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

  78. /**
  79.  * <i>PositionGroupSpecification</i> contains the Specification of a Named Position Group. The References
  80.  * are:
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li>
  85.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  86.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  87.  *      </li>
  88.  *      <li>
  89.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  90.  *      </li>
  91.  *      <li>
  92.  *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  93.  *              86-90
  94.  *      </li>
  95.  *      <li>
  96.  *          Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
  97.  *              Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
  98.  *              <b>World Scientific Publishing</b> Singapore
  99.  *      </li>
  100.  *      <li>
  101.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  102.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  103.  *      </li>
  104.  *  </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  110.  *      <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>
  111.  *      <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>
  112.  *  </ul>
  113.  * <br><br>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class PositionGroupSpecification extends org.drip.xva.proto.ObjectSpecification
  119. {
  120.     private int _closeOutScheme = -1;
  121.     private int _brokenDateScheme = -1;
  122.     private int _clientDefaultWindow = -1;
  123.     private int _dealerDefaultWindow = -1;
  124.     private int _positionReplicationScheme = -1;
  125.     private double _hedgeError = java.lang.Double.NaN;
  126.     private double _independentAmount = java.lang.Double.NaN;
  127.     private double _minimumTransferAmount = java.lang.Double.NaN;
  128.     private org.drip.function.definition.R1ToR1 _dealerThresholdFunction = null;
  129.     private org.drip.function.definition.R1ToR1[] _clientThresholdFunctionArray = null;

  131.     /**
  132.      * Generate a Zero-Threshold Instance of the Named Position Group
  133.      * 
  134.      * @param name The Collateral Group Name
  135.      * @param positionReplicationScheme Position Replication Scheme
  136.      * @param brokenDateScheme Broken Date Interpolation Scheme
  137.      * @param hedgeError Hedge Error
  138.      * @param closeOutScheme Close Out Scheme
  139.      * 
  140.      * @return The Zero-Threshold Instance of the Named Position Group
  141.      */

  143.     public static final PositionGroupSpecification ZeroThreshold (
  144.         final java.lang.String name,
  145.         final int positionReplicationScheme,
  146.         final int brokenDateScheme,
  147.         final double hedgeError,
  148.         final int closeOutScheme)
  149.     {
  150.         try
  151.         {
  152.             return new PositionGroupSpecification (
  153.                 org.drip.numerical.common.StringUtil.GUID(),
  154.                 name,
  155.                 14,
  156.                 14,
  157.                 null,
  158.                 null,
  159.                 0.,
  160.                 0.,
  161.                 positionReplicationScheme,
  162.                 brokenDateScheme,
  163.                 hedgeError,
  164.                 closeOutScheme
  165.             );
  166.         }
  167.         catch (java.lang.Exception e)
  168.         {
  169.             e.printStackTrace();
  170.         }

  172.         return null;
  173.     }

  175.     /**
  176.      * Generate a Fixed-Threshold Instance of the Named Position Group
  177.      * 
  178.      * @param name The Collateral Group Name
  179.      * @param clientThreshold The Fixed Client Threshold
  180.      * @param dealerThreshold The Fixed Dealer Threshold
  181.      * @param positionReplicationScheme Position Replication Scheme
  182.      * @param brokenDateScheme Broken Date Interpolation Scheme
  183.      * @param hedgeError Hedge Error
  184.      * @param closeOutScheme Close Out Scheme
  185.      * 
  186.      * @return The Fixed-Threshold Instance of the Named Position Group
  187.      */

  189.     public static final PositionGroupSpecification FixedThreshold (
  190.         final java.lang.String name,
  191.         final double clientThreshold,
  192.         final double dealerThreshold,
  193.         final int positionReplicationScheme,
  194.         final int brokenDateScheme,
  195.         final double hedgeError,
  196.         final int closeOutScheme)
  197.     {
  198.         if (!org.drip.numerical.common.NumberUtil.IsValid (clientThreshold) || 0. > clientThreshold ||
  199.             !org.drip.numerical.common.NumberUtil.IsValid (dealerThreshold) || 0. < dealerThreshold)
  200.         {
  201.             return null;
  202.         }

  204.         try
  205.         {
  206.             return new PositionGroupSpecification (
  207.                 org.drip.numerical.common.StringUtil.GUID(),
  208.                 name,
  209.                 14,
  210.                 14,
  211.                 new org.drip.function.r1tor1.FlatUnivariate[]
  212.                 {
  213.                     new org.drip.function.r1tor1.FlatUnivariate (clientThreshold)
  214.                 },
  215.                 new org.drip.function.r1tor1.FlatUnivariate (dealerThreshold),
  216.                 0.,
  217.                 0.,
  218.                 positionReplicationScheme,
  219.                 brokenDateScheme,
  220.                 hedgeError,
  221.                 closeOutScheme
  222.             );
  223.         }
  224.         catch (java.lang.Exception e)
  225.         {
  226.             e.printStackTrace();
  227.         }

  229.         return null;
  230.     }

  232.     /**
  233.      * PositionGroupSpecification Constructor
  234.      * 
  235.      * @param id The Exposure Roll Up Group ID
  236.      * @param name The Exposure Roll Up Group Name
  237.      * @param clientDefaultWindow The Client Default Window
  238.      * @param dealerDefaultWindow The Dealer Default Window
  239.      * @param clientThresholdFunctionArray The Array of Collateral Group Client Threshold R^1 - R^1 Functions
  240.      * @param dealerThresholdFunction The Collateral Group Dealer Threshold R^1 - R^1 Function
  241.      * @param minimumTransferAmount The Collateral Group Minimum Transfer Amount
  242.      * @param independentAmount The Collateral Group Independent Amount
  243.      * @param positionReplicationScheme Position Replication Scheme
  244.      * @param brokenDateScheme Broken Date Interpolation Scheme
  245.      * @param hedgeError Hedge Error
  246.      * @param closeOutScheme Close Out Scheme
  247.      * 
  248.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  249.      */

  251.     public PositionGroupSpecification (
  252.         final java.lang.String id,
  253.         final java.lang.String name,
  254.         final int clientDefaultWindow,
  255.         final int dealerDefaultWindow,
  256.         final org.drip.function.definition.R1ToR1[] clientThresholdFunctionArray,
  257.         final org.drip.function.definition.R1ToR1 dealerThresholdFunction,
  258.         final double minimumTransferAmount,
  259.         final double independentAmount,
  260.         final int positionReplicationScheme,
  261.         final int brokenDateScheme,
  262.         final double hedgeError,
  263.         final int closeOutScheme)
  264.         throws java.lang.Exception
  265.     {
  266.         super (
  267.             id,
  268.             name
  269.         );

  271.         if (-1 >= (_clientDefaultWindow = clientDefaultWindow) ||
  272.             -1 >= (_dealerDefaultWindow = dealerDefaultWindow) ||
  273.             !org.drip.numerical.common.NumberUtil.IsValid (_minimumTransferAmount = minimumTransferAmount) ||
  274.             !org.drip.numerical.common.NumberUtil.IsValid (_independentAmount = independentAmount) ||
  275.             !org.drip.numerical.common.NumberUtil.IsValid (_hedgeError = hedgeError))
  276.         {
  277.             throw new java.lang.Exception ("PositionGroupSpecification Constructor => Invalid Inputs");
  278.         }

  280.         _closeOutScheme = closeOutScheme;
  281.         _brokenDateScheme = brokenDateScheme;
  282.         _dealerThresholdFunction = dealerThresholdFunction;
  283.         _positionReplicationScheme = positionReplicationScheme;
  284.         _clientThresholdFunctionArray = clientThresholdFunctionArray;
  285.     }

  287.     /**
  288.      * Retrieve the Client Default Window
  289.      * 
  290.      * @return The Client Default Window
  291.      */

  293.     public int clientDefaultWindow()
  294.     {
  295.         return _clientDefaultWindow;
  296.     }

  298.     /**
  299.      * Retrieve the Dealer Default Window
  300.      * 
  301.      * @return The Dealer Default Window
  302.      */

  304.     public int dealerDefaultWindow()
  305.     {
  306.         return _dealerDefaultWindow;
  307.     }

  309.     /**
  310.      * Retrieve the Array of the Collateral Group Client Threshold R^1 - R^1 Functions
  311.      * 
  312.      * @return The Array of the Collateral Group Client Threshold R^1 - R^1 Functions
  313.      */

  315.     public org.drip.function.definition.R1ToR1[] clientThresholdFunctionArray()
  316.     {
  317.         return _clientThresholdFunctionArray;
  318.     }

  320.     /**
  321.      * Retrieve the Collateral Group Dealer Threshold R^1 - R^1 Function
  322.      * 
  323.      * @return The Collateral Group Dealer Threshold R^1 - R^1 Function
  324.      */

  326.     public org.drip.function.definition.R1ToR1 dealerThresholdFunction()
  327.     {
  328.         return _dealerThresholdFunction;
  329.     }

  331.     /**
  332.      * Retrieve the Collateral Group Minimum Transfer Amount
  333.      * 
  334.      * @return The Collateral Group Minimum Transfer Amount
  335.      */

  337.     public double minimumTransferAmount()
  338.     {
  339.         return _minimumTransferAmount;
  340.     }

  342.     /**
  343.      * Retrieve the Collateral Group Independent Amount
  344.      * 
  345.      * @return The Collateral Group Independent Amount
  346.      */

  348.     public double independentAmount()
  349.     {
  350.         return _independentAmount;
  351.     }

  353.     /**
  354.      * Retrieve the Position Replication Scheme
  355.      * 
  356.      * @return The Position Replication Scheme
  357.      */

  359.     public int positionReplicationScheme()
  360.     {
  361.         return _positionReplicationScheme;
  362.     }

  364.     /**
  365.      * Retrieve the Broken Date Interpolation Scheme
  366.      * 
  367.      * @return The Broken Date Interpolation Scheme
  368.      */

  370.     public int brokenDateScheme()
  371.     {
  372.         return _brokenDateScheme;
  373.     }

  375.     /**
  376.      * Retrieve the Hedge Error
  377.      * 
  378.      * @return The Hedge Error
  379.      */

  381.     public double hedgeError()
  382.     {
  383.         return _hedgeError;
  384.     }

  386.     /**
  387.      * Retrieve the Close Out Scheme
  388.      * 
  389.      * @return The Close Out Scheme
  390.      */

  392.     public int closeOutScheme()
  393.     {
  394.         return _closeOutScheme;
  395.     }

  397.     /**
  398.      * Retrieve the Flag specifying whether the Collateral Group is Uncollateralized
  399.      * 
  400.      * @return TRUE - The Collateral Group is Uncollateralized
  401.      */

  403.     public boolean isUncollateralized()
  404.     {
  405.         return null == _clientThresholdFunctionArray && null == _dealerThresholdFunction;
  406.     }
  407. }
Created with JaCoCo 0.7.9.201702052155