Package org.drip.capital.feed

Class CapitalUnitCorrelatedScenario

java.lang.Object
org.drip.capital.feed.CapitalUnitCorrelatedScenario
public class CapitalUnitCorrelatedScenario
extends java.lang.Object
CapitalUnitCorrelatedScenario holds the Correlated Scenario Specifications of a 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CapitalUnitCorrelatedScenario​(java.lang.String factorSensitivity, java.lang.String scenarioName, SystemicScenarioPnLSeries scenarioPnL)
    CapitalUnitCorrelatedScenario Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String factorSensitivity()
    Retrieve the Factor Sensitivity
    java.lang.String scenarioName()
    Retrieve the Scenario Name
    SystemicScenarioPnLSeries scenarioPnL()
    Retrieve the CBSST Scenario PnL
    java.lang.String toString()  

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalUnitCorrelatedScenario

      public CapitalUnitCorrelatedScenario​(java.lang.String factorSensitivity, java.lang.String scenarioName, SystemicScenarioPnLSeries scenarioPnL) throws java.lang.Exception
      CapitalUnitCorrelatedScenario Constructor
      Parameters:
      factorSensitivity - Factor Sensitivity
      scenarioName - Scenario Name
      scenarioPnL - Scenario PnL
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • factorSensitivity

      public java.lang.String factorSensitivity()
      Retrieve the Factor Sensitivity
      Returns:
      The Factor Sensitivity

    • scenarioName

      public java.lang.String scenarioName()
      Retrieve the Scenario Name
      Returns:
      The Scenario Name

    • scenarioPnL

      public SystemicScenarioPnLSeries scenarioPnL()
      Retrieve the CBSST Scenario PnL
      Returns:
      The CBSST Scenario PnL

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object