EventProbabilityLadder.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>EventProbabilityLadder</i> contains the Probabilities and their corresponding Event Steps in a Ladder
 *  Progression. 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 EventProbabilityLadder
{

    /**
     * Designation for "No Realization"
     */

    public static final java.lang.String NO_REALIZATION = "";

    private double _highWaterMark = 0.;
    private java.util.Map<java.lang.Double, java.lang.String> _stepMap = null;

    /**
     * Empty EventProbabilityLadder Constructor
     */

    public EventProbabilityLadder()
    {
    }

    /**
     * Retrieve the Probability Event Step Map
     * 
     * @return The Probability Event Step Map
     */

    public java.util.Map<java.lang.Double, java.lang.String> stepMap()
    {
        return _stepMap;
    }

    /**
     * Add the Specified Stress Event
     * 
     * @param event The Stress Event
     * 
     * @return TRUE - The Stress Event successfully added
     */

    public boolean addEvent (
        final org.drip.capital.stress.Event event)
    {
        if (null == event)
        {
            return false;
        }

        if (null == _stepMap)
        {
            _stepMap = new java.util.TreeMap<java.lang.Double, java.lang.String>();
        }

        if (1. < (_highWaterMark = _highWaterMark + event.specification().probability()))
        {
            return false;
        }

        _stepMap.put (
            _highWaterMark,
            event.specification().name()
        );

        return true;
    }

    /**
     * Realize the Event in accordance with the Indicator
     * 
     * @param eventIndicator The Event Indicator
     * 
     * @return The Realized Event
     */

    public java.lang.String realizeEvent (
        final double eventIndicator)
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (
            eventIndicator
        ))
        {
            return NO_REALIZATION;
        }

        for (java.util.Map.Entry<java.lang.Double, java.lang.String> eventStepEntry : _stepMap.entrySet())
        {
            if (eventStepEntry.getKey() > eventIndicator)
            {
                return eventStepEntry.getValue();
            }
        }

        return NO_REALIZATION;
    }
}