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;
}
}