242.     }

  244.     /**
  245.      * Indicate if the Idiosyncratic Named Event contains a Random Entry
  246.      * 
  247.      * @param eventName The Idiosyncratic Event
  248.      * 
  249.      * @return TRUE - The Idiosyncratic Named Event contains a Random Entry
  250.      */

  252.     public boolean containsIdiosyncratic (
  253.         final java.lang.String eventName)
  254.     {
  255.         return null != eventName && !eventName.isEmpty() &&
  256.             null != _idiosyncraticMap && _idiosyncraticMap.containsKey (
  257.                 eventName
  258.             );
  259.     }

  261.     /**
  262.      * Retrieve the Entry corresponding to the Idiosyncratic Named Event
  263.      * 
  264.      * @param eventName The Idiosyncratic Event
  265.      * 
  266.      * @return The Entry corresponding to the Idiosyncratic Named Event
  267.      * 
  268.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  269.      */

  271.     public double idiosyncratic (
  272.         final java.lang.String eventName)
  273.         throws java.lang.Exception
  274.     {
  275.         if (!containsIdiosyncratic (
  276.             eventName
  277.         ))
  278.         {
  279.             throw new java.lang.Exception (
  280.                 "StressEventIndicator::idiosyncratic => Invalid Input"
  281.             );
  282.         }

  284.         return _idiosyncraticMap.get (
  285.             eventName
  286.         );
  287.     }
  288. }
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