PositionGroupContainer.java
package org.drip.exposure.holdings;
/*
* -*- 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>PositionGroupContainer</i> contains a Set of Position/Collateral Groups. 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>
* 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/holdings/README.md">Holdings Exposure - Position and Dependencies</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class PositionGroupContainer
{
private org.drip.exposure.holdings.PositionGroup[] _positionGroupArray = null;
/**
* Generate a PositionGroupContainer Instance with a Solo Group
*
* @param positionGroup The PositionGroup Instance
*
* @return The Solo PositionGroupContainer
*/
public static final PositionGroupContainer Solo (
final org.drip.exposure.holdings.PositionGroup positionGroup)
{
try
{
return new PositionGroupContainer (
new org.drip.exposure.holdings.PositionGroup[]
{
positionGroup
}
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* PositionGroupContainer Constructor
*
* @param positionGroupArray The Position Group Array
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PositionGroupContainer (
final org.drip.exposure.holdings.PositionGroup[] positionGroupArray)
throws java.lang.Exception
{
if (null == (_positionGroupArray = positionGroupArray))
{
throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
}
int positionGroupCount = _positionGroupArray.length;
if (0 == positionGroupCount)
{
throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
}
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
if (null == _positionGroupArray[positionGroupIndex])
{
throw new java.lang.Exception ("PositionGroupContainer Constructor => Invalid Inputs");
}
}
}
/**
* Retrieve the Array of Position Groups
*
* @return The Array of Position Groups
*/
public org.drip.exposure.holdings.PositionGroup[] positionGroupArray()
{
return _positionGroupArray;
}
/**
* Retrieve the Number of the Positions in the Container
*
* @return Number of the Positions in the Container
*/
public int count()
{
return _positionGroupArray.length;
}
/**
* Set the Specific Position Group's Collateral Group Path
*
* @param positionGroupIndex The Index in the Position Group
* @param collateralGroupPath Collateral Group Path
*
* @return TRUE - The Collateral Group Path successfully set
*/
public boolean setCollateralGroupPath (
final int positionGroupIndex,
final org.drip.xva.netting.CollateralGroupPath collateralGroupPath)
{
return positionGroupIndex >= count() ? false :
_positionGroupArray[positionGroupIndex].setCollateralGroupPath (collateralGroupPath);
}
/**
* Retrieve the Position Groups Sorted into Credit Debt Group Segments
*
* @return Map of the Position Groups Sorted into Credit Debt Group Segments
*/
public java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment> creditDebtSegments()
{
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>
creditDebtPositionGroupSegment = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>();
int positionGroupCount = _positionGroupArray.length;
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
org.drip.exposure.holdings.PositionGroup positionGroup = _positionGroupArray[positionGroupIndex];
java.lang.String groupID =
positionGroup.positionGroupSpecification().creditDebtGroupSpecification().id();
boolean segmentPresent = creditDebtPositionGroupSegment.containsKey (groupID);
org.drip.exposure.holdings.PositionGroupSegment positionGroupSegment = segmentPresent ?
creditDebtPositionGroupSegment.get (groupID) : new org.drip.exposure.holdings.PositionGroupSegment();
positionGroupSegment.add (positionGroup);
if (!segmentPresent)
{
creditDebtPositionGroupSegment.put (
groupID,
positionGroupSegment
);
}
}
return creditDebtPositionGroupSegment;
}
/**
* Retrieve the Array of Position Groups Collected into Credit Debt Group Collateral Vertex Paths
*
* @return Array of the Position Groups Collected into Credit Debt Group Collateral Vertex Paths
*/
public org.drip.xva.netting.CollateralGroupPath[][] creditDebtSegmentPaths()
{
java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
creditDebtPositionGroupSegment = creditDebtSegments();
int creditDebtPositionGroupSegmentCount = creditDebtPositionGroupSegment.size();
int creditDebtPositionGroupSegmentIndex = 0;
org.drip.xva.netting.CollateralGroupPath[][] creditDebtSegmentPathArray = new
org.drip.xva.netting.CollateralGroupPath[creditDebtPositionGroupSegmentCount][];
for (java.util.Map.Entry<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
creditDebtPositionGroupSegmentEntry : creditDebtPositionGroupSegment.entrySet())
{
creditDebtSegmentPathArray[creditDebtPositionGroupSegmentIndex++] =
creditDebtPositionGroupSegmentEntry.getValue().collateralGroupPathArray();
}
return creditDebtSegmentPathArray;
}
/**
* Retrieve the Position Groups Sorted into Funding Group Segments
*
* @return Map of the Position Groups Sorted into Funding Group Segments
*/
public java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment> fundingSegments()
{
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>
fundingPositionGroupSegment = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.exposure.holdings.PositionGroupSegment>();
int positionGroupCount = _positionGroupArray.length;
for (int positionGroupIndex = 0; positionGroupIndex < positionGroupCount; ++positionGroupIndex)
{
org.drip.exposure.holdings.PositionGroup positionGroup = _positionGroupArray[positionGroupIndex];
java.lang.String groupID =
positionGroup.positionGroupSpecification().fundingGroupSpecification().id();
boolean segmentPresent = fundingPositionGroupSegment.containsKey (groupID);
org.drip.exposure.holdings.PositionGroupSegment positionGroupSegment = segmentPresent ?
fundingPositionGroupSegment.get (groupID) : new org.drip.exposure.holdings.PositionGroupSegment();
positionGroupSegment.add (positionGroup);
if (!segmentPresent)
{
fundingPositionGroupSegment.put (
groupID,
positionGroupSegment
);
}
}
return fundingPositionGroupSegment;
}
/**
* Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
*
* @return Array of the Position Groups Collected into Funding Group Collateral Vertex Paths
*/
public org.drip.xva.netting.CollateralGroupPath[][] fundingSegmentPaths()
{
java.util.Map<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
fundingPositionGroupSegment = fundingSegments();
int fundingPositionGroupSegmentCount = fundingPositionGroupSegment.size();
int fundingPositionGroupSegmentIndex = 0;
org.drip.xva.netting.CollateralGroupPath[][] fundingSegmentPathArray = new
org.drip.xva.netting.CollateralGroupPath[fundingPositionGroupSegmentCount][];
for (java.util.Map.Entry<java.lang.String, org.drip.exposure.holdings.PositionGroupSegment>
fundingPositionGroupSegmentEntry : fundingPositionGroupSegment.entrySet())
{
fundingSegmentPathArray[fundingPositionGroupSegmentIndex++] =
fundingPositionGroupSegmentEntry.getValue().collateralGroupPathArray();
}
return fundingSegmentPathArray;
}
}