Package org.drip.capital.setting

Economic Risk Capital Simulation Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CapitalAllocationControl
    CapitalAllocationControl holds the Parameters guiding the Capital Allocation Settings.
    HorizonTailFSPnLControl
    HorizonTailFSPnLControl holds the Horizon, Tail, and Risk Factor FS Volatility Adjustment Control Parameters.
    HorizonTailPnLControl
    HorizonTailPnLControl holds the Horizon/Tail Adjustment Control Parameters.
    SimulationControl
    SimulationControl holds the Parameters guiding the Monte-Carlo Simulation Settings.
    SimulationPnLControl
    SimulationPnLControl holds the Customization Control Parameters for the Simulation PnL.