EventProbabilityContainer.java

  1. package org.drip.capital.stress;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  *
  9.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  10.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  11.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  12.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  13.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  14.  *      and computational support.
  15.  *  
  16.  *      https://lakshmidrip.github.io/DROP/
  17.  *  
  18.  *  DROP is composed of three modules:
  19.  *  
  20.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  21.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  22.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  23.  *
  24.  *  DROP Product Core implements libraries for the following:
  25.  *  - Fixed Income Analytics
  26.  *  - Loan Analytics
  27.  *  - Transaction Cost Analytics
  28.  *
  29.  *  DROP Portfolio Core implements libraries for the following:
  30.  *  - Asset Allocation Analytics
  31.  *  - Asset Liability Management Analytics
  32.  *  - Capital Estimation Analytics
  33.  *  - Exposure Analytics
  34.  *  - Margin Analytics
  35.  *  - XVA Analytics
  36.  *
  37.  *  DROP Computational Core implements libraries for the following:
  38.  *  - Algorithm Support
  39.  *  - Computation Support
  40.  *  - Function Analysis
  41.  *  - Model Validation
  42.  *  - Numerical Analysis
  43.  *  - Numerical Optimizer
  44.  *  - Spline Builder
  45.  *  - Statistical Learning
  46.  *
  47.  *  Documentation for DROP is Spread Over:
  48.  *
  49.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  50.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  51.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  52.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  53.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  54.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  55.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  56.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  57.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  58.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  59.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  60.  *
  61.  *  Licensed under the Apache License, Version 2.0 (the "License");
  62.  *      you may not use this file except in compliance with the License.
  63.  *  
  64.  *  You may obtain a copy of the License at
  65.  *      http://www.apache.org/licenses/LICENSE-2.0
  66.  *  
  67.  *  Unless required by applicable law or agreed to in writing, software
  68.  *      distributed under the License is distributed on an "AS IS" BASIS,
  69.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  70.  *  
  71.  *  See the License for the specific language governing permissions and
  72.  *      limitations under the License.
  73.  */

  74. /**
  75.  * <i>EventProbabilityContainer</i> contains the Map of the Named Stress Event Probabilities. The References
  76.  *  are:
  77.  *
  78.  * <br><br>
  79.  *  <ul>
  80.  *      <li>
  81.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  82.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  83.  *      </li>
  84.  *      <li>
  85.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  89.  *      </li>
  90.  *  </ul>
  91.  *
  92.  *  <br><br>
  93.  *  <ul>
  94.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  95.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  96.  *      <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>
  97.  *      <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>
  98.  *  </ul>
  99.  *
  100.  * @author Lakshmi Krishnamurthy
  101.  */

  102. public class EventProbabilityContainer
  103. {
  104.     private java.util.Map<java.lang.String, java.lang.Double> _map = null;

  105.     /**
  106.      * Empty EventProbabilityContainer
  107.      */

  108.     public EventProbabilityContainer()
  109.     {
  110.     }

  111.     /**
  112.      * Add the Stress Event
  113.      *
  114.      * @param event The Stress Event
  115.      *
  116.      * @return TRUE - The Stress Event successfully added
  117.      */

  118.     public boolean addEvent (
  119.         final org.drip.capital.stress.Event event)
  120.     {
  121.         if (null == event)
  122.         {
  123.             return false;
  124.         }

  125.         if (null == _map)
  126.         {
  127.             _map = new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
  128.         }

  129.         org.drip.capital.stress.EventSpecification stressEventSpecification = event.specification();

  130.         _map.put (
  131.             stressEventSpecification.name(),
  132.             stressEventSpecification.probability()
  133.         );

  134.         return true;
  135.     }

  136.     /**
  137.      * Realize the Event Set in accordance with the Random Event Indicator Map
  138.      *
  139.      * @param eventIndicatorMap The Event Indicator Map
  140.      *
  141.      * @return The Realized Event Set
  142.      */

  143.     public java.util.Set<java.lang.String> realizeEventSet (
  144.         final java.util.Map<java.lang.String, java.lang.Double> eventIndicatorMap)
  145.     {
  146.         if (null == eventIndicatorMap || 0 == eventIndicatorMap.size())
  147.         {
  148.             return null;
  149.         }

  150.         java.util.Set<java.lang.String> eventSet = new java.util.HashSet<java.lang.String>();

  151.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> eventMapEntry : _map.entrySet())
  152.         {
  153.             java.lang.String eventName = eventMapEntry.getKey();

  154.             if (eventIndicatorMap.containsKey (
  155.                     eventName
  156.                 ) && eventMapEntry.getValue() > eventIndicatorMap.get (
  157.                     eventName
  158.                 )
  159.             )
  160.             {
  161.                 eventSet.add (
  162.                     eventName
  163.                 );
  164.             }
  165.         }

  166.         return eventSet;
  167.     }

  168.     /**
  169.      * Retrieve the Probability Event Map
  170.      *
  171.      * @return The Probability Event Map
  172.      */

  173.     public java.util.Map<java.lang.String, java.lang.Double> map()
  174.     {
  175.         return _map;
  176.     }
  177. }