FundingGroup.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>FundingGroup</i> represents an Aggregation of Credit Debt Groups with a common Funding Group
  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 FundingGroup extends org.drip.xva.proto.ObjectSpecification
  119. {
  120.     private org.drip.xva.proto.FundingGroupSpecification _fundingGroupSpecification = null;
  121.     private java.util.Map<java.lang.String, org.drip.xva.topology.CreditDebtGroup> _creditDebtGroupMap =
  122.         null;

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

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

  145.         if (null == (_fundingGroupSpecification = fundingGroupSpecification))
  146.         {
  147.             throw new java.lang.Exception ("FundingGroup Constructor => Invalid Inputs");
  148.         }

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

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

  160.     public org.drip.xva.proto.FundingGroupSpecification fundingGroupSpecification()
  161.     {
  162.         return _fundingGroupSpecification;
  163.     }

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

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

  176.     /**
  177.      * Add the specified CreditDebtGroup Instance
  178.      * 
  179.      * @param creditDebtGroup The CreditDebtGroup Instance
  180.      * 
  181.      * @return TRUE - The CreditDebtGroup Instance successfully added
  182.      */

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

  192.         _creditDebtGroupMap.put (
  193.             creditDebtGroup.id(),
  194.             creditDebtGroup
  195.         );

  197.         return true;
  198.     }

  200.     /**
  201.      * Indicate the specified CreditDebtGroup ID is available
  202.      * 
  203.      * @param creditDebtGroupID The CreditDebtGroup ID
  204.      * 
  205.      * @return TRUE - The CreditDebtGroup is available
  206.      */

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

  215.     /**
  216.      * Retrieve the CreditDebtGroup
  217.      * 
  218.      * @param creditDebtGroupID The CreditDebtGroup ID
  219.      * 
  220.      * @return The CreditDebtGroup Instance
  221.      */

  223.     public org.drip.xva.topology.CreditDebtGroup creditDebtGroup (
  224.         final java.lang.String creditDebtGroupID)
  225.     {
  226.         return containsCreditDebtGroup (creditDebtGroupID) ? _creditDebtGroupMap.get (creditDebtGroupID) :
  227.             null;
  228.     }

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

  236.     public org.drip.state.identifier.EntityFundingLabel dealerSeniorFundingLabel()
  237.     {
  238.         return _fundingGroupSpecification.dealerSeniorFundingLabel();
  239.     }

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

  247.     public org.drip.state.identifier.EntityFundingLabel clientFundingLabel()
  248.     {
  249.         return _fundingGroupSpecification.clientFundingLabel();
  250.     }

  252.     /**
  253.      * Retrieve the Dealer Subordinate Funding Label
  254.      * 
  255.      * @return The Dealer Subordinate Funding Label
  256.      */

  258.     public org.drip.state.identifier.EntityFundingLabel dealerSubordinateFundingLabel()
  259.     {
  260.         return _fundingGroupSpecification.dealerSubordinateFundingLabel();
  261.     }

  263.     /**
  264.      * Retrieve the Overnight Label Map
  265.      * 
  266.      * @return The Overnight Label Map
  267.      */

  269.     public java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap()
  270.     {
  271.         java.util.Map<java.lang.String, org.drip.state.identifier.OvernightLabel> overnightLabelMap = new
  272.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.OvernightLabel>();

  274.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  275.             creditDebtGroupEntry : _creditDebtGroupMap.entrySet())
  276.         {
  277.             java.util.Map<java.lang.String, org.drip.xva.topology.CollateralGroup> collateralGroupMap =
  278.                 creditDebtGroupEntry.getValue().collateralGroupMap();

  280.             for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CollateralGroup>
  281.                 collateralGroupMapEntry : collateralGroupMap.entrySet())
  282.             {
  283.                 org.drip.state.identifier.OvernightLabel overnightLabel =
  284.                     collateralGroupMapEntry.getValue().overnightLabel();

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

  288.                 if (!overnightLabelMap.containsKey (overnightLabelFQN))
  289.                 {
  290.                     overnightLabelMap.put (
  291.                         overnightLabelFQN,
  292.                         overnightLabel
  293.                     );
  294.                 }
  295.             }
  296.         }

  298.         return overnightLabelMap;
  299.     }

  301.     /**
  302.      * Retrieve the CSA Label Map
  303.      * 
  304.      * @return The CSA Label Map
  305.      */

  307.     public java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap()
  308.     {
  309.         java.util.Map<java.lang.String, org.drip.state.identifier.CSALabel> csaLabelMap = new
  310.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.CSALabel>();

  312.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  313.             creditDebtGroupEntry : _creditDebtGroupMap.entrySet())
  314.         {
  315.             java.util.Map<java.lang.String, org.drip.xva.topology.CollateralGroup> collateralGroupMap =
  316.                 creditDebtGroupEntry.getValue().collateralGroupMap();

  318.             for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CollateralGroup>
  319.                 collateralGroupMapEntry : collateralGroupMap.entrySet())
  320.             {
  321.                 org.drip.state.identifier.CSALabel csaLabel = collateralGroupMapEntry.getValue().csaLabel();

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

  325.                 if (!csaLabelMap.containsKey (csaLabelFQN))
  326.                 {
  327.                     csaLabelMap.put (
  328.                         csaLabelFQN,
  329.                         csaLabel
  330.                     );
  331.                 }
  332.             }
  333.         }

  335.         return csaLabelMap;
  336.     }

  338.     /**
  339.      * Retrieve the Dealer Hazard Label Map
  340.      * 
  341.      * @return The Dealer Hazard Label Map
  342.      */

  344.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  345.         dealerHazardLabelMap()
  346.     {
  347.         java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel> dealerHazardLabelMap = new
  348.             org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.EntityHazardLabel>();

  350.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  351.             creditDebtGroupMapEntry : _creditDebtGroupMap.entrySet())
  352.         {
  353.             org.drip.state.identifier.EntityHazardLabel dealerHazardLabel =
  354.                 creditDebtGroupMapEntry.getValue().dealerHazardLabel();

  356.             java.lang.String dealerHazardLabelFQN = dealerHazardLabel.fullyQualifiedName();

  358.             if (!dealerHazardLabelMap.containsKey (dealerHazardLabelFQN))
  359.             {
  360.                 dealerHazardLabelMap.put (
  361.                     dealerHazardLabelFQN,
  362.                     dealerHazardLabel
  363.                 );
  364.             }
  365.         }

  367.         return dealerHazardLabelMap;
  368.     }

  370.     /**
  371.      * Retrieve the Client Hazard Label Map
  372.      * 
  373.      * @return The Client Hazard Label Map
  374.      */

  376.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel>
  377.         clientHazardLabelMap()
  378.     {
  379.         java.util.Map<java.lang.String, org.drip.state.identifier.EntityHazardLabel> clientHazardLabelMap =
  380.             new org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.EntityHazardLabel>();

  382.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  383.             creditDebtGroupMapEntry : _creditDebtGroupMap.entrySet())
  384.         {
  385.             org.drip.state.identifier.EntityHazardLabel clientHazardLabel =
  386.                 creditDebtGroupMapEntry.getValue().clientPartyHazardLabel();

  388.             java.lang.String clientHazardLabelFQN = clientHazardLabel.fullyQualifiedName();

  390.             if (!clientHazardLabelMap.containsKey (clientHazardLabelFQN))
  391.             {
  392.                 clientHazardLabelMap.put (
  393.                     clientHazardLabelFQN,
  394.                     clientHazardLabel
  395.                 );
  396.             }
  397.         }

  399.         return clientHazardLabelMap;
  400.     }

  402.     /**
  403.      * Retrieve the Dealer Senior Recovery Label Map
  404.      * 
  405.      * @return The Dealer Senior Recovery Label Map
  406.      */

  408.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  409.         dealerSeniorRecoveryLabelMap()
  410.     {
  411.         java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  412.             dealerSeniorRecoveryLabelMap = new
  413.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.EntityRecoveryLabel>();

  415.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  416.             creditDebtGroupMapEntry : _creditDebtGroupMap.entrySet())
  417.         {
  418.             org.drip.state.identifier.EntityRecoveryLabel dealerSeniorRecoveryLabel =
  419.                 creditDebtGroupMapEntry.getValue().dealerSeniorRecoveryLabel();

  421.             java.lang.String dealerSeniorRecoveryLabelFQN = dealerSeniorRecoveryLabel.fullyQualifiedName();

  423.             if (!dealerSeniorRecoveryLabelMap.containsKey (dealerSeniorRecoveryLabelFQN))
  424.             {
  425.                 dealerSeniorRecoveryLabelMap.put (
  426.                     dealerSeniorRecoveryLabelFQN,
  427.                     dealerSeniorRecoveryLabel
  428.                 );
  429.             }
  430.         }

  432.         return dealerSeniorRecoveryLabelMap;
  433.     }

  435.     /**
  436.      * Retrieve the Client Recovery Label Map
  437.      * 
  438.      * @return The Client Recovery Label Map
  439.      */

  441.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  442.         clientRecoveryLabelMap()
  443.     {
  444.         java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel> clientRecoveryLabelMap
  445.             = new
  446.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.EntityRecoveryLabel>();

  448.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  449.             creditDebtGroupMapEntry : _creditDebtGroupMap.entrySet())
  450.         {
  451.             org.drip.state.identifier.EntityRecoveryLabel clientRecoveryLabel =
  452.                 creditDebtGroupMapEntry.getValue().clientRecoveryLabel();

  454.             java.lang.String clientRecoveryLabelFQN = clientRecoveryLabel.fullyQualifiedName();

  456.             if (!clientRecoveryLabelMap.containsKey (clientRecoveryLabelFQN))
  457.             {
  458.                 clientRecoveryLabelMap.put (
  459.                     clientRecoveryLabelFQN,
  460.                     clientRecoveryLabel
  461.                 );
  462.             }
  463.         }

  465.         return clientRecoveryLabelMap;
  466.     }

  468.     /**
  469.      * Retrieve the Dealer Subordinate Recovery Label Map
  470.      * 
  471.      * @return The Dealer Subordinate Recovery Label Map
  472.      */

  474.     public java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  475.         dealerSubordinateRecoveryLabelMap()
  476.     {
  477.         java.util.Map<java.lang.String, org.drip.state.identifier.EntityRecoveryLabel>
  478.             dealerSubordinateRecoveryLabelMap = new
  479.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.state.identifier.EntityRecoveryLabel>();

  481.         for (java.util.Map.Entry<java.lang.String, org.drip.xva.topology.CreditDebtGroup>
  482.             creditDebtGroupMapEntry : _creditDebtGroupMap.entrySet())
  483.         {
  484.             org.drip.state.identifier.EntityRecoveryLabel dealerSubordinateRecoveryLabel =
  485.                 creditDebtGroupMapEntry.getValue().dealerSubordinateRecoveryLabel();

  487.             if (null != dealerSubordinateRecoveryLabel)
  488.             {
  489.                 java.lang.String dealerSubordinateRecoveryLabelFQN =
  490.                     dealerSubordinateRecoveryLabel.fullyQualifiedName();

  492.                 if (!dealerSubordinateRecoveryLabelMap.containsKey (dealerSubordinateRecoveryLabelFQN))
  493.                 {
  494.                     dealerSubordinateRecoveryLabelMap.put (
  495.                         dealerSubordinateRecoveryLabelFQN,
  496.                         dealerSubordinateRecoveryLabel
  497.                     );
  498.                 }
  499.             }
  500.         }

  502.         return dealerSubordinateRecoveryLabelMap;
  503.     }
  504. }
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