ValueCategory.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>ValueCategory</i> holds the Fields relevant to Classifying Value Attribution from an Accounting View
* Point. 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 ValueCategory
{
private java.lang.String _id = "";
private boolean _cet1Contributor = false;
private java.lang.String _decription = "";
/**
* Retrieve an Instance of the CF1 Cash Flow
*
* @return An Instance of the CF1 Cash Flow
*/
public static final ValueCategory CF1()
{
try
{
return new ValueCategory (
"CF1",
"Dealer Trade Contractual Cash Flow",
true
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the CF2 Cash Flow
*
* @return An Instance of the CF2 Cash Flow
*/
public static final ValueCategory CF2()
{
try
{
return new ValueCategory (
"CF2",
"Client Default Cash Flow",
true
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the CF3 Cash Flow
*
* @return An Instance of the CF3 Cash Flow
*/
public static final ValueCategory CF3()
{
try
{
return new ValueCategory (
"CF3",
"Dealer Default Related Cash Flow",
false
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the CF4 Cash Flow
*
* @return An Instance of the CF4 Cash Flow
*/
public static final ValueCategory CF4()
{
try
{
return new ValueCategory (
"CF4",
"Pre Dealer Default Dynamic Flow",
false
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the CF5 Cash Flow
*
* @return An Instance of the CF5 Cash Flow
*/
public static final ValueCategory CF5()
{
try
{
return new ValueCategory (
"CF5",
"Post Dealer Default Dynamic Flow",
false
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the CF6 Cash Flow
*
* @return An Instance of the CF6 Cash Flow
*/
public static final ValueCategory CF6()
{
try
{
return new ValueCategory (
"CF6",
"CSA Related Cash Flow",
false
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Retrieve an Instance of the HYBRID Cash Flow
*
* @return An Instance of the HYBRID Cash Flow
*/
public static final ValueCategory HYBRID()
{
try
{
return new ValueCategory (
"HYBRID",
"Mixed Cash Flow Types",
false
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* ValueCategory Constructor
*
* @param id The Category ID
* @param decription The Category Description
* @param cet1Contributor TRUE - The Category is a CET1 Contributor
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ValueCategory (
final java.lang.String id,
final java.lang.String decription,
final boolean cet1Contributor)
throws java.lang.Exception
{
if (null == (_id = id) || _id.isEmpty() ||
null == (_decription = decription) || _decription.isEmpty())
{
throw new java.lang.Exception ("ValueCategory Constructor => Invalid Inputs");
}
_cet1Contributor = cet1Contributor;
}
/**
* Retrieve the Category ID
*
* @return The Category ID
*/
public java.lang.String id()
{
return _id;
}
/**
* Retrieve the Category Description
*
* @return The Category Description
*/
public java.lang.String description()
{
return _decription;
}
/**
* Indicator if the Category is a CET1 Contributor
*
* @return TRUE - The Category is a CET1 Contributor
*/
public boolean isCET1Contributor()
{
return _cet1Contributor;
}
}