Event.java
package org.drip.capital.stress;
/*
* -*- 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>Event</i> holds the Coordinate-Level Parameterization of a Stress Event. 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/stress/README.md">Economic Risk Capital Stress Event Settings</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class Event
{
private org.drip.capital.stress.PnLSeries _aggregatePnLSeries = null;
private org.drip.capital.stress.EventSpecification _specification = null;
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _attachedEventPnLSeries =
null;
private java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> _pnlSeriesDecompositionMap =
null;
/**
* Event Constructor
*
* @param specification Stress Event Specification
* @param aggregatePnLSeries Event Aggregate PnL Series
* @param pnlSeriesDecompositionMap PnL Series Decomposition Map
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public Event (
final org.drip.capital.stress.EventSpecification specification,
final org.drip.capital.stress.PnLSeries aggregatePnLSeries,
final java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> pnlSeriesDecompositionMap)
throws java.lang.Exception
{
if (null == (_specification = specification) ||
null == (_aggregatePnLSeries = aggregatePnLSeries))
{
throw new java.lang.Exception (
"Event Constructor => Invalid inputs"
);
}
_pnlSeriesDecompositionMap = pnlSeriesDecompositionMap;
}
/**
* Retrieve the Stress Event Specification
*
* @return Stress Event Specification
*/
public org.drip.capital.stress.EventSpecification specification()
{
return _specification;
}
/**
* Retrieve the Event Aggregate PnL Series
*
* @return The Event Aggregate PnL Series
*/
public org.drip.capital.stress.PnLSeries aggregatePnLSeries()
{
return _aggregatePnLSeries;
}
/**
* Retrieve the Attached Event PnL Series Map
*
* @return The Attached Event PnL Series Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> attachedEventPnLSeries()
{
return _attachedEventPnLSeries;
}
/**
* Retrieve the PnL Series Decomposition Map
*
* @return The PnL Series Decomposition Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> pnlSeriesDecompositionMap()
{
return _pnlSeriesDecompositionMap;
}
/**
* Attach the Specified Stress Event PnL
*
* @param stressEventName The Stress Event Name
* @param stressEventPnL The Stress Event PnL
*
* @return TRUE - The Stress Event PnL successfully attached
*/
public boolean attachStressEventPnL (
final java.lang.String stressEventName,
final org.drip.capital.stress.PnLSeries stressEventPnL)
{
if (null == stressEventName || stressEventName.isEmpty() ||
null == stressEventPnL)
{
return false;
}
if (null == _attachedEventPnLSeries)
{
_attachedEventPnLSeries = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.PnLSeries>();
}
_attachedEventPnLSeries.put (
stressEventName,
stressEventPnL
);
return true;
}
/**
* Indicate if the Named Attached Event is available
*
* @param attachedEventName The Attached Event Name
*
* @return TRUE - The Attached Event is available
*/
public boolean containsAttachedEvent (
final java.lang.String attachedEventName)
{
return null != attachedEventName && !attachedEventName.isEmpty() &&
_attachedEventPnLSeries.containsKey (
attachedEventName
);
}
/**
* Retrieve the Specified Attached Event PnL
*
* @param attachedEventName Attached Event Name
*
* @return Attached Event PnL
*/
public org.drip.capital.stress.PnLSeries attachedEventPnL (
final java.lang.String attachedEventName)
{
return !containsAttachedEvent (
attachedEventName
) ? null : _attachedEventPnLSeries.get (
attachedEventName
);
}
/**
* Generate the PnL Decomposition Map
*
* @param scaler PnL Scaler
*
* @return PnL Decomposition Map
*/
public java.util.Map<java.lang.String, java.lang.Double> generatePnLDecompositionMap (
final double scaler)
{
if (null == _pnlSeriesDecompositionMap ||
!org.drip.numerical.common.NumberUtil.IsValid (
scaler
)
)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> pnlDecompositionMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries>
pnlSeriesDecompositionEntry : _pnlSeriesDecompositionMap.entrySet())
{
pnlDecompositionMap.put (
pnlSeriesDecompositionEntry.getKey(),
scaler * pnlSeriesDecompositionEntry.getValue().composite()
);
}
return pnlDecompositionMap;
}
/**
* Generate a Stress Event Incidence of a given Type
*
* @param stressEventType The Stress Event Type
*
* @return The Generated Stress Event Incidence
*/
public org.drip.capital.simulation.StressEventIncidence generateIncidence (
final java.lang.String stressEventType)
{
try
{
return new org.drip.capital.simulation.StressEventIncidence (
_specification.name(),
stressEventType,
_aggregatePnLSeries.composite(),
generatePnLDecompositionMap (
1.
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate a Stress Event Ensemble of a given Type
*
* @param parentStressEventType The Parent Stress Event Type
* @param childStressEventType The Child Stress Event Type
*
* @return The Generated Stress Event Ensemble
*/
public org.drip.capital.simulation.StressEventIncidenceEnsemble generateEnsemble (
final java.lang.String parentStressEventType,
final java.lang.String childStressEventType)
{
org.drip.capital.simulation.StressEventIncidenceEnsemble stressEventIncidenceEnsemble = new
org.drip.capital.simulation.StressEventIncidenceEnsemble();
try
{
if (!stressEventIncidenceEnsemble.addStressEventIncidence (
new org.drip.capital.simulation.StressEventIncidence (
_specification.name(),
parentStressEventType,
_aggregatePnLSeries.composite(),
generatePnLDecompositionMap (
1.
)
)
))
{
return null;
}
if (null != _attachedEventPnLSeries && 0 != _attachedEventPnLSeries.size())
{
for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries>
attachedEventPnLSeriesEntry : _attachedEventPnLSeries.entrySet())
{
if (!stressEventIncidenceEnsemble.addStressEventIncidence (
new org.drip.capital.simulation.StressEventIncidence (
attachedEventPnLSeriesEntry.getKey(),
childStressEventType,
attachedEventPnLSeriesEntry.getValue().composite(),
null
)
))
{
return null;
}
}
}
return stressEventIncidenceEnsemble;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}