Event.java

  1. package org.drip.capital.stress;

  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>Event</i> holds the Coordinate-Level Parameterization of a Stress Event. The References are:
  79.  * 
  80.  * <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  84.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  85.  *      </li>
  86.  *      <li>
  87.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  91.  *      </li>
  92.  *  </ul>
  93.  *
  94.  *  <br><br>
  95.  *  <ul>
  96.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  97.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  98.  *      <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>
  99.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/stress/README.md">Economic Risk Capital Stress Event Settings</a></li>
  100.  *  </ul>
  101.  * 
  102.  * @author Lakshmi Krishnamurthy
  103.  */

  105. public class Event
  106. {
  107.     private org.drip.capital.stress.PnLSeries _aggregatePnLSeries = null;
  108.     private org.drip.capital.stress.EventSpecification _specification = null;
  109.     private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _attachedEventPnLSeries =
  110.         null;
  111.     private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _pnlSeriesDecompositionMap =
  112.         null;

  114.     /**
  115.      * Event Constructor
  116.      * 
  117.      * @param specification Stress Event Specification
  118.      * @param aggregatePnLSeries Event Aggregate PnL Series
  119.      * @param pnlSeriesDecompositionMap PnL Series Decomposition Map
  120.      * 
  121.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  122.      */

  124.     public Event (
  125.         final org.drip.capital.stress.EventSpecification specification,
  126.         final org.drip.capital.stress.PnLSeries aggregatePnLSeries,
  127.         final java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> pnlSeriesDecompositionMap)
  128.         throws java.lang.Exception
  129.     {
  130.         if (null == (_specification = specification) ||
  131.             null == (_aggregatePnLSeries = aggregatePnLSeries))
  132.         {
  133.             throw new java.lang.Exception (
  134.                 "Event Constructor => Invalid inputs"
  135.             );
  136.         }

  138.         _pnlSeriesDecompositionMap = pnlSeriesDecompositionMap;
  139.     }

  141.     /**
  142.      * Retrieve the Stress Event Specification
  143.      * 
  144.      * @return Stress Event Specification
  145.      */

  147.     public org.drip.capital.stress.EventSpecification specification()
  148.     {
  149.         return _specification;
  150.     }

  152.     /**
  153.      * Retrieve the Event Aggregate PnL Series
  154.      * 
  155.      * @return The Event Aggregate PnL Series
  156.      */

  158.     public org.drip.capital.stress.PnLSeries aggregatePnLSeries()
  159.     {
  160.         return _aggregatePnLSeries;
  161.     }

  163.     /**
  164.      * Retrieve the Attached Event PnL Series Map
  165.      * 
  166.      * @return The Attached Event PnL Series Map
  167.      */

  169.     public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> attachedEventPnLSeries()
  170.     {
  171.         return _attachedEventPnLSeries;
  172.     }

  174.     /**
  175.      * Retrieve the PnL Series Decomposition Map
  176.      * 
  177.      * @return The PnL Series Decomposition Map
  178.      */

  180.     public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> pnlSeriesDecompositionMap()
  181.     {
  182.         return _pnlSeriesDecompositionMap;
  183.     }

  185.     /**
  186.      * Attach the Specified Stress Event PnL
  187.      * 
  188.      * @param stressEventName The Stress Event Name
  189.      * @param stressEventPnL The Stress Event PnL
  190.      * 
  191.      * @return TRUE - The Stress Event PnL successfully attached
  192.      */

  194.     public boolean attachStressEventPnL (
  195.         final java.lang.String stressEventName,
  196.         final org.drip.capital.stress.PnLSeries stressEventPnL)
  197.     {
  198.         if (null == stressEventName || stressEventName.isEmpty() ||
  199.             null == stressEventPnL)
  200.         {
  201.             return false;
  202.         }

  204.         if (null == _attachedEventPnLSeries)
  205.         {
  206.             _attachedEventPnLSeries = new
  207.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
  208.         }

  210.         _attachedEventPnLSeries.put (
  211.             stressEventName,
  212.             stressEventPnL
  213.         );

  215.         return true;
  216.     }

  218.     /**
  219.      * Indicate if the Named Attached Event is available
  220.      * 
  221.      * @param attachedEventName The Attached Event Name
  222.      *
  223.      * @return TRUE - The Attached Event is available
  224.      */

  226.     public boolean containsAttachedEvent (
  227.         final java.lang.String attachedEventName)
  228.     {
  229.         return null != attachedEventName && !attachedEventName.isEmpty() &&
  230.             _attachedEventPnLSeries.containsKey (
  231.                 attachedEventName
  232.             );
  233.     }

  235.     /**
  236.      * Retrieve the Specified Attached Event PnL
  237.      * 
  238.      * @param attachedEventName Attached Event Name
  239.      * 
  240.      * @return Attached Event PnL
  241.      */

  243.     public org.drip.capital.stress.PnLSeries attachedEventPnL (
  244.         final java.lang.String attachedEventName)
  245.     {
  246.         return !containsAttachedEvent (
  247.             attachedEventName
  248.         ) ? null : _attachedEventPnLSeries.get (
  249.             attachedEventName
  250.         );
  251.     }

  253.     /**
  254.      * Generate the PnL Decomposition Map
  255.      * 
  256.      * @param scaler PnL Scaler
  257.      * 
  258.      * @return PnL Decomposition Map
  259.      */

  261.     public java.util.Map<java.lang.String, java.lang.Double> generatePnLDecompositionMap (
  262.         final double scaler)
  263.     {
  264.         if (null == _pnlSeriesDecompositionMap ||
  265.             !org.drip.numerical.common.NumberUtil.IsValid (
  266.                 scaler
  267.             )
  268.         )
  269.         {
  270.             return null;
  271.         }

  273.         java.util.Map<java.lang.String, java.lang.Double> pnlDecompositionMap =
  274.             new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  276.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries>
  277.             pnlSeriesDecompositionEntry : _pnlSeriesDecompositionMap.entrySet())
  278.         {
  279.             pnlDecompositionMap.put (
  280.                 pnlSeriesDecompositionEntry.getKey(),
  281.                 scaler * pnlSeriesDecompositionEntry.getValue().composite()
  282.             );
  283.         }

  285.         return pnlDecompositionMap;
  286.     }

  288.     /**
  289.      * Generate a Stress Event Incidence of a given Type
  290.      * 
  291.      * @param stressEventType The Stress Event Type
  292.      * 
  293.      * @return The Generated Stress Event Incidence
  294.      */

  296.     public org.drip.capital.simulation.StressEventIncidence generateIncidence (
  297.         final java.lang.String stressEventType)
  298.     {
  299.         try
  300.         {
  301.             return new org.drip.capital.simulation.StressEventIncidence (
  302.                 _specification.name(),
  303.                 stressEventType,
  304.                 _aggregatePnLSeries.composite(),
  305.                 generatePnLDecompositionMap (
  306.                     1.
  307.                 )
  308.             );
  309.         }
  310.         catch (java.lang.Exception e)
  311.         {
  312.             e.printStackTrace();
  313.         }

  315.         return null;
  316.     }

  318.     /**
  319.      * Generate a Stress Event Ensemble of a given Type
  320.      * 
  321.      * @param parentStressEventType The Parent Stress Event Type
  322.      * @param childStressEventType The Child Stress Event Type
  323.      * 
  324.      * @return The Generated Stress Event Ensemble
  325.      */

  327.     public org.drip.capital.simulation.StressEventIncidenceEnsemble generateEnsemble (
  328.         final java.lang.String parentStressEventType,
  329.         final java.lang.String childStressEventType)
  330.     {
  331.         org.drip.capital.simulation.StressEventIncidenceEnsemble stressEventIncidenceEnsemble = new
  332.             org.drip.capital.simulation.StressEventIncidenceEnsemble();

  334.         try
  335.         {
  336.             if (!stressEventIncidenceEnsemble.addStressEventIncidence (
  337.                 new org.drip.capital.simulation.StressEventIncidence (
  338.                     _specification.name(),
  339.                     parentStressEventType,
  340.                     _aggregatePnLSeries.composite(),
  341.                     generatePnLDecompositionMap (
  342.                         1.
  343.                     )
  344.                 )
  345.             ))
  346.             {
  347.                 return null;
  348.             }

  350.             if (null != _attachedEventPnLSeries && 0 != _attachedEventPnLSeries.size())
  351.             {
  352.                 for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries>
  353.                     attachedEventPnLSeriesEntry : _attachedEventPnLSeries.entrySet())
  354.                 {
  355.                     if (!stressEventIncidenceEnsemble.addStressEventIncidence (
  356.                         new org.drip.capital.simulation.StressEventIncidence (
  357.                             attachedEventPnLSeriesEntry.getKey(),
  358.                             childStressEventType,
  359.                             attachedEventPnLSeriesEntry.getValue().composite(),
  360.                             null
  361.                         )
  362.                     ))
  363.                     {
  364.                         return null;
  365.                     }
  366.                 }
  367.             }

  369.             return stressEventIncidenceEnsemble;
  370.         }
  371.         catch (java.lang.Exception e)
  372.         {
  373.             e.printStackTrace();
  374.         }

  376.         return null;
  377.     }
  378. }
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