ValueAdjustment.java

  1. package org.drip.xva.basel;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>ValueAdjustment</i> holds the Value and the Attribution Category at the Level of a Portfolio. The
  81.  * References are:
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li>
  86.  *          Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
  87.  *              Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  88.  *              <b>eSSRN</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          BCBS (2012): <i>Consultative Document: Application of Own Credit Risk Adjustments to
  92.  *              Derivatives</i> <b>Basel Committee on Banking Supervision</b>
  93.  *      </li>
  94.  *      <li>
  95.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  96.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  97.  *      </li>
  98.  *      <li>
  99.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  100.  *      </li>
  101.  *      <li>
  102.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  103.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class ValueAdjustment
  120. {
  121.     private double _amount = java.lang.Double.NaN;
  122.     private org.drip.xva.basel.ValueCategory _valueCategory = null;

  124.     /**
  125.      * Construct the Collateralized Transaction Value Adjustment Instance
  126.      * 
  127.      * @param amount Valuation Adjustment Amount
  128.      * 
  129.      * @return The Collateralized Transaction Value Adjustment Instance
  130.      */

  132.     public static final ValueAdjustment Collateralized (
  133.         final double amount)
  134.     {
  135.         try
  136.         {
  137.             return new ValueAdjustment (
  138.                 amount,
  139.                 org.drip.xva.basel.ValueCategory.CF1()
  140.             );
  141.         }
  142.         catch (java.lang.Exception e)
  143.         {
  144.             e.printStackTrace();
  145.         }

  147.         return null;
  148.     }

  150.     /**
  151.      * Construct the UCVA Value Adjustment Instance
  152.      * 
  153.      * @param amount Valuation Adjustment Amount
  154.      * 
  155.      * @return The UCVA Value Adjustment Instance
  156.      */

  158.     public static final ValueAdjustment UCVA (
  159.         final double amount)
  160.     {
  161.         try
  162.         {
  163.             return new ValueAdjustment (
  164.                 amount,
  165.                 org.drip.xva.basel.ValueCategory.CF2()
  166.             );
  167.         }
  168.         catch (java.lang.Exception e)
  169.         {
  170.             e.printStackTrace();
  171.         }

  173.         return null;
  174.     }

  176.     /**
  177.      * Construct the FTDCVA Value Adjustment Instance
  178.      * 
  179.      * @param amount Valuation Adjustment Amount
  180.      * 
  181.      * @return The FTDCVA Value Adjustment Instance
  182.      */

  184.     public static final ValueAdjustment FTDCVA (
  185.         final double amount)
  186.     {
  187.         try
  188.         {
  189.             return new ValueAdjustment (
  190.                 amount,
  191.                 org.drip.xva.basel.ValueCategory.CF2()
  192.             );
  193.         }
  194.         catch (java.lang.Exception e)
  195.         {
  196.             e.printStackTrace();
  197.         }

  199.         return null;
  200.     }

  202.     /**
  203.      * Construct the DVA Value Adjustment Instance
  204.      * 
  205.      * @param amount Valuation Adjustment Amount
  206.      * 
  207.      * @return The DVA Value Adjustment Instance
  208.      */

  210.     public static final ValueAdjustment DVA (
  211.         final double amount)
  212.     {
  213.         try
  214.         {
  215.             return new ValueAdjustment (
  216.                 amount,
  217.                 org.drip.xva.basel.ValueCategory.CF3()
  218.             );
  219.         }
  220.         catch (java.lang.Exception e)
  221.         {
  222.             e.printStackTrace();
  223.         }

  225.         return null;
  226.     }

  228.     /**
  229.      * Construct the CVA Contra-Liability Value Adjustment Instance
  230.      * 
  231.      * @param amount Valuation Adjustment Amount
  232.      * 
  233.      * @return The CVA Contra-Liability Value Adjustment Instance
  234.      */

  236.     public static final ValueAdjustment CVACL (
  237.         final double amount)
  238.     {
  239.         try
  240.         {
  241.             return new ValueAdjustment (
  242.                 amount,
  243.                 org.drip.xva.basel.ValueCategory.CF3()
  244.             );
  245.         }
  246.         catch (java.lang.Exception e)
  247.         {
  248.             e.printStackTrace();
  249.         }

  251.         return null;
  252.     }

  254.     /**
  255.      * Construct the FVA Value Adjustment Instance
  256.      * 
  257.      * @param amount Valuation Adjustment Amount
  258.      * 
  259.      * @return The FVA Value Adjustment Instance
  260.      */

  262.     public static final ValueAdjustment FVA (
  263.         final double amount)
  264.     {
  265.         try {
  266.             return new ValueAdjustment (amount, org.drip.xva.basel.ValueCategory.CF4());
  267.         } catch (java.lang.Exception e) {
  268.             e.printStackTrace();
  269.         }

  271.         return null;
  272.     }

  274.     /**
  275.      * Construct the FDA Value Adjustment Instance
  276.      * 
  277.      * @param amount Valuation Adjustment Amount
  278.      * 
  279.      * @return The FDA Value Adjustment Instance
  280.      */

  282.     public static final ValueAdjustment FDA (
  283.         final double amount)
  284.     {
  285.         try
  286.         {
  287.             return new ValueAdjustment (
  288.                 amount,
  289.                 org.drip.xva.basel.ValueCategory.CF5()
  290.             );
  291.         }
  292.         catch (java.lang.Exception e)
  293.         {
  294.             e.printStackTrace();
  295.         }

  297.         return null;
  298.     }

  300.     /**
  301.      * Construct the DVA2 Value Adjustment Instance
  302.      * 
  303.      * @param amount Valuation Adjustment Amount
  304.      * 
  305.      * @return The DVA2 Value Adjustment Instance
  306.      */

  308.     public static final ValueAdjustment DVA2 (
  309.         final double amount)
  310.     {
  311.         return FDA (amount);
  312.     }

  314.     /**
  315.      * Construct the COLVA Value Adjustment Instance
  316.      * 
  317.      * @param amount Valuation Adjustment Amount
  318.      * 
  319.      * @return The COLVA Value Adjustment Instance
  320.      */

  322.     public static final ValueAdjustment COLVA (
  323.         final double amount)
  324.     {
  325.         try
  326.         {
  327.             return new ValueAdjustment (
  328.                 amount,
  329.                 org.drip.xva.basel.ValueCategory.CF6()
  330.             );
  331.         }
  332.         catch (java.lang.Exception e)
  333.         {
  334.             e.printStackTrace();
  335.         }

  337.         return null;
  338.     }

  340.     /**
  341.      * Construct the HYBRID Value Adjustment Instance
  342.      * 
  343.      * @param amount Valuation Adjustment Amount
  344.      * 
  345.      * @return The HYBRID Value Adjustment Instance
  346.      */

  348.     public static final ValueAdjustment HYBRID (
  349.         final double amount)
  350.     {
  351.         try
  352.         {
  353.             return new ValueAdjustment (
  354.                 amount,
  355.                 org.drip.xva.basel.ValueCategory.HYBRID()
  356.             );
  357.         }
  358.         catch (java.lang.Exception e)
  359.         {
  360.             e.printStackTrace();
  361.         }

  363.         return null;
  364.     }

  366.     /**
  367.      * ValueAdjustment Constructor
  368.      * 
  369.      * @param amount Valuation Adjustment Amount
  370.      * @param valueCategory Valuation Adjustment Attribution Category
  371.      * 
  372.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  373.      */

  375.     public ValueAdjustment (
  376.         final double amount,
  377.         final org.drip.xva.basel.ValueCategory valueCategory)
  378.         throws java.lang.Exception
  379.     {
  380.         if (!org.drip.numerical.common.NumberUtil.IsValid (_amount = amount) ||
  381.             null == (_valueCategory = valueCategory))
  382.         {
  383.             throw new java.lang.Exception ("ValueAdjustment Constructor => Invalid Inputs");
  384.         }
  385.     }

  387.     /**
  388.      * Retrieve the Valuation Adjustment Amount
  389.      * 
  390.      * @return The Valuation Adjustment Amount
  391.      */

  393.     public double amount()
  394.     {
  395.         return _amount;
  396.     }

  398.     /**
  399.      * Retrieve the Valuation Adjustment Attribution Category
  400.      * 
  401.      * @return The Valuation Adjustment Attribution Category
  402.      */

  404.     public org.drip.xva.basel.ValueCategory valueCategory()
  405.     {
  406.         return _valueCategory;
  407.     }
  408. }
Created with JaCoCo 0.7.9.201702052155