Package org.drip.capital.shell

Class CapitalEstimationContextContainer

java.lang.Object

org.drip.capital.shell.CapitalEstimationContextContainer

public class CapitalEstimationContextContainer
extends java.lang.Object

CapitalEstimationContextContainer maintains all the Context Entities needed for a Full Economic Capital Estimation Run. 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 Parameter Contexts

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalEstimationContextContainer(AccountBusinessContext accountBusinessContext, BusinessGroupingContext businessGroupingContext, CapitalUnitStressEventContext capitalUnitStressEventContext, RegionDigramContext regionDigramContext, RiskTypeContext riskTypeContext, VolatilityScaleContext volatilityScaleContext)	CapitalEstimationContextContainer Constructor

Method Summary

Modifier and Type	Method	Description
AccountBusinessContext	accountBusinessContext()	Retrieve the Account Business Context
BusinessGroupingContext	businessGroupingContext()	Retrieve the Business Grouping Context
CapitalUnitStressEventContext	capitalUnitStressEventContext()	Retrieve the Capital Unit Stress Event Context
RegionDigramContext	regionDigramContext()	Retrieve the Region Digram Context
RiskTypeContext	riskTypeContext()	Retrieve the Risk Type Context
VolatilityScaleContext	volatilityScaleContext()	Retrieve the Volatility Scale Context

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalEstimationContextContainer

public CapitalEstimationContextContainer(AccountBusinessContext accountBusinessContext,
BusinessGroupingContext businessGroupingContext,
CapitalUnitStressEventContext capitalUnitStressEventContext,
RegionDigramContext regionDigramContext,
RiskTypeContext riskTypeContext,
VolatilityScaleContext volatilityScaleContext)
                                  throws java.lang.Exception

CapitalEstimationContextContainer Constructor

Parameters:

accountBusinessContext - Account Business Context

businessGroupingContext - Business Grouping Context

capitalUnitStressEventContext - Capital Unit Stress Event Context

regionDigramContext - Region Digram Context

riskTypeContext - Risk Type Context

volatilityScaleContext - Volatility Scale Context

Throws:

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

Method Details

accountBusinessContext

public AccountBusinessContext accountBusinessContext()

Retrieve the Account Business Context

Returns:

Account Business Context

businessGroupingContext

public BusinessGroupingContext businessGroupingContext()

Retrieve the Business Grouping Context

Returns:

Business Grouping Context

capitalUnitStressEventContext

public CapitalUnitStressEventContext capitalUnitStressEventContext()

Retrieve the Capital Unit Stress Event Context

Returns:

Capital Unit Stress Event Context

regionDigramContext

public RegionDigramContext regionDigramContext()

Retrieve the Region Digram Context

Returns:

Region Digram Context

riskTypeContext

public RiskTypeContext riskTypeContext()

Retrieve the Risk Type Context

Returns:

Risk Type Context

volatilityScaleContext

public VolatilityScaleContext volatilityScaleContext()

Retrieve the Volatility Scale Context

Returns:

Volatility Scale Context