Package org.drip.capital.env

Class SystemicScenarioDesignContextManager

java.lang.Object
org.drip.capital.env.SystemicScenarioDesignContextManager
public class SystemicScenarioDesignContextManager
extends java.lang.Object
SystemicScenarioDesignContextManager sets up the Credit Spread Event Container. 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 Summary

    Constructors
    Constructor Description
    SystemicScenarioDesignContextManager()  

  • Method Summary

    Modifier and Type Method Description
    static CreditSpreadEventContainer CreditSpreadEventContainer()
    Retrieve the Built-in Credit Spread Event Container
    static boolean Init()
    Initialize the GSST Design Context Manager

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • SystemicScenarioDesignContextManager

      public SystemicScenarioDesignContextManager()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the GSST Design Context Manager
      Returns:
      TRUE - The GSST Design Context Manager successfully initialized

    • CreditSpreadEventContainer

      public static final CreditSpreadEventContainer CreditSpreadEventContainer()
      Retrieve the Built-in Credit Spread Event Container
      Returns:
      The Built-in Credit Spread Event Container