PrimarySecurityDynamicsContainer.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.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>PrimarySecurityDynamicsContainer</i> holds the Economy with the following Traded Assets - the Overnight
  81.  * Index Numeraire, the Collateral Scheme Numeraire, the Default-able Dealer Bond Numeraire, the Array of
  82.  * Default-able Client Numeraires, and an Asset that follows Brownian Motion. The References are:
  83.  *  
  84.  * <br><br>
  85.  *      <ul>
  86.  *          <li>
  87.  *              Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
  88.  *                  the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  89.  *                  <b>eSSRN</b>
  90.  *          </li>
  91.  *          <li>
  92.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  93.  *                  (12)</b> 82-87
  94.  *          </li>
  95.  *          <li>
  96.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  97.  *          </li>
  98.  *          <li>
  99.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  100.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  101.  *          </li>
  102.  *          <li>
  103.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  104.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  105.  *          </li>
  106.  *          <li>
  107.  *      </ul>
  108.  *
  109.  *  <br><br>
  110.  *  <ul>
  111.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  112.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  113.  *      <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>
  114.  *      <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>
  115.  *  </ul>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class PrimarySecurityDynamicsContainer extends org.drip.exposure.evolver.DynamicsContainer
  121. {
  122.     private java.lang.String _csaID = null;
  123.     private java.lang.String _overnightID = null;
  124.     private java.lang.String _clientFundingID = null;
  125.     private java.lang.String _dealerSeniorFundingID = null;
  126.     private java.lang.String _dealerSubordinateFundingID = null;
  127.     private java.util.List<java.lang.String> _assetIDList = null;

  129.     /**
  130.      * PrimarySecurityDynamicsContainer Constructor
  131.      * 
  132.      * @param assetList The List of Asset Primary Securities
  133.      * @param overnight The Overnight Index Primary Security
  134.      * @param csa The CSA Primary Security
  135.      * @param dealerSeniorFunding Dealer Senior Funding Primary Security
  136.      * @param dealerSubordinateFunding Dealer Subordinate Funding Primary Security
  137.      * @param clientFunding Client Funding Primary Security
  138.      * 
  139.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  140.      */

  142.     public PrimarySecurityDynamicsContainer (
  143.         final java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList,
  144.         final org.drip.exposure.evolver.PrimarySecurity overnight,
  145.         final org.drip.exposure.evolver.PrimarySecurity csa,
  146.         final org.drip.exposure.evolver.PrimarySecurity dealerSeniorFunding,
  147.         final org.drip.exposure.evolver.PrimarySecurity dealerSubordinateFunding,
  148.         final org.drip.exposure.evolver.PrimarySecurity clientFunding)
  149.         throws java.lang.Exception
  150.     {
  151.         if (!addPrimarySecurity (overnight) ||
  152.             !addPrimarySecurity (csa) ||
  153.             !addPrimarySecurity (dealerSeniorFunding) ||
  154.             !addPrimarySecurity (clientFunding) ||
  155.             !addPrimarySecurity (dealerSubordinateFunding))
  156.         {
  157.             throw new java.lang.Exception ("PrimarySecurityDynamicsContainer Constructor => Invalid Inputs");
  158.         }

  160.         if (null != assetList && 0 != assetList.size())
  161.         {
  162.             _assetIDList = new java.util.ArrayList<java.lang.String>();

  164.             for (org.drip.exposure.evolver.PrimarySecurity asset : assetList)
  165.             {
  166.                 addPrimarySecurity (asset);

  168.                 if (null != asset)
  169.                 {
  170.                     _assetIDList.add (asset.id());
  171.                 }
  172.             }
  173.         }

  175.         org.drip.state.identifier.LatentStateLabel csaLabel = csa.label();

  177.         org.drip.state.identifier.LatentStateLabel overnightLabel = overnight.label();

  179.         org.drip.state.identifier.LatentStateLabel clientFundingLabel = clientFunding.label();

  181.         org.drip.state.identifier.LatentStateLabel dealerSeniorFundingLabel = dealerSeniorFunding.label();

  183.         org.drip.state.identifier.LatentStateLabel dealerSubordinateFundingLabel = null ==
  184.             dealerSubordinateFunding ? null : dealerSubordinateFunding.label();

  186.         if (!(csaLabel instanceof org.drip.state.identifier.CSALabel) ||
  187.             !(overnightLabel instanceof org.drip.state.identifier.OvernightLabel) ||
  188.             !(dealerSeniorFundingLabel instanceof org.drip.state.identifier.EntityFundingLabel) ||
  189.             !(clientFundingLabel instanceof org.drip.state.identifier.EntityFundingLabel) ||
  190.             (null != dealerSubordinateFundingLabel && !(dealerSubordinateFundingLabel instanceof
  191.                 org.drip.state.identifier.EntityFundingLabel)))
  192.         {
  193.             throw new java.lang.Exception ("PrimarySecurityDynamicsContainer Constructor => Invalid Inputs");
  194.         }

  196.         _csaID = csa.id();

  198.         _overnightID = overnight.id();

  200.         _clientFundingID = clientFunding.id();

  202.         _dealerSeniorFundingID = dealerSeniorFunding.id();

  204.         _dealerSubordinateFundingID = null == dealerSubordinateFundingLabel ? null :
  205.             dealerSubordinateFunding.id();
  206.     }

  208.     /**
  209.      * Retrieve the Asset Primary Security List
  210.      * 
  211.      * @return The Asset Primary Security List
  212.      */

  214.     public java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList()
  215.     {
  216.         if (null == _assetIDList || 0 == _assetIDList.size())
  217.         {
  218.             return null;
  219.         }

  221.         java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList = new
  222.             java.util.ArrayList<org.drip.exposure.evolver.PrimarySecurity>();

  224.         for (java.lang.String assetID : _assetIDList)
  225.         {
  226.             assetList.add (primarySecurity (assetID));
  227.         }

  229.         return assetList;
  230.     }

  232.     /**
  233.      * Retrieve the Overnight Index Primary Security
  234.      * 
  235.      * @return The Overnight Index Primary Security
  236.      */

  238.     public org.drip.exposure.evolver.PrimarySecurity overnight()
  239.     {
  240.         return primarySecurity (_overnightID);
  241.     }

  243.     /**
  244.      * Retrieve the CSA Primary Security
  245.      * 
  246.      * @return The CSA Primary Security
  247.      */

  249.     public org.drip.exposure.evolver.PrimarySecurity csa()
  250.     {
  251.         return primarySecurity (_csaID);
  252.     }

  254.     /**
  255.      * Retrieve the Dealer Senior Funding Primary Security
  256.      * 
  257.      * @return The Dealer Senior Funding Primary Security
  258.      */

  260.     public org.drip.exposure.evolver.PrimarySecurity dealerSeniorFunding()
  261.     {
  262.         return primarySecurity (_dealerSeniorFundingID);
  263.     }

  265.     /**
  266.      * Retrieve the Dealer Subordinate Funding Primary Security
  267.      * 
  268.      * @return The Dealer Subordinate Funding Primary Security
  269.      */

  271.     public org.drip.exposure.evolver.PrimarySecurity dealerSubordinateFunding()
  272.     {
  273.         return primarySecurity (_dealerSubordinateFundingID);
  274.     }

  276.     /**
  277.      * Retrieve the Client Funding Primary Security
  278.      * 
  279.      * @return The Client Funding Primary Security
  280.      */

  282.     public org.drip.exposure.evolver.PrimarySecurity clientFunding()
  283.     {
  284.         return primarySecurity (_clientFundingID);
  285.     }
  286. }
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