DynamicsContainer.java

  1. package org.drip.exposure.evolver;

  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.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>DynamicsContainer</i> holds the Dynamics of the Economy with the following Traded Assets - the
  80.  * Numeraire Evolver Dynamics, the Terminal Latent State Evolver Dynamics, and the Primary Security Evolver
  81.  * Dynamics. The References are:
  82.  *  
  83.  * <br><br>
  84.  *      <ul>
  85.  *          <li>
  86.  *              Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
  87.  *                  the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  88.  *                  <b>eSSRN</b>
  89.  *          </li>
  90.  *          <li>
  91.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  92.  *                  (12)</b> 82-87
  93.  *          </li>
  94.  *          <li>
  95.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  96.  *          </li>
  97.  *          <li>
  98.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  99.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  100.  *          </li>
  101.  *          <li>
  102.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  103.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  104.  *          </li>
  105.  *          <li>
  106.  *      </ul>
  107.  *
  108.  *  <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  112.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/README.md">Exposure Group Level Collateralized/Uncollateralized Exposure</a></li>
  113.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/evolver/README.md">Securities and Exposure States Evolvers</a></li>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class DynamicsContainer
  120. {
  121.     private org.drip.exposure.evolver.LatentStateDynamicsContainer _latentStateDynamicsContainer = null;
  122.     private java.util.Map<java.lang.String, org.drip.exposure.evolver.PrimarySecurity> _mapPrimarySecurityDynamics
  123.         = null;
  124.     private java.util.Map<java.lang.String, org.drip.exposure.evolver.ScalingNumeraire>
  125.         _mapScalingNumeraireDynamics = null;

  127.     /**
  128.      * Empty DynamicsContainer Constructor 
  129.      */

  131.     public DynamicsContainer()
  132.     {
  133.         _mapScalingNumeraireDynamics = new
  134.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.evolver.ScalingNumeraire>();

  136.         _mapPrimarySecurityDynamics = new
  137.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.evolver.PrimarySecurity>();

  139.         _latentStateDynamicsContainer = new org.drip.exposure.evolver.LatentStateDynamicsContainer();
  140.     }

  142.     /**
  143.      * Retrieve the Scaling Numeraire Evolver Dynamics Settings Map
  144.      * 
  145.      * @return The Scaling Numeraire Evolver Dynamics Settings Map
  146.      */

  148.     public java.util.Map<java.lang.String, org.drip.exposure.evolver.ScalingNumeraire> scalingNumeraireMap()
  149.     {
  150.         return _mapScalingNumeraireDynamics;
  151.     }

  153.     /**
  154.      * Add the Named Scaling Numeraire
  155.      * 
  156.      * @param numeraireName Name of the Scaling Numeraire
  157.      * @param numeraire Scaling Numeraire Instance
  158.      * 
  159.      * @return TRUE - The Scaling Numeraire Successfully added
  160.      */

  162.     public boolean addScalingNumeraire (
  163.         final java.lang.String numeraireName,
  164.         final org.drip.exposure.evolver.ScalingNumeraire numeraire)
  165.     {
  166.         if (null == numeraireName || numeraireName.isEmpty() ||
  167.             null == numeraire)
  168.         {
  169.             return false;
  170.         }

  172.         _mapScalingNumeraireDynamics.put (
  173.             numeraireName,
  174.             numeraire
  175.         );

  177.         return true;
  178.     }

  180.     /**
  181.      * Indicate if the Scaling Numeraire Exists
  182.      * 
  183.      * @param numeraireName The Scaling Numeraire Name
  184.      * 
  185.      * @return TRUE - The Scaling Numeraire Exists
  186.      */

  188.     public boolean scalingNumeraireExists (
  189.         final java.lang.String numeraireName)
  190.     {
  191.         return null != numeraireName && !numeraireName.isEmpty() && _mapScalingNumeraireDynamics.containsKey
  192.             (numeraireName);
  193.     }

  195.     /**
  196.      * Retrieve the Scaling Numeraire
  197.      * 
  198.      * @param numeraireName The Scaling Numeraire Name
  199.      * 
  200.      * @return The Scaling Numeraire
  201.      */

  203.     public org.drip.exposure.evolver.ScalingNumeraire scalingNumeraire (
  204.         final java.lang.String numeraireName)
  205.     {
  206.         return !scalingNumeraireExists (numeraireName) ? null : _mapScalingNumeraireDynamics.get
  207.             (numeraireName);
  208.     }

  210.     /**
  211.      * Retrieve the Terminal Latent State Evolver Dynamics Settings Map
  212.      * 
  213.      * @return The Terminal Latent State Evolver Dynamics Settings Map
  214.      */

  216.     public org.drip.exposure.evolver.LatentStateDynamicsContainer terminalLatentStateContainer()
  217.     {
  218.         return _latentStateDynamicsContainer;
  219.     }

  221.     /**
  222.      * Add the Terminal Latent State
  223.      * 
  224.      * @param terminalLatentState The Terminal Latent State
  225.      * 
  226.      * @return TRUE - The Terminal Latent State successfully added
  227.      */

  229.     public boolean addTerminalLatentState (
  230.         final org.drip.exposure.evolver.TerminalLatentState terminalLatentState)
  231.     {
  232.         return _latentStateDynamicsContainer.addTerminalLatentState (terminalLatentState) &&
  233.             addScalingNumeraire (
  234.                 terminalLatentState.label().fullyQualifiedName(),
  235.                 terminalLatentState
  236.             );
  237.     }

  239.     /**
  240.      * Indicate if the Terminal Latent State Exists
  241.      * 
  242.      * @param label The Terminal Latent State Label
  243.      * 
  244.      * @return TRUE - The Terminal Latent State Exists
  245.      */

  247.     public boolean terminalLatentStateExists (
  248.         final org.drip.state.identifier.LatentStateLabel label)
  249.     {
  250.         return _latentStateDynamicsContainer.labelExists (label);
  251.     }

  253.     /**
  254.      * Retrieve the Primary Security Evolver Dynamics Settings Map
  255.      * 
  256.      * @return The Primary Security Evolver Dynamics Settings Map
  257.      */

  259.     public java.util.Map<java.lang.String, org.drip.exposure.evolver.PrimarySecurity> primarySecurityMap()
  260.     {
  261.         return _mapPrimarySecurityDynamics;
  262.     }

  264.     /**
  265.      * Add the Specified Primary Security Instance
  266.      * 
  267.      * @param primarySecurity The Primary Security
  268.      * 
  269.      * @return TRUE - The Primary Security Successfully Added
  270.      */

  272.     public boolean addPrimarySecurity (
  273.         final org.drip.exposure.evolver.PrimarySecurity primarySecurity)
  274.     {
  275.         if (null == primarySecurity)
  276.         {
  277.             return false;
  278.         }

  280.         _mapPrimarySecurityDynamics.put (
  281.             primarySecurity.id(),
  282.             primarySecurity
  283.         );

  285.         return addTerminalLatentState (primarySecurity) && addScalingNumeraire (
  286.             primarySecurity.label().fullyQualifiedName(),
  287.             primarySecurity
  288.         );
  289.     }

  291.     /**
  292.      * Indicate if the Primary Security Evolver exists in the Container
  293.      * 
  294.      * @param id The Primary Security ID
  295.      * 
  296.      * @return TRUE - The Primary Security Evolver exists in the Container
  297.      */

  299.     public boolean primarySecurityExists (
  300.         final java.lang.String id)
  301.     {
  302.         return null == id || id.isEmpty() ? false : _mapPrimarySecurityDynamics.containsKey (id);
  303.     }

  305.     /**
  306.      * Retrieve the Primary Security Evolver given the Label
  307.      * 
  308.      * @param id The Primary Security ID
  309.      * 
  310.      * @return The Primary Security Evolver
  311.      */

  313.     public org.drip.exposure.evolver.PrimarySecurity primarySecurity (
  314.         final java.lang.String id)
  315.     {
  316.         return primarySecurityExists (id) ? _mapPrimarySecurityDynamics.get (id) : null;
  317.     }
  318. }
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