NetLiabilityCashFlow.java
package org.drip.portfolioconstruction.alm;
/*
* -*- 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
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 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>NetLiabilityCashFlow</i> holds the Investor Time Snap's Singular Liability Flow Details.
*
* <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/ALMAnalyticsLibrary.md">Asset Liability Management Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/alm/README.md">Sharpe-Tint Asset Liability Manager</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class NetLiabilityCashFlow
{
private boolean _isAlive = false;
private boolean _isRetired = false;
private double _age = java.lang.Double.NaN;
private double _horizon = java.lang.Double.NaN;
private double _afterTaxIncome = java.lang.Double.NaN;
private double _pensionBenefits = java.lang.Double.NaN;
private double _basicConsumption = java.lang.Double.NaN;
private double _workingAgeIncome = java.lang.Double.NaN;
private double _pensionBenefitsDF = java.lang.Double.NaN;
private double _basicConsumptionDF = java.lang.Double.NaN;
private double _workingAgeIncomeDF = java.lang.Double.NaN;
/**
* NetLiabilityCashFlow Constructor
*
* @param age The Investor Age
* @param isRetired The Retirement Indicator Flag
* @param isAlive The "Is Alive" Indicator Flag
* @param horizon The Snapshot's Investment Horizon
* @param afterTaxIncome The Basic After-Tax Income
* @param workingAgeIncome The Investor Working Age Income
* @param pensionBenefits The Investor Pension Benefits
* @param basicConsumption The Investor Basic Consumption
* @param workingAgeIncomeDF The Investor Working Age Income Discount Factor
* @param pensionBenefitsDF The Investor Pension Benefits Discount Factor
* @param basicConsumptionDF The Investor Basic Consumption Discount Factor
*
* @throws java.lang.Exception Thrown if the Inputs are invalid
*/
public NetLiabilityCashFlow (
final double age,
final boolean isRetired,
final boolean isAlive,
final double horizon,
final double afterTaxIncome,
final double workingAgeIncome,
final double pensionBenefits,
final double basicConsumption,
final double workingAgeIncomeDF,
final double pensionBenefitsDF,
final double basicConsumptionDF)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_age = age) ||
!org.drip.numerical.common.NumberUtil.IsValid (_horizon = horizon) ||
!org.drip.numerical.common.NumberUtil.IsValid (_afterTaxIncome = afterTaxIncome) ||
!org.drip.numerical.common.NumberUtil.IsValid (_workingAgeIncome = workingAgeIncome) ||
!org.drip.numerical.common.NumberUtil.IsValid (_pensionBenefits = pensionBenefits) ||
!org.drip.numerical.common.NumberUtil.IsValid (_basicConsumption = basicConsumption) ||
!org.drip.numerical.common.NumberUtil.IsValid (_workingAgeIncomeDF = workingAgeIncomeDF) ||
!org.drip.numerical.common.NumberUtil.IsValid (_pensionBenefitsDF = pensionBenefitsDF) ||
!org.drip.numerical.common.NumberUtil.IsValid (_basicConsumptionDF = basicConsumptionDF))
{
throw new java.lang.Exception ("NetLiabilityCashFlow Constructor => Invalid Inputs");
}
_isAlive = isAlive;
_isRetired = isRetired;
}
/**
* Retrieve the Investor Age
*
* @return The Investor Age
*/
public double age()
{
return _age;
}
/**
* Retrieve the Retirement Indicator Flag
*
* @return The Retirement Indicator Flag
*/
public boolean isRetired()
{
return _isRetired;
}
/**
* Retrieve the "Is Alive" Indicator Flag
*
* @return The "Is Alive" Indicator Flag
*/
public boolean isAlive()
{
return _isAlive;
}
/**
* Retrieve the Snapshot's Investment Horizon
*
* @return The Snapshot's Investment Horizon
*/
public double horizon()
{
return _horizon;
}
/**
* Retrieve the Basic After-Tax Income
*
* @return The Basic After-Tax Income
*/
public double afterTaxIncome()
{
return _afterTaxIncome;
}
/**
* Retrieve the Investor Working Age Income
*
* @return The Investor Working Age Income
*/
public double workingAgeIncome()
{
return _workingAgeIncome;
}
/**
* Retrieve the Investor Pension Benefits
*
* @return The Investor Pension Benefits
*/
public double pensionBenefits()
{
return _pensionBenefits;
}
/**
* Retrieve the Investor Basic Consumption
*
* @return The Investor Basic Consumption
*/
public double basicConsumption()
{
return _basicConsumption;
}
/**
* Retrieve the Investor Working Age Income Discount Factor
*
* @return The Investor Working Age Income Discount Factor
*/
public double workingAgeIncomeDF()
{
return _workingAgeIncomeDF;
}
/**
* Retrieve the Investor Pension Benefits Discount Factor
*
* @return The Investor Pension Benefits Discount Factor
*/
public double pensionBenefitsDF()
{
return _pensionBenefitsDF;
}
/**
* Retrieve the Investor Basic Consumption Discount Factor
*
* @return The Investor Basic Consumption Discount Factor
*/
public double basicConsumptionDF()
{
return _basicConsumptionDF;
}
}