AdiabatMarketParams.java
package org.drip.xva.topology;
/*
* -*- 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
*
* 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>AdiabatMarketParams</i> contains the Market Parameters that correspond to a given Adiabat. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management,
* and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301
* <b>eSSRN</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>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </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/topology/README.md">Collateral, Credit/Debt, Funding Topologies</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AdiabatMarketParams
{
private java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> _csaLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> _overnightLabelMap =
null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
_clientHazardLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
_dealerHazardLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
_clientRecoveryLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
_dealerSeniorRecoveryLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
_clientFundingLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
_dealerSubordinateRecoveryLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
_dealerSeniorFundingLabelMap = null;
private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
_dealerSubordinateFundingLabelMap = null;
/**
* AdiabatMarketParams Constructor
*
* @param overnightLabelMap Map of Overnight Labels
* @param csaLabelMap Map of CSA Labels
* @param dealerHazardLabelMap Map of Dealer Hazard Labels
* @param clientHazardLabelMap Map of Client Hazard Labels
* @param dealerSeniorRecoveryLabelMap Map of Dealer Senior Recovery Labels
* @param clientRecoveryLabelMap Map of Client Recovery Labels
* @param dealerSubordinateRecoveryLabelMap Map of Dealer Subordinate Recovery Labels
* @param dealerSeniorFundingLabelMap Map of Dealer Senior Funding Labels
* @param clientFundingLabelMap Map of Client Funding Labels
* @param dealerSubordinateFundingLabelMap Map of Dealer Subordinate Funding Labels
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AdiabatMarketParams (
final java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
dealerHazardLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
clientHazardLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
dealerSeniorRecoveryLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
clientRecoveryLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
dealerSubordinateRecoveryLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
dealerSeniorFundingLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
clientFundingLabelMap,
final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
dealerSubordinateFundingLabelMap)
throws java.lang.Exception
{
if (null == (_overnightLabelMap = overnightLabelMap) || 0 == _overnightLabelMap.size() ||
null == (_csaLabelMap = csaLabelMap) || 0 == _csaLabelMap.size() ||
null == (_dealerHazardLabelMap = dealerHazardLabelMap) || 0 == _dealerHazardLabelMap.size() ||
null == (_clientHazardLabelMap = clientHazardLabelMap) || 0 == _clientHazardLabelMap.size() ||
null == (_dealerSeniorRecoveryLabelMap = dealerSeniorRecoveryLabelMap) || 0 ==
_dealerSeniorRecoveryLabelMap.size() ||
null == (_clientRecoveryLabelMap = clientRecoveryLabelMap) || 0 == _clientRecoveryLabelMap.size()
||
null == (_dealerSeniorFundingLabelMap = dealerSeniorFundingLabelMap) || 0 ==
_dealerSeniorFundingLabelMap.size() ||
null == (_clientFundingLabelMap = clientFundingLabelMap) || 0 == _clientFundingLabelMap.size())
{
throw new java.lang.Exception ("AdiabatMarketParams Constructor => Invalid Inputs");
}
_dealerSubordinateFundingLabelMap = dealerSubordinateFundingLabelMap;
_dealerSubordinateRecoveryLabelMap = dealerSubordinateRecoveryLabelMap;
}
/**
* Retrieve the Map of Overnight Labels
*
* @return The Map of Overnight Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap()
{
return _overnightLabelMap;
}
/**
* Retrieve the Map of CSA Labels
*
* @return The Map of CSA Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap()
{
return _csaLabelMap;
}
/**
* Retrieve the Map of Dealer Hazard Labels
*
* @return The Map of Dealer Hazard Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
dealerHazardLabelMap()
{
return _dealerHazardLabelMap;
}
/**
* Retrieve the Map of Client Hazard Labels
*
* @return The Map of Client Hazard Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
clientHazardLabelMap()
{
return _clientHazardLabelMap;
}
/**
* Retrieve the Map of Dealer Senior Recovery Labels
*
* @return The Map of Dealer Senior Recovery Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
dealerSeniorRecoveryLabelMap()
{
return _dealerSeniorRecoveryLabelMap;
}
/**
* Retrieve the Map of Client Recovery Labels
*
* @return The Map of Client Recovery Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
clientRecoveryLabelMap()
{
return _clientRecoveryLabelMap;
}
/**
* Retrieve the Map of Dealer Subordinate Recovery Labels
*
* @return The Map of Dealer Subordinate Recovery Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
dealerSubordinateRecoveryLabelMap()
{
return _dealerSubordinateRecoveryLabelMap;
}
/**
* Retrieve the Map of Dealer Senior Funding Labels
*
* @return The Map of Dealer Senior Funding Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
dealerSeniorFundingLabelMap()
{
return _dealerSeniorFundingLabelMap;
}
/**
* Retrieve the Map of Client Funding Labels
*
* @return The Map of Client Funding Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
clientFundingLabelMap()
{
return _clientFundingLabelMap;
}
/**
* Retrieve the Map of Dealer Subordinate Funding Labels
*
* @return The Map of Dealer Subordinate Funding Labels
*/
public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
dealerSubordinateFundingLabelMap()
{
return _dealerSubordinateFundingLabelMap;
}
}