NetLiabilityCashFlow.java

  1. package org.drip.portfolioconstruction.alm;

  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>NetLiabilityCashFlow</i> holds the Investor Time Snap's Singular Liability Flow Details.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ALMAnalyticsLibrary.md">Asset Liability Management Analytics</a></li>
  87.  *      <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>
  88.  *      <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>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class NetLiabilityCashFlow
  95. {
  96.     private boolean _isAlive = false;
  97.     private boolean _isRetired = false;
  98.     private double _age = java.lang.Double.NaN;
  99.     private double _horizon = java.lang.Double.NaN;
  100.     private double _afterTaxIncome = java.lang.Double.NaN;
  101.     private double _pensionBenefits = java.lang.Double.NaN;
  102.     private double _basicConsumption = java.lang.Double.NaN;
  103.     private double _workingAgeIncome = java.lang.Double.NaN;
  104.     private double _pensionBenefitsDF = java.lang.Double.NaN;
  105.     private double _basicConsumptionDF = java.lang.Double.NaN;
  106.     private double _workingAgeIncomeDF = java.lang.Double.NaN;

  108.     /**
  109.      * NetLiabilityCashFlow Constructor
  110.      * 
  111.      * @param age The Investor Age
  112.      * @param isRetired The Retirement Indicator Flag
  113.      * @param isAlive The "Is Alive" Indicator Flag
  114.      * @param horizon The Snapshot's Investment Horizon
  115.      * @param afterTaxIncome The Basic After-Tax Income
  116.      * @param workingAgeIncome The Investor Working Age Income
  117.      * @param pensionBenefits The Investor Pension Benefits
  118.      * @param basicConsumption The Investor Basic Consumption
  119.      * @param workingAgeIncomeDF The Investor Working Age Income Discount Factor
  120.      * @param pensionBenefitsDF The Investor Pension Benefits Discount Factor
  121.      * @param basicConsumptionDF The Investor Basic Consumption Discount Factor
  122.      * 
  123.      * @throws java.lang.Exception Thrown if the Inputs are invalid
  124.      */

  126.     public NetLiabilityCashFlow (
  127.         final double age,
  128.         final boolean isRetired,
  129.         final boolean isAlive,
  130.         final double horizon,
  131.         final double afterTaxIncome,
  132.         final double workingAgeIncome,
  133.         final double pensionBenefits,
  134.         final double basicConsumption,
  135.         final double workingAgeIncomeDF,
  136.         final double pensionBenefitsDF,
  137.         final double basicConsumptionDF)
  138.         throws java.lang.Exception
  139.     {
  140.         if (!org.drip.numerical.common.NumberUtil.IsValid (_age = age) ||
  141.             !org.drip.numerical.common.NumberUtil.IsValid (_horizon = horizon) ||
  142.             !org.drip.numerical.common.NumberUtil.IsValid (_afterTaxIncome = afterTaxIncome) ||
  143.             !org.drip.numerical.common.NumberUtil.IsValid (_workingAgeIncome = workingAgeIncome) ||
  144.             !org.drip.numerical.common.NumberUtil.IsValid (_pensionBenefits = pensionBenefits) ||
  145.             !org.drip.numerical.common.NumberUtil.IsValid (_basicConsumption = basicConsumption) ||
  146.             !org.drip.numerical.common.NumberUtil.IsValid (_workingAgeIncomeDF = workingAgeIncomeDF) ||
  147.             !org.drip.numerical.common.NumberUtil.IsValid (_pensionBenefitsDF = pensionBenefitsDF) ||
  148.             !org.drip.numerical.common.NumberUtil.IsValid (_basicConsumptionDF = basicConsumptionDF))
  149.         {
  150.             throw new java.lang.Exception ("NetLiabilityCashFlow Constructor => Invalid Inputs");
  151.         }

  153.         _isAlive = isAlive;
  154.         _isRetired = isRetired;
  155.     }

  157.     /**
  158.      * Retrieve the Investor Age
  159.      * 
  160.      * @return The Investor Age
  161.      */

  163.     public double age()
  164.     {
  165.         return _age;
  166.     }

  168.     /**
  169.      * Retrieve the Retirement Indicator Flag
  170.      * 
  171.      * @return The Retirement Indicator Flag
  172.      */

  174.     public boolean isRetired()
  175.     {
  176.         return _isRetired;
  177.     }

  179.     /**
  180.      * Retrieve the "Is Alive" Indicator Flag
  181.      * 
  182.      * @return The "Is Alive" Indicator Flag
  183.      */

  185.     public boolean isAlive()
  186.     {
  187.         return _isAlive;
  188.     }

  190.     /**
  191.      * Retrieve the Snapshot's Investment Horizon
  192.      * 
  193.      * @return The Snapshot's Investment Horizon
  194.      */

  196.     public double horizon()
  197.     {
  198.         return _horizon;
  199.     }

  201.     /**
  202.      * Retrieve the Basic After-Tax Income
  203.      * 
  204.      * @return The Basic After-Tax Income
  205.      */

  207.     public double afterTaxIncome()
  208.     {
  209.         return _afterTaxIncome;
  210.     }

  212.     /**
  213.      * Retrieve the Investor Working Age Income
  214.      * 
  215.      * @return The Investor Working Age Income
  216.      */

  218.     public double workingAgeIncome()
  219.     {
  220.         return _workingAgeIncome;
  221.     }

  223.     /**
  224.      * Retrieve the Investor Pension Benefits
  225.      * 
  226.      * @return The Investor Pension Benefits
  227.      */

  229.     public double pensionBenefits()
  230.     {
  231.         return _pensionBenefits;
  232.     }

  234.     /**
  235.      * Retrieve the Investor Basic Consumption
  236.      * 
  237.      * @return The Investor Basic Consumption
  238.      */

  240.     public double basicConsumption()
  241.     {
  242.         return _basicConsumption;
  243.     }

  245.     /**
  246.      * Retrieve the Investor Working Age Income Discount Factor
  247.      * 
  248.      * @return The Investor Working Age Income Discount Factor
  249.      */

  251.     public double workingAgeIncomeDF()
  252.     {
  253.         return _workingAgeIncomeDF;
  254.     }

  256.     /**
  257.      * Retrieve the Investor Pension Benefits Discount Factor
  258.      * 
  259.      * @return The Investor Pension Benefits Discount Factor
  260.      */

  262.     public double pensionBenefitsDF()
  263.     {
  264.         return _pensionBenefitsDF;
  265.     }

  267.     /**
  268.      * Retrieve the Investor Basic Consumption Discount Factor
  269.      * 
  270.      * @return The Investor Basic Consumption Discount Factor
  271.      */

  273.     public double basicConsumptionDF()
  274.     {
  275.         return _basicConsumptionDF;
  276.     }
  277. }
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