AssetUniverseStatisticalProperties.java

  1. package org.drip.portfolioconstruction.params;

  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>AssetUniverseStatisticalProperties</i> holds the Statistical Properties of a Pool of Assets.
  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/AssetAllocationAnalyticsLibrary.md">Asset Allocation 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/params/README.md">Asset Universe Statistical Properties Container</a></li>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class AssetUniverseStatisticalProperties
  96. {
  97.     private double _riskFreeRate = java.lang.Double.NaN;

  99.     private
  100.         org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.portfolioconstruction.params.AssetStatisticalProperties>
  101.             _assetUniverseStatisticalPropertiesMap = new
  102.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.portfolioconstruction.params.AssetStatisticalProperties>();

  104.     private org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double> _correlationMap =
  105.         new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  107.     /**
  108.      * Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics
  109.      *  Instance
  110.      * 
  111.      * @param multivariateMoments The MultivariateMetrics Instance
  112.      * 
  113.      * @return The AssetUniverseStatisticalProperties Instance
  114.      */

  116.     public static final AssetUniverseStatisticalProperties FromMultivariateMetrics (
  117.         final org.drip.measure.statistics.MultivariateMoments multivariateMoments)
  118.     {
  119.         if (null == multivariateMoments)
  120.         {
  121.             return null;
  122.         }

  124.         java.util.Set<java.lang.String> assetSet = multivariateMoments.variateList();

  126.         if (null == assetSet || 0 == assetSet.size())
  127.         {
  128.             return null;
  129.         }

  131.         try
  132.         {
  133.             AssetUniverseStatisticalProperties assetUniverseStatisticalProperties =
  134.                 new AssetUniverseStatisticalProperties (0.);

  136.             for (java.lang.String asset : assetSet)
  137.             {
  138.                 if (!assetUniverseStatisticalProperties.setAssetStatisticalProperties (
  139.                     new org.drip.portfolioconstruction.params.AssetStatisticalProperties (
  140.                         asset,
  141.                         asset,
  142.                         multivariateMoments.mean (asset),
  143.                         multivariateMoments.variance (asset)
  144.                     )
  145.                 ))
  146.                 {
  147.                     return null;
  148.                 }
  149.             }

  151.             for (java.lang.String asset1 : assetSet)
  152.             {
  153.                 for (java.lang.String asset2 : assetSet)
  154.                 {
  155.                     if (!assetUniverseStatisticalProperties.setCorrelation (
  156.                         asset1,
  157.                         asset2,
  158.                         multivariateMoments.correlation (
  159.                             asset1,
  160.                             asset2
  161.                         )
  162.                     ))
  163.                     {
  164.                         return null;
  165.                     }
  166.                 }
  167.             }

  169.             return assetUniverseStatisticalProperties;
  170.         }
  171.         catch (java.lang.Exception e)
  172.         {
  173.             e.printStackTrace();
  174.         }

  176.         return null;
  177.     }

  179.     /**
  180.      * AssetUniverseStatisticalProperties Constructor
  181.      * 
  182.      * @param riskFreeRate The Risk Free Rate
  183.      * 
  184.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  185.      */

  187.     public AssetUniverseStatisticalProperties (
  188.         final double riskFreeRate)
  189.         throws java.lang.Exception
  190.     {
  191.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  192.             _riskFreeRate = riskFreeRate
  193.         ))
  194.         {
  195.             throw new java.lang.Exception (
  196.                 "AssetUniverseStatisticalProperties Constructor => Invalid Inputs"
  197.             );
  198.         }
  199.     }

  201.     /**
  202.      * Set the AssetStatisticalProperties Instance
  203.      * 
  204.      * @param assetStatisticalProperties AssetStatisticalProperties Instance
  205.      * 
  206.      * @return TRUE - AssetStatisticalProperties Instance Successfully added
  207.      */

  209.     public boolean setAssetStatisticalProperties (
  210.         final org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties)
  211.     {
  212.         if (null == assetStatisticalProperties)
  213.         {
  214.             return false;
  215.         }

  217.         _assetUniverseStatisticalPropertiesMap.put (
  218.             assetStatisticalProperties.id(),
  219.             assetStatisticalProperties
  220.         );

  222.         return true;
  223.     }

  225.     /**
  226.      * Set the Correlation Between the Specified Pair of Assets
  227.      * 
  228.      * @param id1 Asset #1
  229.      * @param id2 Asset #2
  230.      * @param correlation Cross-asset Correlation
  231.      * 
  232.      * @return Correlation Between the Specified Pair of Assets
  233.      */

  235.     public boolean setCorrelation (
  236.         final java.lang.String id1,
  237.         final java.lang.String id2,
  238.         final double correlation)
  239.     {
  240.         if (null == id1 || id1.isEmpty() ||
  241.             null == id2 || id2.isEmpty() ||
  242.             !org.drip.numerical.common.NumberUtil.IsValid (
  243.                 correlation
  244.             ) || 1. < correlation || -1. > correlation
  245.         )
  246.         {
  247.             return false;
  248.         }

  250.         _correlationMap.put (
  251.             id1 + "@#" + id2,
  252.             correlation
  253.         );

  255.         _correlationMap.put (
  256.             id2 + "@#" + id1,
  257.             correlation
  258.         );

  260.         return true;
  261.     }

  263.     /**
  264.      * Retrieve the Risk Free Rate
  265.      * 
  266.      * @return The Risk Free Rate
  267.      */

  269.     public double riskFreeRate()
  270.     {
  271.         return _riskFreeRate;
  272.     }

  274.     /**
  275.      * Retrieve the AssetStatisticalProperties Instance corresponding to the specified ID
  276.      * 
  277.      * @param id The AssetStatisticalProperties ID
  278.      * 
  279.      * @return The AssetStatisticalProperties Instance
  280.      */

  282.     public org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties (
  283.         final java.lang.String id)
  284.     {
  285.         return null == id || id.isEmpty() || !_assetUniverseStatisticalPropertiesMap.containsKey (
  286.             id
  287.         ) ? null : _assetUniverseStatisticalPropertiesMap.get (
  288.             id
  289.         );
  290.     }

  292.     /**
  293.      * Retrieve the Correlation between the Specified Assets
  294.      * 
  295.      * @param id1 Asset #1
  296.      * @param id2 Asset #2
  297.      * 
  298.      * @return Correlation between the Specified Assets
  299.      * 
  300.      * @throws java.lang.Exception Thtrown if the Inputs are Invalid
  301.      */

  303.     public double correlation (
  304.         final java.lang.String id1,
  305.         final java.lang.String id2)
  306.         throws java.lang.Exception
  307.     {
  308.         if (null == id1 || id1.isEmpty() ||
  309.             null == id2 || id2.isEmpty())
  310.         {
  311.             throw new java.lang.Exception (
  312.                 "AssetUniverseStatisticalProperties::correlation => Invalid Inputs"
  313.             );
  314.         }

  316.         if (id1.equalsIgnoreCase (
  317.             id2
  318.         ))
  319.         {
  320.             return 1.;
  321.         }

  323.         java.lang.String strCorrelationSlot = id1 + "@#" + id2;

  325.         if (!_correlationMap.containsKey (
  326.             strCorrelationSlot
  327.         ))
  328.         {
  329.             throw new java.lang.Exception (
  330.                 "AssetUniverseStatisticalProperties::correlation => Invalid Inputs"
  331.             );
  332.         }

  334.         return _correlationMap.get (
  335.             strCorrelationSlot
  336.         );
  337.     }

  339.     /**
  340.      * Retrieve the Asset Expected Returns Array
  341.      * 
  342.      * @param idArray Array of Asset IDs
  343.      * 
  344.      * @return The Asset Covariance Matrix
  345.      */

  347.     public double[] expectedReturns (
  348.         final java.lang.String[] idArray)
  349.     {
  350.         if (null == idArray)
  351.         {
  352.             return null;
  353.         }

  355.         int assetCount = idArray.length;
  356.         double[] expectedReturnsArray = new double[assetCount];

  358.         if (0 == assetCount)
  359.         {
  360.             return null;
  361.         }

  363.         for (int assetIndex = 0;
  364.             assetIndex < assetCount;
  365.             ++assetIndex)
  366.         {
  367.             org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalProperties =
  368.                 assetStatisticalProperties (
  369.                     idArray[assetIndex]
  370.                 );

  372.             if (null == assetStatisticalProperties)
  373.             {
  374.                 return null;
  375.             }

  377.             expectedReturnsArray[assetIndex] = assetStatisticalProperties.expectedReturn();
  378.         }

  380.         return expectedReturnsArray;
  381.     }

  383.     /**
  384.      * Retrieve the Asset Covariance Matrix
  385.      * 
  386.      * @param idArray Array of Asset IDs
  387.      * 
  388.      * @return The Asset Covariance Matrix
  389.      */

  391.     public double[][] covariance (
  392.         final java.lang.String[] idArray)
  393.     {
  394.         if (null == idArray)
  395.         {
  396.             return null;
  397.         }

  399.         int assetCount = idArray.length;
  400.         double[][] covarianceMatrix = new double[assetCount][assetCount];

  402.         if (0 == assetCount)
  403.         {
  404.             return null;
  405.         }

  407.         for (int assetIndexI = 0;
  408.             assetIndexI < assetCount;
  409.             ++assetIndexI)
  410.         {
  411.             org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesI =
  412.                 assetStatisticalProperties (idArray[assetIndexI]);

  414.             if (null == assetStatisticalPropertiesI)
  415.             {
  416.                 return null;
  417.             }

  419.             double dblVarianceI = assetStatisticalPropertiesI.variance();

  421.             for (int assetIndexJ = 0;
  422.                 assetIndexJ < assetCount;
  423.                 ++assetIndexJ)
  424.             {
  425.                 org.drip.portfolioconstruction.params.AssetStatisticalProperties assetStatisticalPropertiesJ
  426.                     = assetStatisticalProperties (
  427.                         idArray[assetIndexJ]
  428.                     );

  430.                 if (null == assetStatisticalPropertiesJ)
  431.                 {
  432.                     return null;
  433.                 }

  435.                 try
  436.                 {
  437.                     covarianceMatrix[assetIndexI][assetIndexJ] = java.lang.Math.sqrt (
  438.                         dblVarianceI * assetStatisticalPropertiesJ.variance()
  439.                     ) * correlation (
  440.                         idArray[assetIndexI],
  441.                         idArray[assetIndexJ]
  442.                     );
  443.                 }
  444.                 catch (java.lang.Exception e)
  445.                 {
  446.                     e.printStackTrace();

  448.                     return null;
  449.                 }
  450.             }
  451.         }

  453.         return covarianceMatrix;
  454.     }
  455. }
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