CreditDebtGroup.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>CreditDebtGroup</i> represents an Aggregation of Collateral Groups with a common Credit Debt
  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 CreditDebtGroup extends org.drip.xva.proto.ObjectSpecification
  119. {
  120.     private org.drip.xva.proto.CreditDebtGroupSpecification _creditDebtGroupSpecification = null;
  121.     private java.util.Map<java.lang.String, org.drip.xva.topology.CollateralGroup> _collateralGroupMap =
  122.         null;

  124.     /**
  125.      * CreditDebtGroup Constructor
  126.      * 
  127.      * @param id CreditDebtGroup ID
  128.      * @param name CreditDebtGroup Name
  129.      * @param creditDebtGroupSpecification The CreditDebtGroup Specification
  130.      * 
  131.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  132.      */

  134.     public CreditDebtGroup (
  135.         final java.lang.String id,
  136.         final java.lang.String name,
  137.         final org.drip.xva.proto.CreditDebtGroupSpecification creditDebtGroupSpecification)
  138.         throws java.lang.Exception
  139.     {
  140.         super (
  141.             id,
  142.             name
  143.         );

  145.         if (null == (_creditDebtGroupSpecification = creditDebtGroupSpecification))
  146.         {
  147.             throw new java.lang.Exception ("CreditDebtGroup Constructor => Invalid Inputs");
  148.         }

  150.         _collateralGroupMap = new
  151.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.xva.topology.CollateralGroup>();
  152.     }

  154.     /**
  155.      * Retrieve the Credit Debt Group Specification
  156.      * 
  157.      * @return The Credit Debt Group Specification
  158.      */

  160.     public org.drip.xva.proto.CreditDebtGroupSpecification creditDebtGroupSpecification()
  161.     {
  162.         return _creditDebtGroupSpecification;
  163.     }

  165.     /**
  166.      * Retrieve the Collateral Group Map
  167.      * 
  168.      * @return The Collateral Group Map
  169.      */

  171.     public java.util.Map<java.lang.String, org.drip.xva.topology.CollateralGroup> collateralGroupMap()
  172.     {
  173.         return _collateralGroupMap;
  174.     }

  176.     /**
  177.      * Add the specified Collateral Group
  178.      * 
  179.      * @param collateralGroup The Collateral Group
  180.      * 
  181.      * @return TRUE - The Collateral Group successfully added
  182.      */

  184.     public boolean addCollateralGroup (
  185.         final org.drip.xva.topology.CollateralGroup collateralGroup)
  186.     {
  187.         if (null == collateralGroup)
  188.         {
  189.             return false;
  190.         }

  192.         _collateralGroupMap.put (
  193.             collateralGroup.id(),
  194.             collateralGroup
  195.         );

  197.         return true;
  198.     }

  200.     /**
  201.      * Indicates if the Collateral Group identified by the specified ID
  202.      * 
  203.      * @param collateralGroupID The Collateral Group ID
  204.      * 
  205.      * @return TRUE - The Collateral Group Exists
  206.      */

  208.     public boolean containsCollateralGroup (
  209.         final java.lang.String collateralGroupID)
  210.     {
  211.         return null == collateralGroupID || collateralGroupID.isEmpty() ? false :
  212.             _collateralGroupMap.containsKey (collateralGroupID);
  213.     }

  215.     /**
  216.      * Retrieve the Collateral Group identified by the specified ID
  217.      * 
  218.      * @param collateralGroupID The Collateral Group ID
  219.      * 
  220.      * @return The Collateral Group
  221.      */

  223.     public org.drip.xva.topology.CollateralGroup collateralGroup (
  224.         final java.lang.String collateralGroupID)
  225.     {
  226.         return containsCollateralGroup (collateralGroupID) ? _collateralGroupMap.get (collateralGroupID) :
  227.             null;
  228.     }

  230.     /**
  231.      * Retrieve the Dealer Hazard Label
  232.      * 
  233.      * @return The Dealer Hazard Label
  234.      */

  236.     public org.drip.state.identifier.EntityHazardLabel dealerHazardLabel()
  237.     {
  238.         return _creditDebtGroupSpecification.dealerHazardLabel();
  239.     }

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

  247.     public org.drip.state.identifier.EntityHazardLabel clientPartyHazardLabel()
  248.     {
  249.         return _creditDebtGroupSpecification.clientHazardLabel();
  250.     }

  252.     /**
  253.      * Retrieve the Dealer Senior Recovery Label
  254.      * 
  255.      * @return The Dealer Senior Recovery Label
  256.      */

  258.     public org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel()
  259.     {
  260.         return _creditDebtGroupSpecification.dealerSeniorRecoveryLabel();
  261.     }

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

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

  274.     /**
  275.      * Retrieve the Client Senior Recovery Label
  276.      * 
  277.      * @return The Client Senior Recovery Label
  278.      */

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

  285.     /**
  286.      * Retrieve the Overnight Label Map
  287.      * 
  288.      * @return The Overnight Label Map
  289.      */

  291.     public java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap()
  292.     {
  293.         java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap = new
  294.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.OvernightLabel>();

  296.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CollateralGroup>
  297.             collateralGroupMapEntry : _collateralGroupMap.entrySet())
  298.         {
  299.             org.drip.state.identifier.OvernightLabel overnightLabel =
  300.                 collateralGroupMapEntry.getValue().overnightLabel();

  302.             java.lang.String overnightLabelFQN = overnightLabel.fullyQualifiedName();

  304.             if (!overnightLabelMap.containsKey (overnightLabelFQN))
  305.             {
  306.                 overnightLabelMap.put (
  307.                     overnightLabelFQN,
  308.                     overnightLabel
  309.                 );
  310.             }
  311.         }

  313.         return overnightLabelMap;
  314.     }

  316.     /**
  317.      * Retrieve the CSA Label Map
  318.      * 
  319.      * @return The CSA Label Map
  320.      */

  322.     public java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap()
  323.     {
  324.         java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap = new
  325.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.CSALabel>();

  327.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CollateralGroup>
  328.             collateralGroupMapEntry : _collateralGroupMap.entrySet())
  329.         {
  330.             org.drip.state.identifier.CSALabel csaLabel = collateralGroupMapEntry.getValue().csaLabel();

  332.             java.lang.String csaLabelFQN = csaLabel.fullyQualifiedName();

  334.             if (!csaLabelMap.containsKey (csaLabelFQN))
  335.             {
  336.                 csaLabelMap.put (
  337.                     csaLabelFQN,
  338.                     csaLabel
  339.                 );
  340.             }
  341.         }

  343.         return csaLabelMap;
  344.     }
  345. }
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