AssetUniverseStatisticalProperties.java
package org.drip.portfolioconstruction.params;
/*
* -*- 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>AssetUniverseStatisticalProperties</i> holds the Statistical Properties of a Pool of Assets.
*
* <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/params/README.md">Asset Universe Statistical Properties Container</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AssetUniverseStatisticalProperties
{
private double _riskFreeRate = java.lang.Double.NaN;
private
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.portfolioconstruction.params.AssetStatisticalProperties>
_assetUniverseStatisticalPropertiesMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.portfolioconstruction.params.AssetStatisticalProperties>();
private org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> _correlationMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
/**
* Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics
* Instance
*
* @param multivariateMoments The MultivariateMetrics Instance
*
* @return The AssetUniverseStatisticalProperties Instance
*/
public static final AssetUniverseStatisticalProperties FromMultivariateMetrics (
final org.drip.measure.statistics.MultivariateMoments multivariateMoments)
{
if (null == multivariateMoments)
{
return null;
}
java.util.Set<java.lang.String> assetSet = multivariateMoments.variateList();
if (null == assetSet || 0 == assetSet.size())
{
return null;
}
try
{
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties =
new AssetUniverseStatisticalProperties (0.);
for (java.lang.String asset : assetSet)
{
if (!assetUniverseStatisticalProperties.setAssetStatisticalProperties (
new org.drip.portfolioconstruction.params.AssetStatisticalProperties (
asset,
asset,
multivariateMoments.mean (asset),
multivariateMoments.variance (asset)
)
))
{
return null;
}
}
for (java.lang.String asset1 : assetSet)
{
for (java.lang.String asset2 : assetSet)
{
if (!assetUniverseStatisticalProperties.setCorrelation (
asset1,
asset2,
multivariateMoments.correlation (
asset1,
asset2
)
))
{
return null;
}
}
}
return assetUniverseStatisticalProperties;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* AssetUniverseStatisticalProperties Constructor
*
* @param riskFreeRate The Risk Free Rate
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AssetUniverseStatisticalProperties (
final double riskFreeRate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
_riskFreeRate = riskFreeRate
))
{
throw new java.lang.Exception (
"AssetUniverseStatisticalProperties Constructor => Invalid Inputs"
);
}
}
/**
* Set the AssetStatisticalProperties Instance
*
* @param assetStatisticalProperties AssetStatisticalProperties Instance
*
* @return TRUE - AssetStatisticalProperties Instance Successfully added
*/
public boolean setAssetStatisticalProperties (
final org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties)
{
if (null == assetStatisticalProperties)
{
return false;
}
_assetUniverseStatisticalPropertiesMap.put (
assetStatisticalProperties.id(),
assetStatisticalProperties
);
return true;
}
/**
* Set the Correlation Between the Specified Pair of Assets
*
* @param id1 Asset #1
* @param id2 Asset #2
* @param correlation Cross-asset Correlation
*
* @return Correlation Between the Specified Pair of Assets
*/
public boolean setCorrelation (
final java.lang.String id1,
final java.lang.String id2,
final double correlation)
{
if (null == id1 || id1.isEmpty() ||
null == id2 || id2.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (
correlation
) || 1. < correlation || -1. > correlation
)
{
return false;
}
_correlationMap.put (
id1 + "@#" + id2,
correlation
);
_correlationMap.put (
id2 + "@#" + id1,
correlation
);
return true;
}
/**
* Retrieve the Risk Free Rate
*
* @return The Risk Free Rate
*/
public double riskFreeRate()
{
return _riskFreeRate;
}
/**
* Retrieve the AssetStatisticalProperties Instance corresponding to the specified ID
*
* @param id The AssetStatisticalProperties ID
*
* @return The AssetStatisticalProperties Instance
*/
public org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties (
final java.lang.String id)
{
return null == id || id.isEmpty() || !_assetUniverseStatisticalPropertiesMap.containsKey (
id
) ? null : _assetUniverseStatisticalPropertiesMap.get (
id
);
}
/**
* Retrieve the Correlation between the Specified Assets
*
* @param id1 Asset #1
* @param id2 Asset #2
*
* @return Correlation between the Specified Assets
*
* @throws java.lang.Exception Thtrown if the Inputs are Invalid
*/
public double correlation (
final java.lang.String id1,
final java.lang.String id2)
throws java.lang.Exception
{
if (null == id1 || id1.isEmpty() ||
null == id2 || id2.isEmpty())
{
throw new java.lang.Exception (
"AssetUniverseStatisticalProperties::correlation => Invalid Inputs"
);
}
if (id1.equalsIgnoreCase (
id2
))
{
return 1.;
}
java.lang.String strCorrelationSlot = id1 + "@#" + id2;
if (!_correlationMap.containsKey (
strCorrelationSlot
))
{
throw new java.lang.Exception (
"AssetUniverseStatisticalProperties::correlation => Invalid Inputs"
);
}
return _correlationMap.get (
strCorrelationSlot
);
}
/**
* Retrieve the Asset Expected Returns Array
*
* @param idArray Array of Asset IDs
*
* @return The Asset Covariance Matrix
*/
public double[] expectedReturns (
final java.lang.String[] idArray)
{
if (null == idArray)
{
return null;
}
int assetCount = idArray.length;
double[] expectedReturnsArray = new double[assetCount];
if (0 == assetCount)
{
return null;
}
for (int assetIndex = 0;
assetIndex < assetCount;
++assetIndex)
{
org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties =
assetStatisticalProperties (
idArray[assetIndex]
);
if (null == assetStatisticalProperties)
{
return null;
}
expectedReturnsArray[assetIndex] = assetStatisticalProperties.expectedReturn();
}
return expectedReturnsArray;
}
/**
* Retrieve the Asset Covariance Matrix
*
* @param idArray Array of Asset IDs
*
* @return The Asset Covariance Matrix
*/
public double[][] covariance (
final java.lang.String[] idArray)
{
if (null == idArray)
{
return null;
}
int assetCount = idArray.length;
double[][] covarianceMatrix = new double[assetCount][assetCount];
if (0 == assetCount)
{
return null;
}
for (int assetIndexI = 0;
assetIndexI < assetCount;
++assetIndexI)
{
org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesI =
assetStatisticalProperties (idArray[assetIndexI]);
if (null == assetStatisticalPropertiesI)
{
return null;
}
double dblVarianceI = assetStatisticalPropertiesI.variance();
for (int assetIndexJ = 0;
assetIndexJ < assetCount;
++assetIndexJ)
{
org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesJ
= assetStatisticalProperties (
idArray[assetIndexJ]
);
if (null == assetStatisticalPropertiesJ)
{
return null;
}
try
{
covarianceMatrix[assetIndexI][assetIndexJ] = java.lang.Math.sqrt (
dblVarianceI * assetStatisticalPropertiesJ.variance()
) * correlation (
idArray[assetIndexI],
idArray[assetIndexJ]
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
}
return covarianceMatrix;
}
}