SectorSystemics.java

package org.drip.simm.credit;

/*
 * -*- 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>SectorSystemics</i> contains the Systemic Settings that hold Sector-related Information. 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/credit/README.md">Credit Qualifying/Non-Qualifying Risk Factor Settings</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class SectorSystemics
{

    /**
     * The Sovereigns Sector
     */

    public static final java.lang.String[] SOVEREIGNS = new java.lang.String[]
    {
        "SOVEREIGN",
        "CENTRAL_BANK"
    };

    /**
     * The Financials Sector
     */

    public static final java.lang.String[] FINANCIALS = new java.lang.String[]
    {
        "FINANCIAL",
        "GOVERNMENT_BACKED_FINANCIAL"
    };

    /**
     * The Basic Materials Sector
     */

    public static final java.lang.String[] BASIC_MATERIALS = new java.lang.String[]
    {
        "BASIC_MATERIALS",
        "ENERGY",
        "INDUSTRIALS"
    };

    /**
     * The Consumer Sector
     */

    public static final java.lang.String[] CONSUMER = new java.lang.String[]
    {
        "CONSUMER"
    };

    /**
     * The Technology/Media/Telecommunications Sector
     */

    public static final java.lang.String[] TMT = new java.lang.String[]
    {
        "TECHNOLOGY",
        "MEDIA",
        "TELECOMMUNICATIONS"
    };

    /**
     * The Local Services Sector
     */

    public static final java.lang.String[] LOCAL_SERVICES = new java.lang.String[]
    {
        "NON_FINANCIAL",
        "HEALTH_CARE",
        "UTILITIES",
        "LOCAL_GOVERNMENT",
        "GOVERNMENT_BACKED_CORPORATES",
        "NON_FINANCIAL"
    };

    /**
     * The RMBS/CMBS Sector
     */

    public static final java.lang.String[] RMBS_CMBS = new java.lang.String[]
    {
        "RMBS",
        "CMBS"
    };

    /**
     * The "Residual" Sector
     */

    public static final java.lang.String[] RESIDUAL = new java.lang.String[]
    {
        "RESIDUAL"
    };

    /**
     * The Consumer Services Sector
     */

    public static final java.lang.String[] CONSUMER_SERVICES = new java.lang.String[]
    {
        "CONSUMER_GOODS",
        "CONSUMER_SERVICES",
        "TRANSPORTATION_STORAGE",
        "ADMINISTRATIVE_AND_SUPPORT_SERVICE_ACTIVITIES",
        "UTILITIES"
    };

    /**
     * The Telecommunications/Industrials Sector
     */

    public static final java.lang.String[] TELECOMMUNICATIONS_INDUSTRIALS = new java.lang.String[]
    {
        "TELECOMMUNICATIONS",
        "INDUSTRIALS"
    };

    /**
     * The Heavy Industrials Sector
     */

    public static final java.lang.String[] HEAVY_INDUSTRIALS = new java.lang.String[]
    {
        "BASIC_MATERIALS",
        "ENERGY",
        "AGRICULTURE",
        "MANUFACTURING",
        "MINING",
        "QUARRYING"
    };

    /**
     * The Investment Sector
     */

    public static final java.lang.String[] INVESTMENT = new java.lang.String[]
    {
        "FINANCIAL",
        "GOVERNMENT_BACKED_FINANCIAL",
        "REAL_ESTATE_ACTIVITIES",
        "TECHNOLOGY"
    };

    /**
     * The "All" Sector
     */

    public static final java.lang.String[] ALL = new java.lang.String[]
    {
        "ALL"
    };

    /**
     * The Indexes/Funds/ETF's Sector
     */

    public static final java.lang.String[] INDEX_FUND_ETF = new java.lang.String[]
    {
        "INDEX",
        "FUND",
        "ETF"
    };

    /**
     * The Volatility Index Sector
     */

    public static final java.lang.String[] VOLATILITY_INDEX = new java.lang.String[]
    {
        "VOLATILITY_INDEX"
    };
}