Criterion.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>Criterion</i> contains the Specification Details of a Credit Spread Event Criterion. The References
  79.  *  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 Criterion
  107. {
  108.     private java.lang.String _name = "";
  109.     private java.lang.String _description = "";
  110.     private double _value = java.lang.Double.NaN;
  111.     private int _unit = java.lang.Integer.MIN_VALUE;

  113.     /**
  114.      * Construct the Baa Spread Change Criterion
  115.      * 
  116.      * @param baaSpreadChange Baa Spread Change in Basis Points
  117.      * 
  118.      * @return Baa Spread Change Criterion
  119.      */

  121.     public static final Criterion BaaSpreadChange (
  122.         final double baaSpreadChange)
  123.     {
  124.         try
  125.         {
  126.             return new Criterion (
  127.                 "Baa Spread Change",
  128.                 "Baa Spread Change",
  129.                 org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
  130.                 baaSpreadChange
  131.             );
  132.         }
  133.         catch (java.lang.Exception e)
  134.         {
  135.             e.printStackTrace();
  136.         }

  138.         return null;
  139.     }

  141.     /**
  142.      * Construct the SnP 500 Annual Return Criterion
  143.      * 
  144.      * @param snp500AnnualReturn SnP 500 Annual Return in Percentage
  145.      * 
  146.      * @return SnP 500 Annual Return Criterion
  147.      */

  149.     public static final Criterion SnP500AnnualReturn (
  150.         final double snp500AnnualReturn)
  151.     {
  152.         try
  153.         {
  154.             return new Criterion (
  155.                 "SnP 500 Annual Return",
  156.                 "SnP 500 Annual Return",
  157.                 org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
  158.                 snp500AnnualReturn
  159.             );
  160.         }
  161.         catch (java.lang.Exception e)
  162.         {
  163.             e.printStackTrace();
  164.         }

  166.         return null;
  167.     }

  169.     /**
  170.      * Construct the UST 5Y Absolute Change Criterion
  171.      * 
  172.      * @param ust5YAbsoluteChange UST 5Y Absolute Change in Basis Points
  173.      * 
  174.      * @return UST 5Y Absolute Change Criterion
  175.      */

  177.     public static final Criterion UST5YAbsoluteChange (
  178.         final double ust5YAbsoluteChange)
  179.     {
  180.         try
  181.         {
  182.             return new Criterion (
  183.                 "UST 5Y Absolute Change",
  184.                 "UST 5Y Absolute Change",
  185.                 org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
  186.                 ust5YAbsoluteChange
  187.             );
  188.         }
  189.         catch (java.lang.Exception e)
  190.         {
  191.             e.printStackTrace();
  192.         }

  194.         return null;
  195.     }

  197.     /**
  198.      * Construct the UST 10Y - 3M Absolute Change Criterion
  199.      * 
  200.      * @param ust10YMinus3MAbsoluteChange UST 10Y - 3M Absolute Change in Basis Points
  201.      * 
  202.      * @return UST 10Y - 3M Absolute Change Criterion
  203.      */

  205.     public static final Criterion UST10YMinus3MAbsoluteChange (
  206.         final double ust10YMinus3MAbsoluteChange)
  207.     {
  208.         try
  209.         {
  210.             return new Criterion (
  211.                 "UST 10Y - 3M Absolute Change",
  212.                 "UST 10Y - 3M Absolute Change",
  213.                 org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
  214.                 ust10YMinus3MAbsoluteChange
  215.             );
  216.         }
  217.         catch (java.lang.Exception e)
  218.         {
  219.             e.printStackTrace();
  220.         }

  222.         return null;
  223.     }

  225.     /**
  226.      * Construct the FX Rate Change Criterion
  227.      * 
  228.      * @param fxRateChange FX Rate Change in Percentage
  229.      * 
  230.      * @return FX Rate Change Criterion
  231.      */

  233.     public static final Criterion FXRateChange (
  234.         final double fxRateChange)
  235.     {
  236.         try
  237.         {
  238.             return new Criterion (
  239.                 "FX Rate Change",
  240.                 "FX Rate Change in USD/EUR. Prior to 1999 in German DEM/USD",
  241.                 org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
  242.                 fxRateChange
  243.             );
  244.         }
  245.         catch (java.lang.Exception e)
  246.         {
  247.             e.printStackTrace();
  248.         }

  250.         return null;
  251.     }

  253.     /**
  254.      * Construct the WTI Spot Return Criterion
  255.      * 
  256.      * @param wtiSpotReturn WTI Spot Return in Percentage
  257.      * 
  258.      * @return WTI Spot Return Criterion
  259.      */

  261.     public static final Criterion WTISpotReturn (
  262.         final double wtiSpotReturn)
  263.     {
  264.         try
  265.         {
  266.             return new Criterion (
  267.                 "WTI Spot Return",
  268.                 "WTI Spot Return from 1946",
  269.                 org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
  270.                 wtiSpotReturn
  271.             );
  272.         }
  273.         catch (java.lang.Exception e)
  274.         {
  275.             e.printStackTrace();
  276.         }

  278.         return null;
  279.     }

  281.     /**
  282.      * Construct the SnP GSCI Non-energy Commodity Index Criterion
  283.      * 
  284.      * @param snpGSCINonEnergyCommodityIndex SnP GSCI Non-energy Commodity Index in Percentage
  285.      * 
  286.      * @return SnP GSCI Non-energy Commodity Index Criterion
  287.      */

  289.     public static final Criterion SnPGSCINonEnergyCommodityIndex (
  290.         final double snpGSCINonEnergyCommodityIndex)
  291.     {
  292.         try
  293.         {
  294.             return new Criterion (
  295.                 "SnP GSCI Non-energy Commodity Index",
  296.                 "SnP GSCI Non-energy Commodity Index",
  297.                 org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
  298.                 snpGSCINonEnergyCommodityIndex
  299.             );
  300.         }
  301.         catch (java.lang.Exception e)
  302.         {
  303.             e.printStackTrace();
  304.         }

  306.         return null;
  307.     }

  309.     /**
  310.      * Criterion Constructor
  311.      * 
  312.      * @param name Criterion Name
  313.      * @param description Criterion Description
  314.      * @param unit Criterion Unit
  315.      * @param value Criterion Value
  316.      * 
  317.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  318.      */

  320.     public Criterion (
  321.         final java.lang.String name,
  322.         final java.lang.String description,
  323.         final int unit,
  324.         final double value)
  325.         throws java.lang.Exception
  326.     {
  327.         if (null == (_name = name) || _name.isEmpty() ||
  328.             null == (_description = description) || _description.isEmpty() ||
  329.             -1 >= (_unit = unit))
  330.         {
  331.             throw new java.lang.Exception ("Criterion Constructor => Invalid Inputs");
  332.         }

  334.         _value = value;
  335.     }

  337.     /**
  338.      * Retrieve the Criterion Name
  339.      * 
  340.      * @return The Criterion Name
  341.      */

  343.     public java.lang.String name()
  344.     {
  345.         return _name;
  346.     }

  348.     /**
  349.      * Retrieve the Criterion Description
  350.      * 
  351.      * @return The Criterion Description
  352.      */

  354.     public java.lang.String description()
  355.     {
  356.         return _description;
  357.     }

  359.     /**
  360.      * Retrieve the Criterion Unit
  361.      * 
  362.      * @return The Criterion Unit
  363.      */

  365.     public int unit()
  366.     {
  367.         return _unit;
  368.     }

  370.     /**
  371.      * Retrieve the Criterion Value
  372.      * 
  373.      * @return The Criterion Value
  374.      */

  376.     public double value()
  377.     {
  378.         return _value;
  379.     }
  380. }
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