CreditSpreadEvent.java

  1. package org.drip.capital.systemicscenario;

  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>CreditSpreadEvent</i> contains the Specifications of Criteria corresponding to a Credit Spread Event.
  79.  *  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/systemicscenario/README.md">Systemic Stress Scenario Design/Construction</a></li>
  101.  *  </ul>
  102.  * 
  103.  * @author Lakshmi Krishnamurthy
  104.  */

  106. public class CreditSpreadEvent
  107. {
  108.     private java.lang.String _scenario = "";
  109.     private org.drip.capital.systemicscenario.Criterion _snpGSCI = null;
  110.     private org.drip.capital.systemicscenario.Criterion _fxChange = null;
  111.     private org.drip.capital.systemicscenario.Criterion _ust5YChange = null;
  112.     private org.drip.capital.systemicscenario.Criterion _snp500Return = null;
  113.     private org.drip.capital.systemicscenario.Criterion _wtiSpotReturn = null;
  114.     private org.drip.capital.systemicscenario.Criterion _baaSpreadChange = null;
  115.     private org.drip.capital.systemicscenario.Criterion _ust10YMinus3MChange = null;
  116.     private org.drip.capital.systemicscenario.SystemicStressShockIndicator _systemicStressShockIndicator =
  117.         null;

  119.     /**
  120.      * Construct a Standard CreditSpreadEvent Instance
  121.      * 
  122.      * @param scenario Credit Spread Event Scenario
  123.      * @param baaSpreadChange Baa Spread Change in Basis Points
  124.      * @param snp500AnnualReturn SnP 500 Annual Return in Percentage
  125.      * @param ust5YAbsoluteChange UST 5Y Absolute Change in Basis Points
  126.      * @param ust10YMinus3MAbsoluteChange UST 10Y - 3M Absolute Change in Basis Points
  127.      * @param fxRateChange FX Rate Change in Percentage
  128.      * @param wtiSpotReturn WTI Spot Return in Percentage
  129.      * @param snpGSCINonEnergyCommodityIndex SnP GSCI Non-energy Commodity Index in Percentage
  130.      * @param systemicStressShockIndicator Credit Event Systemic Stress Shock Indicator
  131.      * 
  132.      * @return CreditSpreadEvent Instance
  133.      */

  135.     public static final CreditSpreadEvent Standard (
  136.         final java.lang.String scenario,
  137.         final double baaSpreadChange,
  138.         final double snp500AnnualReturn,
  139.         final double ust5YAbsoluteChange,
  140.         final double ust10YMinus3MAbsoluteChange,
  141.         final double fxRateChange,
  142.         final double wtiSpotReturn,
  143.         final double snpGSCINonEnergyCommodityIndex,
  144.         final org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator)
  145.     {
  146.         try
  147.         {
  148.             return new CreditSpreadEvent (
  149.                 scenario,
  150.                 org.drip.capital.systemicscenario.Criterion.BaaSpreadChange (
  151.                     baaSpreadChange
  152.                 ),
  153.                 org.drip.capital.systemicscenario.Criterion.SnP500AnnualReturn (
  154.                     snp500AnnualReturn
  155.                 ),
  156.                 org.drip.capital.systemicscenario.Criterion.UST5YAbsoluteChange (
  157.                     ust5YAbsoluteChange
  158.                 ),
  159.                 org.drip.capital.systemicscenario.Criterion.UST10YMinus3MAbsoluteChange (
  160.                     ust10YMinus3MAbsoluteChange
  161.                 ),
  162.                 org.drip.capital.systemicscenario.Criterion.FXRateChange (
  163.                     fxRateChange
  164.                 ),
  165.                 org.drip.capital.systemicscenario.Criterion.WTISpotReturn (
  166.                     wtiSpotReturn
  167.                 ),
  168.                 org.drip.capital.systemicscenario.Criterion.SnPGSCINonEnergyCommodityIndex (
  169.                     snpGSCINonEnergyCommodityIndex
  170.                 ),
  171.                 systemicStressShockIndicator
  172.             );
  173.         }
  174.         catch (java.lang.Exception e)
  175.         {
  176.             e.printStackTrace();
  177.         }

  179.         return null;
  180.     }

  182.     /**
  183.      * CreditSpreadEvent Constructor
  184.      * 
  185.      * @param scenario Credit Spread Event Scenario
  186.      * @param baaSpreadChange Baa Spread Change Criterion
  187.      * @param snp500Return SnP 500 Return Criterion
  188.      * @param ust5YChange 5Y UST Change Criterion
  189.      * @param ust10YMinus3MChange 10Y - 3M UST Change Criterion
  190.      * @param fxChange FX Change Criterion
  191.      * @param wtiSpotReturn WTI Spot Return Criterion
  192.      * @param snpGSCI SnP GSCI Criterion
  193.      * @param systemicStressShockIndicator Credit Event Systemic Stress Shock Indicator
  194.      * 
  195.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  196.      */

  198.     public CreditSpreadEvent (
  199.         final java.lang.String scenario,
  200.         final org.drip.capital.systemicscenario.Criterion baaSpreadChange,
  201.         final org.drip.capital.systemicscenario.Criterion snp500Return,
  202.         final org.drip.capital.systemicscenario.Criterion ust5YChange,
  203.         final org.drip.capital.systemicscenario.Criterion ust10YMinus3MChange,
  204.         final org.drip.capital.systemicscenario.Criterion fxChange,
  205.         final org.drip.capital.systemicscenario.Criterion wtiSpotReturn,
  206.         final org.drip.capital.systemicscenario.Criterion snpGSCI,
  207.         final org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator)
  208.         throws java.lang.Exception
  209.     {
  210.         if (null == (_scenario = scenario) || _scenario.isEmpty() ||
  211.             null == (_baaSpreadChange = baaSpreadChange) ||
  212.             null == (_snp500Return = snp500Return) ||
  213.             null == (_ust5YChange = ust5YChange) ||
  214.             null == (_ust10YMinus3MChange = ust10YMinus3MChange) ||
  215.             null == (_fxChange = fxChange) ||
  216.             null == (_wtiSpotReturn = wtiSpotReturn) ||
  217.             null == (_snpGSCI = snpGSCI) ||
  218.             null == (_systemicStressShockIndicator = systemicStressShockIndicator))
  219.         {
  220.             throw new java.lang.Exception ("CreditSpreadEvent Constructor => Invalid Inputs");
  221.         }
  222.     }

  224.     /**
  225.      * Retrieve the Credit Spread Event Scenario
  226.      * 
  227.      * @return The Credit Spread Event Scenario
  228.      */

  230.     public java.lang.String scenario()
  231.     {
  232.         return _scenario;
  233.     }

  235.     /**
  236.      * Retrieve the Baa Spread Change Criterion
  237.      * 
  238.      * @return The Baa Spread Change Criterion
  239.      */

  241.     public org.drip.capital.systemicscenario.Criterion baaSpreadChange()
  242.     {
  243.         return _baaSpreadChange;
  244.     }

  246.     /**
  247.      * Retrieve the SnP 500 Return Criterion
  248.      * 
  249.      * @return The SnP 500 Return Criterion
  250.      */

  252.     public org.drip.capital.systemicscenario.Criterion snp500Return()
  253.     {
  254.         return _snp500Return;
  255.     }

  257.     /**
  258.      * Retrieve the 5Y UST Change Criterion
  259.      * 
  260.      * @return The 5Y UST Change Criterion
  261.      */

  263.     public org.drip.capital.systemicscenario.Criterion ust5YChange()
  264.     {
  265.         return _ust5YChange;
  266.     }

  268.     /**
  269.      * Retrieve the 10Y - 3M UST Change Criterion
  270.      * 
  271.      * @return The 10Y - 3M UST Change Criterion
  272.      */

  274.     public org.drip.capital.systemicscenario.Criterion ust10YMinus3MChange()
  275.     {
  276.         return _ust10YMinus3MChange;
  277.     }

  279.     /**
  280.      * Retrieve the FX Change Criterion
  281.      * 
  282.      * @return The FX Change Criterion
  283.      */

  285.     public org.drip.capital.systemicscenario.Criterion fxChange()
  286.     {
  287.         return _fxChange;
  288.     }

  290.     /**
  291.      * Retrieve the WTI Spot Return Criterion
  292.      * 
  293.      * @return The WTI Spot Return Criterion
  294.      */

  296.     public org.drip.capital.systemicscenario.Criterion wtiSpotReturn()
  297.     {
  298.         return _wtiSpotReturn;
  299.     }

  301.     /**
  302.      * Retrieve the SnP GSCI Criterion
  303.      * 
  304.      * @return The SnP GSCI Criterion
  305.      */

  307.     public org.drip.capital.systemicscenario.Criterion snpGSCI()
  308.     {
  309.         return _snpGSCI;
  310.     }

  312.     /**
  313.      * Retrieve the Systemic Stress Shock Indicator
  314.      * 
  315.      * @return The Systemic Stress Shock Indicator
  316.      */

  318.     public org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator()
  319.     {
  320.         return _systemicStressShockIndicator;
  321.     }
  322. }
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