EntityDynamicsContainer.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>EntityDynamicsContainer</i> contains the Dealer and the Client Hazard and Recovery Latent State
* Evolvers. The References are:
*
* <br><br>
* <ul>
* <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 (2014): PDE Representations of Derivatives with Bilateral Counter-
* party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </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 EntityDynamicsContainer extends org.drip.exposure.evolver.DynamicsContainer
{
private org.drip.state.identifier.EntityHazardLabel _clientHazardLabel = null;
private org.drip.state.identifier.EntityHazardLabel _dealerHazardLabel = null;
private org.drip.state.identifier.EntityRecoveryLabel _clientRecoveryLabel = null;
private org.drip.state.identifier.EntityRecoveryLabel _dealerSeniorRecoveryLabel = null;
private org.drip.state.identifier.EntityRecoveryLabel _dealerSubordinateRecoveryLabel = null;
/**
* EntityDynamicsContainer Constructor
*
* @param dealerHazardLatentState The Dealer Hazard Rate Latent State
* @param dealerSeniorRecoveryLatentState The Dealer Senior Recovery Rate Latent State
* @param dealerSubordinateRecoveryLatentState The Dealer Subordinate Rate Latent State
* @param clientHazardLatentState The Client Hazard Rate Latent State
* @param clientRecoveryLatentState The Client Recovery Rate Latent State
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public EntityDynamicsContainer (
final org.drip.exposure.evolver.TerminalLatentState dealerHazardLatentState,
final org.drip.exposure.evolver.TerminalLatentState dealerSeniorRecoveryLatentState,
final org.drip.exposure.evolver.TerminalLatentState dealerSubordinateRecoveryLatentState,
final org.drip.exposure.evolver.TerminalLatentState clientHazardLatentState,
final org.drip.exposure.evolver.TerminalLatentState clientRecoveryLatentState)
throws java.lang.Exception
{
if (null == dealerHazardLatentState ||
null == dealerSeniorRecoveryLatentState ||
null == clientHazardLatentState ||
null == clientRecoveryLatentState)
{
throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
}
org.drip.state.identifier.LatentStateLabel dealerHazardLabel = dealerHazardLatentState.label();
org.drip.state.identifier.LatentStateLabel dealerSeniorRecoveryLabel =
dealerSeniorRecoveryLatentState.label();
org.drip.state.identifier.LatentStateLabel clientHazardLabel = clientHazardLatentState.label();
org.drip.state.identifier.LatentStateLabel clientRecoveryLabel = clientRecoveryLatentState.label();
if (!(dealerHazardLabel instanceof org.drip.state.identifier.EntityHazardLabel) ||
!(dealerSeniorRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
!(clientHazardLabel instanceof org.drip.state.identifier.EntityHazardLabel) ||
!(clientRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
!addTerminalLatentState (dealerHazardLatentState) ||
!addTerminalLatentState (dealerSeniorRecoveryLatentState) ||
!addTerminalLatentState (clientHazardLatentState) ||
!addTerminalLatentState (clientRecoveryLatentState))
{
throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
}
_dealerHazardLabel = (org.drip.state.identifier.EntityHazardLabel) dealerHazardLabel;
_clientHazardLabel = (org.drip.state.identifier.EntityHazardLabel) clientHazardLabel;
_dealerSeniorRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel)
dealerSeniorRecoveryLabel;
_clientRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel) clientRecoveryLabel;
if (null != dealerSubordinateRecoveryLatentState)
{
org.drip.state.identifier.LatentStateLabel dealerSubordinateRecoveryLabel =
dealerSubordinateRecoveryLatentState.label();
if (!(dealerSubordinateRecoveryLabel instanceof org.drip.state.identifier.EntityRecoveryLabel) ||
!addTerminalLatentState (dealerSubordinateRecoveryLatentState))
{
throw new java.lang.Exception ("EntityDynamicsContainer Constructor => Invalid Inputs");
}
_dealerSubordinateRecoveryLabel = (org.drip.state.identifier.EntityRecoveryLabel)
dealerSubordinateRecoveryLabel;
}
}
/**
* Retrieve the Dealer Hazard Rate Evolver
*
* @return The Dealer Hazard Rate Evolver
*/
public org.drip.measure.process.DiffusionEvolver dealerHazardRateEvolver()
{
return terminalLatentStateContainer().entityHazard (_dealerHazardLabel).evolver();
}
/**
* Retrieve the Dealer Senior Recovery Rate Evolver
*
* @return The Dealer Senior Recovery Rate Evolver
*/
public org.drip.measure.process.DiffusionEvolver dealerSeniorRecoveryRateEvolver()
{
return terminalLatentStateContainer().entityRecovery (_dealerSeniorRecoveryLabel).evolver();
}
/**
* Retrieve the Dealer Subordinate Recovery Rate Evolver
*
* @return The Dealer Subordinate Recovery Rate Evolver
*/
public org.drip.measure.process.DiffusionEvolver dealerSubordinateRecoveryRateEvolver()
{
org.drip.exposure.evolver.TerminalLatentState terminalLatentStateDealerSubordinateRecovery =
terminalLatentStateContainer().entityRecovery (_dealerSubordinateRecoveryLabel);
return null == terminalLatentStateDealerSubordinateRecovery ? null :
terminalLatentStateDealerSubordinateRecovery.evolver();
}
/**
* Retrieve the Client Hazard Rate Evolver
*
* @return The Client Hazard Rate Evolver
*/
public org.drip.measure.process.DiffusionEvolver clientHazardRateEvolver()
{
return terminalLatentStateContainer().entityHazard (_clientHazardLabel).evolver();
}
/**
* Retrieve the Client Recovery Rate Evolver
*
* @return The Client Recovery Rate Evolver
*/
public org.drip.measure.process.DiffusionEvolver clientRecoveryRateEvolver()
{
return terminalLatentStateContainer().entityRecovery (_clientRecoveryLabel).evolver();
}
/**
* Retrieve the Client Hazard Label
*
* @return The Client Hazard Label
*/
public org.drip.state.identifier.EntityHazardLabel clientHazardLabel()
{
return _clientHazardLabel;
}
/**
* Retrieve the Client Recovery Label
*
* @return The Client Recovery Label
*/
public org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel()
{
return _clientRecoveryLabel;
}
/**
* Retrieve the Dealer Hazard Label
*
* @return The Dealer Hazard Label
*/
public org.drip.state.identifier.EntityHazardLabel dealerHazardLabel()
{
return _dealerHazardLabel;
}
/**
* Retrieve the Dealer Senior Recovery Label
*
* @return The Dealer Senior Recovery Label
*/
public org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel()
{
return _dealerSeniorRecoveryLabel;
}
/**
* Retrieve the Dealer Subordinate Recovery Label
*
* @return The Dealer Subordinate Recovery Label
*/
public org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel()
{
return _dealerSubordinateRecoveryLabel;
}
}