AttributeJointFactor.java
package org.drip.portfolioconstruction.risk;
/*
* -*- 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
*
* 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>AttributeJointFactor</i> contains the Factor Based Loadings that determines the Joint Attributes
* between the Pair 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/risk/README.md">Portfolio Construction Risk/Covariance Component</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AttributeJointFactor
extends org.drip.portfolioconstruction.core.Block
{
private java.util.Map<java.lang.String, java.lang.Double> _assetFactorLoadingMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
private java.util.Map<java.lang.String, java.lang.Double> _factorAssetLoadingMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
private java.util.Map<java.lang.String, java.lang.Double> _factorFactorAttributeMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
private java.util.Map<java.lang.String, java.lang.Double> _mapAssetSpecificAttribute =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
/**
* Generate a Standard Instance of AttributeJointFactor
*
* @param name AttributeJointFactor Instance Name
* @param id AttributeJointFactor Instance ID
* @param description AttributeJointFactor Description
* @param assetIDArray Array of Asset IDs
* @param factorIDArray Array of FactorIDs
* @param assetFactorLoadingGrid Matrix of Asset-Factor Loadings
* @param crossFactorAttributeGrid Matrix of Factor-Factor Attributes
* @param assetSpecificAttributeArray Array of Specific Attributes
*
* @return The Standard Instance of AttributeJointFactor
*/
public static final AttributeJointFactor Standard (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description,
final java.lang.String[] assetIDArray,
final java.lang.String[] factorIDArray,
final double[][] assetFactorLoadingGrid,
final double[][] crossFactorAttributeGrid,
final double[] assetSpecificAttributeArray)
{
if (null == assetIDArray ||
null == factorIDArray ||
null == assetFactorLoadingGrid ||
null == crossFactorAttributeGrid ||
null == assetSpecificAttributeArray)
{
return null;
}
int assetCount = assetIDArray.length;
int factorCount = factorIDArray.length;
AttributeJointFactor attributeJointFactor = null;
if (0 == assetCount ||
0 == factorCount ||
assetCount != assetFactorLoadingGrid.length ||
factorCount != crossFactorAttributeGrid.length ||
assetCount != assetSpecificAttributeArray.length)
{
return null;
}
try
{
attributeJointFactor = new AttributeJointFactor (
name,
id,
description
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (int assetIndex = 0;
assetIndex < assetCount;
++assetIndex)
{
for (int factorIndex = 0;
factorIndex < factorCount;
++factorIndex)
{
if (!attributeJointFactor.addAssetFactorLoading (
assetIDArray[assetIndex],
factorIDArray[factorIndex],
assetFactorLoadingGrid[assetIndex][factorIndex]
))
{
return null;
}
}
if (!attributeJointFactor.addSpecificAttribute (
assetIDArray[assetIndex],
assetSpecificAttributeArray[assetIndex]
))
{
return null;
}
}
for (int factorIndex1 = 0;
factorIndex1 < factorCount;
++factorIndex1)
{
for (int factorIndex2 = 0;
factorIndex2 < factorCount;
++factorIndex2)
{
if (!attributeJointFactor.addFactorAttribute (
factorIDArray[factorIndex1],
factorIDArray[factorIndex2],
crossFactorAttributeGrid[factorIndex1][factorIndex2]
))
{
return null;
}
}
}
return attributeJointFactor;
}
/**
* AttributeJointFactor Constructor
*
* @param name The Name
* @param id The ID
* @param description The Description
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AttributeJointFactor (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description)
throws java.lang.Exception
{
super (name, id, description);
}
/**
* Retrieve the Joint Asset-Factor Loading Map
*
* @return The Joint Asset-Factor Loading Map
*/
public java.util.Map<java.lang.String, java.lang.Double> assetFactorLoading()
{
return _assetFactorLoadingMap;
}
/**
* Retrieve the Joint Factor-Asset Loading Map
*
* @return The Joint Factor-Asset Loading Map
*/
public java.util.Map<java.lang.String, java.lang.Double> factorAssetLoading()
{
return _factorAssetLoadingMap;
}
/**
* Retrieve the Factor-to-Factor Attribute Map
*
* @return The Factor-to-Joint Attribute Map
*/
public java.util.Map<java.lang.String, java.lang.Double> factorJointAttribute()
{
return _factorFactorAttributeMap;
}
/**
* Retrieve the Asset Specific Attribute
*
* @return The Asset Specific Attribute
*/
public java.util.Map<java.lang.String, java.lang.Double> specificRisk()
{
return _mapAssetSpecificAttribute;
}
/**
* Add the Asset's Factor Loading Coefficient
*
* @param assetID The Asset ID
* @param factorID The Factor ID
* @param factorLoading The Factor Loading Coefficient
*
* @return TRUE - The Asset's Factor Loading Coefficient successfully added
*/
public boolean addAssetFactorLoading (
final java.lang.String assetID,
final java.lang.String factorID,
final double factorLoading)
{
if (null == assetID || assetID.isEmpty() ||
null == factorID || factorID.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (
factorLoading
)
)
{
return false;
}
_assetFactorLoadingMap.put (
assetID + "::" + factorID,
factorLoading
);
_factorAssetLoadingMap.put (
factorID + "::" + assetID,
factorLoading
);
return true;
}
/**
* Add the Cross Factor Attribute
*
* @param factorID1 The Factor #1 ID
* @param factorID2 The Factor #2 ID
* @param crossFactorAttribute The Cross Factor Attribute
*
* @return TRUE - The Cross Factor Attribute successfully added
*/
public boolean addFactorAttribute (
final java.lang.String factorID1,
final java.lang.String factorID2,
final double crossFactorAttribute)
{
if (null == factorID1 || factorID1.isEmpty() ||
null == factorID2 || factorID2.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (
crossFactorAttribute
)
)
{
return false;
}
_factorFactorAttributeMap.put (
factorID1 + "::" + factorID2,
crossFactorAttribute
);
_factorFactorAttributeMap.put (
factorID2 + "::" + factorID1,
crossFactorAttribute
);
return true;
}
/**
* Add the Asset's Specific Attribute
*
* @param assetID The Asset ID
* @param specificAttribute The Asset's Specific Attribute
*
* @return TRUE - The Asset's Specific Risk successfully added
*/
public boolean addSpecificAttribute (
final java.lang.String assetID,
final double specificAttribute)
{
if (null == assetID || assetID.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (
specificAttribute
)
)
{
return false;
}
_mapAssetSpecificAttribute.put (
assetID,
specificAttribute
);
return true;
}
/**
* Check if the Asset is represented
*
* @param assetID The Asset ID
*
* @return TRUE - The Asset is represented
*/
public boolean containsAsset (
final java.lang.String assetID)
{
return null != assetID && !assetID.isEmpty() &&
_assetFactorLoadingMap.containsKey (
assetID
) && _mapAssetSpecificAttribute.containsKey (
assetID
);
}
/**
* Check if the Factor is available
*
* @param factorID The Factor ID
*
* @return TRUE - The Factor is available
*/
public boolean containsFactor (
final java.lang.String factorID)
{
return null != factorID && !factorID.isEmpty() &&
_factorAssetLoadingMap.containsKey (
factorID
) && _factorFactorAttributeMap.containsKey (
factorID
);
}
/**
* Retrieve the Factor Loading for the specified Asset
*
* @param assetID The Asset ID
*
* @return The Factor Loading for the specified Asset
*/
public java.util.Map<java.lang.String, java.lang.Double> assetFactorLoading (
final java.lang.String assetID)
{
if (!containsAsset (
assetID
))
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> assetFactorLoadingMap =
new org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> assetFactorLoadingEntry :
_assetFactorLoadingMap.entrySet())
{
if (assetFactorLoadingEntry.getKey().startsWith (
assetID
))
{
assetFactorLoadingMap.put (
assetID,
assetFactorLoadingEntry.getValue()
);
}
}
return assetFactorLoadingMap;
}
/**
* Retrieve the Loadings for the specified Factor
*
* @param factorID The Factor ID
*
* @return The Loadings for the specified Factor
*/
public java.util.Map<java.lang.String, java.lang.Double> factorAssetLoading (
final java.lang.String factorID)
{
if (!containsFactor (
factorID
))
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> factorAssetLoadingMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> factorAssetLoadingEntry :
_factorAssetLoadingMap.entrySet())
{
if (factorAssetLoadingEntry.getKey().startsWith (
factorID
))
{
factorAssetLoadingMap.put (
factorID,
factorAssetLoadingEntry.getValue()
);
}
}
return factorAssetLoadingMap;
}
/**
* Retrieve the Cross Factor Attribute Entry
*
* @param factorID1 The Factor ID #1
* @param factorID2 The Factor ID #2
*
* @return The Cross Factor Attribute Entry
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double crossFactorAttribute (
final java.lang.String factorID1,
final java.lang.String factorID2)
throws java.lang.Exception
{
if (!containsFactor (
factorID1
) || !containsFactor (
factorID2
)
)
{
throw new java.lang.Exception (
"AttributeJointFactor::crossFactorAttribute => Invalid Inputs"
);
}
return _factorFactorAttributeMap.get (
factorID1 + "::" + factorID2
);
}
/**
* Retrieve the Asset Specific Attribute
*
* @param assetID The Asset ID
*
* @return The Asset Specific Attribute
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double assetSpecificAttribute (
final java.lang.String assetID)
throws java.lang.Exception
{
if (!containsFactor (
assetID
))
{
throw new java.lang.Exception (
"AttributeJointFactor::assetSpecificAttribute => Invalid Inputs"
);
}
return _mapAssetSpecificAttribute.get (
assetID
);
}
/**
* Compute the Cross Asset Attribute
*
* @param assetID1 Asset ID #1
* @param assetID2 Asset ID #2
*
* @return The Cross Asset Attribute
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double crossAssetAttribute (
final java.lang.String assetID1,
final java.lang.String assetID2)
throws java.lang.Exception
{
java.util.Map<java.lang.String, java.lang.Double> asset1FactorLoadingMap = assetFactorLoading (
assetID1
);
java.util.Map<java.lang.String, java.lang.Double> asset2FactorLoadingMap = assetFactorLoading (
assetID2
);
if (null == asset1FactorLoadingMap || null == asset2FactorLoadingMap)
{
throw new java.lang.Exception (
"AttributeJointFactor::crossAssetAttribute => Invalid Factor Loadings"
);
}
double crossAssetAttribute = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> asset1FactorLoadingEntry :
asset1FactorLoadingMap.entrySet())
{
java.lang.String factorID = asset1FactorLoadingEntry.getKey();
if (!asset2FactorLoadingMap.containsKey (
factorID
) || !_factorFactorAttributeMap.containsKey (
factorID
)
)
{
throw new java.lang.Exception (
"AttributeJointFactor::crossAssetAttribute => Loading not available for " + assetID2 +
" for factor " + factorID
);
}
crossAssetAttribute += asset1FactorLoadingMap.get (
factorID
) * asset2FactorLoadingMap.get (
factorID
) * crossFactorAttribute (
factorID,
factorID
);
}
return crossAssetAttribute;
}
}