ProjectFinanceDetail.java

package org.drip.sample.betafixedfloat;

import java.util.Map;

import org.drip.analytics.support.CaseInsensitiveHashMap;
import org.drip.capital.allocation.CorrelationCategoryBeta;
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.allocation.EntityElasticityAttribution;
import org.drip.capital.entity.CapitalUnit;
import org.drip.capital.entity.ManagedSegmentL1;
import org.drip.capital.env.CapitalEstimationContextManager;
import org.drip.capital.explain.AllocatedPnLAttribution;
import org.drip.capital.explain.CapitalSegmentStandaloneMarginal;
import org.drip.capital.explain.PnLAttribution;
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>ProjectFinanceDetail</i> zeds the Managed Sub-segment Level Allocation for the Specified Managed
 *  Segment using the Two Beta Scheme.
 * 
 *     MANAGED SEGMENT  - Project Finance
 * 
 *     HIGH   - Fixed    Beta
 *     LOW    - Floating Beta
 *     
 * 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/betafixedfloat/README.md">Two Beta Float Float Scheme</a></li>
 *  </ul>
 *     
 * @author Lakshmi Krishnamurthy
 */

public class ProjectFinanceDetail
{

    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 void DisplayPnLAttribution (
        final String capitalSegmentFQN,
        final PnLAttribution pnlAttribution)
        throws Exception
    {
        Map<String, Double> gsstPnLExplainMap = pnlAttribution.systemicPnLExplainMap();

        Map<String, Double> cBSSTPnLExplainMap = pnlAttribution.correlatedPnLExplainMap();

        Map<String, Double> iBSSTPnLExplainMap = pnlAttribution.idiosyncraticPnLExplainMap();

        Map<String, Integer> gsstInstanceCountMap = pnlAttribution.systemicInstanceCountMap();

        Map<String, Integer> cBSSTInstanceCountMap = pnlAttribution.correlatedInstanceCountMap();

        Map<String, Integer> iBSSTInstanceCountMap = pnlAttribution.idiosyncraticInstanceCountMap();

        Map<String, Double> gsstGrossPnLExplainMap = pnlAttribution.systemicGrossPnLExplainMap();

        Map<String, Double> fsPnLDecompositionExplainMap = pnlAttribution.fsPnLDecompositionExplainMap();

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

        System.out.println ("\t|              CONTRIBUTORY PnL ATTRIBUTION               ||");

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

        System.out.println ("\t|    Capital Segment FQN => " + capitalSegmentFQN);

        System.out.println ("\t|    Expected Short-fall => " +
            FormatUtil.FormatDouble (pnlAttribution.expectedShortfall(), 10, 2, 1.)
        );

        if (null != gsstPnLExplainMap)
        {
            System.out.println ("\t|---------------------------------------------------------||");

            for (Map.Entry<String, Double> gsstPnLExplainEntry : gsstPnLExplainMap.entrySet())
            {
                System.out.println (
                    "\t|\t GSST | " + gsstPnLExplainEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (gsstPnLExplainEntry.getValue(), 10, 2, 1.)
                );
            }
        }

        if (null != cBSSTPnLExplainMap)
        {
            System.out.println ("\t|---------------------------------------------------------||");

            for (Map.Entry<String, Double> cBSSTPnLExplainEntry : cBSSTPnLExplainMap.entrySet())
            {
                System.out.println (
                    "\t|\tcBSST | " + cBSSTPnLExplainEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (cBSSTPnLExplainEntry.getValue(), 10, 2, 1.)
                );
            }
        }

        if (null != iBSSTPnLExplainMap)
        {
            System.out.println ("\t|---------------------------------------------------------||");

            for (Map.Entry<String, Double> iBSSTPnLExplainEntry : iBSSTPnLExplainMap.entrySet())
            {
                System.out.println (
                    "\t|\tiBSST | " + iBSSTPnLExplainEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (iBSSTPnLExplainEntry.getValue(), 10, 2, 1.)
                );
            }
        }

        if (null != fsPnLDecompositionExplainMap)
        {
            System.out.println ("\t|---------------------------------------------------------||");

            for (Map.Entry<String, Double> fsPnLDecompositionExplainEntry :
                fsPnLDecompositionExplainMap.entrySet())
            {
                System.out.println (
                    "\t|\t cVaR  | " + fsPnLDecompositionExplainEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (fsPnLDecompositionExplainEntry.getValue(), 10, 2, 1.)
                );
            }
        }

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

        if (null != gsstGrossPnLExplainMap)
        {
            for (Map.Entry<String, Double> gsstGrossPnLExplainEntry : gsstGrossPnLExplainMap.entrySet())
            {
                System.out.println (
                    "\t|\t Gross  GSST | " + gsstGrossPnLExplainEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (gsstGrossPnLExplainEntry.getValue(), 10, 2, 1.)
                );
            }
        }

        System.out.println (
            "\t|\t GSST         => " +
            FormatUtil.FormatDouble (pnlAttribution.systemicPnL(), 10, 2, 1.)
        );

        System.out.println (
            "\t|\t Gross cBSST  => " +
            FormatUtil.FormatDouble (pnlAttribution.correlatedPnL(), 10, 2, 1.)
        );

        System.out.println (
            "\t|\t Gross iBSST  => " +
            FormatUtil.FormatDouble (pnlAttribution.idiosyncraticGrossPnL(), 10, 2, 1.)
        );

        System.out.println (
            "\t|\t Gross cVaR   => " +
            FormatUtil.FormatDouble (pnlAttribution.fsGrossPnL(), 10, 2, 1.)
        );

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

        if (null != gsstInstanceCountMap)
        {
            for (Map.Entry<String, Integer> gsstInstanceCountEntry : gsstInstanceCountMap.entrySet())
            {
                System.out.println (
                    "\t|\t GSST  Instance Count | " + gsstInstanceCountEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (gsstInstanceCountEntry.getValue(), 6, 0, 1.)
                );
            }
        }

        if (null != cBSSTInstanceCountMap)
        {
            for (Map.Entry<String, Integer> cBSSTInstanceCountEntry : cBSSTInstanceCountMap.entrySet())
            {
                System.out.println (
                    "\t|\t cBSST Instance Count | " + cBSSTInstanceCountEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (cBSSTInstanceCountEntry.getValue(), 6, 0, 1.)
                );
            }
        }

        if (null != iBSSTInstanceCountMap)
        {
            for (Map.Entry<String, Integer> iBSSTInstanceCountEntry : iBSSTInstanceCountMap.entrySet())
            {
                System.out.println (
                    "\t|\t iBSST Instance Count | " + iBSSTInstanceCountEntry.getKey() + " => " +
                    FormatUtil.FormatDouble (iBSSTInstanceCountEntry.getValue(), 6, 0, 1.)
                );
            }
        }

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

        System.out.println();
    }

    private static final EntityCapitalAssignmentSetting LowUniformBeta()
    {
        return EntityCapitalAssignmentSetting.UniformBeta (
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_CORRELATION,
            EntityComponentCorrelationCategory.LOW_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 HighLowUniformBeta()
    {
        return Math.random() < 13. / 34. ? HighUniformBeta() : LowUniformBeta();
    }

    private static final void Allocate (
        final CapitalUnit[] capitalUnitArray,
        final EntityComponentCapitalAssignment entityComponentCapitalAssignment)
        throws Exception
    {

        double unitFloatBeta = entityComponentCapitalAssignment.unitFloatBeta();

        double allocatedBetaCapital = entityComponentCapitalAssignment.allocatedTotalCapital();

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

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

        System.out.println (
            "\t|                                                                         THREE BETA CAPITAL ALLOCATION                                                                            ||"
        );

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

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

        System.out.println (
            "\t|            - Capital Segment Allocation Fraction  - GSST                                                                                                                         ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Fraction  - cBSST                                                                                                                        ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Fraction  - iBSST                                                                                                                        ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Fraction  - No Stress                                                                                                                    ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Fraction  - Total                                                                                                                        ||"
        );

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

        System.out.println (
            "\t|            - Capital Segment Allocation Absolute  - GSST                                                                                                                         ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Absolute  - cBSST                                                                                                                        ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Absolute  - iBSST                                                                                                                        ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Absolute  - No Stress                                                                                                                    ||"
        );

        System.out.println (
            "\t|            - Capital Segment Allocation Absolute  - Total                                                                                                                        ||"
        );

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

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

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

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

            EntityComponentCapital entityComponentCapital = entityComponentCapitalMap.get (
                capitalUnitFQN
            );

            EntityCapital entityComponentCapitalNoStress = entityComponentCapital.noStress();

            EntityCapital entityComponentCapitalTotal = entityComponentCapital.total();

            EntityCapital entityComponentCapitalIBSST = entityComponentCapital.idiosyncratic();

            EntityCapital entityComponentCapitalCBSST = entityComponentCapital.correlated();

            EntityCapital entityComponentCapitalGSST = entityComponentCapital.systemic();

            System.out.println (
                "\t|    " +
                FormatUtil.FormatDouble (entityComponentCapitalGSST.fractional(), 2, 2, 100.) + "% |" +
                FormatUtil.FormatDouble (entityComponentCapitalCBSST.fractional(), 2, 2, 100.) + "% |" +
                FormatUtil.FormatDouble (entityComponentCapitalIBSST.fractional(), 2, 2, 100.) + "% |" +
                FormatUtil.FormatDouble (entityComponentCapitalNoStress.fractional(), 2, 2, 100.) + "% | " +
                FormatUtil.FormatDouble (entityComponentCapitalTotal.fractional(), 2, 2, 100.) + "% || " +
                FormatUtil.FormatDouble (entityComponentCapitalGSST.absolute(), 10, 2, 1.) + " | " +
                FormatUtil.FormatDouble (entityComponentCapitalCBSST.absolute(), 10, 2, 1.) + " | " +
                FormatUtil.FormatDouble (entityComponentCapitalIBSST.absolute(), 10, 2, 1.) + " | " +
                FormatUtil.FormatDouble (entityComponentCapitalNoStress.absolute(), 10, 2, 1.) + " | " +
                FormatUtil.FormatDouble (entityComponentCapitalTotal.absolute(), 10, 2, 1.) +
                    " <= " + capitalUnitFQN
            );
        }

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

        EntityCapital entityCapitalGSST = entityComponentCapitalAssignment.systemic();

        EntityCapital entityCapitalCBSST = entityComponentCapitalAssignment.correlated();

        EntityCapital entityCapitalIBSST = entityComponentCapitalAssignment.idiosyncratic();

        EntityCapital entityCapitalNoStress = entityComponentCapitalAssignment.noStress();

        System.out.println (
            "\t|    " +
            FormatUtil.FormatDouble (entityCapitalGSST.fractional(), 2, 2, 100.) + "% |" +
            FormatUtil.FormatDouble (entityCapitalCBSST.fractional(), 2, 2, 100.) + "% |" +
            FormatUtil.FormatDouble (entityCapitalIBSST.fractional(), 2, 2, 100.) + "% |" +
            FormatUtil.FormatDouble (entityCapitalNoStress.fractional(), 2, 2, 100.) + "% |" +
            FormatUtil.FormatDouble (1., 2, 2, 100.) + "% || " +
            FormatUtil.FormatDouble (entityCapitalGSST.absolute(), 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (entityCapitalCBSST.absolute(), 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (entityCapitalIBSST.absolute(), 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (entityCapitalNoStress.absolute(), 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (entityComponentCapitalAssignment.allocatedTotalCapital(), 10, 2, 1.) +
            " <= TOTAL"
        );

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

        System.out.println();

        EntityElasticityAttribution elasticityAttribution =
            entityComponentCapitalAssignment.elasticityAttribution();

        double fixedEntityCapital = elasticityAttribution.fixed();

        double floatingEntityCapital = elasticityAttribution.floating() * unitFloatBeta;

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

        System.out.println (
            "\t| FIXED    Entity Capital                =>  " +
            FormatUtil.FormatDouble (fixedEntityCapital, 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (fixedEntityCapital / allocatedBetaCapital, 2, 2, 100.) + "%"
        );

        System.out.println (
            "\t| FLOATING Entity Capital                =>  " +
            FormatUtil.FormatDouble (floatingEntityCapital, 10, 2, 1.) + " | " +
            FormatUtil.FormatDouble (floatingEntityCapital / allocatedBetaCapital, 2, 2, 100.) + "%"
        );

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

        System.out.println (
            "\t| Allocated Beta Capital                 =>  " +
            FormatUtil.FormatDouble (allocatedBetaCapital, 10, 2, 1.)
        );

        System.out.println (
            "\t| Unit Float Beta                        =>  " +
            FormatUtil.FormatDouble (unitFloatBeta, 1, 4, 1.)
        );

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

        System.out.println();
    }

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

        double capitalUnitNotional = 10000.;
        String capitalSegmentFQN = "Project Finance";
        String[] regionArray =
        {
            "NORTH AMERICA",
            "NORTH AMERICA",
        };
        String[] riskTypeArray =
        {
            "AFS",
            "Trading",
        };

        CorrelationCategoryBetaManager correlationCategoryBetaManager =
            CorrelationCategoryBetaManager.TwoBetaFixedFloat (
                1.0
            );

        SimulationControl simulationControl = SimulationControl.Standard();

        SimulationPnLControl simulationPnLControl = SimulationPnLControl.Standard();

        Map<String, EntityCapitalAssignmentSetting> entityCapitalAssignmentSettingMap =
            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
            );

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

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

        System.out.println ("\t|     3 Beta Fixed/Float/Float Segment Capital Unit Coordinates    ");

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

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

        System.out.println ("\t|           - Correlation Category (1=HIGH; 2=MEDIUM; 3=LOW)");

        System.out.println ("\t|           - Beta Type (0=FIXED; 1=FLOAT)");

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

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

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

            int capitalEntityCorrelationCategory = entityCapitalAssignmentSettingMap.get (
                capitalUnitFQN
            ).allocationCorrelationCategory();

            CorrelationCategoryBeta correlationCategoryBeta =
                correlationCategoryBetaManager.correlationCategoryBeta (
                    capitalEntityCorrelationCategory
                );

            System.out.println (
                "\t|    " + capitalEntityCorrelationCategory + " | " +
                correlationCategoryBeta.elasticity() + " | " +
                FormatUtil.FormatDouble (correlationCategoryBeta.loading(), 1, 1, 1.) + " <= " +
                capitalUnitFQN
            );
        }

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

        System.out.println ("\t|    [CAPITAL SEGMENT] => " + capitalSegmentFQN);

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

        System.out.println();

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

        EntityComponentCapitalAssignment entityComponentCapitalAssignment =
            capitalSegmentStandaloneMarginal.betaAllocation (
                new CapitalAllocationControl (
                    false,
                    null,
                    correlationCategoryBetaManager,
                    entityCapitalAssignmentSettingMap
                )
            );

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

        Map<String, PnLAttribution> standalonePnLAttributionMap =
            capitalSegmentStandaloneMarginal.standalonePnLAttributionMap();

        for (Map.Entry<String, PnLAttribution> standalonePnLAttributionEntry :
            standalonePnLAttributionMap.entrySet())
        {
            String capitalUnitCoordinate = standalonePnLAttributionEntry.getKey();

            DisplayPnLAttribution (
                capitalUnitCoordinate,
                new AllocatedPnLAttribution (
                    standalonePnLAttributionEntry.getValue(),
                    entityComponentCapitalMap.get (
                        capitalUnitCoordinate
                    )
                )
            );
        }

        Allocate (
            capitalUnitArray,
            entityComponentCapitalAssignment
        );

        EnvManager.TerminateEnv();
    }
}