Package org.drip.capital.explain

Class CapitalUnitPnLAttribution

java.lang.Object

org.drip.capital.explain.PnLAttribution

org.drip.capital.explain.CapitalUnitPnLAttribution

All Implemented Interfaces:

EnsemblePnLDistributionGenerator

Direct Known Subclasses:

CapitalSegmentStandaloneMarginal

public class CapitalUnitPnLAttribution
extends PnLAttribution
implements EnsemblePnLDistributionGenerator

CapitalUnitPnLAttribution holds the Attributions of the PnL from the Contributing Paths for a Single 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 Attribution Explain

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalUnitPnLAttribution(java.util.List<PathPnLRealization> pathPnLRealizationList)	CapitalUnitPnLAttribution Constructor

Method Summary

Modifier and Type	Method	Description
EnsemblePnLDistribution	ensembleDistribution()	Generate the Ensemble PnL Distribution
java.util.List<java.lang.Double>	grossFSPnLList()	Generate the Gross FS PnL Distribution
java.util.List<java.lang.Double>	grossIdiosyncraticStressPnLList()	Generate the Gross Idiosyncratic PnL Distribution
java.util.List<java.lang.Double>	grossPnLList()	Generate the Gross PnL Distribution
java.util.List<java.lang.Double>	grossSystemicStressPnLList()	Generate the Gross Systemic PnL Distribution
int	pathCount()	Retrieve the Number of Contributing Paths
java.util.List<java.lang.Integer>	pathIndexList()	Generate the Contributing Path Index List
java.util.List<PathPnLRealization>	pathPnLRealizationList()	Retrieve the Contributing Path PnL Realization 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

CapitalUnitPnLAttribution

public CapitalUnitPnLAttribution(java.util.List<PathPnLRealization> pathPnLRealizationList)
                          throws java.lang.Exception

CapitalUnitPnLAttribution Constructor

Parameters:

pathPnLRealizationList - Path PnL Realization List

Throws:

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

Method Details

pathPnLRealizationList

public java.util.List<PathPnLRealization> pathPnLRealizationList()

Retrieve the Contributing Path PnL Realization List

Returns:

The Contributing Path PnL Realization List

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

grossSystemicStressPnLList

public java.util.List<java.lang.Double> grossSystemicStressPnLList()

Description copied from interface: EnsemblePnLDistributionGenerator

Generate the Gross Systemic PnL Distribution

Specified by:

grossSystemicStressPnLList in interface EnsemblePnLDistributionGenerator

Returns:

The Gross Systemic PnL Distribution

grossIdiosyncraticStressPnLList

public java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList()

Description copied from interface: EnsemblePnLDistributionGenerator

Generate the Gross Idiosyncratic PnL Distribution

Specified by:

grossIdiosyncraticStressPnLList in interface EnsemblePnLDistributionGenerator

Returns:

The Gross Idiosyncratic PnL Distribution

grossFSPnLList

public java.util.List<java.lang.Double> grossFSPnLList()

Description copied from interface: EnsemblePnLDistributionGenerator

Generate the Gross FS PnL Distribution

Specified by:

grossFSPnLList in interface EnsemblePnLDistributionGenerator

Returns:

The Gross FS PnL Distribution

grossPnLList

public java.util.List<java.lang.Double> grossPnLList()

Description copied from interface: EnsemblePnLDistributionGenerator

Generate the Gross PnL Distribution

Specified by:

grossPnLList in interface EnsemblePnLDistributionGenerator

Returns:

The Gross PnL Distribution

ensembleDistribution

public EnsemblePnLDistribution ensembleDistribution()

Description copied from interface: EnsemblePnLDistributionGenerator

Generate the Ensemble PnL Distribution

Specified by:

ensembleDistribution in interface EnsemblePnLDistributionGenerator

Returns:

The Ensemble PnL Distribution