Package org.drip.capital.entity

Interface CapitalSimulator

All Known Implementing Classes:
CapitalSegment, CapitalUnit, ManagedSegmentL1, ManagedSegmentLn
public interface CapitalSimulator
CapitalSimulator exposes the Simulator for the VaR and the Stress Functionality for a given Capital Entity - Segment or Unit. 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

    • pathPnLRealizationArray

      PathPnLRealization[] pathPnLRealizationArray​(SimulationControl simulationControl, SimulationPnLControl simulationPnLControl)
      Generate the Array of Path PnL Realizations
      Parameters:
      simulationControl - Simulation Settings
      simulationPnLControl - PnL Settings
      Returns:
      Array of Path PnL Realizations

    • pathEnsemble

      PathEnsemble pathEnsemble​(SimulationControl simulationControl, SimulationPnLControl simulationPnLControl)
      Generate the Simulation Path Ensemble
      Parameters:
      simulationControl - Simulation Settings
      simulationPnLControl - PnL Settings
      Returns:
      The Simulation Path Ensemble