Package org.drip.capital.explain

Class PnLAttribution

java.lang.Object
org.drip.capital.explain.PnLAttribution
Direct Known Subclasses:
AllocatedPnLAttribution, CapitalSegmentPnLAttribution, CapitalUnitPnLAttribution
public abstract class PnLAttribution
extends java.lang.Object
PnLAttribution exposes the Path-Level Capital Component Attributions. 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
    PnLAttribution()  

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.String,​java.lang.Integer> correlatedInstanceCountMap()
    Retrieve the Correlated Instance Count Map
    double correlatedPnL()
    Retrieve the Correlated PnL
    java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLExplainMap()
    Retrieve the Correlated PnL Explain Map
    java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLWorstMap()
    Retrieve the Correlated Worst PnL Map
    double expectedShortfall()
    Retrieve the Expected Short-fall
    double fsGrossPnL()
    Retrieve the Gross VaR FS PnL
    java.util.Map<java.lang.String,​java.lang.Double> fsPnLDecompositionExplainMap()
    Retrieve the FS PnL Decomposition Explain Map
    double idiosyncraticGrossPnL()
    Retrieve the Idiosyncratic Gross PnL
    java.util.Map<java.lang.String,​java.lang.Integer> idiosyncraticInstanceCountMap()
    Retrieve the Idiosyncratic Instance Count Map
    java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLExplainMap()
    Retrieve the Idiosyncratic PnL Explain Map
    java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLWorstMap()
    Retrieve the Idiosyncratic Worst PnL Map
    java.util.Map<java.lang.String,​java.lang.Double> paaCategoryDecompositionExplainMap()
    Retrieve the PAA Category Decomposition Explain Map
    abstract int pathCount()
    Retrieve the Number of Contributing Paths
    abstract java.util.List<java.lang.Integer> pathIndexList()
    Generate the Contributing Path Index List
    double systemicGrossPnL()
    Retrieve the Systemic Gross PnL
    java.util.Map<java.lang.String,​java.lang.Double> systemicGrossPnLExplainMap()
    Retrieve the Systemic Gross PnL Explain Map
    java.util.Map<java.lang.String,​java.lang.Integer> systemicInstanceCountMap()
    Retrieve the Systemic Instance Count Map
    double systemicPnL()
    Retrieve the Systemic PnL
    java.util.Map<java.lang.String,​java.lang.Double> systemicPnLExplainMap()
    Retrieve the Systemic PnL Explain Map
    double var()
    Retrieve the VaR

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PnLAttribution

      public PnLAttribution()

  • Method Details

    • fsPnLDecompositionExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> fsPnLDecompositionExplainMap()
      Retrieve the FS PnL Decomposition Explain Map
      Returns:
      The FS PnL Decomposition Explain Map

    • paaCategoryDecompositionExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> paaCategoryDecompositionExplainMap()
      Retrieve the PAA Category Decomposition Explain Map
      Returns:
      The PAA Category Decomposition Explain Map

    • systemicPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> systemicPnLExplainMap()
      Retrieve the Systemic PnL Explain Map
      Returns:
      The Systemic PnL Explain Map

    • systemicGrossPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> systemicGrossPnLExplainMap()
      Retrieve the Systemic Gross PnL Explain Map
      Returns:
      The Systemic Gross PnL Explain Map

    • correlatedPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLExplainMap()
      Retrieve the Correlated PnL Explain Map
      Returns:
      The Correlated PnL Explain Map

    • correlatedPnLWorstMap

      public java.util.Map<java.lang.String,​java.lang.Double> correlatedPnLWorstMap()
      Retrieve the Correlated Worst PnL Map
      Returns:
      The Correlated Worst PnL Map

    • idiosyncraticPnLExplainMap

      public java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLExplainMap()
      Retrieve the Idiosyncratic PnL Explain Map
      Returns:
      The Idiosyncratic PnL Explain Map

    • idiosyncraticPnLWorstMap

      public java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticPnLWorstMap()
      Retrieve the Idiosyncratic Worst PnL Map
      Returns:
      The Idiosyncratic Worst PnL Map

    • var

      public double var()
      Retrieve the VaR
      Returns:
      VaR

    • expectedShortfall

      public double expectedShortfall()
      Retrieve the Expected Short-fall
      Returns:
      Expected Short-fall

    • systemicInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> systemicInstanceCountMap()
      Retrieve the Systemic Instance Count Map
      Returns:
      The Systemic Instance Count Map

    • correlatedInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> correlatedInstanceCountMap()
      Retrieve the Correlated Instance Count Map
      Returns:
      The Correlated Instance Count Map

    • idiosyncraticInstanceCountMap

      public java.util.Map<java.lang.String,​java.lang.Integer> idiosyncraticInstanceCountMap()
      Retrieve the Idiosyncratic Instance Count Map
      Returns:
      The Idiosyncratic Instance Count Map

    • pathIndexList

      public abstract java.util.List<java.lang.Integer> pathIndexList()
      Generate the Contributing Path Index List
      Returns:
      Contributing Path Index List

    • pathCount

      public abstract int pathCount()
      Retrieve the Number of Contributing Paths
      Returns:
      The Number of Contributing Paths

    • systemicPnL

      public double systemicPnL()
      Retrieve the Systemic PnL
      Returns:
      The Systemic PnL

    • systemicGrossPnL

      public double systemicGrossPnL()
      Retrieve the Systemic Gross PnL
      Returns:
      The Systemic Gross PnL

    • correlatedPnL

      public double correlatedPnL()
      Retrieve the Correlated PnL
      Returns:
      The Correlated PnL

    • idiosyncraticGrossPnL

      public double idiosyncraticGrossPnL()
      Retrieve the Idiosyncratic Gross PnL
      Returns:
      The Idiosyncratic Gross PnL

    • fsGrossPnL

      public double fsGrossPnL()
      Retrieve the Gross VaR FS PnL
      Returns:
      The Gross VaR FS PnL