NORTHAMERICA.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>NORTHAMERICA</i> zeds the Business Correlated Stress and their corresponding Scenario Names and Loss
* Amounts for the following Coordinates:
*
* - REGION == NORTHAMERICA
*
* 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 NORTHAMERICA
{
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 = "NORTH AMERICA";
CapitalUnitStressEventContext gocStressEventContext =
CapitalEstimationContextManager.ContextContainer().capitalUnitStressEventContext();
Map<String, CapitalUnitEventContainer> gocEventContainerMap = gocStressEventContext.capitalUnitEventMap();
for (String fqn : gocStressEventContext.matchingCapitalUnitCoordinateSet (region))
{
DisplayStressScenario (
gocEventContainerMap,
fqn
);
}
EnvManager.TerminateEnv();
}
}