Package org.drip.capital.setting

Class HorizonTailFSPnLControl

java.lang.Object

org.drip.capital.setting.HorizonTailPnLControl

org.drip.capital.setting.HorizonTailFSPnLControl

public abstract class HorizonTailFSPnLControl
extends HorizonTailPnLControl

HorizonTailFSPnLControl holds the Horizon, Tail, and Risk Factor FS Volatility Adjustment Control Parameters. 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
HorizonTailFSPnLControl(int horizon, double degreesOfFreedom, double varConfidenceLevel, double expectedShortfallConfidenceLevel, java.util.Map<java.lang.String,java.lang.Double> fsTypeVolatilityAjustmentMap)	HorizonTailFSPnLControl Constructor

Method Summary

Modifier and Type	Method	Description
java.util.Map<java.lang.String,java.lang.Double>	fsTypeVolatilityAjustmentMap()	Retrieve the FS Type Volatility Adjustment Map
static HorizonTailFSPnLControl	Standard()	Construct the Standard Instance of HorizonTailFSPnLControl

Methods inherited from class org.drip.capital.setting.HorizonTailPnLControl

degreesOfFreedom, expectedShortfallConfidenceLevel, grossScaler, horizon, horizonScaler, StandardStress, tailDistributionScaler, varConfidenceLevel

Methods inherited from class java.lang.Object

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

Constructor Details

HorizonTailFSPnLControl

public HorizonTailFSPnLControl(int horizon,
double degreesOfFreedom,
double varConfidenceLevel,
double expectedShortfallConfidenceLevel,
java.util.Map<java.lang.String,java.lang.Double> fsTypeVolatilityAjustmentMap)
                        throws java.lang.Exception

HorizonTailFSPnLControl Constructor

Parameters:

horizon - Horizon

degreesOfFreedom - Degrees of Freedom

varConfidenceLevel - VaR Confidence Level

expectedShortfallConfidenceLevel - Expected Short-fall Confidence Level

fsTypeVolatilityAjustmentMap - FS Type Volatility Adjustment Map

Throws:

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

Method Details

Standard

public static final HorizonTailFSPnLControl Standard()

Construct the Standard Instance of HorizonTailFSPnLControl

Returns:

Standard Instance of HorizonTailFSPnLControl

fsTypeVolatilityAjustmentMap

public java.util.Map<java.lang.String,java.lang.Double> fsTypeVolatilityAjustmentMap()

Retrieve the FS Type Volatility Adjustment Map

Returns:

FS Type Volatility Adjustment Map