ValueAdjustment.java
package org.drip.xva.basel;
/*
* -*- 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
* Copyright (C) 2017 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>ValueAdjustment</i> holds the Value and the Attribution Category at the Level of a Portfolio. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
* Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </li>
* <li>
* BCBS (2012): <i>Consultative Document: Application of Own Credit Risk Adjustments to
* Derivatives</i> <b>Basel Committee on Banking Supervision</b>
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
* Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
* <i>Risk</i> <b>21 (2)</b> 97-102
* </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/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/README.md">Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/basel/README.md">XVA Based Basel Accounting Measures</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class ValueAdjustment
{
private double _amount = java.lang.Double.NaN;
private org.drip.xva.basel.ValueCategory _valueCategory = null;
/**
* Construct the Collateralized Transaction Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The Collateralized Transaction Value Adjustment Instance
*/
public static final ValueAdjustment Collateralized (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF1()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the UCVA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The UCVA Value Adjustment Instance
*/
public static final ValueAdjustment UCVA (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF2()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the FTDCVA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The FTDCVA Value Adjustment Instance
*/
public static final ValueAdjustment FTDCVA (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF2()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the DVA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The DVA Value Adjustment Instance
*/
public static final ValueAdjustment DVA (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF3()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the CVA Contra-Liability Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The CVA Contra-Liability Value Adjustment Instance
*/
public static final ValueAdjustment CVACL (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF3()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the FVA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The FVA Value Adjustment Instance
*/
public static final ValueAdjustment FVA (
final double amount)
{
try {
return new ValueAdjustment (amount, org.drip.xva.basel.ValueCategory.CF4());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct the FDA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The FDA Value Adjustment Instance
*/
public static final ValueAdjustment FDA (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF5()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the DVA2 Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The DVA2 Value Adjustment Instance
*/
public static final ValueAdjustment DVA2 (
final double amount)
{
return FDA (amount);
}
/**
* Construct the COLVA Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The COLVA Value Adjustment Instance
*/
public static final ValueAdjustment COLVA (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.CF6()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the HYBRID Value Adjustment Instance
*
* @param amount Valuation Adjustment Amount
*
* @return The HYBRID Value Adjustment Instance
*/
public static final ValueAdjustment HYBRID (
final double amount)
{
try
{
return new ValueAdjustment (
amount,
org.drip.xva.basel.ValueCategory.HYBRID()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* ValueAdjustment Constructor
*
* @param amount Valuation Adjustment Amount
* @param valueCategory Valuation Adjustment Attribution Category
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ValueAdjustment (
final double amount,
final org.drip.xva.basel.ValueCategory valueCategory)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_amount = amount) ||
null == (_valueCategory = valueCategory))
{
throw new java.lang.Exception ("ValueAdjustment Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Valuation Adjustment Amount
*
* @return The Valuation Adjustment Amount
*/
public double amount()
{
return _amount;
}
/**
* Retrieve the Valuation Adjustment Attribution Category
*
* @return The Valuation Adjustment Attribution Category
*/
public org.drip.xva.basel.ValueCategory valueCategory()
{
return _valueCategory;
}
}