CreditSpreadEventDesign.java

package org.drip.sample.systemicstress;

import java.util.Map;

import org.drip.capital.env.SystemicScenarioDesignContextManager;
import org.drip.capital.systemicscenario.CreditSpreadEvent;
import org.drip.capital.systemicscenario.Criterion;
import org.drip.numerical.common.FormatUtil;
import org.drip.numerical.common.NumberUtil;
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>CreditSpreadEventDesign</i> zeds the Built-in Credit Spread Events used for GSST Scenario Design. 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 CreditSpreadEventDesign
{

    private static final String CriterionValue (
        final double value,
        final int lefttOfDecimal,
        final int rightOfDecimal)
        throws Exception
    {
        return !NumberUtil.IsValid (value) ? " N/A" :
            FormatUtil.FormatDouble (value, lefttOfDecimal, rightOfDecimal, 1.);
    }

    private static final void DisplayCriterion (
        final Criterion criterion)
        throws Exception
    {
        System.out.println (
            "\t|            - " + criterion.name() + " => " + criterion.description()
        );
    }

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

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

        System.out.println ("\t|                 GSST SCENARIO DESIGN CREDIT SPREAD EVENTS                 |");

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

        boolean headerPass = true;

        for (Map.Entry<Integer, CreditSpreadEvent> creditSpreadEventMapEntry :
            SystemicScenarioDesignContextManager.CreditSpreadEventContainer().creditSpreadEventMap().entrySet())
        {
            CreditSpreadEvent creditSpreadEvent = creditSpreadEventMapEntry.getValue();

            if (headerPass)
            {
                headerPass = false;

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

                System.out.println ("\t|            - Credit Spread Event Index");

                System.out.println ("\t|            - Credit Spread Event Scenario Name");

                DisplayCriterion (
                    creditSpreadEvent.baaSpreadChange()
                );

                DisplayCriterion (
                    creditSpreadEvent.snp500Return()
                );

                DisplayCriterion (
                    creditSpreadEvent.ust5YChange()
                );

                DisplayCriterion (
                    creditSpreadEvent.ust10YMinus3MChange()
                );

                DisplayCriterion (
                    creditSpreadEvent.fxChange()
                );

                DisplayCriterion (
                    creditSpreadEvent.wtiSpotReturn()
                );

                DisplayCriterion (
                    creditSpreadEvent.snpGSCI()
                );

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

            System.out.println (
                "\t|" + FormatUtil.FormatDouble (creditSpreadEventMapEntry.getKey(), 2, 0, 1.) + " => " +
                creditSpreadEvent.scenario() + " | " +
                FormatUtil.FormatDouble (creditSpreadEvent.baaSpreadChange().value(), 3, 0, 1., false) + " | " +
                CriterionValue (creditSpreadEvent.snp500Return().value(), 3, 1) + "% | " +
                CriterionValue (creditSpreadEvent.ust5YChange().value(), 3, 0) + " | " +
                CriterionValue (creditSpreadEvent.ust10YMinus3MChange().value(), 3, 0) + " | " +
                CriterionValue (creditSpreadEvent.fxChange().value(), 1, 1) + "% | " +
                CriterionValue (creditSpreadEvent.wtiSpotReturn().value(), 3, 1) + "% | " +
                CriterionValue (creditSpreadEvent.snpGSCI().value(), 2, 1) + "%"
            );
        }

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

        EnvManager.TerminateEnv();
    }
}