CashExplain.java

package org.drip.sample.allocation;

import java.util.Map;

import org.drip.analytics.support.CaseInsensitiveHashMap;
import org.drip.capital.allocation.CorrelationCategoryBetaManager;
import org.drip.capital.allocation.EntityCapital;
import org.drip.capital.allocation.EntityCapitalAssignmentSetting;
import org.drip.capital.allocation.EntityComponentCapital;
import org.drip.capital.allocation.EntityComponentCapitalAssignment;
import org.drip.capital.allocation.EntityComponentCorrelationCategory;
import org.drip.capital.entity.CapitalUnit;
import org.drip.capital.entity.ManagedSegmentL1;
import org.drip.capital.env.CapitalEstimationContextManager;
import org.drip.capital.explain.CapitalSegmentStandaloneMarginal;
import org.drip.capital.label.BusinessRegionRiskTypeCoordinate;
import org.drip.capital.label.CapitalSegmentCoordinate;
import org.drip.capital.label.Coordinate;
import org.drip.capital.setting.CapitalAllocationControl;
import org.drip.capital.setting.SimulationControl;
import org.drip.capital.setting.SimulationPnLControl;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 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>CashExplain</i> zeds the GOC-Level Stand-alone for the Specified Managed Segment.
 * 
 *     MANAGED SEGMENT  - Cash
 *     
 * The References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
 *              Results and Practice https://www.bis.org/publ/cgfs24.htm
 *      </li>
 *      <li>
 *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
 *      </li>
 *      <li>
 *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
 *      </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/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/allocation/README.md">Managed Segment Capital Allocation Schemes</a></li>
 *  </ul>
 *     
 * @author Lakshmi Krishnamurthy
 */

public class CashExplain
{

    private static final CapitalUnit MakeCapitalUnit (
        final String business,
        final String region,
        final String riskType,
        final double varNotional)
        throws Exception
    {
        Coordinate capitalUnitCoordinate = new BusinessRegionRiskTypeCoordinate (
            business,
            region,
            riskType
        );

        return new CapitalUnit (
            capitalUnitCoordinate,
            CapitalEstimationContextManager.ContextContainer().capitalUnitStressEventContext().capitalUnitEventMap().get
            (
                capitalUnitCoordinate.fullyQualifiedName()
            ),
            varNotional
        );
    }

    private static final EntityCapitalAssignmentSetting LowUniformBeta()
    {
        return EntityCapitalAssignmentSetting.UniformBeta (
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION
        );
    }

    private static final EntityCapitalAssignmentSetting MediumUniformBeta()
    {
        return EntityCapitalAssignmentSetting.UniformBeta (
            EntityComponentCorrelationCategory.MEDIUM_CORRELATION,
            EntityComponentCorrelationCategory.MEDIUM_CORRELATION,
            EntityComponentCorrelationCategory.MEDIUM_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION
        );
    }

    private static final EntityCapitalAssignmentSetting HighUniformBeta()
    {
        return EntityCapitalAssignmentSetting.UniformBeta (
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION,
            EntityComponentCorrelationCategory.HIGH_CORRELATION
        );
    }

    private static final EntityCapitalAssignmentSetting HighMedumLowUniformBeta()
    {
        double random = Math.random();

        if (random < 13. / 34.)
        {
            return LowUniformBeta();
        }

        return random < 29. / 34. ? MediumUniformBeta() : HighUniformBeta();
    }

    private static final EntityCapitalAssignmentSetting HighLowUniformBeta()
    {
        return Math.random() < 29. / 34. ? LowUniformBeta() : HighUniformBeta();
    }

    private static final void Allocate (
        final CapitalUnit[] capitalUnitArray,
        final CapitalSegmentStandaloneMarginal capitalSegmentStandaloneMarginal,
        final CapitalAllocationControl marginalProRataCapitalAllocationControl,
        final CapitalAllocationControl standaloneProRataCapitalAllocationControl,
        final CapitalAllocationControl fixedFloatFloatCapitalAllocationControl,
        final CapitalAllocationControl fixedFloatCapitalAllocationControl,
        final CapitalAllocationControl floatFloatCapitalAllocationControl)
        throws Exception
    {
        EntityComponentCapitalAssignment marginalProRataEntityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                marginalProRataCapitalAllocationControl
            );

        Map<String, EntityComponentCapital> marginalProRataEntityComponentCapitalMap =
            marginalProRataEntityComponentCapitalAssignment.entityComponentCapitalMap();

        EntityComponentCapitalAssignment standaloneProRataEntityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                standaloneProRataCapitalAllocationControl
            );

        Map<String, EntityComponentCapital> standaloneProRataEntityComponentCapitalMap =
            standaloneProRataEntityComponentCapitalAssignment.entityComponentCapitalMap();

        EntityComponentCapitalAssignment fixedFloatFloatEntityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                fixedFloatFloatCapitalAllocationControl
            );

        Map<String, EntityComponentCapital> fixedFloatFloatEntityComponentCapitalMap =
            fixedFloatFloatEntityComponentCapitalAssignment.entityComponentCapitalMap();

        EntityComponentCapitalAssignment fixedFloatEntityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                fixedFloatCapitalAllocationControl
            );

        Map<String, EntityComponentCapital> fixedFloatEntityComponentCapitalMap =
            fixedFloatEntityComponentCapitalAssignment.entityComponentCapitalMap();

        EntityComponentCapitalAssignment floatFloatEntityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                floatFloatCapitalAllocationControl
            );

        Map<String, EntityComponentCapital> floatFloatEntityComponentCapitalMap =
            floatFloatEntityComponentCapitalAssignment.entityComponentCapitalMap();

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println (
            "\t|                                                                              CAPITAL UNIT RC ALLOCATION                                                                              ||"
        );

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println (
            "\t|    L -> R:                                                                                                                                                                           ||"
        );

        System.out.println (
            "\t|            - Marginal Pro-Rata Fractional                                                                                                                                            ||"
        );

        System.out.println (
            "\t|            - Standalone Pro-Rata Fractional                                                                                                                                          ||"
        );

        System.out.println (
            "\t|            - Three-Beta Fixed-Float-Float Fractional                                                                                                                                 ||"
        );

        System.out.println (
            "\t|            - Two-Beta Fixed-Float Fractional                                                                                                                                         ||"
        );

        System.out.println (
            "\t|            - Two-Beta Float-Float Fractional                                                                                                                                         ||"
        );

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println (
            "\t|            - Marginal Pro-Rata Absolute                                                                                                                                              ||"
        );

        System.out.println (
            "\t|            - Standalone Pro-Rata Absolute                                                                                                                                            ||"
        );

        System.out.println (
            "\t|            - Three-Beta Fixed-Float-Float Absolute                                                                                                                                   ||"
        );

        System.out.println (
            "\t|            - Two-Beta Fixed-Float Absolute                                                                                                                                           ||"
        );

        System.out.println (
            "\t|            - Two-Beta Float-Float Absolute                                                                                                                                           ||"
        );

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println (
            "\t|            - Capital Unit Coordinate                                                                                                                                                 ||"
        );

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        for (int capitalUnitIndex = 0;
            capitalUnitIndex < capitalUnitArray.length;
            ++capitalUnitIndex)
        {
            String capitalUnitFQN = capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName();

            EntityCapital marginalProRataEntityComponentCapitalTotal =
                marginalProRataEntityComponentCapitalMap.get (
                    capitalUnitFQN
                ).total();

            EntityCapital standaloneProRataEntityComponentCapitalTotal =
                standaloneProRataEntityComponentCapitalMap.get (
                    capitalUnitFQN
                ).total();

            EntityCapital fixedFloatFloatEntityComponentCapitalTotal =
                fixedFloatFloatEntityComponentCapitalMap.get (
                    capitalUnitFQN
                ).total();

            EntityCapital fixedFloatEntityComponentCapitalTotal = fixedFloatEntityComponentCapitalMap.get (
                capitalUnitFQN
            ).total();

            EntityCapital floatFloatEntityComponentCapitalTotal = floatFloatEntityComponentCapitalMap.get (
                capitalUnitFQN
            ).total();

            System.out.println (
                "\t|    " +
                FormatUtil.FormatDouble (
                    marginalProRataEntityComponentCapitalTotal.fractional(), 2, 2, 100.
                ) + "% | " +
                FormatUtil.FormatDouble (
                    standaloneProRataEntityComponentCapitalTotal.fractional(), 2, 2, 100.
                ) + "% | " +
                FormatUtil.FormatDouble (
                    fixedFloatFloatEntityComponentCapitalTotal.fractional(), 2, 2, 100.
                ) + "% | " +
                FormatUtil.FormatDouble (
                    fixedFloatEntityComponentCapitalTotal.fractional(), 2, 2, 100.
                ) + "% | " +
                FormatUtil.FormatDouble (
                    floatFloatEntityComponentCapitalTotal.fractional(), 2, 2, 100.
                ) + "% || " + FormatUtil.FormatDouble (
                    marginalProRataEntityComponentCapitalTotal.absolute(), 10, 2, 1.
                ) + " | " + FormatUtil.FormatDouble (
                    standaloneProRataEntityComponentCapitalTotal.absolute(), 10, 2, 1.
                ) + " | " + FormatUtil.FormatDouble (
                    fixedFloatFloatEntityComponentCapitalTotal.absolute(), 10, 2, 1.
                ) + " | " + FormatUtil.FormatDouble (
                    fixedFloatEntityComponentCapitalTotal.absolute(), 10, 2, 1.
                ) + " | " + FormatUtil.FormatDouble (
                    floatFloatEntityComponentCapitalTotal.absolute(), 10, 2, 1.
                ) + " <= " + capitalUnitFQN
            );
        }

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println (
            "\t|   " +
            FormatUtil.FormatDouble (
                1., 2, 2, 100.
            ) + "% |" +
            FormatUtil.FormatDouble (
                1., 2, 2, 100.
            ) + "% |" +
            FormatUtil.FormatDouble (
                1., 2, 2, 100.
            ) + "% |" +
            FormatUtil.FormatDouble (
                1., 2, 2, 100.
            ) + "% |" +
            FormatUtil.FormatDouble (
                1., 2, 2, 100.
            ) + "% || " + FormatUtil.FormatDouble (
                marginalProRataEntityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.
            ) + " | " + FormatUtil.FormatDouble (
                standaloneProRataEntityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.
            ) + " | " + FormatUtil.FormatDouble (
                fixedFloatFloatEntityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.
            ) + " | " + FormatUtil.FormatDouble (
                fixedFloatEntityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.
            ) + " | " + FormatUtil.FormatDouble (
                floatFloatEntityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.
            ) + " <= TOTAL"
        );

        System.out.println (
            "\t|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||"
        );

        System.out.println();
    }

    public static final void main (
        final String[] argumentArray)
        throws Exception
    {
        EnvManager.InitEnv ("");

        double capitalUnitNotional = 10000.;
        String capitalSegmentFQN = "Cash";
        String[] regionArray =
        {
            "ASIA",
            "EMEA",
            "LATIN AMERICA",
            "NORTH AMERICA",
        };
        String[] riskTypeArray =
        {
            "Trading",
            "Trading",
            "Trading",
            "Trading",
        };

        CorrelationCategoryBetaManager proRataCategoryManager =
            CorrelationCategoryBetaManager.TwoBetaFloatFloat (
                1.0
            );

        CorrelationCategoryBetaManager fixedFloatFloatCategoryManager =
            CorrelationCategoryBetaManager.ThreeBetaFixedFloatFloat (
                0.8,
                2.0
            );

        CorrelationCategoryBetaManager fixedFloatCategoryManager =
            CorrelationCategoryBetaManager.TwoBetaFixedFloat (
                0.8
            );

        CorrelationCategoryBetaManager floatFloatCategoryManager =
            CorrelationCategoryBetaManager.TwoBetaFloatFloat (
                2.0
            );

        SimulationControl simulationControl = SimulationControl.Standard();

        SimulationPnLControl simulationPnLControl = SimulationPnLControl.Standard();

        Map<String, EntityCapitalAssignmentSetting> proRataEntityCapitalAssignmentSettingMap =
            new CaseInsensitiveHashMap<EntityCapitalAssignmentSetting>();

        Map<String, EntityCapitalAssignmentSetting> fixedFloatFloatEntityCapitalAssignmentSettingMap =
            new CaseInsensitiveHashMap<EntityCapitalAssignmentSetting>();

        Map<String, EntityCapitalAssignmentSetting> fixedFloatEntityCapitalAssignmentSettingMap =
            new CaseInsensitiveHashMap<EntityCapitalAssignmentSetting>();

        Map<String, EntityCapitalAssignmentSetting> floatFloatEntityCapitalAssignmentSettingMap =
            new CaseInsensitiveHashMap<EntityCapitalAssignmentSetting>();

        CapitalUnit[] capitalUnitArray = new CapitalUnit[riskTypeArray.length];

        for (int capitalUnitIndex = 0;
            capitalUnitIndex < riskTypeArray.length;
            ++capitalUnitIndex)
        {
            capitalUnitArray[capitalUnitIndex] = MakeCapitalUnit (
                capitalSegmentFQN,
                regionArray[capitalUnitIndex],
                riskTypeArray[capitalUnitIndex],
                capitalUnitNotional
            );

            proRataEntityCapitalAssignmentSettingMap.put (
                capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName(),
                LowUniformBeta()
            );

            fixedFloatFloatEntityCapitalAssignmentSettingMap.put (
                capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName(),
                HighMedumLowUniformBeta()
            );

            fixedFloatEntityCapitalAssignmentSettingMap.put (
                capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName(),
                HighLowUniformBeta()
            );

            floatFloatEntityCapitalAssignmentSettingMap.put (
                capitalUnitArray[capitalUnitIndex].coordinate().fullyQualifiedName(),
                HighLowUniformBeta()
            );
        }

        CapitalSegmentStandaloneMarginal capitalSegmentStandaloneMarginal = new ManagedSegmentL1 (
            new CapitalSegmentCoordinate (
                capitalSegmentFQN
            ),
            capitalUnitArray
        ).pathEnsemble (
            simulationControl,
            simulationPnLControl
        ).marginalStandalonePnLAttribution (
            simulationPnLControl.stress().expectedShortfallConfidenceLevel()
        );

        Allocate (
            capitalUnitArray,
            capitalSegmentStandaloneMarginal,
            new CapitalAllocationControl (
                true,
                null,
                proRataCategoryManager,
                proRataEntityCapitalAssignmentSettingMap
            ),
            new CapitalAllocationControl (
                false,
                null,
                proRataCategoryManager,
                proRataEntityCapitalAssignmentSettingMap
            ),
            new CapitalAllocationControl (
                false,
                null,
                fixedFloatFloatCategoryManager,
                fixedFloatFloatEntityCapitalAssignmentSettingMap
            ),
            new CapitalAllocationControl (
                false,
                null,
                fixedFloatCategoryManager,
                fixedFloatEntityCapitalAssignmentSettingMap
            ),
            new CapitalAllocationControl (
                false,
                null,
                floatFloatCategoryManager,
                floatFloatEntityCapitalAssignmentSettingMap
            )
        );

        EnvManager.TerminateEnv();
    }
}