PnLSeries.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>PnLSeries</i> contains the PnL Series of a Single 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 PnLSeries
{
    private double[] _outcomeArray = null;

    /**
     * Construct a Single Outcome Event PnL
     * 
     * @param outcome The PnL Outcome
     * 
     * @return The Single Outcome Event PnL
     */

    public static final PnLSeries SingleOutcome (
        final double outcome)
    {
        try
        {
            return new PnLSeries (
                new double[]
                {
                    outcome
                }
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Construct a Single Zero Outcome Event PnL
     * 
     * @return The Single Zero Outcome Event PnL
     */

    public static final PnLSeries SingleZeroOutcome()
    {
        return SingleOutcome (
            0.
        );
    }

    /**
     * PnLSeries Constructor
     * 
     * @param outcomeArray Array of PnL Outcomes
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public PnLSeries (
        final double[] outcomeArray)
        throws java.lang.Exception
    {
        if (null == (_outcomeArray = outcomeArray) || 0 == _outcomeArray.length ||
            !org.drip.numerical.common.NumberUtil.IsValid (_outcomeArray))
        {
            throw new java.lang.Exception (
                "PnLSeries Constructor => Invalid inputs"
            );
        }
    }

    /**
     * Retrieve the Array of PnL Outcomes
     * 
     * @return Array of PnL Outcomes
     */

    public double[] outcomeArray()
    {
        return _outcomeArray;
    }

    /**
     * Retrieve the Count of PnL Outcomes
     * 
     * @return Count of PnL Outcomes
     */

    public int count()
    {
        return _outcomeArray.length;
    }

    /**
     * Retrieve the Composite of the Outcomes
     * 
     * @return Composite of the Outcomes
     */

    public double composite()
    {
        double sum = 0.;

        for (double outcome : _outcomeArray)
        {
            sum = sum + outcome;
        }

        return sum / _outcomeArray.length;
    }

    @Override public java.lang.String toString()
    {
        java.lang.String representation = "[";

        for (double outcome : _outcomeArray)
        {
            representation = representation + outcome + ",";
        }

        return representation + "]";
    }
}