CreditSpreadEvent.java
package org.drip.capital.systemicscenario;
/*
* -*- 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>CreditSpreadEvent</i> contains the Specifications of Criteria corresponding to a Credit Spread 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/systemicscenario/README.md">Systemic Stress Scenario Design/Construction</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditSpreadEvent
{
private java.lang.String _scenario = "";
private org.drip.capital.systemicscenario.Criterion _snpGSCI = null;
private org.drip.capital.systemicscenario.Criterion _fxChange = null;
private org.drip.capital.systemicscenario.Criterion _ust5YChange = null;
private org.drip.capital.systemicscenario.Criterion _snp500Return = null;
private org.drip.capital.systemicscenario.Criterion _wtiSpotReturn = null;
private org.drip.capital.systemicscenario.Criterion _baaSpreadChange = null;
private org.drip.capital.systemicscenario.Criterion _ust10YMinus3MChange = null;
private org.drip.capital.systemicscenario.SystemicStressShockIndicator _systemicStressShockIndicator =
null;
/**
* Construct a Standard CreditSpreadEvent Instance
*
* @param scenario Credit Spread Event Scenario
* @param baaSpreadChange Baa Spread Change in Basis Points
* @param snp500AnnualReturn SnP 500 Annual Return in Percentage
* @param ust5YAbsoluteChange UST 5Y Absolute Change in Basis Points
* @param ust10YMinus3MAbsoluteChange UST 10Y - 3M Absolute Change in Basis Points
* @param fxRateChange FX Rate Change in Percentage
* @param wtiSpotReturn WTI Spot Return in Percentage
* @param snpGSCINonEnergyCommodityIndex SnP GSCI Non-energy Commodity Index in Percentage
* @param systemicStressShockIndicator Credit Event Systemic Stress Shock Indicator
*
* @return CreditSpreadEvent Instance
*/
public static final CreditSpreadEvent Standard (
final java.lang.String scenario,
final double baaSpreadChange,
final double snp500AnnualReturn,
final double ust5YAbsoluteChange,
final double ust10YMinus3MAbsoluteChange,
final double fxRateChange,
final double wtiSpotReturn,
final double snpGSCINonEnergyCommodityIndex,
final org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator)
{
try
{
return new CreditSpreadEvent (
scenario,
org.drip.capital.systemicscenario.Criterion.BaaSpreadChange (
baaSpreadChange
),
org.drip.capital.systemicscenario.Criterion.SnP500AnnualReturn (
snp500AnnualReturn
),
org.drip.capital.systemicscenario.Criterion.UST5YAbsoluteChange (
ust5YAbsoluteChange
),
org.drip.capital.systemicscenario.Criterion.UST10YMinus3MAbsoluteChange (
ust10YMinus3MAbsoluteChange
),
org.drip.capital.systemicscenario.Criterion.FXRateChange (
fxRateChange
),
org.drip.capital.systemicscenario.Criterion.WTISpotReturn (
wtiSpotReturn
),
org.drip.capital.systemicscenario.Criterion.SnPGSCINonEnergyCommodityIndex (
snpGSCINonEnergyCommodityIndex
),
systemicStressShockIndicator
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* CreditSpreadEvent Constructor
*
* @param scenario Credit Spread Event Scenario
* @param baaSpreadChange Baa Spread Change Criterion
* @param snp500Return SnP 500 Return Criterion
* @param ust5YChange 5Y UST Change Criterion
* @param ust10YMinus3MChange 10Y - 3M UST Change Criterion
* @param fxChange FX Change Criterion
* @param wtiSpotReturn WTI Spot Return Criterion
* @param snpGSCI SnP GSCI Criterion
* @param systemicStressShockIndicator Credit Event Systemic Stress Shock Indicator
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public CreditSpreadEvent (
final java.lang.String scenario,
final org.drip.capital.systemicscenario.Criterion baaSpreadChange,
final org.drip.capital.systemicscenario.Criterion snp500Return,
final org.drip.capital.systemicscenario.Criterion ust5YChange,
final org.drip.capital.systemicscenario.Criterion ust10YMinus3MChange,
final org.drip.capital.systemicscenario.Criterion fxChange,
final org.drip.capital.systemicscenario.Criterion wtiSpotReturn,
final org.drip.capital.systemicscenario.Criterion snpGSCI,
final org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator)
throws java.lang.Exception
{
if (null == (_scenario = scenario) || _scenario.isEmpty() ||
null == (_baaSpreadChange = baaSpreadChange) ||
null == (_snp500Return = snp500Return) ||
null == (_ust5YChange = ust5YChange) ||
null == (_ust10YMinus3MChange = ust10YMinus3MChange) ||
null == (_fxChange = fxChange) ||
null == (_wtiSpotReturn = wtiSpotReturn) ||
null == (_snpGSCI = snpGSCI) ||
null == (_systemicStressShockIndicator = systemicStressShockIndicator))
{
throw new java.lang.Exception ("CreditSpreadEvent Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Credit Spread Event Scenario
*
* @return The Credit Spread Event Scenario
*/
public java.lang.String scenario()
{
return _scenario;
}
/**
* Retrieve the Baa Spread Change Criterion
*
* @return The Baa Spread Change Criterion
*/
public org.drip.capital.systemicscenario.Criterion baaSpreadChange()
{
return _baaSpreadChange;
}
/**
* Retrieve the SnP 500 Return Criterion
*
* @return The SnP 500 Return Criterion
*/
public org.drip.capital.systemicscenario.Criterion snp500Return()
{
return _snp500Return;
}
/**
* Retrieve the 5Y UST Change Criterion
*
* @return The 5Y UST Change Criterion
*/
public org.drip.capital.systemicscenario.Criterion ust5YChange()
{
return _ust5YChange;
}
/**
* Retrieve the 10Y - 3M UST Change Criterion
*
* @return The 10Y - 3M UST Change Criterion
*/
public org.drip.capital.systemicscenario.Criterion ust10YMinus3MChange()
{
return _ust10YMinus3MChange;
}
/**
* Retrieve the FX Change Criterion
*
* @return The FX Change Criterion
*/
public org.drip.capital.systemicscenario.Criterion fxChange()
{
return _fxChange;
}
/**
* Retrieve the WTI Spot Return Criterion
*
* @return The WTI Spot Return Criterion
*/
public org.drip.capital.systemicscenario.Criterion wtiSpotReturn()
{
return _wtiSpotReturn;
}
/**
* Retrieve the SnP GSCI Criterion
*
* @return The SnP GSCI Criterion
*/
public org.drip.capital.systemicscenario.Criterion snpGSCI()
{
return _snpGSCI;
}
/**
* Retrieve the Systemic Stress Shock Indicator
*
* @return The Systemic Stress Shock Indicator
*/
public org.drip.capital.systemicscenario.SystemicStressShockIndicator systemicStressShockIndicator()
{
return _systemicStressShockIndicator;
}
}