ValueCategory.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>ValueCategory</i> holds the Fields relevant to Classifying Value Attribution from an Accounting View
  81.  * Point. The 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 ValueCategory
  120. {
  121.     private java.lang.String _id = "";
  122.     private boolean _cet1Contributor = false;
  123.     private java.lang.String _decription = "";

  125.     /**
  126.      * Retrieve an Instance of the CF1 Cash Flow
  127.      * 
  128.      * @return An Instance of the CF1 Cash Flow
  129.      */

  131.     public static final ValueCategory CF1()
  132.     {
  133.         try
  134.         {
  135.             return new ValueCategory (
  136.                 "CF1",
  137.                 "Dealer Trade Contractual Cash Flow",
  138.                 true
  139.             );
  140.         }
  141.         catch (java.lang.Exception e)
  142.         {
  143.             e.printStackTrace();
  144.         }

  146.         return null;
  147.     }

  149.     /**
  150.      * Retrieve an Instance of the CF2 Cash Flow
  151.      * 
  152.      * @return An Instance of the CF2 Cash Flow
  153.      */

  155.     public static final ValueCategory CF2()
  156.     {
  157.         try
  158.         {
  159.             return new ValueCategory (
  160.                 "CF2",
  161.                 "Client Default Cash Flow",
  162.                 true
  163.             );
  164.         }
  165.         catch (java.lang.Exception e)
  166.         {
  167.             e.printStackTrace();
  168.         }

  170.         return null;
  171.     }

  173.     /**
  174.      * Retrieve an Instance of the CF3 Cash Flow
  175.      * 
  176.      * @return An Instance of the CF3 Cash Flow
  177.      */

  179.     public static final ValueCategory CF3()
  180.     {
  181.         try
  182.         {
  183.             return new ValueCategory (
  184.                 "CF3",
  185.                 "Dealer Default Related Cash Flow",
  186.                 false
  187.             );
  188.         }
  189.         catch (java.lang.Exception e)
  190.         {
  191.             e.printStackTrace();
  192.         }

  194.         return null;
  195.     }

  197.     /**
  198.      * Retrieve an Instance of the CF4 Cash Flow
  199.      * 
  200.      * @return An Instance of the CF4 Cash Flow
  201.      */

  203.     public static final ValueCategory CF4()
  204.     {
  205.         try
  206.         {
  207.             return new ValueCategory (
  208.                 "CF4",
  209.                 "Pre Dealer Default Dynamic Flow",
  210.                 false
  211.             );
  212.         }
  213.         catch (java.lang.Exception e)
  214.         {
  215.             e.printStackTrace();
  216.         }

  218.         return null;
  219.     }

  221.     /**
  222.      * Retrieve an Instance of the CF5 Cash Flow
  223.      * 
  224.      * @return An Instance of the CF5 Cash Flow
  225.      */

  227.     public static final ValueCategory CF5()
  228.     {
  229.         try
  230.         {
  231.             return new ValueCategory (
  232.                 "CF5",
  233.                 "Post Dealer Default Dynamic Flow",
  234.                 false
  235.             );
  236.         }
  237.         catch (java.lang.Exception e)
  238.         {
  239.             e.printStackTrace();
  240.         }

  242.         return null;
  243.     }

  245.     /**
  246.      * Retrieve an Instance of the CF6 Cash Flow
  247.      * 
  248.      * @return An Instance of the CF6 Cash Flow
  249.      */

  251.     public static final ValueCategory CF6()
  252.     {
  253.         try
  254.         {
  255.             return new ValueCategory (
  256.                 "CF6",
  257.                 "CSA Related Cash Flow",
  258.                 false
  259.             );
  260.         }
  261.         catch (java.lang.Exception e)
  262.         {
  263.             e.printStackTrace();
  264.         }

  266.         return null;
  267.     }

  269.     /**
  270.      * Retrieve an Instance of the HYBRID Cash Flow
  271.      * 
  272.      * @return An Instance of the HYBRID Cash Flow
  273.      */

  275.     public static final ValueCategory HYBRID()
  276.     {
  277.         try
  278.         {
  279.             return new ValueCategory (
  280.                 "HYBRID",
  281.                 "Mixed Cash Flow Types",
  282.                 false
  283.             );
  284.         }
  285.         catch (java.lang.Exception e)
  286.         {
  287.             e.printStackTrace();
  288.         }

  290.         return null;
  291.     }

  293.     /**
  294.      * ValueCategory Constructor
  295.      * 
  296.      * @param id The Category ID
  297.      * @param decription The Category Description
  298.      * @param cet1Contributor TRUE - The Category is a CET1 Contributor
  299.      * 
  300.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  301.      */

  303.     public ValueCategory (
  304.         final java.lang.String id,
  305.         final java.lang.String decription,
  306.         final boolean cet1Contributor)
  307.         throws java.lang.Exception
  308.     {
  309.         if (null == (_id = id) || _id.isEmpty() ||
  310.             null == (_decription = decription) || _decription.isEmpty())
  311.         {
  312.             throw new java.lang.Exception ("ValueCategory Constructor => Invalid Inputs");
  313.         }

  315.         _cet1Contributor = cet1Contributor;
  316.     }

  318.     /**
  319.      * Retrieve the Category ID
  320.      * 
  321.      * @return The Category ID
  322.      */

  324.     public java.lang.String id()
  325.     {
  326.         return _id;
  327.     }

  329.     /**
  330.      * Retrieve the Category Description
  331.      * 
  332.      * @return The Category Description
  333.      */

  335.     public java.lang.String description()
  336.     {
  337.         return _decription;
  338.     }

  340.     /**
  341.      * Indicator if the Category is a CET1 Contributor
  342.      * 
  343.      * @return TRUE - The Category is a CET1 Contributor
  344.      */

  346.     public boolean isCET1Contributor()
  347.     {
  348.         return _cet1Contributor;
  349.     }
  350. }
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