Package org.drip.capital.allocation

Class EntityElasticityAttribution

java.lang.Object
org.drip.capital.allocation.EntityElasticityAttribution
public class EntityElasticityAttribution
extends java.lang.Object
EntityElasticityAttribution holds the Attributions across all Entity Components 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 Details

    • EntityElasticityAttribution

      public EntityElasticityAttribution​(CorrelationCategoryBetaManager correlationCategoryBetaManager, boolean unitLoading) throws java.lang.Exception
      EntityElasticityAttribution 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

    • systemic

      public EntityComponentElasticityAttribution systemic()
      Retrieve the Systemic Elasticity Attribution
      Returns:
      The Systemic Elasticity Attribution

    • correlated

      public EntityComponentElasticityAttribution correlated()
      Retrieve the Correlated Elasticity Attribution
      Returns:
      The Correlated Elasticity Attribution

    • idiosyncratic

      public EntityComponentElasticityAttribution idiosyncratic()
      Retrieve the Idiosyncratic Elasticity Attribution
      Returns:
      The Idiosyncratic Elasticity Attribution

    • noStress

      public EntityComponentElasticityAttribution noStress()
      Retrieve the "No Stress" Elasticity Attribution
      Returns:
      The "No Stress" Elasticity Attribution

    • accumulateSystemicFixed

      public boolean accumulateSystemicFixed​(double systemicFixedAttribution)
      Accumulate the Systemic Fixed Attribution
      Parameters:
      systemicFixedAttribution - Systemic Fixed Attribution
      Returns:
      TRUE - The Systemic Fixed Attribution successfully updated

    • accumulateCorrelatedFixed

      public boolean accumulateCorrelatedFixed​(double correlatedFixedAttribution)
      Accumulate the Correlated Fixed Attribution
      Parameters:
      correlatedFixedAttribution - Correlated Fixed Attribution
      Returns:
      TRUE - The Correlated Fixed Attribution successfully updated

    • accumulateIdiosyncraticFixed

      public boolean accumulateIdiosyncraticFixed​(double idiosyncraticFixedAttribution)
      Accumulate the Idiosyncratic Fixed Attribution
      Parameters:
      idiosyncraticFixedAttribution - Idiosyncratic Fixed Attribution
      Returns:
      TRUE - The Idiosyncratic Fixed Attribution successfully updated

    • accumulateNoStressFixed

      public boolean accumulateNoStressFixed​(double noStressFixedAttribution)
      Accumulate the No-Stress Fixed Attribution
      Parameters:
      noStressFixedAttribution - No-Stress Fixed Attribution
      Returns:
      TRUE - The No-Stress Fixed Attribution successfully updated

    • accumulateSystemicFloating

      public boolean accumulateSystemicFloating​(double systemicFloatingAttribution)
      Accumulate the Systemic Floating Attribution
      Parameters:
      systemicFloatingAttribution - Systemic Floating Attribution
      Returns:
      TRUE - The Systemic Floating Attribution successfully updated

    • accumulateCorrelatedFloating

      public boolean accumulateCorrelatedFloating​(double correlatedFloatingAttribution)
      Accumulate the Correlated Floating Attribution
      Parameters:
      correlatedFloatingAttribution - Correlated Floating Attribution
      Returns:
      TRUE - The Correlated Floating Attribution successfully updated

    • accumulateIdiosyncraticFloating

      public boolean accumulateIdiosyncraticFloating​(double idiosyncraticFloatingAttribution)
      Accumulate the Idiosyncratic Floating Attribution
      Parameters:
      idiosyncraticFloatingAttribution - Idiosyncratic Floating Attribution
      Returns:
      TRUE - The Idiosyncratic Floating Attribution successfully updated

    • accumulateNoStressFloating

      public boolean accumulateNoStressFloating​(double noStressFloatingAttribution)
      Accumulate the No-Stress Floating Attribution
      Parameters:
      noStressFloatingAttribution - No-Stress Floating Attribution
      Returns:
      TRUE - The No-Stress Floating Attribution successfully updated

    • accumulateSystemicProRata

      public boolean accumulateSystemicProRata​(double systemicProRataAttribution)
      Accumulate the Systemic Pro-Rata Attribution
      Parameters:
      systemicProRataAttribution - Systemic Pro-Rata Attribution
      Returns:
      TRUE - The Systemic Pro-Rata Attribution successfully updated

    • accumulateCorrelatedProRata

      public boolean accumulateCorrelatedProRata​(double correlatedProRataAttribution)
      Accumulate the Correlated Pro-Rata Attribution
      Parameters:
      correlatedProRataAttribution - Correlated Pro-Rata Attribution
      Returns:
      TRUE - The Correlated Pro-Rata Attribution successfully updated

    • accumulateIdiosyncraticProRata

      public boolean accumulateIdiosyncraticProRata​(double idiosyncraticProRataAttribution)
      Accumulate the Idiosyncratic Pro-Rata Attribution
      Parameters:
      idiosyncraticProRataAttribution - Idiosyncratic Pro-Rata Attribution
      Returns:
      TRUE - The Idiosyncratic Pro-Rata Attribution successfully updated

    • accumulateNoStressProRata

      public boolean accumulateNoStressProRata​(double noStressProRataAttribution)
      Accumulate the No-Stress Pro-Rata Attribution
      Parameters:
      noStressProRataAttribution - No-Stress Pro-Rata Attribution
      Returns:
      TRUE - The No-Stress Pro-Rata Attribution successfully updated

    • accumulateSystemic

      public boolean accumulateSystemic​(double systemicAttribution, int systemicAllocationCategory, int systemicAllocationScheme)
      Accumulate the Systemic Attribution with the Beta-Adjusted Component Attribution
      Parameters:
      systemicAttribution - The Systemic Attribution
      systemicAllocationCategory - The Systemic Allocation Category
      systemicAllocationScheme - The Systemic Allocation Scheme
      Returns:
      TRUE - The Systemic Partition with the Beta-Adjusted Increment

    • accumulateCorrelated

      public boolean accumulateCorrelated​(double correlatedAttribution, int correlatedAllocationCategory, int correlatedAllocationScheme)
      Accumulate the Correlated Attribution with the Beta-Adjusted Component Attribution
      Parameters:
      correlatedAttribution - The Correlated Attribution
      correlatedAllocationCategory - The Correlated Allocation Category
      correlatedAllocationScheme - The Correlated Allocation Scheme
      Returns:
      TRUE - The Correlated Partition with the Beta-Adjusted Increment

    • accumulateIdiosyncratic

      public boolean accumulateIdiosyncratic​(double idiosyncraticAttribution, int idiosyncraticAllocationCategory, int idiosyncraticAllocationScheme)
      Accumulate the Idiosyncratic Attribution with the Beta-Adjusted Component Attribution
      Parameters:
      idiosyncraticAttribution - The Idiosyncratic Attribution
      idiosyncraticAllocationCategory - The Idiosyncratic Allocation Category
      idiosyncraticAllocationScheme - The Idiosyncratic Allocation Scheme
      Returns:
      TRUE - The Idiosyncratic Partition with the Beta-Adjusted Increment

    • accumulateNoStress

      public boolean accumulateNoStress​(double noStressAttribution, int noStressAllocationCategory, int noStressAllocationScheme)
      Accumulate the No Stress Attribution with the Beta-Adjusted Component Attribution
      Parameters:
      noStressAttribution - The No Stress Attribution
      noStressAllocationCategory - The No Stress Allocation Category
      noStressAllocationScheme - The No Stress Allocation Scheme
      Returns:
      TRUE - The No Stress Partition with the Beta-Adjusted Increment

    • accumulate

      public boolean accumulate​(PnLAttribution pnlAttribution, EntityCapitalAssignmentSetting entityCapitalAssignmentSetting)
      Accumulate with the Beta-Adjusted Component Attribution
      Parameters:
      pnlAttribution - PnL Attribution
      entityCapitalAssignmentSetting - Entity Capital Assignment Setting
      Returns:
      TRUE - The Accumulation is successful

    • systemicTotal

      public double systemicTotal()
      Retrieve the Total Systemic Component Capital
      Returns:
      The Total Systemic Component Capital

    • correlatedTotal

      public double correlatedTotal()
      Retrieve the Total Correlated Component Capital
      Returns:
      The Total Correlated Component Capital

    • idiosyncraticTotal

      public double idiosyncraticTotal()
      Retrieve the Total Idiosyncratic Component Capital
      Returns:
      The Total Idiosyncratic Component Capital

    • noStressTotal

      public double noStressTotal()
      Retrieve the Total No Stress Component Capital
      Returns:
      The Total No Stress Component Capital

    • fixed

      public double fixed()
      Retrieve the Fixed Beta Capital Component
      Returns:
      The Fixed Beta Capital Component

    • floating

      public double floating()
      Retrieve the Floating Beta Capital Component
      Returns:
      The Floating Beta Capital Component

    • proRata

      public double proRata()
      Retrieve the Pro-Rata Beta Capital Component
      Returns:
      The Pro-Rata Beta Capital Component

    • systemicProRata

      public double systemicProRata()
      Retrieve the Pro-Rata Systemic Capital
      Returns:
      The Pro-Rata Systemic Capital

    • correlatedProRata

      public double correlatedProRata()
      Retrieve the Pro-Rata Correlated Capital
      Returns:
      The Pro-Rata Correlated Capital

    • idiosyncraticProRata

      public double idiosyncraticProRata()
      Retrieve the Pro-Rata Idiosyncratic Capital
      Returns:
      The Pro-Rata Idiosyncratic Capital

    • noStressProRata

      public double noStressProRata()
      Retrieve the Pro-Rata No-Stress Capital
      Returns:
      The Pro-Rata No-Stress Capital