Package org.drip.capital.setting

Class HorizonTailPnLControl

java.lang.Object
org.drip.capital.setting.HorizonTailPnLControl
Direct Known Subclasses:
HorizonTailFSPnLControl
public abstract class HorizonTailPnLControl
extends java.lang.Object
HorizonTailPnLControl holds the Horizon/Tail 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    HorizonTailPnLControl​(int horizon, double degreesOfFreedom, double varConfidenceLevel, double expectedShortfallConfidenceLevel)
    HorizonTailPnLControl Constructor

  • Method Summary

    Modifier and Type Method Description
    double degreesOfFreedom()
    Retrieve the PnL Distribution Degrees of Freedom
    double expectedShortfallConfidenceLevel()
    Retrieve the Expected Short-fall Confidence Level
    double grossScaler()
    Retrieve the Gross (Horizon X Tail) Scaler
    int horizon()
    Retrieve the Horizon in Days
    double horizonScaler()
    Retrieve the Horizon Scaler
    static HorizonTailPnLControl StandardStress()
    Construct the Standard Stress Instance of HorizonTailPnLControl
    abstract double tailDistributionScaler()
    Retrieve the Tail Distribution Scaler
    double varConfidenceLevel()
    Retrieve the VaR Confidence Level

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HorizonTailPnLControl

      public HorizonTailPnLControl​(int horizon, double degreesOfFreedom, double varConfidenceLevel, double expectedShortfallConfidenceLevel) throws java.lang.Exception
      HorizonTailPnLControl Constructor
      Parameters:
      horizon - Horizon
      degreesOfFreedom - PnL Distribution Degrees of Freedom
      varConfidenceLevel - VaR Confidence Level
      expectedShortfallConfidenceLevel - Expected Short-fall Confidence Level
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • StandardStress

      public static final HorizonTailPnLControl StandardStress()
      Construct the Standard Stress Instance of HorizonTailPnLControl
      Returns:
      Standard Stress Instance of HorizonTailPnLControl

    • horizon

      public int horizon()
      Retrieve the Horizon in Days
      Returns:
      Horizon in Days

    • degreesOfFreedom

      public double degreesOfFreedom()
      Retrieve the PnL Distribution Degrees of Freedom
      Returns:
      PnL Distribution Degrees of Freedom

    • varConfidenceLevel

      public double varConfidenceLevel()
      Retrieve the VaR Confidence Level
      Returns:
      VaR Confidence Level

    • expectedShortfallConfidenceLevel

      public double expectedShortfallConfidenceLevel()
      Retrieve the Expected Short-fall Confidence Level
      Returns:
      Expected Short-fall Confidence Level

    • horizonScaler

      public double horizonScaler()
      Retrieve the Horizon Scaler
      Returns:
      Horizon Scaler

    • tailDistributionScaler

      public abstract double tailDistributionScaler()
      Retrieve the Tail Distribution Scaler
      Returns:
      Tail Distribution Scaler

    • grossScaler

      public double grossScaler()
      Retrieve the Gross (Horizon X Tail) Scaler
      Returns:
      Gross (Horizon X Tail) Scaler