Package org.drip.capital.explain

Economic Risk Capital Attribution Explain
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AllocatedPnLAttribution
    AllocatedPnLAttribution exposes the Path-Level Capital Component Attributions Post Allocation Adjustments.
    CapitalSegmentPnLAttribution
    CapitalSegmentPnLAttribution holds the Scenario-Level Cumulative Capital Attributions from the Contributing Paths of the Stand-alone Capital Units corresponding to a Capital Segment.
    CapitalSegmentStandaloneMarginal
    CapitalSegmentStandaloneMarginal holds the Top-of-the-House Capital Attributions as well the Segment-Level Contributions from the Stand-alone Capital Units.
    CapitalUnitPnLAttribution
    CapitalUnitPnLAttribution holds the Attributions of the PnL from the Contributing Paths for a Single Capital Unit.
    PnLAttribution
    PnLAttribution exposes the Path-Level Capital Component Attributions.