EntityDynamicsContainer.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>EntityDynamicsContainer</i> contains the Dealer and the Client Hazard and Recovery Latent State
  80.  * Evolvers. The References are:
  81.  *  
  82.  * <br><br>
  83.  *      <ul>
  84.  *          <li>
  85.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  86.  *                  (12)</b> 82-87
  87.  *          </li>
  88.  *          <li>
  89.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  90.  *          </li>
  91.  *          <li>
  92.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  93.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  94.  *          </li>
  95.  *          <li>
  96.  *              Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  97.  *                  86-90
  98.  *          </li>
  99.  *          <li>
  100.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  101.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  102.  *          </li>
  103.  *          <li>
  104.  *      </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  110.  *      <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>
  111.  *      <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>
  112.  *  </ul>
  113.  *  
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class EntityDynamicsContainer extends org.drip.exposure.evolver.DynamicsContainer
  118. {
  119.     private org.drip.state.identifier.EntityHazardLabel _clientHazardLabel = null;
  120.     private org.drip.state.identifier.EntityHazardLabel _dealerHazardLabel = null;
  121.     private org.drip.state.identifier.EntityRecoveryLabel _clientRecoveryLabel = null;
  122.     private org.drip.state.identifier.EntityRecoveryLabel _dealerSeniorRecoveryLabel = null;
  123.     private org.drip.state.identifier.EntityRecoveryLabel _dealerSubordinateRecoveryLabel = null;

  125.     /**
  126.      * EntityDynamicsContainer Constructor
  127.      * 
  128.      * @param dealerHazardLatentState The Dealer Hazard Rate Latent State
  129.      * @param dealerSeniorRecoveryLatentState The Dealer Senior Recovery Rate Latent State
  130.      * @param dealerSubordinateRecoveryLatentState The Dealer Subordinate Rate Latent State
  131.      * @param clientHazardLatentState The Client Hazard Rate Latent State
  132.      * @param clientRecoveryLatentState The Client Recovery Rate Latent State
  133.      * 
  134.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  135.      */

  137.     public EntityDynamicsContainer (
  138.         final org.drip.exposure.evolver.TerminalLatentState dealerHazardLatentState,
  139.         final org.drip.exposure.evolver.TerminalLatentState dealerSeniorRecoveryLatentState,
  140.         final org.drip.exposure.evolver.TerminalLatentState dealerSubordinateRecoveryLatentState,
  141.         final org.drip.exposure.evolver.TerminalLatentState clientHazardLatentState,
  142.         final org.drip.exposure.evolver.TerminalLatentState clientRecoveryLatentState)
  143.         throws java.lang.Exception
  144.     {
  145.         if (null == dealerHazardLatentState ||
  146.             null == dealerSeniorRecoveryLatentState ||
  147.             null == clientHazardLatentState ||
  148.             null == clientRecoveryLatentState)
  149.         {
  150.             throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
  151.         }

  153.         org.drip.state.identifier.LatentStateLabel dealerHazardLabel = dealerHazardLatentState.label();

  155.         org.drip.state.identifier.LatentStateLabel dealerSeniorRecoveryLabel =
  156.             dealerSeniorRecoveryLatentState.label();

  158.         org.drip.state.identifier.LatentStateLabel clientHazardLabel = clientHazardLatentState.label();

  160.         org.drip.state.identifier.LatentStateLabel clientRecoveryLabel = clientRecoveryLatentState.label();

  162.         if (!(dealerHazardLabel instanceof org.drip.state.identifier.EntityHazardLabel) ||
  163.             !(dealerSeniorRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
  164.             !(clientHazardLabel instanceof org.drip.state.identifier.EntityHazardLabel) ||
  165.             !(clientRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
  166.             !addTerminalLatentState (dealerHazardLatentState) ||
  167.             !addTerminalLatentState (dealerSeniorRecoveryLatentState) ||
  168.             !addTerminalLatentState (clientHazardLatentState) ||
  169.             !addTerminalLatentState (clientRecoveryLatentState))
  170.         {
  171.             throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
  172.         }

  174.         _dealerHazardLabel = (org.drip.state.identifier.EntityHazardLabel) dealerHazardLabel;
  175.         _clientHazardLabel = (org.drip.state.identifier.EntityHazardLabel) clientHazardLabel;
  176.         _dealerSeniorRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel)
  177.             dealerSeniorRecoveryLabel;
  178.         _clientRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel) clientRecoveryLabel;

  180.         if (null != dealerSubordinateRecoveryLatentState)
  181.         {
  182.             org.drip.state.identifier.LatentStateLabel dealerSubordinateRecoveryLabel =
  183.                 dealerSubordinateRecoveryLatentState.label();

  185.             if (!(dealerSubordinateRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
  186.                 !addTerminalLatentState (dealerSubordinateRecoveryLatentState))
  187.             {
  188.                 throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
  189.             }

  191.             _dealerSubordinateRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel)
  192.                 dealerSubordinateRecoveryLabel;
  193.         }
  194.     }

  196.     /**
  197.      * Retrieve the Dealer Hazard Rate Evolver
  198.      * 
  199.      * @return The Dealer Hazard Rate Evolver
  200.      */

  202.     public org.drip.measure.process.DiffusionEvolver dealerHazardRateEvolver()
  203.     {
  204.         return terminalLatentStateContainer().entityHazard (_dealerHazardLabel).evolver();
  205.     }

  207.     /**
  208.      * Retrieve the Dealer Senior Recovery Rate Evolver
  209.      * 
  210.      * @return The Dealer Senior Recovery Rate Evolver
  211.      */

  213.     public org.drip.measure.process.DiffusionEvolver dealerSeniorRecoveryRateEvolver()
  214.     {
  215.         return terminalLatentStateContainer().entityRecovery (_dealerSeniorRecoveryLabel).evolver();
  216.     }

  218.     /**
  219.      * Retrieve the Dealer Subordinate Recovery Rate Evolver
  220.      * 
  221.      * @return The Dealer Subordinate Recovery Rate Evolver
  222.      */

  224.     public org.drip.measure.process.DiffusionEvolver dealerSubordinateRecoveryRateEvolver()
  225.     {
  226.         org.drip.exposure.evolver.TerminalLatentState terminalLatentStateDealerSubordinateRecovery =
  227.             terminalLatentStateContainer().entityRecovery (_dealerSubordinateRecoveryLabel);

  229.         return null == terminalLatentStateDealerSubordinateRecovery ? null :
  230.             terminalLatentStateDealerSubordinateRecovery.evolver();
  231.     }

  233.     /**
  234.      * Retrieve the Client Hazard Rate Evolver
  235.      * 
  236.      * @return The Client Hazard Rate Evolver
  237.      */

  239.     public org.drip.measure.process.DiffusionEvolver clientHazardRateEvolver()
  240.     {
  241.         return terminalLatentStateContainer().entityHazard (_clientHazardLabel).evolver();
  242.     }

  244.     /**
  245.      * Retrieve the Client Recovery Rate Evolver
  246.      * 
  247.      * @return The Client Recovery Rate Evolver
  248.      */

  250.     public org.drip.measure.process.DiffusionEvolver clientRecoveryRateEvolver()
  251.     {
  252.         return terminalLatentStateContainer().entityRecovery (_clientRecoveryLabel).evolver();
  253.     }

  255.     /**
  256.      * Retrieve the Client Hazard Label
  257.      * 
  258.      * @return The Client Hazard Label
  259.      */

  261.     public org.drip.state.identifier.EntityHazardLabel clientHazardLabel()
  262.     {
  263.         return _clientHazardLabel;
  264.     }

  266.     /**
  267.      * Retrieve the Client Recovery Label
  268.      * 
  269.      * @return The Client Recovery Label
  270.      */

  272.     public org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel()
  273.     {
  274.         return _clientRecoveryLabel;
  275.     }

  277.     /**
  278.      * Retrieve the Dealer Hazard Label
  279.      * 
  280.      * @return The Dealer Hazard Label
  281.      */

  283.     public org.drip.state.identifier.EntityHazardLabel dealerHazardLabel()
  284.     {
  285.         return _dealerHazardLabel;
  286.     }

  288.     /**
  289.      * Retrieve the Dealer Senior Recovery Label
  290.      * 
  291.      * @return The Dealer Senior Recovery Label
  292.      */

  294.     public org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel()
  295.     {
  296.         return _dealerSeniorRecoveryLabel;
  297.     }

  299.     /**
  300.      * Retrieve the Dealer Subordinate Recovery Label
  301.      * 
  302.      * @return The Dealer Subordinate Recovery Label
  303.      */

  305.     public org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel()
  306.     {
  307.         return _dealerSubordinateRecoveryLabel;
  308.     }
  309. }
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