Package org.drip.capital.setting

Class CapitalAllocationControl

java.lang.Object

org.drip.capital.setting.CapitalAllocationControl

public class CapitalAllocationControl
extends java.lang.Object

CapitalAllocationControl holds the Parameters guiding the Capital Allocation Settings. 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 Simulation Settings

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalAllocationControl(boolean useMarginal, java.util.Map<java.lang.String,java.lang.Integer> capitalUnitCategoryMap, CorrelationCategoryBetaManager correlationCategoryBetaManager, java.util.Map<java.lang.String,EntityCapitalAssignmentSetting> entityCapitalAssignmentSettingMap)	CapitalAllocationControl Constructor

Method Summary

Modifier and Type	Method	Description
CorrelationCategoryBetaManager	correlationCategoryBetaManager()	Retrieve the Correlation Category Beta Map
java.util.Map<java.lang.String,EntityCapitalAssignmentSetting>	entityCapitalAssignmentSettingMap()	Retrieve the Entity Capital Assignment Setting Map
boolean	useMarginal()	Retrieve the "Use Marginal" Flag

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalAllocationControl

public CapitalAllocationControl(boolean useMarginal,
java.util.Map<java.lang.String,java.lang.Integer> capitalUnitCategoryMap,
CorrelationCategoryBetaManager correlationCategoryBetaManager,
java.util.Map<java.lang.String,EntityCapitalAssignmentSetting> entityCapitalAssignmentSettingMap)
                         throws java.lang.Exception

CapitalAllocationControl Constructor

Parameters:

useMarginal - TRUE - Use the Marginal PnL Attribution

capitalUnitCategoryMap - Capital Unit Correlation Category Map

correlationCategoryBetaManager - Correlation Category Beta Manager

entityCapitalAssignmentSettingMap - Entity Capital Assignment Setting Map

Throws:

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

Method Details

useMarginal

public boolean useMarginal()

Retrieve the "Use Marginal" Flag

Returns:

The "Use Marginal" Flag

correlationCategoryBetaManager

public CorrelationCategoryBetaManager correlationCategoryBetaManager()

Retrieve the Correlation Category Beta Map

Returns:

The Correlation Category Beta Map

entityCapitalAssignmentSettingMap

public java.util.Map<java.lang.String,EntityCapitalAssignmentSetting> entityCapitalAssignmentSettingMap()

Retrieve the Entity Capital Assignment Setting Map

Returns:

The Entity Capital Assignment Setting Map