ProjectionExposure.java

package org.drip.portfolioconstruction.bayesian;

/*
 * -*- 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>ProjectionExposure</i> holds the Projection Exposure Loadings that Weight the Exposure to the
 * Projection Pick Portfolio. The Reference is:
 *  
 *  <br><br>
 *      <ul>
 *          <li>
 *              He. G., and R. Litterman (1999): <i>The Intuition behind the Black-Litterman Model
 *                  Portfolios</i> <b>Goldman Sachs Asset Management</b>
 *          <li>
 *      </ul>
 *
 *  <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/AssetAllocationAnalyticsLibrary.md">Asset Allocation 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/bayesian/README.md">Black Litterman Bayesian Portfolio Construction</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class ProjectionExposure
{
    private double[] _interViewComponentArray = null;
    private double[] _intraViewComponentArray = null;
    private double[] _priorViewComponentArray = null;
    private double[][] _compositeConfidenceCovarianceMatrix = null;

    /**
     * ProjectionExposure Constructor
     * 
     * @param intraViewComponentArray Array of Per-View View-Specific Exposure Component Array
     * @param interViewComponentArray Array of Per-View Exposure Contribution Array from other Views
     * @param priorViewComponentArray Array of View-Specific Per-View Components Array
     * @param compositeConfidenceCovarianceMatrix Composite Confidence Co-variance Matrix
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public ProjectionExposure (
        final double[] intraViewComponentArray,
        final double[] interViewComponentArray,
        final double[] priorViewComponentArray,
        final double[][] compositeConfidenceCovarianceMatrix)
        throws java.lang.Exception
    {
        if (null == (_intraViewComponentArray = intraViewComponentArray) ||
            null == (_interViewComponentArray = interViewComponentArray) ||
            null == (_priorViewComponentArray = priorViewComponentArray) ||
            null == (_compositeConfidenceCovarianceMatrix = compositeConfidenceCovarianceMatrix))
        {
            throw new java.lang.Exception ("ProjectionExposure Constructor => Invalid Inputs");
        }

        int viewCount = _intraViewComponentArray.length;

        if (0 == viewCount ||
            viewCount != _interViewComponentArray.length ||
            viewCount != _priorViewComponentArray.length ||
            viewCount != _compositeConfidenceCovarianceMatrix.length)
        {
            throw new java.lang.Exception ("ProjectionExposure Constructor => Invalid Inputs");
        }

        for (int viewIndex = 0; viewIndex < viewCount; ++viewIndex)
        {
            if (!org.drip.numerical.common.NumberUtil.IsValid (_intraViewComponentArray[viewIndex]) ||
                !org.drip.numerical.common.NumberUtil.IsValid (_interViewComponentArray[viewIndex]) ||
                !org.drip.numerical.common.NumberUtil.IsValid (_priorViewComponentArray[viewIndex]) ||
                null == _compositeConfidenceCovarianceMatrix[viewIndex] ||
                viewCount != _compositeConfidenceCovarianceMatrix[viewIndex].length)
            {
                throw new java.lang.Exception ("ProjectionExposure Constructor => Invalid Inputs");
            }
        }
    }

    /**
     * Retrieve the Single View Joint Contribution Component Array
     * 
     * @return The Single View Joint Contribution Component Array
     */

    public double[] intraViewComponentArray()
    {
        return _intraViewComponentArray;
    }

    /**
     * Retrieve the View/View Joint Contribution Component Array
     * 
     * @return The View/View Joint Contribution Component Array
     */

    public double[] interViewComponentArray()
    {
        return _interViewComponentArray;
    }

    /**
     * Retrieve the Prior/View Joint Contribution Component Array
     * 
     * @return The Prior/View Joint Contribution Component Array
     */

    public double[] priorViewComponentArray()
    {
        return _priorViewComponentArray;
    }

    /**
     * Retrieve the Composite Confidence Co-variance Matrix
     * 
     * @return The Composite Confidence Co-variance Matrix
     */

    public double[][] compositeConfidenceCovarianceMatrix()
    {
        return _compositeConfidenceCovarianceMatrix;
    }

    /**
     * Compute the Array of Cumulative View Loading Component Array
     * 
     * @return The Array of Cumulative View Loading Component Array
     */

    public double[] cumulativeViewComponentLoadingArray()
    {
        int viewCount = _intraViewComponentArray.length;
        double[] cumulativeViewComponentLoadingArray = new double[viewCount];

        for (int viewIndex = 0; viewIndex < viewCount; ++viewIndex)
        {
            cumulativeViewComponentLoadingArray[viewIndex] = _intraViewComponentArray[viewIndex] +
                _interViewComponentArray[viewIndex] + _priorViewComponentArray[viewIndex];
        }

        return cumulativeViewComponentLoadingArray;
    }
}