AdiabatMarketParams.java

  1. package org.drip.xva.topology;

  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>AdiabatMarketParams</i> contains the Market Parameters that correspond to a given Adiabat. The
  80.  * References are:
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li>
  85.  *          Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management,
  86.  *              and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301
  87.  *              <b>eSSRN</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  91.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  92.  *      </li>
  93.  *      <li>
  94.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  95.  *      </li>
  96.  *      <li>
  97.  *          Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  98.  *              86-90
  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/topology/README.md">Collateral, Credit/Debt, Funding Topologies</a></li>
  112.  *  </ul>
  113.  * <br><br>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class AdiabatMarketParams
  119. {
  120.     private java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> _csaLabelMap = null;
  121.     private java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> _overnightLabelMap =
  122.         null;
  123.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  124.         _clientHazardLabelMap = null;
  125.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  126.         _dealerHazardLabelMap = null;
  127.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  128.         _clientRecoveryLabelMap = null;
  129.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  130.         _dealerSeniorRecoveryLabelMap = null;
  131.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  132.         _clientFundingLabelMap = null;
  133.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  134.         _dealerSubordinateRecoveryLabelMap = null;
  135.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  136.         _dealerSeniorFundingLabelMap = null;
  137.     private java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  138.         _dealerSubordinateFundingLabelMap = null;

  140.     /**
  141.      * AdiabatMarketParams Constructor
  142.      * 
  143.      * @param overnightLabelMap Map of Overnight Labels
  144.      * @param csaLabelMap Map of CSA Labels
  145.      * @param dealerHazardLabelMap Map of Dealer Hazard Labels
  146.      * @param clientHazardLabelMap Map of Client Hazard Labels
  147.      * @param dealerSeniorRecoveryLabelMap Map of Dealer Senior Recovery Labels
  148.      * @param clientRecoveryLabelMap Map of Client Recovery Labels
  149.      * @param dealerSubordinateRecoveryLabelMap Map of Dealer Subordinate Recovery Labels
  150.      * @param dealerSeniorFundingLabelMap Map of Dealer Senior Funding Labels
  151.      * @param clientFundingLabelMap Map of Client Funding Labels
  152.      * @param dealerSubordinateFundingLabelMap Map of Dealer Subordinate Funding Labels
  153.      * 
  154.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  155.      */

  157.     public AdiabatMarketParams (
  158.         final java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap,
  159.         final java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap,
  160.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  161.             dealerHazardLabelMap,
  162.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  163.             clientHazardLabelMap,
  164.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  165.             dealerSeniorRecoveryLabelMap,
  166.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  167.             clientRecoveryLabelMap,
  168.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  169.             dealerSubordinateRecoveryLabelMap,
  170.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  171.             dealerSeniorFundingLabelMap,
  172.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  173.             clientFundingLabelMap,
  174.         final java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  175.             dealerSubordinateFundingLabelMap)
  176.         throws java.lang.Exception
  177.     {
  178.         if (null == (_overnightLabelMap = overnightLabelMap) || 0 == _overnightLabelMap.size() ||
  179.             null == (_csaLabelMap = csaLabelMap) || 0 == _csaLabelMap.size() ||
  180.             null == (_dealerHazardLabelMap = dealerHazardLabelMap) || 0 == _dealerHazardLabelMap.size() ||
  181.             null == (_clientHazardLabelMap = clientHazardLabelMap) || 0 == _clientHazardLabelMap.size() ||
  182.             null == (_dealerSeniorRecoveryLabelMap = dealerSeniorRecoveryLabelMap) || 0 ==
  183.                 _dealerSeniorRecoveryLabelMap.size() ||
  184.             null == (_clientRecoveryLabelMap = clientRecoveryLabelMap) || 0 == _clientRecoveryLabelMap.size()
  185.                 ||
  186.             null == (_dealerSeniorFundingLabelMap = dealerSeniorFundingLabelMap) || 0 ==
  187.                 _dealerSeniorFundingLabelMap.size() ||
  188.             null == (_clientFundingLabelMap = clientFundingLabelMap) || 0 == _clientFundingLabelMap.size())
  189.         {
  190.             throw new java.lang.Exception ("AdiabatMarketParams Constructor => Invalid Inputs");
  191.         }

  193.         _dealerSubordinateFundingLabelMap = dealerSubordinateFundingLabelMap;
  194.         _dealerSubordinateRecoveryLabelMap = dealerSubordinateRecoveryLabelMap;
  195.     }

  197.     /**
  198.      * Retrieve the Map of Overnight Labels
  199.      * 
  200.      * @return The Map of Overnight Labels
  201.      */

  203.     public java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap()
  204.     {
  205.         return _overnightLabelMap;
  206.     }

  208.     /**
  209.      * Retrieve the Map of CSA Labels
  210.      * 
  211.      * @return The Map of CSA Labels
  212.      */

  214.     public java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap()
  215.     {
  216.         return _csaLabelMap;
  217.     }

  219.     /**
  220.      * Retrieve the Map of Dealer Hazard Labels
  221.      * 
  222.      * @return The Map of Dealer Hazard Labels
  223.      */

  225.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  226.         dealerHazardLabelMap()
  227.     {
  228.         return _dealerHazardLabelMap;
  229.     }

  231.     /**
  232.      * Retrieve the Map of Client Hazard Labels
  233.      * 
  234.      * @return The Map of Client Hazard Labels
  235.      */

  237.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  238.         clientHazardLabelMap()
  239.     {
  240.         return _clientHazardLabelMap;
  241.     }

  243.     /**
  244.      * Retrieve the Map of Dealer Senior Recovery Labels
  245.      * 
  246.      * @return The Map of Dealer Senior Recovery Labels
  247.      */

  249.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  250.         dealerSeniorRecoveryLabelMap()
  251.     {
  252.         return _dealerSeniorRecoveryLabelMap;
  253.     }

  255.     /**
  256.      * Retrieve the Map of Client Recovery Labels
  257.      * 
  258.      * @return The Map of Client Recovery Labels
  259.      */

  261.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  262.         clientRecoveryLabelMap()
  263.     {
  264.         return _clientRecoveryLabelMap;
  265.     }

  267.     /**
  268.      * Retrieve the Map of Dealer Subordinate Recovery Labels
  269.      * 
  270.      * @return The Map of Dealer Subordinate Recovery Labels
  271.      */

  273.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  274.         dealerSubordinateRecoveryLabelMap()
  275.     {
  276.         return _dealerSubordinateRecoveryLabelMap;
  277.     }

  279.     /**
  280.      * Retrieve the Map of Dealer Senior Funding Labels
  281.      * 
  282.      * @return The Map of Dealer Senior Funding Labels
  283.      */

  285.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  286.         dealerSeniorFundingLabelMap()
  287.     {
  288.         return _dealerSeniorFundingLabelMap;
  289.     }

  291.     /**
  292.      * Retrieve the Map of Client Funding Labels
  293.      * 
  294.      * @return The Map of Client Funding Labels
  295.      */

  297.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  298.         clientFundingLabelMap()
  299.     {
  300.         return _clientFundingLabelMap;
  301.     }

  303.     /**
  304.      * Retrieve the Map of Dealer Subordinate Funding Labels
  305.      * 
  306.      * @return The Map of Dealer Subordinate Funding Labels
  307.      */

  309.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityFundingLabel>
  310.         dealerSubordinateFundingLabelMap()
  311.     {
  312.         return _dealerSubordinateFundingLabelMap;
  313.     }
  314. }
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