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

  80. /**
  81.  * <i>PositionMarketSnap</i> contains the Metrics Snapshot associated with the relevant Manifest Measures for
  82.  * a given Position.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class PositionMarketSnap {
  96.     private double _dblMarketValue = java.lang.Double.NaN;
  97.     private org.drip.analytics.date.JulianDate _dtSnap = null;

  99.     private java.util.Map<java.lang.String, org.drip.historical.attribution.PositionManifestMeasureSnap>
  100.         _mapPMMS = new
  101.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.historical.attribution.PositionManifestMeasureSnap>();

  103.     private java.util.Map<java.lang.String, java.lang.String> _mapCustomC1 = new
  104.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.String>();

  106.     private java.util.Map<java.lang.String, java.lang.Double> _mapCustomR1 = new
  107.         org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  109.     private java.util.Map<java.lang.String, org.drip.analytics.date.JulianDate> _mapCustomDate = new
  110.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.analytics.date.JulianDate>();

  112.     /**
  113.      * PositionMarketSnap Constructor
  114.      * 
  115.      * @param dtSnap The Snapshot Date
  116.      * @param dblMarketValue The Snapshot Market Value
  117.      * 
  118.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  119.      */

  121.     public PositionMarketSnap (
  122.         final org.drip.analytics.date.JulianDate dtSnap,
  123.         final double dblMarketValue)
  124.         throws java.lang.Exception
  125.     {
  126.         if (null == (_dtSnap = dtSnap) || !org.drip.numerical.common.NumberUtil.IsValid (_dblMarketValue =
  127.             dblMarketValue))
  128.             throw new java.lang.Exception ("PositionMarketSnap Constructor: Invalid Inputs");
  129.     }

  131.     /**
  132.      * Retrieve the Date of the Snap
  133.      * 
  134.      * @return Date of the Snap
  135.      */

  137.     public org.drip.analytics.date.JulianDate snapDate()
  138.     {
  139.         return _dtSnap;
  140.     }

  142.     /**
  143.      * Retrieve the Position Market Value
  144.      * 
  145.      * @return The Position Market Value
  146.      */

  148.     public double marketValue()
  149.     {
  150.         return _dblMarketValue;
  151.     }

  153.     /**
  154.      * Add an Instance of the Position Manifest Measure Snap from the Specified Inputs
  155.      * 
  156.      * @param strManifestMeasure The Manifest Measure
  157.      * @param dblManifestMeasureRealization The Manifest Measure Realization
  158.      * @param dblManifestMeasureSensitivity The Manifest Measure Sensitivity
  159.      * @param dblManifestMeasureRollDown The Manifest Measure Roll Down
  160.      * 
  161.      * @return TRUE - The Manifest Measure Snap Metrics successfully added
  162.      */

  164.     public boolean addManifestMeasureSnap (
  165.         final java.lang.String strManifestMeasure,
  166.         final double dblManifestMeasureRealization,
  167.         final double dblManifestMeasureSensitivity,
  168.         final double dblManifestMeasureRollDown)
  169.     {
  170.         if (null == strManifestMeasure || strManifestMeasure.isEmpty()) return false;

  172.         try {
  173.             _mapPMMS.put (strManifestMeasure, new org.drip.historical.attribution.PositionManifestMeasureSnap
  174.                 (dblManifestMeasureRealization, dblManifestMeasureSensitivity, dblManifestMeasureRollDown));

  176.             return true;
  177.         } catch (java.lang.Exception e) {
  178.             e.printStackTrace();
  179.         }

  181.         return false;
  182.     }

  184.     /**
  185.      * Retrieve the Snapshot associated with the specified Manifest Measure
  186.      * 
  187.      * @param strManifestMeasure The Manifest Measure
  188.      * 
  189.      * @return The Snapshot associated with the specified Manifest Measure
  190.      */

  192.     public org.drip.historical.attribution.PositionManifestMeasureSnap manifestMeasureSnap (
  193.         final java.lang.String strManifestMeasure)
  194.     {
  195.         return null == strManifestMeasure || !_mapPMMS.containsKey (strManifestMeasure) ? null : _mapPMMS.get
  196.             (strManifestMeasure);
  197.     }

  199.     /**
  200.      * Retrieve the Set of Manifest Measures
  201.      * 
  202.      * @return The Set of Manifest Measures
  203.      */

  205.     public java.util.Set<java.lang.String> manifestMeasures()
  206.     {
  207.         return _mapPMMS.keySet();
  208.     }

  210.     /**
  211.      * Set the Custom Date Entry corresponding to the Specified Key
  212.      * 
  213.      * @param strKey The Key
  214.      * @param dtCustom The Custom Date Entry
  215.      * 
  216.      * @return TRUE - Custom Date successfully set
  217.      */

  219.     public boolean setDate (
  220.         final java.lang.String strKey,
  221.         final org.drip.analytics.date.JulianDate dtCustom)
  222.     {
  223.         if (null == strKey || strKey.isEmpty() || null == dtCustom) return false;

  225.         _mapCustomDate.put (strKey, dtCustom);

  227.         return true;
  228.     }

  230.     /**
  231.      * Retrieve the Custom Date Entry corresponding to the Specified Key
  232.      * 
  233.      * @param strKey The Key
  234.      * 
  235.      * @return The Custom Date Entry
  236.      */

  238.     public org.drip.analytics.date.JulianDate date (
  239.         final java.lang.String strKey)
  240.     {
  241.         return null == strKey || !_mapCustomDate.containsKey (strKey) ? null : _mapCustomDate.get (strKey);
  242.     }

  244.     /**
  245.      * Set the Custom C^1 Entry corresponding to the Specified Key
  246.      * 
  247.      * @param strKey The Key
  248.      * @param strC1 The Custom C^1 Entry
  249.      * 
  250.      * @return TRUE - Custom C^1 Entry successfully set
  251.      */

  253.     public boolean setC1 (
  254.         final java.lang.String strKey,
  255.         final java.lang.String strC1)
  256.     {
  257.         if (null == strKey || strKey.isEmpty() || null == strC1 || strC1.isEmpty()) return false;

  259.         _mapCustomC1.put (strKey, strC1);

  261.         return true;
  262.     }

  264.     /**
  265.      * Retrieve the Custom C^1 Entry corresponding to the Specified Key
  266.      * 
  267.      * @param strKey The Key
  268.      * 
  269.      * @return The Custom C^1 Entry
  270.      */

  272.     public java.lang.String c1 (
  273.         final java.lang.String strKey)
  274.     {
  275.         return null == strKey || !_mapCustomC1.containsKey (strKey) ? null : _mapCustomC1.get (strKey);
  276.     }

  278.     /**
  279.      * Set the Custom R^1 Entry corresponding to the Specified Key
  280.      * 
  281.      * @param strKey The Key
  282.      * @param dblR1 The Custom R^1 Entry
  283.      * @param bIgnoreNaN TRUE - Ignore NaN Entry
  284.      * 
  285.      * @return TRUE - Custom Number successfully set
  286.      */

  288.     public boolean setR1 (
  289.         final java.lang.String strKey,
  290.         final double dblR1,
  291.         final boolean bIgnoreNaN)
  292.     {
  293.         if (null == strKey || strKey.isEmpty() || (!bIgnoreNaN && !org.drip.numerical.common.NumberUtil.IsValid
  294.             (dblR1)))
  295.             return false;

  297.         _mapCustomR1.put (strKey, dblR1);

  299.         return true;
  300.     }

  302.     /**
  303.      * Set the Custom R^1 Entry corresponding to the Specified Key
  304.      * 
  305.      * @param strKey The Key
  306.      * @param dblR1 The Custom R^1 Entry
  307.      * 
  308.      * @return TRUE - Custom Number successfully set
  309.      */

  311.     public boolean setR1 (
  312.         final java.lang.String strKey,
  313.         final double dblR1)
  314.     {
  315.         return setR1 (strKey, dblR1, true);
  316.     }

  318.     /**
  319.      * Retrieve the Custom R^1 Entry corresponding to the Specified Key
  320.      * 
  321.      * @param strKey The Key
  322.      * 
  323.      * @return The Custom R^1 Entry
  324.      * 
  325.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  326.      */

  328.     public double r1 (
  329.         final java.lang.String strKey)
  330.         throws java.lang.Exception
  331.     {
  332.         if (null == strKey || !_mapCustomR1.containsKey (strKey))
  333.             throw new java.lang.Exception ("PositionMarketSnap::r1 => Invalid Inputs");

  335.         return _mapCustomR1.get (strKey);
  336.     }

  338.     /**
  339.      * Set the Market Measure Name
  340.      * 
  341.      * @param strMarketMeasureName The Market Measure Name
  342.      * 
  343.      * @return The Market Measure Name successfully set
  344.      */

  346.     public boolean setMarketMeasureName (
  347.         final java.lang.String strMarketMeasureName)
  348.     {
  349.         return setC1 ("MarketMeasureName", strMarketMeasureName);
  350.     }

  352.     /**
  353.      * Retrieve the Market Measure Name
  354.      * 
  355.      * @return The Market Measure Name
  356.      */

  358.     public java.lang.String marketMeasureName()
  359.     {
  360.         return c1 ("MarketMeasureName");
  361.     }

  363.     /**
  364.      * Set the Market Measure Value
  365.      * 
  366.      * @param dblMarketMeasureValue The Market Measure Value
  367.      * 
  368.      * @return The Market Measure Value successfully set
  369.      */

  371.     public boolean setMarketMeasureValue (
  372.         final double dblMarketMeasureValue)
  373.     {
  374.         return setR1 ("MarketMeasureValue", dblMarketMeasureValue);
  375.     }

  377.     /**
  378.      * Retrieve the Market Measure Value
  379.      * 
  380.      * @return The Market Measure Value
  381.      * 
  382.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  383.      */

  385.     public double marketMeasureValue()
  386.         throws java.lang.Exception
  387.     {
  388.         return r1 ("MarketMeasureValue");
  389.     }

  391.     /**
  392.      * Set the Cumulative Coupon Amount
  393.      * 
  394.      * @param dblCumulativeCouponAmount The Cumulative Coupon Amount
  395.      * 
  396.      * @return TRUE - The Cumulative Coupon Amount successfully set
  397.      */

  399.     public boolean setCumulativeCouponAmount (
  400.         final double dblCumulativeCouponAmount)
  401.     {
  402.         return setR1 ("CumulativeCouponAmount", dblCumulativeCouponAmount);
  403.     }

  405.     /**
  406.      * Retrieve the Cumulative Coupon Amount
  407.      * 
  408.      * @return The Cumulative Coupon Amount
  409.      * 
  410.      * @throws java.lang.Exception Thrown if the Cumulative Coupon Amount cannot be obtained
  411.      */

  413.     public double cumulativeCouponAmount()
  414.         throws java.lang.Exception
  415.     {
  416.         return r1 ("CumulativeCouponAmount");
  417.     }

  419.     /**
  420.      * Retrieve the Row of Header Fields
  421.      * 
  422.      * @param strPrefix The Prefix that precedes each Header Field
  423.      * 
  424.      * @return The Row of Header Fields
  425.      */

  427.     public java.lang.String header (
  428.         final java.lang.String strPrefix)
  429.     {
  430.         java.lang.String strHeader = "";

  432.         for (java.lang.String strR1Key : _mapCustomR1.keySet())
  433.             strHeader = strHeader + strPrefix + strR1Key + ",";

  435.         for (java.lang.String strC1Key : _mapCustomC1.keySet())
  436.             strHeader = strHeader + strPrefix + strC1Key + ",";

  438.         for (java.lang.String strDateKey : _mapCustomDate.keySet())
  439.             strHeader = strHeader + strPrefix + strDateKey + ",";

  441.         return strHeader;
  442.     }

  444.     /**
  445.      * Retrieve the Row of Content Fields
  446.      * 
  447.      * @return The Row of Content Fields
  448.      */

  450.     public java.lang.String content()
  451.     {
  452.         java.lang.String strContent = "";

  454.         for (java.lang.String strR1Key : _mapCustomR1.keySet())
  455.             strContent = strContent + org.drip.numerical.common.FormatUtil.FormatDouble (_mapCustomR1.get
  456.                 (strR1Key), 1, 8, 1.) + ",";

  458.         for (java.lang.String strC1Key : _mapCustomC1.keySet())
  459.             strContent = strContent + _mapCustomC1.get (strC1Key) + ",";

  461.         for (java.lang.String strDateKey : _mapCustomDate.keySet())
  462.             strContent = strContent + _mapCustomDate.get (strDateKey).toString() + ",";

  464.         return strContent;
  465.     }
  466. }
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