CTSettingsContainer21.java

package org.drip.simm.commodity;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 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>CTSettingsContainer21</i> h/olds the ISDA SIMM 2.1 Commodity Buckets and their Correlations. The
 * References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
 *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
 *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
 *              Framework for Forecasting Initial Margin Requirements
 *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
 *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
 *                  <b>eSSRN</b>
 *      </li>
 *      <li>
 *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
 *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
 *      </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/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/README.md">Initial Margin Analytics based on ISDA SIMM and its Variants</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/commodity/README.md">Commodity Risk Factor Calibration Settings</a></li>
 *  </ul>
 * <br><br>
 * @author Lakshmi Krishnamurthy
 */

public class CTSettingsContainer21
{
    private static org.drip.measure.stochastic.LabelCorrelation s_CrossBucketCorrelation = null;

    private static final java.util.Map<java.lang.Integer, org.drip.simm.commodity.CTBucket> s_BucketMap =
        new java.util.TreeMap<java.lang.Integer, org.drip.simm.commodity.CTBucket>();

    private static final boolean SetUpCrossBucketCorrelation()
    {
        java.util.List<java.lang.String> bucketList = new java.util.ArrayList<java.lang.String>();

        bucketList.add ("1");

        bucketList.add ("2");

        bucketList.add ("3");

        bucketList.add ("4");

        bucketList.add ("5");

        bucketList.add ("6");

        bucketList.add ("7");

        bucketList.add ("8");

        bucketList.add ("9");

        bucketList.add ("10");

        bucketList.add ("11");

        bucketList.add ("12");

        bucketList.add ("13");

        bucketList.add ("14");

        bucketList.add ("15");

        bucketList.add ("16");

        bucketList.add ("17");

        try
        {
            s_CrossBucketCorrelation = new org.drip.measure.stochastic.LabelCorrelation (
                bucketList,
                new double[][]
                {
                    { 1.00, 0.16, 0.11, 0.19, 0.22, 0.12, 0.22, 0.02, 0.27, 0.08, 0.11, 0.05, 0.04, 0.06, 0.01, 0.00, 0.10}, // #01
                    { 0.16, 1.00, 0.89, 0.94, 0.93, 0.32, 0.24, 0.19, 0.21, 0.06, 0.39, 0.23, 0.39, 0.29, 0.13, 0.00, 0.66}, // #02
                    { 0.11, 0.89, 1.00, 0.87, 0.88, 0.17, 0.17, 0.13, 0.12, 0.03, 0.24, 0.04, 0.27, 0.19, 0.08, 0.00, 0.61}, // #03
                    { 0.19, 0.94, 0.87, 1.00, 0.92, 0.37, 0.27, 0.21, 0.21, 0.03, 0.36, 0.16, 0.27, 0.28, 0.09, 0.00, 0.64}, // #04
                    { 0.22, 0.93, 0.88, 0.92, 1.00, 0.29, 0.26, 0.19, 0.23, 0.10, 0.40, 0.27, 0.38, 0.30, 0.15, 0.00, 0.64}, // #05
                    { 0.12, 0.32, 0.17, 0.37, 0.29, 1.00, 0.19, 0.60, 0.18, 0.09, 0.22, 0.09, 0.14, 0.16, 0.10, 0.00, 0.37}, // #06
                    { 0.22, 0.24, 0.17, 0.27, 0.26, 0.19, 1.00, 0.06, 0.68, 0.16, 0.21, 0.10, 0.24, 0.25,-0.01, 0.00, 0.27}, // #07
                    { 0.02, 0.19, 0.13, 0.21, 0.19, 0.60, 0.06, 1.00, 0.12, 0.01, 0.10, 0.03, 0.02, 0.07, 0.10, 0.00, 0.21}, // #08
                    { 0.27, 0.21, 0.12, 0.21, 0.23, 0.18, 0.68, 0.12, 1.00, 0.05, 0.16, 0.03, 0.19, 0.16,-0.01, 0.00, 0.19}, // #09
                    { 0.08, 0.06, 0.03, 0.03, 0.10, 0.09, 0.16, 0.01, 0.05, 1.00, 0.08, 0.04, 0.05, 0.11, 0.02, 0.00, 0.00}, // #10
                    { 0.11, 0.39, 0.24, 0.36, 0.40, 0.22, 0.21, 0.10, 0.16, 0.08, 1.00, 0.34, 0.19, 0.22, 0.15, 0.00, 0.34}, // #11
                    { 0.05, 0.23, 0.04, 0.16, 0.27, 0.09, 0.10, 0.03, 0.03, 0.04, 0.34, 1.00, 0.14, 0.26, 0.09, 0.00, 0.20}, // #12
                    { 0.04, 0.39, 0.27, 0.27, 0.38, 0.14, 0.24, 0.02, 0.19, 0.05, 0.19, 0.14, 1.00, 0.30, 0.16, 0.00, 0.40}, // #13
                    { 0.06, 0.29, 0.19, 0.28, 0.30, 0.16, 0.25, 0.07, 0.16, 0.11, 0.22, 0.26, 0.30, 1.00, 0.09, 0.00, 0.30}, // #14
                    { 0.01, 0.13, 0.08, 0.09, 0.15, 0.10,-0.01, 0.10,-0.01, 0.02, 0.15, 0.09, 0.16, 0.09, 1.00, 0.00, 0.16}, // #15
                    { 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, // #16
                    { 0.10, 0.66, 0.61, 0.64, 0.64, 0.37, 0.27, 0.21, 0.19, 0.00, 0.34, 0.20, 0.40, 0.30, 0.16, 0.00, 1.00}  // #17
                }
            );

            return true;
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return false;
    }

    /**
     * Initialize the Commodity Settings Container
     * 
     * @return TRUE - Commodity Settings Container successfully initialized
     */

    public static final boolean Init()
    {
        try
        {
            s_BucketMap.put (
                1,
                new org.drip.simm.commodity.CTBucket (
                    1,
                    "Coal",
                    19.,
                    0.27
                )
            );

            s_BucketMap.put (
                2,
                new org.drip.simm.commodity.CTBucket (
                    2,
                    "Crude",
                    20.,
                    0.97
                )
            );

            s_BucketMap.put (
                3,
                new org.drip.simm.commodity.CTBucket (
                    3,
                    "Light Ends",
                    17.,
                    0.92
                )
            );

            s_BucketMap.put (
                4,
                new org.drip.simm.commodity.CTBucket (
                    4,
                    "Middle Distillates",
                    19.,
                    0.97
                )
            );

            s_BucketMap.put (
                5,
                new org.drip.simm.commodity.CTBucket (
                    5,
                    "Heavy Distillates",
                    24.,
                    0.99
                )
            );

            s_BucketMap.put (
                6,
                new org.drip.simm.commodity.CTBucket (
                    6,
                    "North American Natural Gas",
                    22.,
                    1.00
                )
            );

            s_BucketMap.put (
                7,
                new org.drip.simm.commodity.CTBucket (
                    7,
                    "European Natural Gas",
                    26.,
                    1.00
                )
            );

            s_BucketMap.put (
                8,
                new org.drip.simm.commodity.CTBucket (
                    8,
                    "North American Power",
                    50.,
                    0.40
                )
            );

            s_BucketMap.put (
                9,
                new org.drip.simm.commodity.CTBucket (
                    9,
                    "European Power",
                    27.,
                    0.73
                )
            );

            s_BucketMap.put (
                10,
                new org.drip.simm.commodity.CTBucket (
                    10,
                    "Freight",
                    54.,
                    0.13
                )
            );

            s_BucketMap.put (
                11,
                new org.drip.simm.commodity.CTBucket (
                    11,
                    "Base Metals",
                    20.,
                    0.53
                )
            );

            s_BucketMap.put (
                12,
                new org.drip.simm.commodity.CTBucket (
                    12,
                    "Precious Metals",
                    20.,
                    0.64
                )
            );

            s_BucketMap.put (
                13,
                new org.drip.simm.commodity.CTBucket (
                    13,
                    "Grains",
                    17.,
                    0.63
                )
            );

            s_BucketMap.put (
                14,
                new org.drip.simm.commodity.CTBucket (
                    14,
                    "Softs",
                    14.,
                    0.26
                )
            );

            s_BucketMap.put (
                15,
                new org.drip.simm.commodity.CTBucket (
                    15,
                    "Livestock",
                    10.,
                    0.26
                )
            );

            s_BucketMap.put (
                16,
                new org.drip.simm.commodity.CTBucket (
                    16,
                    "Other",
                    54.,
                    0.00
                )
            );

            s_BucketMap.put (
                17,
                new org.drip.simm.commodity.CTBucket (
                    17,
                    "Indexes",
                    16.,
                    0.38
                )
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();

            return false;
        }

        return SetUpCrossBucketCorrelation();
    }

    /**
     * Retrieve the Set of Bucket Indexes available
     * 
     * @return The Set of Bucket Indexes available
     */

    public static final java.util.Set<java.lang.Integer> BucketSet()
    {
        return s_BucketMap.keySet();
    }

    /**
     * Indicate if the Bucket denoted by the Number is available
     * 
     * @param bucketNumber The Bucket Number
     * 
     * @return TRUE - The Bucket denoted by the Number is available
     */

    public static final boolean ContainsBucket (
        final int bucketNumber)
    {
        return s_BucketMap.containsKey (bucketNumber);
    }

    /**
     * Retrieve the Bucket denoted by the Number
     * 
     * @param bucketNumber The Bucket Number
     * 
     * @return The Bucket denoted by the Number
     */

    public static final org.drip.simm.commodity.CTBucket Bucket (
        final int bucketNumber)
    {
        return ContainsBucket (bucketNumber) ? s_BucketMap.get (bucketNumber) : null;
    }

    /**
     * Retrieve the Cross Bucket Correlation
     * 
     * @return The Cross Bucket Correlation
     */

    public static final org.drip.measure.stochastic.LabelCorrelation CrossBucketCorrelation()
    {
        return s_CrossBucketCorrelation;
    }

    /**
     * Retrieve the Bucket Map
     * 
     * @return The Bucket Map
     */

    public static final java.util.Map<java.lang.Integer, org.drip.simm.commodity.CTBucket> BucketMap()
    {
        return s_BucketMap;
    }

    /**
     * Retrieve the Cross Bucket Co-variance Matrix
     * 
     * @return The Cross Bucket Co-variance Matrix
     */

    public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CrossBucketPrincipalCovariance()
    {
        return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
            s_CrossBucketCorrelation.matrix(),
            1.
        );
    }
}