LatentStateWeiner.java

  1. package org.drip.exposure.universe;

  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>LatentStateWeiner</i> generates the Edge Latent State Weiner Increments across Trajectory Vertexes
  80.  * needed for computing the Valuation Adjustment. The References are:
  81.  *  
  82.  * <br><br>
  83.  *      <ul>
  84.  *          <li>
  85.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  86.  *                  (12)</b> 82-87
  87.  *          </li>
  88.  *          <li>
  89.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  90.  *          </li>
  91.  *          <li>
  92.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  93.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  94.  *          </li>
  95.  *          <li>
  96.  *              Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  97.  *                  86-90
  98.  *          </li>
  99.  *          <li>
  100.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  101.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  102.  *          </li>
  103.  *          <li>
  104.  *      </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  110.  *      <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>
  111.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/universe/README.md">Exposure Generation - Market States Simulation</a></li>
  112.  *  </ul>
  113.  * 
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class LatentStateWeiner
  118. {
  119.     private java.util.Map<java.lang.String, double[]> _latentStateWeinerMap = new
  120.         org.drip.analytics.support.CaseInsensitiveHashMap<double[]>();

  122.     /**
  123.      * Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
  124.      * 
  125.      * @param latentStateLabelList Latent State Label List
  126.      * @param latentStateWeinerIncrementArray Latent State Weiner Increment Array
  127.      * 
  128.      * @return Instance of LatentStateWeiner
  129.      */

  131.     public static final LatentStateWeiner FromUnitRandom (
  132.         final java.util.List<org.drip.state.identifier.LatentStateLabel> latentStateLabelList,
  133.         final double[][] latentStateWeinerIncrementArray)
  134.     {
  135.         if (null == latentStateLabelList || null == latentStateWeinerIncrementArray)
  136.         {
  137.             return null;
  138.         }

  140.         int latentStateCount = latentStateLabelList.size();

  142.         if (0 == latentStateCount || latentStateCount != latentStateWeinerIncrementArray.length)
  143.         {
  144.             return null;
  145.         }

  147.         LatentStateWeiner latentStateWeiner = new LatentStateWeiner();

  149.         for (int latentStateIndex = 0; latentStateIndex < latentStateCount; ++latentStateIndex)
  150.         {
  151.             if (!latentStateWeiner.add (
  152.                 latentStateLabelList.get (latentStateIndex),
  153.                 latentStateWeinerIncrementArray[latentStateIndex]))
  154.             {
  155.                 return null;
  156.             }
  157.         }

  159.         return latentStateWeiner;
  160.     }

  162.     /**
  163.      * Empty LatentStateWeiner Constructor
  164.      */

  166.     public LatentStateWeiner()
  167.     {
  168.     }

  170.     /**
  171.      * Retrieve the Count of the Latent States Available
  172.      * 
  173.      * @return The Count of the Latent States Available
  174.      */

  176.     public int stateCount()
  177.     {
  178.         return _latentStateWeinerMap.size();
  179.     }

  181.     /**
  182.      * Add the Weiner Increment corresponding to the Specified Latent State Label
  183.      * 
  184.      * @param latentStateLabel The Latent State Label
  185.      * @param weinerIncrementArray The Weiner Increment Array
  186.      * 
  187.      * @return TRUE -The Weiner Increment corresponding to the Specified Latent State Label
  188.      */

  190.     public boolean add (
  191.         final org.drip.state.identifier.LatentStateLabel latentStateLabel,
  192.         final double[] weinerIncrementArray)
  193.     {
  194.         if (null == latentStateLabel ||
  195.             null == weinerIncrementArray ||
  196.             0 == weinerIncrementArray.length ||
  197.             !org.drip.numerical.common.NumberUtil.IsValid (weinerIncrementArray))
  198.         {
  199.             return false;
  200.         }

  202.         _latentStateWeinerMap.put (
  203.             latentStateLabel.fullyQualifiedName(),
  204.             weinerIncrementArray
  205.         );

  207.         return true;
  208.     }

  210.     /**
  211.      * Retrieve the Latent State Weiner Increment Map
  212.      * 
  213.      * @return The Latent State Weiner Increment Map
  214.      */

  216.     public java.util.Map<java.lang.String, double[]> latentStateWeinerMap()
  217.     {
  218.         return _latentStateWeinerMap;
  219.     }

  221.     /**
  222.      * Indicate if the specified Latent State is available in the Weiner Increment Map
  223.      * 
  224.      * @param latentStateLabel Latent State Label
  225.      * 
  226.      * @return TRUE - The specified Latent State is available in the Weiner Increment Map
  227.      */

  229.     public boolean containsLatentState (
  230.         final org.drip.state.identifier.LatentStateLabel latentStateLabel)
  231.     {
  232.         return null != latentStateLabel && _latentStateWeinerMap.containsKey
  233.             (latentStateLabel.fullyQualifiedName());
  234.     }

  236.     /**
  237.      * Retrieve the Weiner Increment Array for the Specified Latent State
  238.      * 
  239.      * @param latentStateLabel Latent State Label
  240.      * 
  241.      * @return The Weiner Increment Array for the Specified Latent State
  242.      */

  244.     public double[] incrementArray (
  245.         final org.drip.state.identifier.LatentStateLabel latentStateLabel)
  246.     {
  247.         return containsLatentState (latentStateLabel) ? _latentStateWeinerMap.get
  248.             (latentStateLabel.fullyQualifiedName()) : null;
  249.     }
  250. }
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