CreditDebtGroupSpecification.java

  1. package org.drip.xva.proto;

  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>CreditDebtGroupSpecification</i> contains the Specification of a Credit/Debt Netting Group. The
  81.  * References are:
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li>
  86.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  87.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  88.  *      </li>
  89.  *      <li>
  90.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  91.  *      </li>
  92.  *      <li>
  93.  *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  94.  *              86-90
  95.  *      </li>
  96.  *      <li>
  97.  *          Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
  98.  *              Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
  99.  *              <b>World Scientific Publishing</b> Singapore
  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/proto/README.md">Collateral, Counter Party, Netting Groups</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class CreditDebtGroupSpecification extends org.drip.xva.proto.ObjectSpecification
  120. {
  121.     private boolean _contractual = true;
  122.     private boolean _enforceable = true;
  123.     private org.drip.state.identifier.EntityHazardLabel _clientHazardLabel = null;
  124.     private org.drip.state.identifier.EntityHazardLabel _dealerHazardLabel = null;
  125.     private org.drip.state.identifier.EntityRecoveryLabel _clientRecoveryLabel = null;
  126.     private org.drip.state.identifier.EntityRecoveryLabel _dealerSeniorRecoveryLabel = null;
  127.     private org.drip.state.identifier.EntityRecoveryLabel _dealerSubordinateRecoveryLabel = null;

  129.     /**
  130.      * Generate a Standard Instance of CreditDebtGroupSpecification
  131.      * 
  132.      * @param id The Collateral Group ID
  133.      * @param name The Collateral Group Name
  134.      * @param dealerHazardLabel The Dealer Hazard Rate Latent State Label
  135.      * @param clientHazardLabel The Client Hazard Rate Latent State Label
  136.      * @param dealerSeniorRecoveryLabel The Dealer Senior Recovery Rate Latent State Label
  137.      * @param clientRecoveryLabel The Client Recovery Rate Latent State Label
  138.      * @param dealerSubordinateRecoveryLabel The Dealer Subordinate Recovery Rate Latent State Label
  139.      * 
  140.      * @return Standard Instance of NettingGroupSpecification
  141.      */

  143.     public static final CreditDebtGroupSpecification Standard (
  144.         final java.lang.String id,
  145.         final java.lang.String name,
  146.         final org.drip.state.identifier.EntityHazardLabel dealerHazardLabel,
  147.         final org.drip.state.identifier.EntityHazardLabel clientHazardLabel,
  148.         final org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel,
  149.         final org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel,
  150.         final org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel)
  151.     {
  152.         try {
  153.             return new CreditDebtGroupSpecification (
  154.                 id,
  155.                 name,
  156.                 dealerHazardLabel,
  157.                 clientHazardLabel,
  158.                 dealerSeniorRecoveryLabel,
  159.                 clientRecoveryLabel,
  160.                 dealerSubordinateRecoveryLabel,
  161.                 true,
  162.                 true
  163.             );
  164.         }
  165.         catch (java.lang.Exception e)
  166.         {
  167.             e.printStackTrace();
  168.         }

  170.         return null;
  171.     }

  173.     /**
  174.      * CreditDebtGroupSpecification Constructor
  175.      * 
  176.      * @param id The Collateral Group ID
  177.      * @param name The Collateral Group Name
  178.      * @param dealerHazardLabel The Dealer Hazard Rate Latent State Label
  179.      * @param clientHazardLabel The Client Hazard Rate Latent State Label
  180.      * @param dealerSeniorRecoveryLabel The Dealer Senior Recovery Rate Latent State Label
  181.      * @param clientRecoveryLabel The Client Recovery Rate Latent State Label
  182.      * @param dealerSubordinateRecoveryLabel The Dealer Subordinate Recovery Rate Latent State Label
  183.      * @param contractual TRUE - The Netting is Contractual
  184.      * @param enforceable TRUE - The Netting is Enforceable
  185.      * 
  186.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  187.      */

  189.     public CreditDebtGroupSpecification (
  190.         final java.lang.String id,
  191.         final java.lang.String name,
  192.         final org.drip.state.identifier.EntityHazardLabel dealerHazardLabel,
  193.         final org.drip.state.identifier.EntityHazardLabel clientHazardLabel,
  194.         final org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel,
  195.         final org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel,
  196.         final org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel,
  197.         final boolean contractual,
  198.         final boolean enforceable)
  199.         throws java.lang.Exception
  200.     {
  201.         super (
  202.             id,
  203.             name
  204.         );

  206.         if (null == (_dealerHazardLabel = dealerHazardLabel) ||
  207.             null == (_clientHazardLabel = clientHazardLabel) ||
  208.             null == (_dealerSeniorRecoveryLabel = dealerSeniorRecoveryLabel) ||
  209.             null == (_clientRecoveryLabel = clientRecoveryLabel))
  210.         {
  211.             throw new java.lang.Exception ("CreditDebtGroupSpecification Constructor");
  212.         }

  214.         _contractual = contractual;
  215.         _enforceable = enforceable;
  216.         _dealerSubordinateRecoveryLabel = dealerSubordinateRecoveryLabel;
  217.     }

  219.     /**
  220.      * Indicate if the Netting allowed is Contractual
  221.      * 
  222.      * @return TRUE - The Netting allowed is Contractual
  223.      */

  225.     public boolean contractual()
  226.     {
  227.         return _contractual;
  228.     }

  230.     /**
  231.      * Indicate if the Netting is Enforceable
  232.      * 
  233.      * @return TRUE - The Netting is Enforceable
  234.      */

  236.     public boolean enforceable()
  237.     {
  238.         return _enforceable;
  239.     }

  241.     /**
  242.      * Retrieve the Dealer Hazard Label
  243.      * 
  244.      * @return The Dealer Hazard Label
  245.      */

  247.     public org.drip.state.identifier.EntityHazardLabel dealerHazardLabel()
  248.     {
  249.         return _dealerHazardLabel;
  250.     }

  252.     /**
  253.      * Retrieve the Client Hazard Label
  254.      * 
  255.      * @return The Client Hazard Label
  256.      */

  258.     public org.drip.state.identifier.EntityHazardLabel clientHazardLabel()
  259.     {
  260.         return _clientHazardLabel;
  261.     }

  263.     /**
  264.      * Retrieve the Dealer Senior Recovery Label
  265.      * 
  266.      * @return The Dealer Senior Recovery Label
  267.      */

  269.     public org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel()
  270.     {
  271.         return _dealerSeniorRecoveryLabel;
  272.     }

  274.     /**
  275.      * Retrieve the Dealer Subordinate Recovery Label
  276.      * 
  277.      * @return The Dealer Subordinate Recovery Label
  278.      */

  280.     public org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel()
  281.     {
  282.         return _dealerSubordinateRecoveryLabel;
  283.     }

  285.     /**
  286.      * Retrieve the Client Recovery Label
  287.      * 
  288.      * @return The Client Recovery Label
  289.      */

  291.     public org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel()
  292.     {
  293.         return _clientRecoveryLabel;
  294.     }
  295. }
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