Package org.drip.capital.explain

Class AllocatedPnLAttribution

java.lang.Object
org.drip.capital.explain.PnLAttribution
org.drip.capital.explain.AllocatedPnLAttribution
public class AllocatedPnLAttribution
extends PnLAttribution
AllocatedPnLAttribution exposes the Path-Level Capital Component Attributions Post Allocation Adjustments. 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

    • AllocatedPnLAttribution

      public AllocatedPnLAttribution​(PnLAttribution standalonePnLAttribution, EntityComponentCapital entityComponentCapital) throws java.lang.Exception
      AllocatedPnLAttribution Constructor
      Parameters:
      standalonePnLAttribution - The Stand-alone PnL Attribution
      entityComponentCapital - The Entity Component Capital
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • entityComponentCapital

      public EntityComponentCapital entityComponentCapital()
      Retrieve the Entity Component Capital
      Returns:
      The Entity Component Capital

    • fsPnLDecompositionExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> fsPnLDecompositionExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the FS PnL Decomposition Explain Map
      Overrides:
      fsPnLDecompositionExplainMap in class PnLAttribution
      Returns:
      The FS PnL Decomposition Explain Map

    • paaCategoryDecompositionExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> paaCategoryDecompositionExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the PAA Category Decomposition Explain Map
      Overrides:
      paaCategoryDecompositionExplainMap in class PnLAttribution
      Returns:
      The PAA Category Decomposition Explain Map

    • systemicPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> systemicPnLExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the Systemic PnL Explain Map
      Overrides:
      systemicPnLExplainMap in class PnLAttribution
      Returns:
      The Systemic PnL Explain Map

    • systemicGrossPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> systemicGrossPnLExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the Systemic Gross PnL Explain Map
      Overrides:
      systemicGrossPnLExplainMap in class PnLAttribution
      Returns:
      The Systemic Gross PnL Explain Map

    • correlatedPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the Correlated PnL Explain Map
      Overrides:
      correlatedPnLExplainMap in class PnLAttribution
      Returns:
      The Correlated PnL Explain Map

    • correlatedPnLWorstMap

      public java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLWorstMap()
      Description copied from class: PnLAttribution
      Retrieve the Correlated Worst PnL Map
      Overrides:
      correlatedPnLWorstMap in class PnLAttribution
      Returns:
      The Correlated Worst PnL Map

    • idiosyncraticPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLExplainMap()
      Description copied from class: PnLAttribution
      Retrieve the Idiosyncratic PnL Explain Map
      Overrides:
      idiosyncraticPnLExplainMap in class PnLAttribution
      Returns:
      The Idiosyncratic PnL Explain Map

    • idiosyncraticPnLWorstMap

      public java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLWorstMap()
      Description copied from class: PnLAttribution
      Retrieve the Idiosyncratic Worst PnL Map
      Overrides:
      idiosyncraticPnLWorstMap in class PnLAttribution
      Returns:
      The Idiosyncratic Worst PnL Map

    • var

      public double var()
      Description copied from class: PnLAttribution
      Retrieve the VaR
      Overrides:
      var in class PnLAttribution
      Returns:
      VaR

    • expectedShortfall

      public double expectedShortfall()
      Description copied from class: PnLAttribution
      Retrieve the Expected Short-fall
      Overrides:
      expectedShortfall in class PnLAttribution
      Returns:
      Expected Short-fall

    • systemicInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> systemicInstanceCountMap()
      Description copied from class: PnLAttribution
      Retrieve the Systemic Instance Count Map
      Overrides:
      systemicInstanceCountMap in class PnLAttribution
      Returns:
      The Systemic Instance Count Map

    • correlatedInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> correlatedInstanceCountMap()
      Description copied from class: PnLAttribution
      Retrieve the Correlated Instance Count Map
      Overrides:
      correlatedInstanceCountMap in class PnLAttribution
      Returns:
      The Correlated Instance Count Map

    • idiosyncraticInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> idiosyncraticInstanceCountMap()
      Description copied from class: PnLAttribution
      Retrieve the Idiosyncratic Instance Count Map
      Overrides:
      idiosyncraticInstanceCountMap in class PnLAttribution
      Returns:
      The Idiosyncratic Instance Count Map

    • pathIndexList

      public java.util.List<java.lang.Integer> pathIndexList()
      Description copied from class: PnLAttribution
      Generate the Contributing Path Index List
      Specified by:
      pathIndexList in class PnLAttribution
      Returns:
      Contributing Path Index List

    • pathCount

      public int pathCount()
      Description copied from class: PnLAttribution
      Retrieve the Number of Contributing Paths
      Specified by:
      pathCount in class PnLAttribution
      Returns:
      The Number of Contributing Paths

    • systemicPnL

      public double systemicPnL()
      Description copied from class: PnLAttribution
      Retrieve the Systemic PnL
      Overrides:
      systemicPnL in class PnLAttribution
      Returns:
      The Systemic PnL

    • systemicGrossPnL

      public double systemicGrossPnL()
      Description copied from class: PnLAttribution
      Retrieve the Systemic Gross PnL
      Overrides:
      systemicGrossPnL in class PnLAttribution
      Returns:
      The Systemic Gross PnL

    • correlatedPnL

      public double correlatedPnL()
      Description copied from class: PnLAttribution
      Retrieve the Correlated PnL
      Overrides:
      correlatedPnL in class PnLAttribution
      Returns:
      The Correlated PnL

    • idiosyncraticGrossPnL

      public double idiosyncraticGrossPnL()
      Description copied from class: PnLAttribution
      Retrieve the Idiosyncratic Gross PnL
      Overrides:
      idiosyncraticGrossPnL in class PnLAttribution
      Returns:
      The Idiosyncratic Gross PnL

    • fsGrossPnL

      public double fsGrossPnL()
      Description copied from class: PnLAttribution
      Retrieve the Gross VaR FS PnL
      Overrides:
      fsGrossPnL in class PnLAttribution
      Returns:
      The Gross VaR FS PnL