Package org.drip.capital.allocation

Class CorrelationCategoryBeta

java.lang.Object
org.drip.capital.allocation.CorrelationCategoryBeta
public class CorrelationCategoryBeta
extends java.lang.Object
CorrelationCategoryBeta exposes the Correlation Category Beta Loading and its Elasticity (FIXED/FLOAT). The References are:

  • Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey Results and Practice https://www.bis.org/publ/cgfs24.htm
  • Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering Springer
  • Kupiec, P. H. (2000): Stress Tests and Risk Capital Risk 2 (4) 27-39


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int ELASTICITY_FIXED
    FIXED Beta Elasticity
    static int ELASTICITY_FLOAT
    FLOAT Beta Elasticity

  • Constructor Summary

    Constructors
    Constructor Description
    CorrelationCategoryBeta​(int elasticity, double loading)
    CorrelationCategoryBeta Constructor

  • Method Summary

    Modifier and Type Method Description
    int elasticity()
    Retrieve the Beta Elasticity
    double loading()
    Retrieve the Beta Loading Value

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • ELASTICITY_FIXED

      public static final int ELASTICITY_FIXED
      FIXED Beta Elasticity
      See Also:
      Constant Field Values

    • ELASTICITY_FLOAT

      public static final int ELASTICITY_FLOAT
      FLOAT Beta Elasticity
      See Also:
      Constant Field Values

  • Constructor Details

    • CorrelationCategoryBeta

      public CorrelationCategoryBeta​(int elasticity, double loading) throws java.lang.Exception
      CorrelationCategoryBeta Constructor
      Parameters:
      elasticity - Beta Elasticity
      loading - Beta Loading
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • elasticity

      public int elasticity()
      Retrieve the Beta Elasticity
      Returns:
      The Beta Elasticity

    • loading

      public double loading()
      Retrieve the Beta Loading Value
      Returns:
      The Beta Loading Value