PositionChangeComponents.java

  1. package org.drip.historical.attribution;

  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.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>PositionChangeComponents</i> contains the Decomposition of the Components of the Interval Change for a
  83.  * given Position.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/README.md">Historical State Processing Utilities</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/historical/attribution/README.md">Position Market Change Components Attribution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class PositionChangeComponents {
  97.     private boolean _bChangeTypeReturn = false;
  98.     private double _dblAccrualChange = java.lang.Double.NaN;
  99.     private org.drip.historical.attribution.PositionMarketSnap _pmsFirst = null;
  100.     private org.drip.historical.attribution.PositionMarketSnap _pmsSecond = null;
  101.     private org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> _mapDifferenceMetric = null;

  103.     /**
  104.      * PositionChangeComponents Constructor
  105.      * 
  106.      * @param bChangeTypeReturn TRUE - Change Type is Return (Relative)
  107.      * @param pmsFirst The First Position Market Snapshot Instance
  108.      * @param pmsSecond The Second Position Market Snapshot Instance
  109.      * @param dblAccrualChange The Accrual Change Component of Interval Return/Change
  110.      * @param mapDifferenceMetric The Map of Difference Metrics
  111.      * 
  112.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  113.      */

  115.     public PositionChangeComponents (
  116.         final boolean bChangeTypeReturn,
  117.         final org.drip.historical.attribution.PositionMarketSnap pmsFirst,
  118.         final org.drip.historical.attribution.PositionMarketSnap pmsSecond,
  119.         final double dblAccrualChange,
  120.         final org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> mapDifferenceMetric)
  121.         throws java.lang.Exception
  122.     {
  123.         _bChangeTypeReturn = bChangeTypeReturn;
  124.         _mapDifferenceMetric = mapDifferenceMetric;

  126.         if (null == (_pmsFirst = pmsFirst) || null == (_pmsSecond = pmsSecond) ||
  127.             _pmsFirst.snapDate().julian() >= _pmsSecond.snapDate().julian() ||
  128.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblAccrualChange = dblAccrualChange))
  129.             throw new java.lang.Exception ("PositionChangeComponents Constructor => Invalid Inputs!");
  130.     }

  132.     /**
  133.      * Return the Position Change Type
  134.      * 
  135.      * @return TRUE - Change Type is Return (Relative)
  136.      */

  138.     public boolean changeTypeReturn()
  139.     {
  140.         return _bChangeTypeReturn;
  141.     }

  143.     /**
  144.      * Retrieve the Set of Manifest Measures
  145.      * 
  146.      * @return The Set of Manifest Measures
  147.      */

  149.     public java.util.Set<java.lang.String> manifestMeasures()
  150.     {
  151.         return _pmsFirst.manifestMeasures();
  152.     }

  154.     /**
  155.      * Retrieve the First Position Market Snapshot Instance
  156.      * 
  157.      * @return The First Position Market Snapshot Instance
  158.      */

  160.     public org.drip.historical.attribution.PositionMarketSnap pmsFirst()
  161.     {
  162.         return _pmsFirst;
  163.     }

  165.     /**
  166.      * Retrieve the Second Position Market Snapshot Instance
  167.      * 
  168.      * @return The Second Position Market Snapshot Instance
  169.      */

  171.     public org.drip.historical.attribution.PositionMarketSnap pmsSecond()
  172.     {
  173.         return _pmsSecond;
  174.     }

  176.     /**
  177.      * Retrieve the First Date
  178.      * 
  179.      * @return The First Date
  180.      */

  182.     public org.drip.analytics.date.JulianDate firstDate()
  183.     {
  184.         return _pmsFirst.snapDate();
  185.     }

  187.     /**
  188.      * Retrieve the Second Date
  189.      * 
  190.      * @return The Second Date
  191.      */

  193.     public org.drip.analytics.date.JulianDate secondDate()
  194.     {
  195.         return _pmsSecond.snapDate();
  196.     }

  198.     /**
  199.      * Retrieve the Gross Interval Clean Change
  200.      * 
  201.      * @return The Gross Interval Clean Change
  202.      */

  204.     public double grossCleanChange()
  205.     {
  206.         return _pmsSecond.marketValue() - _pmsFirst.marketValue();
  207.     }

  209.     /**
  210.      * Retrieve the Gross Interval Change
  211.      * 
  212.      * @return The Gross Interval Change
  213.      */

  215.     public double grossChange()
  216.     {
  217.         return grossCleanChange() + _dblAccrualChange;
  218.     }

  220.     /**
  221.      * Retrieve the Specific Manifest Measure Market Realization Position Change
  222.      * 
  223.      * @param strManifestMeasure The Manifest Measure
  224.      * 
  225.      * @return The Specific Manifest Measure Market Realization Position Change
  226.      * 
  227.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  228.      */

  230.     public double specificMarketRealizationChange (
  231.         final java.lang.String strManifestMeasure)
  232.         throws java.lang.Exception
  233.     {
  234.         org.drip.historical.attribution.PositionManifestMeasureSnap pmmsFirst = _pmsFirst.manifestMeasureSnap
  235.             (strManifestMeasure);

  237.         org.drip.historical.attribution.PositionManifestMeasureSnap pmmsSecond = _pmsSecond.manifestMeasureSnap
  238.             (strManifestMeasure);

  240.         if (null == pmmsFirst || null == pmmsSecond)
  241.             throw new java.lang.Exception
  242.                 ("PositionChangeComponents::specificMarketRealizationChange => Invalid Inputs");

  244.         return 0.5 * (pmmsFirst.sensitivity() + pmmsSecond.sensitivity()) * (pmmsSecond.realization() -
  245.             pmmsFirst.realization());
  246.     }

  248.     /**
  249.      * Retrieve the Full Manifest Measure Realization Position Change
  250.      * 
  251.      * @return The Full Manifest Measure Realization Position Change
  252.      * 
  253.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  254.      */

  256.     public double marketRealizationChange()
  257.         throws java.lang.Exception
  258.     {
  259.         java.util.Set<java.lang.String> setstrManiFestMeasure = _pmsFirst.manifestMeasures();

  261.         if (null == setstrManiFestMeasure || 0 == setstrManiFestMeasure.size())
  262.             throw new java.lang.Exception
  263.                 ("PositionChangeComponents::marketRealizationChange => No Manifest Measures");

  265.         double dblMarketRealizationChange = 0.;

  267.         for (java.lang.String strManifestMeasure : setstrManiFestMeasure)
  268.             dblMarketRealizationChange += specificMarketRealizationChange (strManifestMeasure);

  270.         return dblMarketRealizationChange;
  271.     }

  273.     /**
  274.      * Retrieve the Specific Manifest Measure Market Sensitivity Position Change
  275.      * 
  276.      * @param strManifestMeasure The Manifest Measure
  277.      * 
  278.      * @return The Specific Manifest Measure Market Sensitivity Position Change
  279.      * 
  280.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  281.      */

  283.     public double specificMarketSensitivityChange (
  284.         final java.lang.String strManifestMeasure)
  285.         throws java.lang.Exception
  286.     {
  287.         org.drip.historical.attribution.PositionManifestMeasureSnap pmmsFirst = _pmsFirst.manifestMeasureSnap
  288.             (strManifestMeasure);

  290.         org.drip.historical.attribution.PositionManifestMeasureSnap pmmsSecond =
  291.             _pmsSecond.manifestMeasureSnap (strManifestMeasure);

  293.         if (null == pmmsFirst || null == pmmsSecond)
  294.             throw new java.lang.Exception
  295.                 ("PositionChangeComponents::specificMarketSensitivityChange => Invalid Inputs");

  297.         return 0.5 * (pmmsFirst.realization() + pmmsSecond.realization()) * (pmmsSecond.sensitivity() -
  298.             pmmsFirst.sensitivity());
  299.     }

  301.     /**
  302.      * Retrieve the Full Manifest Measure Market Sensitivity Position Change
  303.      * 
  304.      * @return The Full Manifest Measure Market Sensitivity Position Change
  305.      * 
  306.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  307.      */

  309.     public double marketSensitivityChange()
  310.         throws java.lang.Exception
  311.     {
  312.         java.util.Set<java.lang.String> setstrManiFestMeasure = _pmsFirst.manifestMeasures();

  314.         if (null == setstrManiFestMeasure || 0 == setstrManiFestMeasure.size())
  315.             throw new java.lang.Exception
  316.                 ("PositionChangeComponents::marketSensitivityChange => No Manifest Measures");

  318.         double dblMarketSensitivityChange = 0.;

  320.         for (java.lang.String strManifestMeasure : setstrManiFestMeasure)
  321.             dblMarketSensitivityChange += specificMarketSensitivityChange (strManifestMeasure);

  323.         return dblMarketSensitivityChange;
  324.     }

  326.     /**
  327.      * Retrieve the Specific Manifest Measure Market Roll-down Position Change
  328.      * 
  329.      * @param strManifestMeasure The Manifest Measure
  330.      * 
  331.      * @return The Specific Manifest Measure Market Roll-down Position Change
  332.      * 
  333.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  334.      */

  336.     public double specificMarketRollDownChange (
  337.         final java.lang.String strManifestMeasure)
  338.         throws java.lang.Exception
  339.     {
  340.         org.drip.historical.attribution.PositionManifestMeasureSnap pmmsFirst = _pmsFirst.manifestMeasureSnap
  341.             (strManifestMeasure);

  343.         if (null == pmmsFirst)
  344.             throw new java.lang.Exception
  345.                 ("PositionChangeComponents::specificMarketRollDownChange => Invalid Inputs");

  347.         return pmmsFirst.sensitivity() * (pmmsFirst.rollDown() - pmmsFirst.realization());
  348.     }

  350.     /**
  351.      * Retrieve the Full Manifest Measure Roll-down Position Change
  352.      * 
  353.      * @return The Full Manifest Measure Roll-down Position Change
  354.      * 
  355.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  356.      */

  358.     public double marketRollDownChange()
  359.         throws java.lang.Exception
  360.     {
  361.         java.util.Set<java.lang.String> setstrManiFestMeasure = _pmsFirst.manifestMeasures();

  363.         if (null == setstrManiFestMeasure || 0 == setstrManiFestMeasure.size())
  364.             throw new java.lang.Exception
  365.                 ("PositionChangeComponents::marketRollDownChange => No Manifest Measures");

  367.         double dblMarketRollDownChange = 0.;

  369.         for (java.lang.String strManifestMeasure : setstrManiFestMeasure)
  370.             dblMarketRollDownChange += specificMarketRollDownChange (strManifestMeasure);

  372.         return dblMarketRollDownChange;
  373.     }

  375.     /**
  376.      * Retrieve the Accrual Interval Change
  377.      * 
  378.      * @return The Accrual Interval Change
  379.      */

  381.     public double accrualChange()
  382.     {
  383.         return _dblAccrualChange;
  384.     }

  386.     /**
  387.      * Retrieve the Explained Interval Change
  388.      * 
  389.      * @return The Explained Interval Change
  390.      * 
  391.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  392.      */

  394.     public double explainedChange()
  395.         throws java.lang.Exception
  396.     {
  397.         return marketRealizationChange() + marketRollDownChange();
  398.     }

  400.     /**
  401.      * Retrieve the Unexplained Interval Change
  402.      * 
  403.      * @return The Unexplained Interval Change
  404.      * 
  405.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  406.      */

  408.     public double unexplainedChange()
  409.         throws java.lang.Exception
  410.     {
  411.         return grossChange() - explainedChange();
  412.     }

  414.     /**
  415.      * Retrieve the Map of Difference Metrics
  416.      * 
  417.      * @return The Map of Difference Metrics
  418.      */

  420.     public org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> differenceMetric()
  421.     {
  422.         return _mapDifferenceMetric;
  423.     }

  425.     /**
  426.      * Retrieve the Row of Header Fields
  427.      * 
  428.      * @return The Row of Header Fields
  429.      */

  431.     public java.lang.String header()
  432.     {
  433.         java.lang.String strHeader = "FirstDate,SecondDate,TotalPnL,TotalCleanPnL,MarketShiftPnL," +
  434.             "RollDownPnL,AccrualPnL,ExplainedPnL,UnexplainedPnL," + _pmsFirst.header ("first") +
  435.                 _pmsSecond.header ("second");

  437.         if (null == _mapDifferenceMetric) return strHeader;

  439.         for (java.lang.String strKey : _mapDifferenceMetric.keySet())
  440.             strHeader = strHeader + strKey + "change,";

  442.         return strHeader;
  443.     }

  445.     /**
  446.      * Retrieve the Row of Content Fields
  447.      * 
  448.      * @return The Row of Content Fields
  449.      */

  451.     public java.lang.String content()
  452.     {
  453.         java.lang.String strContent = firstDate().toString() + "," + secondDate().toString() + ",";

  455.         strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (grossChange(), 1, 8, 1.) +
  456.             ",";

  458.         strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (grossCleanChange(), 1, 8,
  459.             1.) + ",";

  461.         try {
  462.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble
  463.                 (marketRealizationChange(), 1, 8, 1.) + ",";

  465.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (marketRollDownChange(),
  466.                 1, 8, 1.) + ",";

  468.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (_dblAccrualChange, 1, 8,
  469.                 1.) + ",";

  471.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (explainedChange(), 1, 8,
  472.                 1.) + ",";

  474.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (unexplainedChange(), 1,
  475.                 8, 1.) + ",";
  476.         } catch (java.lang.Exception e) {
  477.             e.printStackTrace();

  479.             return null;
  480.         }

  482.         strContent = strContent + _pmsFirst.content() + _pmsSecond.content();

  484.         if (null == _mapDifferenceMetric) return strContent;

  486.         for (java.lang.String strKey : _mapDifferenceMetric.keySet())
  487.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (_mapDifferenceMetric.get
  488.                 (strKey), 1, 8, 1.) + ",";

  490.         return strContent;
  491.     }
  492. }
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