Aggregate Portfolio Risk Without Double-Counting

import com.nablatensor.risk.NestedAggregation;
import com.nablatensor.risk.RiskFactor;
import com.nablatensor.risk.Sensitivities;

public final class PortfolioAggregationRiskStudio {
  public static void main(String[] args) {
    double[] d = {
      3200000, 2100000, -1400000, 1800000, 900000
    };
    double rho = 0.6, gamma = 0.2;
    String[] buckets = {
      "Tech", "Tech", "Tech", "Financials", "Financials"
    }, names = {
      "AAPL", "MSFT", "GOOG", "JPM", "GS"
    };
    Sensitivities.Builder builder = Sensitivities.builder();
    double standalone = 0;
    for (int i = 0; i < d.length; i++) {
      builder.add(RiskFactor.equityDelta(buckets[i], names[i]), d[i]);
      standalone += Math.abs(d[i]);
    }
    Sensitivities book = builder.build();
    NestedAggregation.Result result = NestedAggregation.delta(f -> 1.0, (a, b) -> a.equals(b) ? 1.0 : (a.bucket()
        .equals(b.bucket()) ? rho : 0.0), (a, b) -> a.equals(b) ? 1.0 : gamma)
        .aggregate(book);
    System.out.println("RESULT|" + standalone + "|" + result.total() + "|" + (standalone - result.total()));
    for (String bucket : new String[] {
      "Tech", "Financials"
    }) System.out.println("BUCKET|" + bucket + "|" + result.kb()
        .get(bucket));
  }
}