Package org.drip.capital.entity

Class CapitalUnit

java.lang.Object
org.drip.capital.entity.CapitalUnit
All Implemented Interfaces:
CapitalSimulator
public class CapitalUnit
extends java.lang.Object
implements CapitalSimulator
CapitalUnit implements the VaR and the Stress Functionality for the specified Capital 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

  • Constructor Details

    • CapitalUnit

      public CapitalUnit​(Coordinate coordinate, CapitalUnitEventContainer stressEventContainer, double notional) throws java.lang.Exception
      CapitalUnit Constructor
      Parameters:
      coordinate - Capital Unit Coordinate
      stressEventContainer - Capital Unit Stress Event Container
      notional - The Capital Unit Notional
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • coordinate

      public Coordinate coordinate()
      Retrieve the Capital Unit Coordinate
      Returns:
      The Capital Unit Coordinate

    • stressEventContainer

      public CapitalUnitEventContainer stressEventContainer()
      Retrieve the Capital Unit Stress Event Container
      Returns:
      The Capital Unit Stress Event Container

    • notional

      public double notional()
      Retrieve the Capital Unit Notional
      Returns:
      The Capital Unit Notional

    • 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 CapitalUnitPathEnsemble 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