Package org.drip.capital.entity

Class ManagedSegmentL1

java.lang.Object
org.drip.capital.entity.CapitalSegment
org.drip.capital.entity.ManagedSegmentL1
All Implemented Interfaces:
CapitalSimulator
Direct Known Subclasses:
ManagedSegmentLn
public class ManagedSegmentL1
extends CapitalSegment
ManagedSegmentL1 implements the VaR and the Stress Functionality inside of the L1 Managed 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

  • Constructor Details

    • ManagedSegmentL1

      public ManagedSegmentL1​(CapitalSegmentCoordinate managedSegmentCoordinate, CapitalUnit[] capitalUnitArray) throws java.lang.Exception
      ManagedSegmentL1 Constructor
      Parameters:
      managedSegmentCoordinate - Managed Segment Coordinate
      capitalUnitArray - Array of Capital Units
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details