Package org.drip.capital.entity

Class CapitalSegment

java.lang.Object
org.drip.capital.entity.CapitalSegment
All Implemented Interfaces:
CapitalSimulator
Direct Known Subclasses:
ManagedSegmentL1
public abstract class CapitalSegment
extends java.lang.Object
implements CapitalSimulator
CapitalSegment exposes the VaR and the Stress Functionality for a Capital Segment. 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

  • Method Details

    • coordinate

      public CapitalSegmentCoordinate coordinate()
      Retrieve the Capital Segment Coordinate
      Returns:
      Capital Segment Coordinate

    • capitalUnitArray

      public abstract CapitalUnit[] capitalUnitArray()
      Retrieve the Array of Capital Units
      Returns:
      Array of Capital Units

    • capitalUnitPathPnLRealizationGrid

      public PathPnLRealization[][] capitalUnitPathPnLRealizationGrid​(SimulationControl simulationControl, SimulationPnLControl simulationPnLControl)
      Generate the Grid of Capital Unit Path Realizations
      Parameters:
      simulationControl - Simulation Settings
      simulationPnLControl - PnL Settings
      Returns:
      Grid of Capital Unit Path Realizations

    • pathPnLRealizationArray

      public PathPnLRealization[] pathPnLRealizationArray​(SimulationControl simulationControl, SimulationPnLControl simulationPnLControl)
      Description copied from interface: CapitalSimulator
      Generate the Array of Path PnL Realizations
      Specified by:
      pathPnLRealizationArray in interface CapitalSimulator
      Parameters:
      simulationControl - Simulation Settings
      simulationPnLControl - PnL Settings
      Returns:
      Array of Path PnL Realizations

    • pathEnsemble

      public CapitalSegmentPathEnsemble pathEnsemble​(SimulationControl simulationControl, SimulationPnLControl simulationPnLControl)
      Description copied from interface: CapitalSimulator
      Generate the Simulation Path Ensemble
      Specified by:
      pathEnsemble in interface CapitalSimulator
      Parameters:
      simulationControl - Simulation Settings
      simulationPnLControl - PnL Settings
      Returns:
      The Simulation Path Ensemble

    • pathEnsemble

      public CapitalSegmentPathEnsemble pathEnsemble​(java.util.Map<java.lang.String,​PathEnsemble> pathEnsembleMap)
      Generate the Simulation Path Ensemble Constricted to the specified Path Ensemble Map
      Parameters:
      pathEnsembleMap - The Path Ensemble Constriction Map
      Returns:
      The Constricted Simulation Path Ensemble