Package org.drip.capital.allocation

Economic Risk Capital Entity Allocation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CorrelationCategoryBeta
    CorrelationCategoryBeta exposes the Correlation Category Beta Loading and its Elasticity (FIXED/FLOAT).
    CorrelationCategoryBetaManager
    CorrelationCategoryBetaManager holds the Beta Loading Map Scheme for the different Correlation Categories.
    EntityCapital
    EntityCapital holds the Capital for each Entity.
    EntityCapitalAssignmentSetting
    EntityCapitalAssignmentSetting holds the Correlation Elasticities for the different Capital Components as well as the Entity's Correlation Category.
    EntityComponentAssignmentScheme
    EntityComponentAssignmentScheme holds the Indicators for the BETA and the PRO RATA Capital Allocation Schemes.
    EntityComponentCapital
    EntityComponentCapital holds the Component Capital for each Entity.
    EntityComponentCapitalAssignment
    EntityComponentCapitalAssignment contains the Capital Assignment for each Entity and its Component.
    EntityComponentCorrelationCategory
    EntityComponentCorrelationCategory holds the Indicators of different Correlation Categories used under the BETA Capital Allocation Scheme.
    EntityComponentElasticityAttribution
    EntityComponentElasticityAttribution holds the Attributions of a single Individual Entity Component into Fixed, Float, and Pro-rata Elasticities.
    EntityComponentProRataCategory
    EntityComponentProRataCategory holds the Indicators of different Pro-Rata Categories used under the PRO-RATA Capital Allocation Scheme.
    EntityElasticityAttribution
    EntityElasticityAttribution holds the Attributions across all Entity Components into Fixed, Float, and Pro-rata Elasticities.