AttributeJointDense.java

  1. package org.drip.portfolioconstruction.risk;

  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.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>AttributeJointDense</i> contains the Joint Dense Attributes for the Pair of the Set of Assets.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  86.  *      <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>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/risk/README.md">Portfolio Construction Risk/Covariance Component</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class AttributeJointDense
  95.     extends org.drip.portfolioconstruction.core.Block
  96. {
  97.     private org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double> _attributeMap =
  98.         new org.drip.analytics.support.CaseInsensitiveTreeMap<java.lang.Double>();

  100.     /**
  101.      * AttributeJointDense Constructor
  102.      * 
  103.      * @param name The Name
  104.      * @param id The ID
  105.      * @param description The Description
  106.      * 
  107.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  108.      */

  110.     public AttributeJointDense (
  111.         final java.lang.String name,
  112.         final java.lang.String id,
  113.         final java.lang.String description)
  114.         throws java.lang.Exception
  115.     {
  116.         super (
  117.             name,
  118.             id,
  119.             description
  120.         );
  121.     }

  123.     /**
  124.      * Add the Attribute for an Asset Pair
  125.      * 
  126.      * @param assetID1 The Asset ID #1
  127.      * @param assetID2 The Asset ID #2
  128.      * @param attribute The Attribute
  129.      * 
  130.      * @return TRUE - The Asset Pair's Attribute successfully added.
  131.      */

  133.     public boolean add (
  134.         final java.lang.String assetID1,
  135.         final java.lang.String assetID2,
  136.         final double attribute)
  137.     {
  138.         if (null == assetID1 || assetID1.isEmpty() ||
  139.             null == assetID2 || assetID2.isEmpty() ||
  140.             !org.drip.numerical.common.NumberUtil.IsValid (
  141.                 attribute
  142.             )
  143.         )
  144.         {
  145.             return false;
  146.         }

  148.         _attributeMap.put (
  149.             assetID1 + "::" + assetID2,
  150.             attribute
  151.         );

  153.         _attributeMap.put (
  154.             assetID2 + "::" + assetID1,
  155.             attribute
  156.         );

  158.         return true;
  159.     }

  161.     /**
  162.      * Retrieve the Pair Attribute
  163.      * 
  164.      * @param assetID1 The Asset ID #1
  165.      * @param assetID2 The Asset ID #2
  166.      * 
  167.      * @return The Pair Attribute
  168.      * 
  169.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  170.      */

  172.     public double attribute (
  173.         final java.lang.String assetID1,
  174.         final java.lang.String assetID2)
  175.         throws java.lang.Exception
  176.     {
  177.         if (null == assetID1 || assetID1.isEmpty() ||
  178.             null == assetID2 || assetID2.isEmpty())
  179.         {
  180.             throw new java.lang.Exception (
  181.                 "AttributeJointDense::attribute => Invalid Inputs"
  182.             );
  183.         }

  185.         java.lang.String jointAtributeKey = assetID1 + "::" + assetID2;

  187.         if (!_attributeMap.containsKey (
  188.             jointAtributeKey
  189.         ))
  190.         {
  191.             throw new java.lang.Exception (
  192.                 "AttributeJointDense::attribute => Invalid Inputs"
  193.             );
  194.         }

  196.         return _attributeMap.get (
  197.             jointAtributeKey
  198.         );
  199.     }

  201.     /**
  202.      * Retrieve the Map of Asset Attributes
  203.      * 
  204.      * @return Map of the Asset Attributes
  205.      */

  207.     public java.util.Map<java.lang.String, java.lang.Double> attributeMap()
  208.     {
  209.         return _attributeMap;
  210.     }
  211. }
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