DynamicsContainer.java
package org.drip.exposure.evolver;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 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>DynamicsContainer</i> holds the Dynamics of the Economy with the following Traded Assets - the
* Numeraire Evolver Dynamics, the Terminal Latent State Evolver Dynamics, and the Primary Security Evolver
* Dynamics. The References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
* the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </li>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
* (12)</b> 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
* Pricing <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* <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/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class DynamicsContainer
{
private org.drip.exposure.evolver.LatentStateDynamicsContainer _latentStateDynamicsContainer = null;
private java.util.Map<java.lang.String, org.drip.exposure.evolver.PrimarySecurity> _mapPrimarySecurityDynamics
= null;
private java.util.Map<java.lang.String, org.drip.exposure.evolver.ScalingNumeraire>
_mapScalingNumeraireDynamics = null;
/**
* Empty DynamicsContainer Constructor
*/
public DynamicsContainer()
{
_mapScalingNumeraireDynamics = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.evolver.ScalingNumeraire>();
_mapPrimarySecurityDynamics = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.evolver.PrimarySecurity>();
_latentStateDynamicsContainer = new org.drip.exposure.evolver.LatentStateDynamicsContainer();
}
/**
* Retrieve the Scaling Numeraire Evolver Dynamics Settings Map
*
* @return The Scaling Numeraire Evolver Dynamics Settings Map
*/
public java.util.Map<java.lang.String, org.drip.exposure.evolver.ScalingNumeraire> scalingNumeraireMap()
{
return _mapScalingNumeraireDynamics;
}
/**
* Add the Named Scaling Numeraire
*
* @param numeraireName Name of the Scaling Numeraire
* @param numeraire Scaling Numeraire Instance
*
* @return TRUE - The Scaling Numeraire Successfully added
*/
public boolean addScalingNumeraire (
final java.lang.String numeraireName,
final org.drip.exposure.evolver.ScalingNumeraire numeraire)
{
if (null == numeraireName || numeraireName.isEmpty() ||
null == numeraire)
{
return false;
}
_mapScalingNumeraireDynamics.put (
numeraireName,
numeraire
);
return true;
}
/**
* Indicate if the Scaling Numeraire Exists
*
* @param numeraireName The Scaling Numeraire Name
*
* @return TRUE - The Scaling Numeraire Exists
*/
public boolean scalingNumeraireExists (
final java.lang.String numeraireName)
{
return null != numeraireName && !numeraireName.isEmpty() && _mapScalingNumeraireDynamics.containsKey
(numeraireName);
}
/**
* Retrieve the Scaling Numeraire
*
* @param numeraireName The Scaling Numeraire Name
*
* @return The Scaling Numeraire
*/
public org.drip.exposure.evolver.ScalingNumeraire scalingNumeraire (
final java.lang.String numeraireName)
{
return !scalingNumeraireExists (numeraireName) ? null : _mapScalingNumeraireDynamics.get
(numeraireName);
}
/**
* Retrieve the Terminal Latent State Evolver Dynamics Settings Map
*
* @return The Terminal Latent State Evolver Dynamics Settings Map
*/
public org.drip.exposure.evolver.LatentStateDynamicsContainer terminalLatentStateContainer()
{
return _latentStateDynamicsContainer;
}
/**
* Add the Terminal Latent State
*
* @param terminalLatentState The Terminal Latent State
*
* @return TRUE - The Terminal Latent State successfully added
*/
public boolean addTerminalLatentState (
final org.drip.exposure.evolver.TerminalLatentState terminalLatentState)
{
return _latentStateDynamicsContainer.addTerminalLatentState (terminalLatentState) &&
addScalingNumeraire (
terminalLatentState.label().fullyQualifiedName(),
terminalLatentState
);
}
/**
* Indicate if the Terminal Latent State Exists
*
* @param label The Terminal Latent State Label
*
* @return TRUE - The Terminal Latent State Exists
*/
public boolean terminalLatentStateExists (
final org.drip.state.identifier.LatentStateLabel label)
{
return _latentStateDynamicsContainer.labelExists (label);
}
/**
* Retrieve the Primary Security Evolver Dynamics Settings Map
*
* @return The Primary Security Evolver Dynamics Settings Map
*/
public java.util.Map<java.lang.String, org.drip.exposure.evolver.PrimarySecurity> primarySecurityMap()
{
return _mapPrimarySecurityDynamics;
}
/**
* Add the Specified Primary Security Instance
*
* @param primarySecurity The Primary Security
*
* @return TRUE - The Primary Security Successfully Added
*/
public boolean addPrimarySecurity (
final org.drip.exposure.evolver.PrimarySecurity primarySecurity)
{
if (null == primarySecurity)
{
return false;
}
_mapPrimarySecurityDynamics.put (
primarySecurity.id(),
primarySecurity
);
return addTerminalLatentState (primarySecurity) && addScalingNumeraire (
primarySecurity.label().fullyQualifiedName(),
primarySecurity
);
}
/**
* Indicate if the Primary Security Evolver exists in the Container
*
* @param id The Primary Security ID
*
* @return TRUE - The Primary Security Evolver exists in the Container
*/
public boolean primarySecurityExists (
final java.lang.String id)
{
return null == id || id.isEmpty() ? false : _mapPrimarySecurityDynamics.containsKey (id);
}
/**
* Retrieve the Primary Security Evolver given the Label
*
* @param id The Primary Security ID
*
* @return The Primary Security Evolver
*/
public org.drip.exposure.evolver.PrimarySecurity primarySecurity (
final java.lang.String id)
{
return primarySecurityExists (id) ? _mapPrimarySecurityDynamics.get (id) : null;
}
}