Features:

- Investing Investible Risk Premium Category (21, 22, 23) - Risk Premium Category Interest Rate (24) - Risk Premium Category Credit Spread (25) - Risk Premium Category Equity Index (26) - Risk Premium Category FX Index (27) - Risk Premium Category Commodity Index (28) - Investing Factors Factor Component Loading (29, 30) - Factor Component Loading - Asset Type (31, 32) - Factor Component Loading - Risk Premium Type (33, 34) - Factor Component Loading - Weight (35, 36) - Factor Component Loading - Returns (37, 38) - Factor Component Loading - Tilted Towards (39, 40) - Factor Component Loading - Tilted Against From (41) Bug Fixes/Re-organization: - Special Function Incomplete Gamma Lower S Fixed Series Term (42, 43, 44) - Special Function Incomplete Gamma Lower S Fixed Series Term - Weierstrass Limit (45, 46, 47) - Special Function Incomplete Gamma Lower S Fixed Series Term - NIST 2019 Limit (48, 49, 50) - Special Function Incomplete Gamma Lower S Fixed Series #1 (51, 52, 53) - Special Function Incomplete Gamma Lower S Fixed Series #2 (54, 55) - Special Function Incomplete Gamma Lower S Fixed Series - Log (56, 57) - Special Function Incomplete Gamma Lower S Fixed Series - Constructor (58, 59) - Special Function Incomplete Gamma Lower S Fixed Series - Weierstrass Limit (60) Samples: IdeaDRIP: - A Short-List of Risk Factors of a Top-down Asset Allocation Exercise (1-20)
lakshmiDRIP · Feb 27, 2024 · 1636fa1 · 1636fa1
1 parent 18145ad
commit 1636fa1
Show file tree

Hide file tree

Showing 6 changed files with 494 additions and 79 deletions.
diff --git a/ReleaseNotes/08_02_2023.txt b/ReleaseNotes/08_02_2023.txt
@@ -0,0 +1,35 @@
+
+Features:
+
+	- Investing Investible Risk Premium Category (21, 22, 23)
+	- Risk Premium Category Interest Rate (24)
+	- Risk Premium Category Credit Spread (25)
+	- Risk Premium Category Equity Index (26)
+	- Risk Premium Category FX Index (27)
+	- Risk Premium Category Commodity Index (28)
+	- Investing Factors Factor Component Loading (29, 30)
+	- Factor Component Loading - Asset Type (31, 32)
+	- Factor Component Loading - Risk Premium Type (33, 34)
+	- Factor Component Loading - Weight (35, 36)
+	- Factor Component Loading - Returns (37, 38)
+	- Factor Component Loading - Tilted Towards (39, 40)
+	- Factor Component Loading - Tilted Against From (41)
+
+
+Bug Fixes/Re-organization:
+
+	- Special Function Incomplete Gamma Lower S Fixed Series Term (42, 43, 44)
+	- Special Function Incomplete Gamma Lower S Fixed Series Term - Weierstrass Limit (45, 46, 47)
+	- Special Function Incomplete Gamma Lower S Fixed Series Term - NIST 2019 Limit (48, 49, 50)
+	- Special Function Incomplete Gamma Lower S Fixed Series #1 (51, 52, 53)
+	- Special Function Incomplete Gamma Lower S Fixed Series #2 (54, 55)
+	- Special Function Incomplete Gamma Lower S Fixed Series - Log (56, 57)
+	- Special Function Incomplete Gamma Lower S Fixed Series - Constructor (58, 59)
+	- Special Function Incomplete Gamma Lower S Fixed Series - Weierstrass Limit (60)
+
+
+Samples:
+
+IdeaDRIP:
+
+	- A Short-List of Risk Factors of a Top-down Asset Allocation Exercise (1-20)
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/investing/factors/FactorComponentLoading.java b/src/main/java/org/drip/investing/factors/FactorComponentLoading.java
@@ -0,0 +1,216 @@
+
+package org.drip.investing.factors;
+
+import org.drip.numerical.common.NumberUtil;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 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,
+ *  	graph builder/navigator, 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
+ *  - Graph Algorithm
+ *  - 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
+ * 
+ *  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>FactorComponentLoading</i> holds the Weight and the Loading corresponding to each Factor. The
+ *  References are:
+ *
+ *	<br><br>
+ * <ul>
+ * 	<li>
+ *  	Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums <i>Journal of Financial
+ *  		Economics</i> <b>142 (3)</b> 1128-1154
+ * 	</li>
+ * 	<li>
+ *  	Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return <i>Journal
+ *  		of Portfolio Management</i> <b>34 (1)</b> 102-113
+ * 	</li>
+ * 	<li>
+ *  	Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum
+ *  		<i>https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936</i> <b>eSSRN</b>
+ * 	</li>
+ * 	<li>
+ *  	Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market <i>Financial
+ *  		Analysts Journal</i> <b>73 (2)</b> 100-115
+ * 	</li>
+ * 	<li>
+ *  	Wikipedia (2024): Factor Investing <i>https://en.wikipedia.org/wiki/Factor_investing</i>
+ * 	</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/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/README.md">Factor/Style Based Quantitative Investing</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/factors/README.md">Factor Types, Characteristics, and Constitution</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class FactorComponentLoading
+{
+	private double _weight = Double.NaN;
+	private double _returns = Double.NaN;
+	private int _assetType = Integer.MIN_VALUE;
+	private int _riskPremiumCategory = Integer.MIN_VALUE;
+
+	/**
+	 * FactorComponentLoading Constructor
+	 * 
+	 * @param assetType Asset Type
+	 * @param riskPremiumCategory Risk Premium Category
+	 * @param weight Factor Weight
+	 * @param returns Factor Returns
+	 * 
+	 * @throws Exception Thriwn if the Inputs are Invalid
+	 */
+
+	public FactorComponentLoading (
+		final int assetType,
+		final int riskPremiumCategory,
+		final double weight,
+		final double returns)
+		throws Exception
+	{
+		if (!NumberUtil.IsValid (_weight = weight) ||
+			!NumberUtil.IsValid (_returns = returns))
+		{
+			throw new Exception ("FactorComponentLoading Constructor => Invalid Inputs");
+		}
+
+		_assetType = assetType;
+		_riskPremiumCategory = riskPremiumCategory;
+	}
+
+	/**
+	 * Retrieve the Asset Type
+	 * 
+	 * @return The Asset Type
+	 */
+
+	public int assetType()
+	{
+		return _assetType;
+	}
+
+	/**
+	 * Retrieve the Risk Premium Category
+	 * 
+	 * @return The Risk Premium Category
+	 */
+
+	public int riskPremiumCategory()
+	{
+		return _riskPremiumCategory;
+	}
+
+	/**
+	 * Retrieve the Factor Weight
+	 * 
+	 * @return The Factor Weight
+	 */
+
+	public double weight()
+	{
+		return _weight;
+	}
+
+	/**
+	 * Retrieve the Factor Returns
+	 * 
+	 * @return The Factor Returns
+	 */
+
+	public double returns()
+	{
+		return _returns;
+	}
+
+	/**
+	 * Indicate if the Weight is Tilted towards the Factor
+	 * 
+	 * @return TRUE - The Weight is Tilted towards the Factor
+	 */
+
+	public boolean tiltTowards()
+	{
+		return 0. < _weight;
+	}
+
+	/**
+	 * Indicate if the Weight is Tilted against the Factor
+	 * 
+	 * @return TRUE - The Weight is Tilted against the Factor
+	 */
+
+	public boolean tiltAgainst()
+	{
+		return 0. > _weight;
+	}
+}
diff --git a/src/main/java/org/drip/investing/investible/RiskPremiumCategory.java b/src/main/java/org/drip/investing/investible/RiskPremiumCategory.java
@@ -0,0 +1,145 @@
+
+package org.drip.investing.investible;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 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,
+ *  	graph builder/navigator, 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
+ *  - Graph Algorithm
+ *  - 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
+ * 
+ *  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>RiskPremiumCategory</i> maintains the Category corresponding to the Risk Premium. The References are:
+ *
+ *	<br><br>
+ * <ul>
+ * 	<li>
+ *  	Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums <i>Journal of Financial
+ *  		Economics</i> <b>142 (3)</b> 1128-1154
+ * 	</li>
+ * 	<li>
+ *  	Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return <i>Journal
+ *  		of Portfolio Management</i> <b>34 (1)</b> 102-113
+ * 	</li>
+ * 	<li>
+ *  	Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum
+ *  		<i>https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936</i> <b>eSSRN</b>
+ * 	</li>
+ * 	<li>
+ *  	Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market <i>Financial
+ *  		Analysts Journal</i> <b>73 (2)</b> 100-115
+ * 	</li>
+ * 	<li>
+ *  	Wikipedia (2024): Factor Investing <i>https://en.wikipedia.org/wiki/Factor_investing</i>
+ * 	</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/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/README.md">Factor/Style Based Quantitative Investing</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/investible/README.md">Quantitative Description of Investible Assets</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class RiskPremiumCategory
+{
+
+	/**
+	 * Interest Rate Risk
+	 */
+
+	public static final int INTEREST_RATE = 1;
+
+	/**
+	 * Credit Spread Risk
+	 */
+
+	public static final int CREDIT_SPREAD = 2;
+
+	/**
+	 * Equity Risk
+	 */
+
+	public static final int EQUITY = 4;
+
+	/**
+	 * FX Risk
+	 */
+
+	public static final int FX = 8;
+
+	/**
+	 * Commodity Risk
+	 */
+
+	public static final int COMMODITY = 16;
+}