EventSpecification.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>EventSpecification</i> contains the Name of a Stress Event and its Probability. 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 EventSpecification
  106. {
  107.     private java.lang.String _name = "";
  108.     private double _probability = java.lang.Double.NaN;

  110.     /**
  111.      * Construct the 2008 Baseline Version of the Systemic Stress Event Specification
  112.      * 
  113.      * @return The 2008 Baseline Version of Systemic Stress Event Specification
  114.      */

  116.     public static final EventSpecification Systemic2008Baseline()
  117.     {
  118.         try
  119.         {
  120.             return new EventSpecification (
  121.                 org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_2008,
  122.                 0.02
  123.             );
  124.         }
  125.         catch (java.lang.Exception e)
  126.         {
  127.             e.printStackTrace();
  128.         }

  130.         return null;
  131.     }

  133.     /**
  134.      * Construct the 1974 Baseline Version of the Systemic Stress Event Specification
  135.      * 
  136.      * @return The 1974 Baseline Version of Systemic Stress Event Specification
  137.      */

  139.     public static final EventSpecification Systemic1974Baseline()
  140.     {
  141.         try
  142.         {
  143.             return new EventSpecification (
  144.                 org.drip.capital.definition.SystemicScenarioDefinition.BASELINE_1974,
  145.                 0.02
  146.             );
  147.         }
  148.         catch (java.lang.Exception e)
  149.         {
  150.             e.printStackTrace();
  151.         }

  153.         return null;
  154.     }

  156.     /**
  157.      * Construct the Deep Down-turn Version of the Systemic Stress Event Specification
  158.      * 
  159.      * @return The Deep Down-turn Version of Systemic Stress Event Specification
  160.      */

  162.     public static final EventSpecification SystemicDeepDownturn()
  163.     {
  164.         try
  165.         {
  166.             return new EventSpecification (
  167.                 org.drip.capital.definition.SystemicScenarioDefinition.DEEP_DOWNTURN,
  168.                 0.02
  169.             );
  170.         }
  171.         catch (java.lang.Exception e)
  172.         {
  173.             e.printStackTrace();
  174.         }

  176.         return null;
  177.     }

  179.     /**
  180.      * Construct the Dollar Decline Version of the Systemic Stress Event Specification
  181.      * 
  182.      * @return The Dollar Decline Version of Systemic Stress Event Specification
  183.      */

  185.     public static final EventSpecification SystemicDollarDecline()
  186.     {
  187.         try
  188.         {
  189.             return new EventSpecification (
  190.                 org.drip.capital.definition.SystemicScenarioDefinition.DOLLAR_DECLINE,
  191.                 0.02
  192.             );
  193.         }
  194.         catch (java.lang.Exception e)
  195.         {
  196.             e.printStackTrace();
  197.         }

  199.         return null;
  200.     }

  202.     /**
  203.      * Construct the Interest Rate Shock Version of the Systemic Stress Event Specification
  204.      * 
  205.      * @return The Interest Rate Shock Version of Systemic Stress Event Specification
  206.      */

  208.     public static final EventSpecification SystemicInterestRateShock()
  209.     {
  210.         try
  211.         {
  212.             return new EventSpecification (
  213.                 org.drip.capital.definition.SystemicScenarioDefinition.INTEREST_RATE_SHOCK,
  214.                 0.02
  215.             );
  216.         }
  217.         catch (java.lang.Exception e)
  218.         {
  219.             e.printStackTrace();
  220.         }

  222.         return null;
  223.     }

  225.     /**
  226.      * Construct the Lost Decade Version of the Systemic Stress Event Specification
  227.      * 
  228.      * @return The Lost Decade Version of Systemic Stress Event Specification
  229.      */

  231.     public static final EventSpecification SystemicLostDecade()
  232.     {
  233.         try
  234.         {
  235.             return new EventSpecification (
  236.                 org.drip.capital.definition.SystemicScenarioDefinition.LOST_DECADE,
  237.                 0.02
  238.             );
  239.         }
  240.         catch (java.lang.Exception e)
  241.         {
  242.             e.printStackTrace();
  243.         }

  245.         return null;
  246.     }

  248.     /**
  249.      * EventSpecification Constructor
  250.      * 
  251.      * @param name The Stress Event Name
  252.      * @param probability The Stress Event Probability
  253.      * 
  254.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  255.      */

  257.     public EventSpecification (
  258.         final java.lang.String name,
  259.         final double probability)
  260.         throws java.lang.Exception
  261.     {
  262.         if (null == (_name = name) || _name.isEmpty() ||
  263.             !org.drip.numerical.common.NumberUtil.IsValid (
  264.                 _probability = probability
  265.             ) || 0. > _probability || 1. < _probability)
  266.         {
  267.             throw new java.lang.Exception (
  268.                 "EventSpecification Constructor => Invalid Inputs"
  269.             );
  270.         }
  271.     }

  273.     /**
  274.      * Retrieve the Name of the Stress Event
  275.      * 
  276.      * @return Name of the Stress Event
  277.      */

  279.     public java.lang.String name()
  280.     {
  281.         return _name;
  282.     }

  284.     /**
  285.      * Retrieve the Probability of the Stress Event
  286.      * 
  287.      * @return Probability of the Stress Event
  288.      */

  290.     public double probability()
  291.     {
  292.         return _probability;
  293.     }
  294. }
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