PrimarySecurityDynamicsContainer.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
* Copyright (C) 2017 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>PrimarySecurityDynamicsContainer</i> holds the Economy with the following Traded Assets - the Overnight
* Index Numeraire, the Collateral Scheme Numeraire, the Default-able Dealer Bond Numeraire, the Array of
* Default-able Client Numeraires, and an Asset that follows Brownian Motion. 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 PrimarySecurityDynamicsContainer extends org.drip.exposure.evolver.DynamicsContainer
{
private java.lang.String _csaID = null;
private java.lang.String _overnightID = null;
private java.lang.String _clientFundingID = null;
private java.lang.String _dealerSeniorFundingID = null;
private java.lang.String _dealerSubordinateFundingID = null;
private java.util.List<java.lang.String> _assetIDList = null;
/**
* PrimarySecurityDynamicsContainer Constructor
*
* @param assetList The List of Asset Primary Securities
* @param overnight The Overnight Index Primary Security
* @param csa The CSA Primary Security
* @param dealerSeniorFunding Dealer Senior Funding Primary Security
* @param dealerSubordinateFunding Dealer Subordinate Funding Primary Security
* @param clientFunding Client Funding Primary Security
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PrimarySecurityDynamicsContainer (
final java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList,
final org.drip.exposure.evolver.PrimarySecurity overnight,
final org.drip.exposure.evolver.PrimarySecurity csa,
final org.drip.exposure.evolver.PrimarySecurity dealerSeniorFunding,
final org.drip.exposure.evolver.PrimarySecurity dealerSubordinateFunding,
final org.drip.exposure.evolver.PrimarySecurity clientFunding)
throws java.lang.Exception
{
if (!addPrimarySecurity (overnight) ||
!addPrimarySecurity (csa) ||
!addPrimarySecurity (dealerSeniorFunding) ||
!addPrimarySecurity (clientFunding) ||
!addPrimarySecurity (dealerSubordinateFunding))
{
throw new java.lang.Exception ("PrimarySecurityDynamicsContainer Constructor => Invalid Inputs");
}
if (null != assetList && 0 != assetList.size())
{
_assetIDList = new java.util.ArrayList<java.lang.String>();
for (org.drip.exposure.evolver.PrimarySecurity asset : assetList)
{
addPrimarySecurity (asset);
if (null != asset)
{
_assetIDList.add (asset.id());
}
}
}
org.drip.state.identifier.LatentStateLabel csaLabel = csa.label();
org.drip.state.identifier.LatentStateLabel overnightLabel = overnight.label();
org.drip.state.identifier.LatentStateLabel clientFundingLabel = clientFunding.label();
org.drip.state.identifier.LatentStateLabel dealerSeniorFundingLabel = dealerSeniorFunding.label();
org.drip.state.identifier.LatentStateLabel dealerSubordinateFundingLabel = null ==
dealerSubordinateFunding ? null : dealerSubordinateFunding.label();
if (!(csaLabel instanceof org.drip.state.identifier.CSALabel) ||
!(overnightLabel instanceof org.drip.state.identifier.OvernightLabel) ||
!(dealerSeniorFundingLabel instanceof org.drip.state.identifier.EntityFundingLabel) ||
!(clientFundingLabel instanceof org.drip.state.identifier.EntityFundingLabel) ||
(null != dealerSubordinateFundingLabel && !(dealerSubordinateFundingLabel instanceof
org.drip.state.identifier.EntityFundingLabel)))
{
throw new java.lang.Exception ("PrimarySecurityDynamicsContainer Constructor => Invalid Inputs");
}
_csaID = csa.id();
_overnightID = overnight.id();
_clientFundingID = clientFunding.id();
_dealerSeniorFundingID = dealerSeniorFunding.id();
_dealerSubordinateFundingID = null == dealerSubordinateFundingLabel ? null :
dealerSubordinateFunding.id();
}
/**
* Retrieve the Asset Primary Security List
*
* @return The Asset Primary Security List
*/
public java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList()
{
if (null == _assetIDList || 0 == _assetIDList.size())
{
return null;
}
java.util.List<org.drip.exposure.evolver.PrimarySecurity> assetList = new
java.util.ArrayList<org.drip.exposure.evolver.PrimarySecurity>();
for (java.lang.String assetID : _assetIDList)
{
assetList.add (primarySecurity (assetID));
}
return assetList;
}
/**
* Retrieve the Overnight Index Primary Security
*
* @return The Overnight Index Primary Security
*/
public org.drip.exposure.evolver.PrimarySecurity overnight()
{
return primarySecurity (_overnightID);
}
/**
* Retrieve the CSA Primary Security
*
* @return The CSA Primary Security
*/
public org.drip.exposure.evolver.PrimarySecurity csa()
{
return primarySecurity (_csaID);
}
/**
* Retrieve the Dealer Senior Funding Primary Security
*
* @return The Dealer Senior Funding Primary Security
*/
public org.drip.exposure.evolver.PrimarySecurity dealerSeniorFunding()
{
return primarySecurity (_dealerSeniorFundingID);
}
/**
* Retrieve the Dealer Subordinate Funding Primary Security
*
* @return The Dealer Subordinate Funding Primary Security
*/
public org.drip.exposure.evolver.PrimarySecurity dealerSubordinateFunding()
{
return primarySecurity (_dealerSubordinateFundingID);
}
/**
* Retrieve the Client Funding Primary Security
*
* @return The Client Funding Primary Security
*/
public org.drip.exposure.evolver.PrimarySecurity clientFunding()
{
return primarySecurity (_clientFundingID);
}
}