CollateralGroup.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>CollateralGroup</i> represents an Aggregation of Position Groups over a common Collateral
  80.  * Specification. The 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 CollateralGroup extends org.drip.xva.proto.ObjectSpecification
  119. {
  120.     private org.drip.xva.proto.CollateralGroupSpecification _collateralGroupSpecification = null;
  121.     private java.util.Map<java.lang.String, org.drip.xva.topology.PositionGroup> _positionGroupMap = null;

  123.     /**
  124.      * CollateralGroup Constructor
  125.      * 
  126.      * @param id The Collateral Group ID
  127.      * @param name The Collateral Group Name
  128.      * @param collateralGroupSpecification The Collateral Group Specification
  129.      * 
  130.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  131.      */

  133.     public CollateralGroup (
  134.         final java.lang.String id,
  135.         final java.lang.String name,
  136.         final org.drip.xva.proto.CollateralGroupSpecification collateralGroupSpecification)
  137.         throws java.lang.Exception
  138.     {
  139.         super (
  140.             id,
  141.             name
  142.         );

  144.         if (null == (_collateralGroupSpecification = collateralGroupSpecification))
  145.         {
  146.             throw new java.lang.Exception ("CollateralGroup Contructor => Invalid Inputs");
  147.         }

  149.         _positionGroupMap = new
  150.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.xva.topology.PositionGroup>();
  151.     }

  153.     /**
  154.      * Retrieve the Collateral Group Specification
  155.      * 
  156.      * @return The Collateral Group Specification
  157.      */

  159.     public org.drip.xva.proto.CollateralGroupSpecification collateralGroupSpecification()
  160.     {
  161.         return _collateralGroupSpecification;
  162.     }

  164.     /**
  165.      * Retrieve the Position Group Map
  166.      * 
  167.      * @return The Position Group Map
  168.      */

  170.     public java.util.Map<java.lang.String, org.drip.xva.topology.PositionGroup> positionGroupMap()
  171.     {
  172.         return _positionGroupMap;
  173.     }

  175.     /**
  176.      * Add the specified Position Group
  177.      * 
  178.      * @param positionGroup The Position Group
  179.      * 
  180.      * @return TRUE - The Position Group successfully added
  181.      */

  183.     public boolean addPositionGroup (
  184.         final org.drip.xva.topology.PositionGroup positionGroup)
  185.     {
  186.         if (null == positionGroup)
  187.         {
  188.             return false;
  189.         }

  191.         _positionGroupMap.put (
  192.             positionGroup.id(),
  193.             positionGroup
  194.         );

  196.         return true;
  197.     }

  199.     /**
  200.      * Indicates if the Position Group identified by the specified ID
  201.      * 
  202.      * @param positionGroupID The Position Group ID
  203.      * 
  204.      * @return TRUE - The Position Group Exists
  205.      */

  207.     public boolean containsPositionGroup (
  208.         final java.lang.String positionGroupID)
  209.     {
  210.         return null == positionGroupID || positionGroupID.isEmpty() ? false : _positionGroupMap.containsKey
  211.             (positionGroupID);
  212.     }

  214.     /**
  215.      * Retrieve the Position Group identified by the specified ID
  216.      * 
  217.      * @param positionGroupID The Position Group ID
  218.      * 
  219.      * @return The Position Group
  220.      */

  222.     public org.drip.xva.topology.PositionGroup positionGroup (
  223.         final java.lang.String positionGroupID)
  224.     {
  225.         return containsPositionGroup (positionGroupID) ? _positionGroupMap.get (positionGroupID) : null;
  226.     }

  228.     /**
  229.      * Retrieve the Overnight Label
  230.      * 
  231.      * @return The Overnight Label
  232.      */

  234.     public org.drip.state.identifier.OvernightLabel overnightLabel()
  235.     {
  236.         return _collateralGroupSpecification.overnightLabel();
  237.     }

  239.     /**
  240.      * Retrieve the CSA Label
  241.      * 
  242.      * @return The CSA Label
  243.      */

  245.     public org.drip.state.identifier.CSALabel csaLabel()
  246.     {
  247.         return _collateralGroupSpecification.csaLabel();
  248.     }
  249. }
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