SystemicEventContainer.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>SystemicEventContainer</i> contains the Scenario Stress Events' Specifications of the Systemic Stress
  79.  *  Scenario Event Type that belong inside of a single Coordinate. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
  85.  *              Results and Practice https://www.bis.org/publ/cgfs24.htm
  86.  *      </li>
  87.  *      <li>
  88.  *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
  92.  *      </li>
  93.  *  </ul>
  94.  *
  95.  *  <br><br>
  96.  *  <ul>
  97.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  98.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  99.  *      <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>
  100.  *      <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>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class SystemicEventContainer
  107. {
  108.     private org.drip.capital.stress.EventProbabilityLadder _eventProbabilityLadder =
  109.         new org.drip.capital.stress.EventProbabilityLadder();

  111.     private java.util.Map<java.lang.String, org.drip.capital.stress.Event> _eventMap =
  112.         new org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.capital.stress.Event>();

  114.     /**
  115.      * Empty SystemicEventContainer Constructor
  116.      */

  118.     public SystemicEventContainer()
  119.     {
  120.     }

  122.     /**
  123.      * Retrieve the Stress Event Type
  124.      * 
  125.      * @return The Stress Event Type
  126.      */

  128.     public java.lang.String eventType()
  129.     {
  130.         return org.drip.capital.definition.StressScenarioType.SYSTEMIC;
  131.     }

  133.     /**
  134.      * Add the Specified Stress Event
  135.      * 
  136.      * @param event The Stress Event
  137.      * 
  138.      * @return TRUE - The Stress Event successfully added
  139.      */

  141.     public boolean addEvent (
  142.         final org.drip.capital.stress.Event event)
  143.     {
  144.         if (null == event)
  145.         {
  146.             return false;
  147.         }

  149.         _eventMap.put (
  150.             event.specification().name(),
  151.             event
  152.         );

  154.         return _eventProbabilityLadder.addEvent (
  155.             event
  156.         );
  157.     }

  159.     /**
  160.      * Check if the Stress Event Exists
  161.      * 
  162.      * @param eventName The Stress Event Name
  163.      * 
  164.      * @return TRUE - The Stress Event exists
  165.      */

  167.     public boolean containsEvent (
  168.         final java.lang.String eventName)
  169.     {
  170.         return null != eventName && !eventName.isEmpty() && _eventMap.containsKey (
  171.             eventName
  172.         );
  173.     }

  175.     /**
  176.      * Retrieve the Stress Event
  177.      * 
  178.      * @param eventName The Stress Event Name
  179.      * 
  180.      * @return The Stress Event
  181.      */

  183.     public org.drip.capital.stress.Event event (
  184.         final java.lang.String eventName)
  185.     {
  186.         return containsEvent (
  187.             eventName
  188.         ) ? _eventMap.get (
  189.             eventName
  190.         ) : null;
  191.     }

  193.     /**
  194.      * Retrieve the Stress Event Set
  195.      * 
  196.      * @return The Stress Event Set
  197.      */

  199.     public java.util.Set<java.lang.String> eventSet()
  200.     {
  201.         return _eventMap.keySet();
  202.     }

  204.     /**
  205.      * Realize a Stress Event Incidence Ensemble
  206.      * 
  207.      * @param stressPnLScaler The Stress PnL Scaler
  208.      * @param randomEventIndicator Random Stress Event Indicator
  209.      * 
  210.      * @return Realized Stress Event Incidence Ensemble
  211.      */

  213.     public org.drip.capital.simulation.StressEventIncidenceEnsemble realizeIncidenceEnsemble (
  214.         final double stressPnLScaler,
  215.         final double randomEventIndicator)
  216.     {
  217.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  218.             stressPnLScaler
  219.         ))
  220.         {
  221.             return null;
  222.         }

  224.         java.lang.String gsstEventName = _eventProbabilityLadder.realizeEvent (
  225.             randomEventIndicator
  226.         );

  228.         if (org.drip.capital.stress.EventProbabilityLadder.NO_REALIZATION.equalsIgnoreCase (
  229.             gsstEventName
  230.         ))
  231.         {
  232.             return null;
  233.         }

  235.         org.drip.capital.simulation.StressEventIncidenceEnsemble stressEventIncidenceEnsemble = new
  236.             org.drip.capital.simulation.StressEventIncidenceEnsemble();

  238.         org.drip.capital.stress.Event event = _eventMap.get (
  239.             gsstEventName
  240.         );

  242.         try
  243.         {
  244.             if (!stressEventIncidenceEnsemble.addStressEventIncidence (
  245.                 new org.drip.capital.simulation.StressEventIncidence (
  246.                     gsstEventName,
  247.                     org.drip.capital.definition.StressScenarioType.SYSTEMIC,
  248.                     stressPnLScaler * event.aggregatePnLSeries().composite(),
  249.                     event.generatePnLDecompositionMap (
  250.                         stressPnLScaler
  251.                     )
  252.                 )
  253.             ))
  254.             {
  255.                 return null;
  256.             }
  257.         }
  258.         catch (java.lang.Exception e)
  259.         {
  260.             e.printStackTrace();

  262.             return null;
  263.         }

  265.         java.util.Map<java.lang.String, org.drip.capital.stress.PnLSeries> attachedEventPnLMap =
  266.             event.attachedEventPnLSeries();

  268.         if (null == attachedEventPnLMap || 0 == attachedEventPnLMap.size())
  269.         {
  270.             return stressEventIncidenceEnsemble;
  271.         }

  273.         for (java.util.Map.Entry<java.lang.String, org.drip.capital.stress.PnLSeries> attachedEventPnLEntry
  274.             : attachedEventPnLMap.entrySet())
  275.         {
  276.             try
  277.             {
  278.                 if (!stressEventIncidenceEnsemble.addStressEventIncidence (
  279.                     new org.drip.capital.simulation.StressEventIncidence (
  280.                         gsstEventName + "::" + attachedEventPnLEntry.getKey(),
  281.                         org.drip.capital.definition.StressScenarioType.CORRELATED,
  282.                         stressPnLScaler * attachedEventPnLEntry.getValue().composite(),
  283.                         null
  284.                     )
  285.                 ))
  286.                 {
  287.                     return null;
  288.                 }
  289.             }
  290.             catch (java.lang.Exception e)
  291.             {
  292.                 e.printStackTrace();

  294.                 return null;
  295.             }
  296.         }

  298.         return stressEventIncidenceEnsemble;
  299.     }

  301.     /**
  302.      * Retrieve the Stress Event Map
  303.      * 
  304.      * @return The Stress Event Map
  305.      */

  307.     public java.util.Map<java.lang.String, org.drip.capital.stress.Event> eventMap()
  308.     {
  309.         return _eventMap;
  310.     }

  312.     /**
  313.      * Retrieve the Scenario Probability Event Ladder
  314.      * 
  315.      * @return The Scenario Probability Event Ladder
  316.      */

  318.     public org.drip.capital.stress.EventProbabilityLadder eventProbabilityLadder()
  319.     {
  320.         return _eventProbabilityLadder;
  321.     }
  322. }
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