RBCRiskTypeMapping.java

package org.drip.sample.businessspec;

import org.drip.capital.env.CapitalEstimationContextManager;
import org.drip.capital.shell.RiskTypeContext;
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>RBCRiskTypeMapping</i> zeds the RBC to the iVAST Risk Type Mapping. It also indicates if the RBC is to
 * be excluded from Consideration. 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/businessspec/README.md">Business Grouping and Hierarchy Specification</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class RBCRiskTypeMapping
{

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

        String[] rbcArray =
        {
            "CGM_ACC",
            "CGM_AFS",
            "CGM_CVAA_MTM",
            "CGM_CVAL_MTM",
            "CGM_CVA_MTM",
            "CGM_HFS", 
            "CGM_MTM",
            "CITIB_ACC",
            "CITIB_AFS",
            "CITIB_CRDT_MTM",
            "CITIB_CVAA_MTM",
            "CITIB_CVAL_MTM",
            "CITIB_CVA_MTM",
            "CITIB_HFI",
            "CITIB_HTM",
            "CITIB_IVAST_ACC",
            "CITIB_IVAST_AFS",
            "CITIB_MTM",
            "CITIB_NT_MTM",
            "CITIG_ACC",
            "CITIG_AFS",
            "CITIG_CVAA_MTM",
            "CITIG_CVAL_MTM",
            "CITIG_CVA_MTM",
            "CITIG_HFS",
            "CITIG_HTM",
            "CITIG_IVAST_ACC",
            "CITIG_MTM",
            "CITIG_NT_MTM",
        };

        RiskTypeContext riskTypeContext = CapitalEstimationContextManager.ContextContainer().riskTypeContext();

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

        System.out.println ("\t|        RBC CODE RISK TYPE MAP         ||");

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

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

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

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

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

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

        for (String rbc : rbcArray)
        {
            System.out.println (
                "\t| " + rbc + " => " +
                (riskTypeContext.rbcExclusionCheck (rbc) ? "EXCLUDE" : "INCLUDE") + " | " +
                riskTypeContext.riskType (rbc) + " ||"
            );
        }

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

        EnvManager.TerminateEnv();
    }
}