SimulationPnLControl

java.lang.Object

org.drip.capital.setting.SimulationPnLControl

public class SimulationPnLControl
extends java.lang.Object

SimulationPnLControl holds the Customization Control Parameters for the Simulation PnL. 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

SimulationPnLControl(HorizonTailFSPnLControl noStress, HorizonTailPnLControl stress)
SimulationPnLControl Constructor

Method Summary

Modifier and Type	Method	Description
`HorizonTailFSPnLControl`	`noStress()`	Retrieve the No-stress Horizon Tail Volatility Adjustment Control
`static SimulationPnLControl`	`Standard()`	Construct the Standard Instance of SimulationPnLControl
`HorizonTailPnLControl`	`stress()`	Retrieve the Stress Horizon Tail Adjustment Control

Methods inherited from class java.lang.Object

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

Constructor Details
- SimulationPnLControl
  
  public SimulationPnLControl(HorizonTailFSPnLControl noStress, HorizonTailPnLControl stress) throws java.lang.Exception
  
  SimulationPnLControl Constructor
  
  Parameters:
  
  noStress - No-stressed Horizon Tail Volatility Adjustment Control
  
  stress - Stress Horizon Tail Adjustment Control
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- Standard
  
  public static final SimulationPnLControl Standard()
  
  Construct the Standard Instance of SimulationPnLControl
  
  Returns:
  
  Standard Instance of SimulationPnLControl
- noStress
  
  public HorizonTailFSPnLControl noStress()
  
  Retrieve the No-stress Horizon Tail Volatility Adjustment Control
  
  Returns:
  
  No-stress Horizon Tail Volatility Adjustment Control
- stress
  
  public HorizonTailPnLControl stress()
  
  Retrieve the Stress Horizon Tail Adjustment Control
  
  Returns:
  
  Stress Horizon Tail Adjustment Control