CVANORTHAMERICA.java

package org.drip.sample.systemicstress;

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) 2019 Quantitative Risk Analytics
 */

/**
 * <i>CVANORTHAMERICA</i> zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss
 * Amount, and Probability for the following Coordinates:
 *  
 *    - REGION    == NORTH AMERICA
 *    - RISK TYPE == CVA
 *     
 * 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>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CVANORTHAMERICA
{

    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();

        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()) + "] ||"
            );
        }

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

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

        String region = "NORTH AMERICA";
        String riskType = "CVA";

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

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

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

        EnvManager.TerminateEnv();
    }
}