Package org.drip.capital.setting

Class SimulationControl

java.lang.Object
org.drip.capital.setting.SimulationControl
public class SimulationControl
extends java.lang.Object
SimulationControl holds the Parameters guiding the Monte-Carlo Simulation 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


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING
    Systemic Stress Incidence Sampling - Random
    static int SYSTEMIC_STRESS_INCIDENCE_STRATIFIED_SAMPLING
    Systemic Stress Incidence Sampling - Stratified

  • Constructor Summary

    Constructors
    Constructor Description
    SimulationControl​(int pathCount, int systemicStressIncidenceSampling)
    SimulationControl Constructor

  • Method Summary

    Modifier and Type Method Description
    int pathCount()
    Retrieve the Number of Paths guiding the Simulation
    static SimulationControl Standard()
    Construct the Standard Instance of the SimulationControl
    int systemicStressIncidenceSampling()
    Retrieve the Systemic Stress Incidence Sampling Indicator

    Methods inherited from class java.lang.Object

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

  • Field Details

    • SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING

      public static final int SYSTEMIC_STRESS_INCIDENCE_RANDOM_SAMPLING
      Systemic Stress Incidence Sampling - Random
      See Also:
      Constant Field Values

    • SYSTEMIC_STRESS_INCIDENCE_STRATIFIED_SAMPLING

      public static final int SYSTEMIC_STRESS_INCIDENCE_STRATIFIED_SAMPLING
      Systemic Stress Incidence Sampling - Stratified
      See Also:
      Constant Field Values

  • Constructor Details

    • SimulationControl

      public SimulationControl​(int pathCount, int systemicStressIncidenceSampling) throws java.lang.Exception
      SimulationControl Constructor
      Parameters:
      pathCount - Total Path Count
      systemicStressIncidenceSampling - Systemic Stress Incidence Sampling Flag
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final SimulationControl Standard()
      Construct the Standard Instance of the SimulationControl
      Returns:
      Standard Instance of the SimulationControl

    • pathCount

      public int pathCount()
      Retrieve the Number of Paths guiding the Simulation
      Returns:
      Number of Paths guiding the Simulation

    • systemicStressIncidenceSampling

      public int systemicStressIncidenceSampling()
      Retrieve the Systemic Stress Incidence Sampling Indicator
      Returns:
      Systemic Stress Incidence Sampling Indicator