ASIA.java

package org.drip.sample.correlatedstress;

import java.util.Map;

import org.drip.capital.entity.CapitalUnitEventContainer;
import org.drip.capital.env.CapitalEstimationContextManager;
import org.drip.capital.shell.CapitalUnitStressEventContext;
import org.drip.capital.stress.Event;
import org.drip.capital.stress.SystemicEventContainer;
import org.drip.capital.stress.PnLSeries;
import org.drip.capital.stress.EventSpecification;
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>ASIA</i> zeds the Business Correlated Stress and their corresponding Scenario Names and Loss
 *  Amounts for the following Coordinates:
 *  
 *    - REGION    == ASIA
 *     
 * 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/correlatedstress/README.md">Two Beta Float Float Scheme</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class ASIA
{

    private static final String DisplayStressEventPnL (
        final PnLSeries stressEventPnL)
        throws Exception
    {
        String stressEventPnLDisplay = " ";

        for (double pnlOutcome : stressEventPnL.outcomeArray())
        {
            stressEventPnLDisplay = stressEventPnLDisplay +
                FormatUtil.FormatDouble (pnlOutcome, 3, 1, 1.) + " | ";
        }

        return stressEventPnLDisplay + FormatUtil.FormatDouble (stressEventPnL.composite(), 3, 1, 1.);
    }

    private static final void DisplayStressScenario (
        final Map<String, CapitalUnitEventContainer> coordinateStressScenarioMap,
        final java.lang.String coordinateFQN)
        throws Exception
    {
        SystemicEventContainer coordinateStressScenarioEvents =
            coordinateStressScenarioMap.get (coordinateFQN).systemicEventContainer();

        if (null == coordinateStressScenarioEvents)
        {
            return;
        }

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

        System.out.println (
            "\t|[" + coordinateFQN + "] => " +
            coordinateStressScenarioEvents.eventType()
        );

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

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

        Map<String, Event> eventMap = coordinateStressScenarioEvents.eventMap();

        for (Map.Entry<String, Event> eventMapEntry : eventMap.entrySet())
        {
            Event coordinateStressEvent = eventMapEntry.getValue();

            EventSpecification stressEvent = coordinateStressEvent.specification();

            System.out.println (
                "\t\t[Name => " + stressEvent.name() + "] | " +
                "[Probability => " + FormatUtil.FormatDouble (stressEvent.probability(), 1, 4, 1.) + "] | " +
                "[PnL => " + DisplayStressEventPnL (coordinateStressEvent.aggregatePnLSeries()) + "] ||"
            );

            Map<String, PnLSeries> cBSSTHolder = coordinateStressEvent.attachedEventPnLSeries();

            if (null == cBSSTHolder || 0 == cBSSTHolder.size())
            {
                continue;
            }

            for (Map.Entry<String, PnLSeries> cBSSTEntry : cBSSTHolder.entrySet())
            {
                System.out.println ("\t\t\t[cBSST => " + cBSSTEntry.getKey() + "]");

                System.out.println ("\t\t\t\t[PnL => " + DisplayStressEventPnL (cBSSTEntry.getValue()) + "]");
            }
        }

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

        System.out.println();
    }

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

        String region = "ASIA";

        CapitalUnitStressEventContext gocStressEventContext =
            CapitalEstimationContextManager.ContextContainer().capitalUnitStressEventContext();

        Map<String, CapitalUnitEventContainer> gocEventContainerMap = gocStressEventContext.capitalUnitEventMap();

        for (String fqn : gocStressEventContext.matchingCapitalUnitCoordinateSet (region))
        {
            DisplayStressScenario (
                gocEventContainerMap,
                fqn
            );
        }

        EnvManager.TerminateEnv();
    }
}