PDEEvolutionControl.java

package org.drip.xva.definition;

/*
 * -*- 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>PDEEvolutionControl</i> is used to Customize the XVA Estimation using PDE Evolution, e.g., determine
 * the MTM Mechanism that determines the actual Termination Close Out, as laid out in Burgard and Kjaer
 * (2014). The References are:
 *
 *  <br><br>
 *  <ul>
 *      <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>
 *          Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): <i>Modeling,
 *              Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide</i> <b>Springer
 *              Finance</b> New York
 *      </li>
 *      <li>
 *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
 *              86-90
 *      </li>
 *      <li>
 *          Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
 *              Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
 *              <b>World Scientific Publishing</b> Singapore
 *      </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/definition/README.md">XVA Definition - Close Out, Universe</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class PDEEvolutionControl
{

    /**
     * Set the Close-out to the Derivative MTM according to Li and Tang (2007) or Gregory (2009) 
     */

    public static final int CLOSEOUT_GREGORY_LI_TANG = 1;

    /**
     * Set the Close-out to the Derivative XVA MTM according to Burgard and Kjaer (2014)
     */

    public static final int CLOSEOUT_BURGARD_KJAER = 2;

    private int _closeOutScheme = CLOSEOUT_GREGORY_LI_TANG;
    private double _sensitivityShiftFactor = java.lang.Double.NaN;

    /**
     * PDEEvolutionControl Constructor
     * 
     * @param closeOutScheme The Close Out Scheme
     * @param sensitivityShiftFactor The Factor needed to evaluate Sensitivity Shifts
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public PDEEvolutionControl (
        final int closeOutScheme,
        final double sensitivityShiftFactor)
        throws java.lang.Exception
    {
        if ((CLOSEOUT_GREGORY_LI_TANG != (_closeOutScheme = closeOutScheme) &&
            CLOSEOUT_BURGARD_KJAER != _closeOutScheme) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_sensitivityShiftFactor = sensitivityShiftFactor))
        {
            throw new java.lang.Exception ("PDEEvolutionControl Constructor => Invalid Inputs");
        }
    }

    /**
     * Retrieve the Close-out Scheme
     * 
     * @return The Close-out Scheme
     */

    public int closeOutScheme()
    {
        return _closeOutScheme;
    }

    /**
     * Retrieve the Factor needed to evaluate Sensitivity Shifts
     * 
     * @return The Factor needed to evaluate Sensitivity Shifts
     */

    public double sensitivityShiftFactor()
    {
        return _sensitivityShiftFactor;
    }
}