Package org.drip.capital.allocation

Class EntityComponentElasticityAttribution

java.lang.Object
org.drip.capital.allocation.EntityComponentElasticityAttribution
public class EntityComponentElasticityAttribution
extends java.lang.Object
EntityComponentElasticityAttribution holds the Attributions of a single Individual Entity Component into Fixed, Float, and Pro-rata Elasticities. 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

  • Constructor Summary

    Constructors
    Constructor Description
    EntityComponentElasticityAttribution​(CorrelationCategoryBetaManager correlationCategoryBetaManager, boolean unitLoading)
    EntityComponentElasticityAttribution Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean accumulate​(double attribution, int componentAllocationCategory, int componentAllocationScheme)
    Accumulate the Appropriate Attribution with the Beta-Adjusted Component Attribution
    boolean accumulateFixed​(double fixedAttribution)
    Accumulate the Fixed Attribution
    boolean accumulateFloating​(double floatingAttribution)
    Accumulate the Floating Attribution
    boolean accumulateProRata​(double proRataAttribution)
    Accumulate the Pro-Rata Attribution
    CorrelationCategoryBetaManager correlationCategoryBetaManager()
    Retrieve the Correlation Category Beta Manager
    double fixed()
    Retrieve the Fixed Attribution
    double floating()
    Retrieve the Floating Attribution
    double proRata()
    Retrieve the Pro-Rata Attribution
    boolean unitLoading()
    Retrieve the Unit Loading Flag

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EntityComponentElasticityAttribution

      public EntityComponentElasticityAttribution​(CorrelationCategoryBetaManager correlationCategoryBetaManager, boolean unitLoading) throws java.lang.Exception
      EntityComponentElasticityAttribution Constructor
      Parameters:
      correlationCategoryBetaManager - The Correlation Category Beta Manager
      unitLoading - The Unit Loading Flag
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • correlationCategoryBetaManager

      public CorrelationCategoryBetaManager correlationCategoryBetaManager()
      Retrieve the Correlation Category Beta Manager
      Returns:
      The Correlation Category Beta Manager

    • fixed

      public double fixed()
      Retrieve the Fixed Attribution
      Returns:
      Total Fixed Attribution

    • floating

      public double floating()
      Retrieve the Floating Attribution
      Returns:
      Floating Attribution

    • proRata

      public double proRata()
      Retrieve the Pro-Rata Attribution
      Returns:
      Pro-Rata Attribution

    • unitLoading

      public boolean unitLoading()
      Retrieve the Unit Loading Flag
      Returns:
      Unit Loading Flag

    • accumulateFixed

      public boolean accumulateFixed​(double fixedAttribution)
      Accumulate the Fixed Attribution
      Parameters:
      fixedAttribution - The Component Fixed Attribution
      Returns:
      TRUE - The Fixed Attribution successfully updated

    • accumulateFloating

      public boolean accumulateFloating​(double floatingAttribution)
      Accumulate the Floating Attribution
      Parameters:
      floatingAttribution - The Component Floating Attribution
      Returns:
      TRUE - The Floating Attribution successfully updated

    • accumulateProRata

      public boolean accumulateProRata​(double proRataAttribution)
      Accumulate the Pro-Rata Attribution
      Parameters:
      proRataAttribution - The Component Pro-Rata Attribution
      Returns:
      TRUE - The Pro-Rata Attribution successfully updated

    • accumulate

      public boolean accumulate​(double attribution, int componentAllocationCategory, int componentAllocationScheme)
      Accumulate the Appropriate Attribution with the Beta-Adjusted Component Attribution
      Parameters:
      attribution - The Component Attribution
      componentAllocationCategory - The Component Allocation Category
      componentAllocationScheme - The Component Allocation Scheme
      Returns:
      TRUE - The Appropriate Partition with the Beta-Adjusted Increment