PrimarySecurity.java

  1. package org.drip.exposure.evolver;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  *
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  *
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  *
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  *
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  *
  49.  *  Documentation for DROP is Spread Over:
  50.  *
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  *
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *  
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  76. /**
  77.  * <i>PrimarySecurity</i> holds Definitions and Parameters that specify a Primary Security in XVA Terms. The
  78.  * References are:
  79.  *  
  80.  * <br><br>
  81.  *      <ul>
  82.  *          <li>
  83.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  84.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  85.  *          </li>
  86.  *          <li>
  87.  *              Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling,
  88.  *                  Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide <i>Springer
  89.  *                      Finance</i> <b>New York</b>
  90.  *          </li>
  91.  *          <li>
  92.  *              Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  93.  *                  86-90
  94.  *          </li>
  95.  *          <li>
  96.  *              Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading
  97.  *                  Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market
  98.  *                  <i>World Scientific Publishing </i> <b>Singapore</b>
  99.  *          </li>
  100.  *          <li>
  101.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  102.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  103.  *          </li>
  104.  *          <li>
  105.  *      </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  *
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  117. public class PrimarySecurity extends org.drip.exposure.evolver.TerminalLatentState
  118. {
  119.     private java.lang.String _id = "";
  120.     private double _repoRate = java.lang.Double.NaN;

  121.     /**
  122.      * PrimarySecurity Constructor
  123.      *
  124.      * @param id The Security ID
  125.      * @param label The Latent State Label
  126.      * @param evolver The Primary Security Evolver
  127.      * @param repoRate The Repo Rate
  128.      *
  129.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  130.      */

  131.     public PrimarySecurity (
  132.         final java.lang.String id,
  133.         final org.drip.state.identifier.LatentStateLabel label,
  134.         final org.drip.measure.process.DiffusionEvolver evolver,
  135.         final double repoRate)
  136.         throws java.lang.Exception
  137.     {
  138.         super (
  139.             label,
  140.             evolver
  141.         );

  142.         if (null == (_id = id) || _id.isEmpty() ||
  143.             !org.drip.numerical.common.NumberUtil.IsValid (_repoRate = repoRate))
  144.         {
  145.             throw new java.lang.Exception ("PrimarySecurity Constructor => Invalid Inputs");
  146.         }
  147.     }

  148.     /**
  149.      * Retrieve the Security ID
  150.      *
  151.      * @return The Repo Rate
  152.      */

  153.     public java.lang.String id()
  154.     {
  155.         return _id;
  156.     }

  157.     /**
  158.      * Retrieve the Repo Rate
  159.      *
  160.      * @return The Repo Rate
  161.      */

  162.     public double repoRate()
  163.     {
  164.         return _repoRate;
  165.     }

  166.     /**
  167.      * Indicate if the PrimarySecurity is Repo-able
  168.      *
  169.      * @return TRUE - The PrimarySecurity is Repo-able
  170.      */

  171.     public boolean isRepoable()
  172.     {
  173.         return 0. != _repoRate;
  174.     }

  175.     /**
  176.      * Retrieve the Cash Accumulation Rate
  177.      *
  178.      * @return The Cash Accumulation Rate
  179.      */

  180.     public double cashAccumulationRate()
  181.     {
  182.         return -1. * _repoRate;
  183.     }
  184. }