SystemicStressShockIndicator.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>SystemicStressShockIndicator</i> holds the Directional Indicator Settings for a given Systemic Stress
* Shock 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 SystemicStressShockIndicator
{
/**
* Systemic Stress Shock Direction UP
*/
public static final int UP = 1;
/**
* Systemic Stress Shock Direction DOWN
*/
public static final int DOWN = -1;
/**
* Systemic Stress Shock Direction UNSPECIFIED
*/
public static final int UNSPECIFIED = 0;
/**
* DEFLATIONARY Systemic Stress Scenario
*/
public static final java.lang.String DEFLATIONARY = "DEFLATIONARY";
/**
* INFLATIONARY Systemic Stress Scenario
*/
public static final java.lang.String INFLATIONARY = "INFLATIONARY";
/**
* Neither DEFLATIONARY nor INFLATIONARY Systemic Stress Scenario
*/
public static final java.lang.String NEITHER = "NEITHER";
private int _energy = java.lang.Integer.MIN_VALUE;
private int _commodities = java.lang.Integer.MIN_VALUE;
private int _creditSpreads = java.lang.Integer.MIN_VALUE;
private int _equityMarkets = java.lang.Integer.MIN_VALUE;
private int _yieldCurveLevel = java.lang.Integer.MIN_VALUE;
private static final boolean VerifyIndicator (
final int indicator)
{
return DOWN == indicator || UP == indicator || UNSPECIFIED == indicator;
}
/**
* Construct a Deflationary Systemic Stress Shock Indicator
*
* @return Deflationary Systemic Stress Shock Indicator
*/
public static final SystemicStressShockIndicator Deflationary()
{
try
{
return new SystemicStressShockIndicator (
UP,
DOWN,
DOWN,
DOWN,
DOWN
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct a Inflationary Systemic Stress Shock Indicator
*
* @return Inflationary Systemic Stress Shock Indicator
*/
public static final SystemicStressShockIndicator Inflationary()
{
try
{
return new SystemicStressShockIndicator (
UP,
DOWN,
UP,
UP,
UP
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* SystemicStressShockIndicator Constructor
*
* @param creditSpreads Credit Spreads Directional Indicator
* @param equityMarkets Equity Markets Directional Indicator
* @param yieldCurveLevel Yield Curve Level Directional Indicator
* @param commodities Commodities Directional Indicator
* @param energy Energy Directional Indicator
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public SystemicStressShockIndicator (
final int creditSpreads,
final int equityMarkets,
final int yieldCurveLevel,
final int commodities,
final int energy)
throws java.lang.Exception
{
if (!VerifyIndicator (
_creditSpreads = creditSpreads
) || !VerifyIndicator (
_equityMarkets = equityMarkets
) || !VerifyIndicator (
_yieldCurveLevel = yieldCurveLevel
) || !VerifyIndicator (
_commodities = commodities
) || !VerifyIndicator (
_energy = energy
)
)
{
throw new java.lang.Exception (
"SystemicStressShockIndicator Cnstructor => Invalid Inputs"
);
}
}
/**
* Retrieve the Credit Spreads Directional Indicator
*
* @return The Credit Spreads Directional Indicator
*/
public int creditSpreads()
{
return _creditSpreads;
}
/**
* Retrieve the Equity Markets Directional Indicator
*
* @return The Equity Markets Directional Indicator
*/
public int equityMarkets()
{
return _equityMarkets;
}
/**
* Retrieve the Yield Curve Level Directional Indicator
*
* @return The Yield Curve Level Directional Indicator
*/
public int yieldCurveLevel()
{
return _yieldCurveLevel;
}
/**
* Retrieve the Commodities Directional Indicator
*
* @return The Commodities Directional Indicator
*/
public int commodities()
{
return _commodities;
}
/**
* Retrieve the Energy Directional Indicator
*
* @return The Energy Directional Indicator
*/
public int energy()
{
return _energy;
}
/**
* Indicate if the Scenario is DEFLATIONARY
*
* @return TRUE - The Scenario is DEFLATIONARY
*/
public boolean isDeflationary()
{
return UP == _creditSpreads &&
DOWN == _equityMarkets &&
DOWN == _yieldCurveLevel &&
DOWN == _commodities &&
DOWN == _energy;
}
/**
* Indicate if the Scenario is INFLATIONARY
*
* @return TRUE - The Scenario is INFLATIONARY
*/
public boolean isInflationary()
{
return UP == _creditSpreads &&
DOWN == _equityMarkets &&
UP == _yieldCurveLevel &&
UP == _commodities &&
UP == _energy;
}
/**
* Indicate the Inflation Type
*
* @return The Inflation Type
*/
public java.lang.String inflationType()
{
if (isDeflationary())
{
return DEFLATIONARY;
}
return isInflationary() ? INFLATIONARY : NEITHER;
}
}