IdiosyncraticEventContainer.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>IdiosyncraticEventContainer</i> contains the Scenario Stress Events' Specifications of the
* Idiosyncratic Stress Scenario Event Type that belong inside of a single Coordinate. 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 IdiosyncraticEventContainer
{
private org.drip.capital.stress.EventProbabilityContainer _eventProbabilityContainer =
new org.drip.capital.stress.EventProbabilityContainer();
private java.util.Map<java.lang.String, org.drip.capital.stress.Event> _eventMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.Event>();
/**
* Empty IdiosyncraticEventContainer Constructor
*/
public IdiosyncraticEventContainer()
{
}
/**
* Retrieve the Stress Event Type
*
* @return The Stress Event Type
*/
public java.lang.String eventType()
{
return org.drip.capital.definition.StressScenarioType.IDIOSYNCRATIC;
}
/**
* Add the Specified Stress Event Specification
*
* @param event The Stress Event Specification
*
* @return TRUE - The Stress Event Specification successfully added
*/
public boolean addEvent (
final org.drip.capital.stress.Event event)
{
if (null == event)
{
return false;
}
_eventMap.put (
event.specification().name(),
event
);
return _eventProbabilityContainer.addEvent (
event
);
}
/**
* Check if the Stress Event Exists
*
* @param stressEventName The Stress Event Name
*
* @return TRUE - The Stress Event exists
*/
public boolean containsEvent (
final java.lang.String stressEventName)
{
return null != stressEventName && !stressEventName.isEmpty() && _eventMap.containsKey (
stressEventName
);
}
/**
* Retrieve the Stress Event
*
* @param eventName The Stress Event Name
*
* @return The Stress Event
*/
public org.drip.capital.stress.Event event (
final java.lang.String eventName)
{
return containsEvent (
eventName
) ? _eventMap.get (
eventName
) : null;
}
/**
* Retrieve the Stress Event Set
*
* @return The Stress Event Set
*/
public java.util.Set<java.lang.String> eventSet()
{
return _eventMap.keySet();
}
/**
* Realize the Event Set in accordance with the Event Indicator Map
*
* @param stressPnLScaler The Stress PnL Scaler
* @param eventIndicatorMap The Event Indicator Map
*
* @return The Realized Event Set
*/
public org.drip.capital.simulation.StressEventIncidenceEnsemble realizeIncidenceEnsemble (
final double stressPnLScaler,
final java.util.Map<java.lang.String, java.lang.Double> eventIndicatorMap)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
stressPnLScaler
))
{
return null;
}
java.util.Set<java.lang.String> eventSet = _eventProbabilityContainer.realizeEventSet (
eventIndicatorMap
);
if (null == eventSet || 0 == eventSet.size())
{
return null;
}
org.drip.capital.simulation.StressEventIncidenceEnsemble stressEventIncidenceEnsemble = new
org.drip.capital.simulation.StressEventIncidenceEnsemble();
for (java.lang.String event : eventSet)
{
if (!_eventMap.containsKey (
event
))
{
continue;
}
try
{
if (!stressEventIncidenceEnsemble.addStressEventIncidence (
new org.drip.capital.simulation.StressEventIncidence (
event,
org.drip.capital.definition.StressScenarioType.IDIOSYNCRATIC,
stressPnLScaler * _eventMap.get (
event
).aggregatePnLSeries().composite(),
null
)
))
{
return null;
}
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
return stressEventIncidenceEnsemble;
}
/**
* Retrieve the Stress Event Specification Map
*
* @return The Stress Event Specification Map
*/
public java.util.Map<java.lang.String, org.drip.capital.stress.Event> eventMap()
{
return _eventMap;
}
/**
* Retrieve the Scenario Probability Event Container
*
* @return The Scenario Probability Event Container
*/
public org.drip.capital.stress.EventProbabilityContainer eventProbabilityContainer()
{
return _eventProbabilityContainer;
}
}