IGBondsExplain.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>IGBondsExplain</i> zeds the GOC-Level Stand-alone for the Specified Managed Segment.
*
* MANAGED SEGMENT - IG Bonds
*
* 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 IGBondsExplain
{
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 = "IG Bonds";
String[] regionArray =
{
"EMEA",
"NORTH AMERICA",
};
String[] riskTypeArray =
{
"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();
}
}