StressScenarioDefinition.java

package org.drip.sample.systemicstress;

import java.util.List;
import java.util.Map;

import org.drip.capital.env.SystemicScenarioDefinitionContextManager;
import org.drip.capital.shell.PredictorScenarioSpecificationContainer;
import org.drip.capital.systemicscenario.CapitalBaselineDefinition;
import org.drip.capital.systemicscenario.HistoricalScenarioDefinition;
import org.drip.capital.systemicscenario.HypotheticalScenarioDefinition;
import org.drip.capital.systemicscenario.PredictorScenarioSpecification;
import org.drip.capital.systemicscenario.StressScenarioQuantification;
import org.drip.capital.systemicscenario.StressScenarioSpecification;
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>StressScenarioDefinition</i> zeds the Built-in Stress Scenario Definitions 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 StressScenarioDefinition
{

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

        PredictorScenarioSpecificationContainer predictorScenarioSpecificationContainer =
            SystemicScenarioDefinitionContextManager.PredictorScenarioSpecificationContainer();

        Map<String, List<String>> categoryPredictorListMap =
            predictorScenarioSpecificationContainer.categoryPredictorListMap();

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

        System.out.println ("\t|             CATEGORIES AND THEIR PREDICTORS              |");

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

        for (Map.Entry<String, List<String>> categoryPredictorListMapEntry :
            categoryPredictorListMap.entrySet())
        {
            System.out.println ("\t| CATEGORY => " + categoryPredictorListMapEntry.getKey());

            for (String predictor : categoryPredictorListMapEntry.getValue())
            {
                System.out.println ("\t| \t" + predictor);
            }

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

        System.out.println();

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

        System.out.println ("\t|                 PREDICTORS AND STRESS SCENARIO DEFINITIONS                  |");

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

        for (Map.Entry<String, PredictorScenarioSpecification> predictorScenarioSpecificationMapEntry :
            predictorScenarioSpecificationContainer.predictorScenarioSpecificationMap().entrySet())
        {
            PredictorScenarioSpecification predictorScenarioSpecification =
                predictorScenarioSpecificationMapEntry.getValue();

            System.out.println (
                "\t| " + predictorScenarioSpecificationMapEntry.getKey() + " => " +
                    predictorScenarioSpecification.category()
            );

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

            for (Map.Entry<String, StressScenarioSpecification> stressScenarioSpecificationMapEntry :
                predictorScenarioSpecification.segmentScenarioSpecificationMap().entrySet())
            {
                StressScenarioSpecification stressScenarioSpecification =
                    stressScenarioSpecificationMapEntry.getValue();

                StressScenarioQuantification stressScenarioQuantification =
                    stressScenarioSpecification.stressScenarioQuantification();

                HypotheticalScenarioDefinition hypotheticalScenarioDefinition =
                    stressScenarioSpecification.hypotheticalScenarioDefinition();

                HistoricalScenarioDefinition historicalScenarioDefinition =
                    stressScenarioSpecification.historicalScenarioDefinition();

                CapitalBaselineDefinition capitalBaselineDefinition =
                    stressScenarioSpecification.capitalBaselineDefinition();

                System.out.println (
                    "\t| \t " + stressScenarioSpecificationMapEntry.getKey() + " => "
                );

                System.out.println (
                    "\t| \t \t[QUANTIFICATION: " +
                        stressScenarioQuantification.typeOfChange() + " | " +
                        stressScenarioQuantification.unit() +
                    "]"
                );

                System.out.println (
                    "\t| \t \t[HYPOTHETICAL SCENARIO: " +
                        FormatUtil.FormatDouble (hypotheticalScenarioDefinition.dollarDecline(), 3, 1, 1.) + " | " +
                        FormatUtil.FormatDouble (hypotheticalScenarioDefinition.lostDecade(), 3, 1, 1.) + " | " +
                        FormatUtil.FormatDouble (hypotheticalScenarioDefinition.interestRateShock(), 3, 1, 1.) + " | " +
                        FormatUtil.FormatDouble (hypotheticalScenarioDefinition.deepDownturn(), 3, 1, 1.) +
                    "]"
                );

                System.out.println (
                    "\t| \t \t[HISTORICAL SCENARIO: " +
                        FormatUtil.FormatDouble (historicalScenarioDefinition.fy1974(), 3, 1, 1.) + " | " +
                        FormatUtil.FormatDouble (historicalScenarioDefinition.fy2008(), 3, 1, 1.) +
                    "]"
                );

                System.out.println (
                    "\t| \t \t[CAPITAL BASELINE: " +
                        FormatUtil.FormatDouble (capitalBaselineDefinition.fy1974(), 3, 1, 1.) + " | " +
                        FormatUtil.FormatDouble (capitalBaselineDefinition.fy2008(), 3, 1, 1.) +
                    "]"
                );
            }

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

        EnvManager.TerminateEnv();
    }
}