Package org.drip.capital.explain

Class CapitalSegmentPnLAttribution

java.lang.Object

org.drip.capital.explain.PnLAttribution

org.drip.capital.explain.CapitalSegmentPnLAttribution

public class CapitalSegmentPnLAttribution
extends PnLAttribution

CapitalSegmentPnLAttribution holds the Scenario-Level Cumulative Capital Attributions from the Contributing Paths of the Stand-alone Capital Units corresponding to a Capital 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

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalSegmentPnLAttribution(PnLAttribution[] pnlAttributionArray)	CapitalSegmentPnLAttribution Constructor

Method Summary

Modifier and Type	Method	Description
int	pathCount()	Retrieve the Number of Contributing Paths
java.util.List<java.lang.Integer>	pathIndexList()	Generate the Contributing Path Index List

Methods inherited from class org.drip.capital.explain.PnLAttribution

correlatedInstanceCountMap, correlatedPnL, correlatedPnLExplainMap, correlatedPnLWorstMap, expectedShortfall, fsGrossPnL, fsPnLDecompositionExplainMap, idiosyncraticGrossPnL, idiosyncraticInstanceCountMap, idiosyncraticPnLExplainMap, idiosyncraticPnLWorstMap, paaCategoryDecompositionExplainMap, systemicGrossPnL, systemicGrossPnLExplainMap, systemicInstanceCountMap, systemicPnL, systemicPnLExplainMap, var

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalSegmentPnLAttribution

public CapitalSegmentPnLAttribution(PnLAttribution[] pnlAttributionArray)
                             throws java.lang.Exception

CapitalSegmentPnLAttribution Constructor

Parameters:

pnlAttributionArray - Array of PnL Attributions

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

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