PositionGroupContainer.java

  1. package org.drip.exposure.holdings;

  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>PositionGroupContainer</i> contains a Set of Position/Collateral Groups. The References are:
  80.  *  
  81.  * <br><br>
  82.  *      <ul>
  83.  *          <li>
  84.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  85.  *                  (12)</b> 82-87
  86.  *          </li>
  87.  *          <li>
  88.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  89.  *          </li>
  90.  *          <li>
  91.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  92.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  93.  *          </li>
  94.  *          <li>
  95.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  96.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  97.  *          </li>
  98.  *          <li>
  99.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  100.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  101.  *          </li>
  102.  *          <li>
  103.  *      </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  109.  *      <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>
  110.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/holdings/README.md">Holdings Exposure - Position and Dependencies</a></li>
  111.  *  </ul>
  112.  * 
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class PositionGroupContainer
  117. {
  118.     private org.drip.exposure.holdings.PositionGroup[] _positionGroupArray = null;

  120.     /**
  121.      * Generate a PositionGroupContainer Instance with a Solo Group
  122.      * 
  123.      * @param positionGroup The PositionGroup Instance
  124.      * 
  125.      * @return The Solo PositionGroupContainer
  126.      */

  128.     public static final PositionGroupContainer Solo (
  129.         final org.drip.exposure.holdings.PositionGroup positionGroup)
  130.     {
  131.         try
  132.         {
  133.             return new PositionGroupContainer (
  134.                 new org.drip.exposure.holdings.PositionGroup[]
  135.                 {
  136.                     positionGroup
  137.                 }
  138.             );
  139.         }
  140.         catch (java.lang.Exception e)
  141.         {
  142.             e.printStackTrace();
  143.         }

  145.         return null;
  146.     }

  148.     /**
  149.      * PositionGroupContainer Constructor
  150.      * 
  151.      * @param positionGroupArray The Position Group Array
  152.      * 
  153.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  154.      */

  156.     public PositionGroupContainer (
  157.         final org.drip.exposure.holdings.PositionGroup[] positionGroupArray)
  158.         throws java.lang.Exception
  159.     {
  160.         if (null == (_positionGroupArray = positionGroupArray))
  161.         {
  162.             throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
  163.         }

  165.         int positionGroupCount = _positionGroupArray.length;

  167.         if (0 == positionGroupCount)
  168.         {
  169.             throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
  170.         }

  172.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  173.         {
  174.             if (null == _positionGroupArray[positionGroupIndex])
  175.             {
  176.                 throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
  177.             }
  178.         }
  179.     }

  181.     /**
  182.      * Retrieve the Array of Position Groups
  183.      * 
  184.      * @return The Array of Position Groups
  185.      */

  187.     public org.drip.exposure.holdings.PositionGroup[] positionGroupArray()
  188.     {
  189.         return _positionGroupArray;
  190.     }

  192.     /**
  193.      * Retrieve the Number of the Positions in the Container
  194.      * 
  195.      * @return Number of the Positions in the Container
  196.      */

  198.     public int count()
  199.     {
  200.         return _positionGroupArray.length;
  201.     }

  203.     /**
  204.      * Set the Specific Position Group's Collateral Group Path
  205.      * 
  206.      * @param positionGroupIndex The Index in the Position Group
  207.      * @param collateralGroupPath Collateral Group Path
  208.      * 
  209.      * @return TRUE - The Collateral Group Path successfully set
  210.      */

  212.     public boolean setCollateralGroupPath (
  213.         final int positionGroupIndex,
  214.         final org.drip.xva.netting.CollateralGroupPath collateralGroupPath)
  215.     {
  216.         return positionGroupIndex >= count() ? false :
  217.             _positionGroupArray[positionGroupIndex].setCollateralGroupPath (collateralGroupPath);
  218.     }

  220.     /**
  221.      * Retrieve the Position Groups Sorted into Credit Debt Group Segments
  222.      * 
  223.      * @return Map of the Position Groups Sorted into Credit Debt Group Segments
  224.      */

  226.     public java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment> creditDebtSegments()
  227.     {
  228.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>
  229.             creditDebtPositionGroupSegment = new
  230.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>();

  232.         int positionGroupCount = _positionGroupArray.length;

  234.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  235.         {
  236.             org.drip.exposure.holdings.PositionGroup positionGroup = _positionGroupArray[positionGroupIndex];

  238.             java.lang.String groupID =
  239.                 positionGroup.positionGroupSpecification().creditDebtGroupSpecification().id();

  241.             boolean segmentPresent = creditDebtPositionGroupSegment.containsKey (groupID);

  243.             org.drip.exposure.holdings.PositionGroupSegment positionGroupSegment = segmentPresent ?
  244.                 creditDebtPositionGroupSegment.get (groupID) : new org.drip.exposure.holdings.PositionGroupSegment();

  246.             positionGroupSegment.add (positionGroup);

  248.             if (!segmentPresent)
  249.             {
  250.                 creditDebtPositionGroupSegment.put (
  251.                     groupID,
  252.                     positionGroupSegment
  253.                 );
  254.             }
  255.         }

  257.         return creditDebtPositionGroupSegment;
  258.     }

  260.     /**
  261.      * Retrieve the Array of Position Groups Collected into Credit Debt Group Collateral Vertex Paths
  262.      * 
  263.      * @return Array of the Position Groups Collected into Credit Debt Group Collateral Vertex Paths
  264.      */

  266.     public org.drip.xva.netting.CollateralGroupPath[][] creditDebtSegmentPaths()
  267.     {
  268.         java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
  269.             creditDebtPositionGroupSegment = creditDebtSegments();

  271.         int creditDebtPositionGroupSegmentCount = creditDebtPositionGroupSegment.size();

  273.         int creditDebtPositionGroupSegmentIndex = 0;
  274.         org.drip.xva.netting.CollateralGroupPath[][] creditDebtSegmentPathArray = new
  275.             org.drip.xva.netting.CollateralGroupPath[creditDebtPositionGroupSegmentCount][];

  277.         for (java.util.Map.Entry<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
  278.             creditDebtPositionGroupSegmentEntry : creditDebtPositionGroupSegment.entrySet())
  279.         {
  280.             creditDebtSegmentPathArray[creditDebtPositionGroupSegmentIndex++] =
  281.                 creditDebtPositionGroupSegmentEntry.getValue().collateralGroupPathArray();
  282.         }

  284.         return creditDebtSegmentPathArray;
  285.     }

  287.     /**
  288.      * Retrieve the Position Groups Sorted into Funding Group Segments
  289.      * 
  290.      * @return Map of the Position Groups Sorted into Funding Group Segments
  291.      */

  293.     public java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment> fundingSegments()
  294.     {
  295.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>
  296.             fundingPositionGroupSegment = new
  297.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>();

  299.         int positionGroupCount = _positionGroupArray.length;

  301.         for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
  302.         {
  303.             org.drip.exposure.holdings.PositionGroup positionGroup = _positionGroupArray[positionGroupIndex];

  305.             java.lang.String groupID =
  306.                 positionGroup.positionGroupSpecification().fundingGroupSpecification().id();

  308.             boolean segmentPresent = fundingPositionGroupSegment.containsKey (groupID);

  310.             org.drip.exposure.holdings.PositionGroupSegment positionGroupSegment = segmentPresent ?
  311.                 fundingPositionGroupSegment.get (groupID) : new org.drip.exposure.holdings.PositionGroupSegment();

  313.             positionGroupSegment.add (positionGroup);

  315.             if (!segmentPresent)
  316.             {
  317.                 fundingPositionGroupSegment.put (
  318.                     groupID,
  319.                     positionGroupSegment
  320.                 );
  321.             }
  322.         }

  324.         return fundingPositionGroupSegment;
  325.     }

  327.     /**
  328.      * Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
  329.      * 
  330.      * @return Array of the Position Groups Collected into Funding Group Collateral Vertex Paths
  331.      */

  333.     public org.drip.xva.netting.CollateralGroupPath[][] fundingSegmentPaths()
  334.     {
  335.         java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
  336.             fundingPositionGroupSegment = fundingSegments();

  338.         int fundingPositionGroupSegmentCount = fundingPositionGroupSegment.size();

  340.         int fundingPositionGroupSegmentIndex = 0;
  341.         org.drip.xva.netting.CollateralGroupPath[][] fundingSegmentPathArray = new
  342.             org.drip.xva.netting.CollateralGroupPath[fundingPositionGroupSegmentCount][];

  344.         for (java.util.Map.Entry<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
  345.             fundingPositionGroupSegmentEntry : fundingPositionGroupSegment.entrySet())
  346.         {
  347.             fundingSegmentPathArray[fundingPositionGroupSegmentIndex++] =
  348.                 fundingPositionGroupSegmentEntry.getValue().collateralGroupPathArray();
  349.         }

  351.         return fundingSegmentPathArray;
  352.     }
  353. }
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