Criterion.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>Criterion</i> contains the Specification Details of a Credit Spread Event Criterion. 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 Criterion
{
private java.lang.String _name = "";
private java.lang.String _description = "";
private double _value = java.lang.Double.NaN;
private int _unit = java.lang.Integer.MIN_VALUE;
/**
* Construct the Baa Spread Change Criterion
*
* @param baaSpreadChange Baa Spread Change in Basis Points
*
* @return Baa Spread Change Criterion
*/
public static final Criterion BaaSpreadChange (
final double baaSpreadChange)
{
try
{
return new Criterion (
"Baa Spread Change",
"Baa Spread Change",
org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
baaSpreadChange
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the SnP 500 Annual Return Criterion
*
* @param snp500AnnualReturn SnP 500 Annual Return in Percentage
*
* @return SnP 500 Annual Return Criterion
*/
public static final Criterion SnP500AnnualReturn (
final double snp500AnnualReturn)
{
try
{
return new Criterion (
"SnP 500 Annual Return",
"SnP 500 Annual Return",
org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
snp500AnnualReturn
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the UST 5Y Absolute Change Criterion
*
* @param ust5YAbsoluteChange UST 5Y Absolute Change in Basis Points
*
* @return UST 5Y Absolute Change Criterion
*/
public static final Criterion UST5YAbsoluteChange (
final double ust5YAbsoluteChange)
{
try
{
return new Criterion (
"UST 5Y Absolute Change",
"UST 5Y Absolute Change",
org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
ust5YAbsoluteChange
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the UST 10Y - 3M Absolute Change Criterion
*
* @param ust10YMinus3MAbsoluteChange UST 10Y - 3M Absolute Change in Basis Points
*
* @return UST 10Y - 3M Absolute Change Criterion
*/
public static final Criterion UST10YMinus3MAbsoluteChange (
final double ust10YMinus3MAbsoluteChange)
{
try
{
return new Criterion (
"UST 10Y - 3M Absolute Change",
"UST 10Y - 3M Absolute Change",
org.drip.capital.systemicscenario.CriterionUnit.BASIS_POINT,
ust10YMinus3MAbsoluteChange
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the FX Rate Change Criterion
*
* @param fxRateChange FX Rate Change in Percentage
*
* @return FX Rate Change Criterion
*/
public static final Criterion FXRateChange (
final double fxRateChange)
{
try
{
return new Criterion (
"FX Rate Change",
"FX Rate Change in USD/EUR. Prior to 1999 in German DEM/USD",
org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
fxRateChange
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the WTI Spot Return Criterion
*
* @param wtiSpotReturn WTI Spot Return in Percentage
*
* @return WTI Spot Return Criterion
*/
public static final Criterion WTISpotReturn (
final double wtiSpotReturn)
{
try
{
return new Criterion (
"WTI Spot Return",
"WTI Spot Return from 1946",
org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
wtiSpotReturn
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the SnP GSCI Non-energy Commodity Index Criterion
*
* @param snpGSCINonEnergyCommodityIndex SnP GSCI Non-energy Commodity Index in Percentage
*
* @return SnP GSCI Non-energy Commodity Index Criterion
*/
public static final Criterion SnPGSCINonEnergyCommodityIndex (
final double snpGSCINonEnergyCommodityIndex)
{
try
{
return new Criterion (
"SnP GSCI Non-energy Commodity Index",
"SnP GSCI Non-energy Commodity Index",
org.drip.capital.systemicscenario.CriterionUnit.PERCENT,
snpGSCINonEnergyCommodityIndex
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Criterion Constructor
*
* @param name Criterion Name
* @param description Criterion Description
* @param unit Criterion Unit
* @param value Criterion Value
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public Criterion (
final java.lang.String name,
final java.lang.String description,
final int unit,
final double value)
throws java.lang.Exception
{
if (null == (_name = name) || _name.isEmpty() ||
null == (_description = description) || _description.isEmpty() ||
-1 >= (_unit = unit))
{
throw new java.lang.Exception ("Criterion Constructor => Invalid Inputs");
}
_value = value;
}
/**
* Retrieve the Criterion Name
*
* @return The Criterion Name
*/
public java.lang.String name()
{
return _name;
}
/**
* Retrieve the Criterion Description
*
* @return The Criterion Description
*/
public java.lang.String description()
{
return _description;
}
/**
* Retrieve the Criterion Unit
*
* @return The Criterion Unit
*/
public int unit()
{
return _unit;
}
/**
* Retrieve the Criterion Value
*
* @return The Criterion Value
*/
public double value()
{
return _value;
}
}