Package org.drip.capital.entity

Class CapitalUnitEventContainer

java.lang.Object

org.drip.capital.entity.CapitalUnitEventContainer

public class CapitalUnitEventContainer
extends java.lang.Object

CapitalUnitEventContainer contains all the Stress Event Specifications across all of the Event Types that belong inside of the a 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

• Module = Portfolio Core Module
• Library = Capital Analytics
• Project = Basel Market Risk and Operational Capital
• Package = Economic Risk Capital Estimation Nodes

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalUnitEventContainer()	Empty CapitalUnitEventContainer Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addCorrelatedEvent(java.lang.String systemicEventName, java.lang.String correlatedEventName, PnLSeries correlatedEventPnLSeries)	Add Correlated Stress Event PnL Series
boolean	addIdiosyncraticEvent(Event idiosyncraticEvent)	Add Idiosyncratic Event
boolean	addSystemicEvent(Event systemicEvent)	Add Systemic Event
boolean	containsCorrelatedEvent(java.lang.String systemicEventName, java.lang.String correlatedEventName)	Indicate if the Correlated Event is Available
boolean	containsIdiosyncraticEvent(java.lang.String idiosyncraticEventName)	Indicate if the Idiosyncratic Event is Available
boolean	containsSystemicEvent(java.lang.String systemicEventName)	Indicate if the Systemic Event is Available
PnLSeries	correlatedEvent(java.lang.String systemicEventName, java.lang.String correlatedEventName)	Retrieve the Correlated Stress Event PnL
Event	idiosyncraticEvent(java.lang.String idiosyncraticEventName)	Retrieve the Idiosyncratic Event by Name
IdiosyncraticEventContainer	idiosyncraticEventContainer()	Retrieve the Idiosyncratic Event Container
Event	systemicEvent(java.lang.String systemicEventName)	Retrieve the Systemic Event by Name
SystemicEventContainer	systemicEventContainer()	Retrieve the Systemic Event Container

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

CapitalUnitEventContainer

public CapitalUnitEventContainer()

Empty CapitalUnitEventContainer Constructor

Method Details

addSystemicEvent

public boolean addSystemicEvent(Event systemicEvent)

Add Systemic Event

Parameters:

systemicEvent - The Systemic Event

Returns:

TRUE - The Systemic Event successfully added

containsSystemicEvent

public boolean containsSystemicEvent(java.lang.String systemicEventName)

Indicate if the Systemic Event is Available

Parameters:

systemicEventName - Systemic Event Name

Returns:

TRUE - The Systemic Event is Available

systemicEvent

public Event systemicEvent(java.lang.String systemicEventName)

Retrieve the Systemic Event by Name

Parameters:

systemicEventName - Systemic Event by Name

Returns:

The Systemic Event

addIdiosyncraticEvent

public boolean addIdiosyncraticEvent(Event idiosyncraticEvent)

Add Idiosyncratic Event

Parameters:

idiosyncraticEvent - The Idiosyncratic Event

Returns:

TRUE - The Idiosyncratic Event successfully added

containsIdiosyncraticEvent

public boolean containsIdiosyncraticEvent(java.lang.String idiosyncraticEventName)

Indicate if the Idiosyncratic Event is Available

Parameters:

idiosyncraticEventName - Idiosyncratic Event Name

Returns:

TRUE - The Idiosyncratic Event is Available

idiosyncraticEvent

public Event idiosyncraticEvent(java.lang.String idiosyncraticEventName)

Retrieve the Idiosyncratic Event by Name

Parameters:

idiosyncraticEventName - Idiosyncratic Event by Name

Returns:

The Idiosyncratic Event

systemicEventContainer

public SystemicEventContainer systemicEventContainer()

Retrieve the Systemic Event Container

Returns:

The Systemic Event Container

idiosyncraticEventContainer

public IdiosyncraticEventContainer idiosyncraticEventContainer()

Retrieve the Idiosyncratic Event Container

Returns:

The Idiosyncratic Event Container

addCorrelatedEvent

public boolean addCorrelatedEvent(java.lang.String systemicEventName,
java.lang.String correlatedEventName,
PnLSeries correlatedEventPnLSeries)

Add Correlated Stress Event PnL Series

Parameters:

systemicEventName - Systemic Stress Event Name

correlatedEventName - Correlated Stress Event Name

correlatedEventPnLSeries - Correlated Stress Event PnL Series

Returns:

TRUE - The Correlated Stress Event PnL Series successfully added

containsCorrelatedEvent

public boolean containsCorrelatedEvent(java.lang.String systemicEventName,
java.lang.String correlatedEventName)

Indicate if the Correlated Event is Available

Parameters:

systemicEventName - Systemic Stress Event Name

correlatedEventName - Correlated Stress Event Name

Returns:

TRUE - The Correlated Event is Available

correlatedEvent

public PnLSeries correlatedEvent(java.lang.String systemicEventName,
java.lang.String correlatedEventName)

Retrieve the Correlated Stress Event PnL

Parameters:

systemicEventName - Systemic Stress Event Name

correlatedEventName - Correlated Stress Event Name

Returns:

TRUE - The Correlated Stress Event PnL