Package org.drip.capital.shell

Class CapitalUnitStressEventContext

java.lang.Object
org.drip.capital.shell.CapitalUnitStressEventContext
public class CapitalUnitStressEventContext
extends java.lang.Object
CapitalUnitStressEventContext maintains the Systemic, Idiosyncratic, and Correlated Scenarios at the Capital Unit Coordinate Level. 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
    CapitalUnitStressEventContext()
    Empty CapitalUnitStressEventContext Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addCorrelated​(java.lang.String capitalCoordinateFQN, java.lang.String correlatedEventName, SystemicScenarioPnLSeries correlatedSystemicScenarioPnLSeries)
    Add a Correlated Event to the Capital Unit Coordinate
    boolean addIdiosyncratic​(java.lang.String capitalUnitCoordinateFQN, java.lang.String scenarioName, double scenarioProbability, double scenarioPnL)
    Add a Idiosyncratic Event to the Capital Unit Coordinate
    boolean addSystemic​(java.lang.String capitalCoordinateFQN, SystemicScenarioPnLSeries systemicScenarioPnLSeries, SystemicScenarioPnLSeriesPAA systemicScenarioPnLSeriesPAA)
    Add a Systemic Event to the Capital Unit Coordinate
    java.util.Map<java.lang.String,​CapitalUnitEventContainer> capitalUnitEventMap()
    Retrieve the Capital Unit Stress Map
    java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet​(java.lang.String region)
    Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the specified Region
    java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet​(java.lang.String region, java.lang.String riskType)
    Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the specified Risk Type and Region

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalUnitStressEventContext

      public CapitalUnitStressEventContext()
      Empty CapitalUnitStressEventContext Constructor

  • Method Details

    • addSystemic

      public boolean addSystemic​(java.lang.String capitalCoordinateFQN, SystemicScenarioPnLSeries systemicScenarioPnLSeries, SystemicScenarioPnLSeriesPAA systemicScenarioPnLSeriesPAA)
      Add a Systemic Event to the Capital Unit Coordinate
      Parameters:
      capitalCoordinateFQN - The Capital Coordinate FQN
      systemicScenarioPnLSeries - Systemic Scenario PnL Series
      systemicScenarioPnLSeriesPAA - Systemic Scenario PnL Series PAA
      Returns:
      TRUE - Systemic Event successfully created and added to the Capital Unit Event Map

    • addCorrelated

      public boolean addCorrelated​(java.lang.String capitalCoordinateFQN, java.lang.String correlatedEventName, SystemicScenarioPnLSeries correlatedSystemicScenarioPnLSeries)
      Add a Correlated Event to the Capital Unit Coordinate
      Parameters:
      capitalCoordinateFQN - The Capital Coordinate FQN
      correlatedEventName - Correlated Event Name
      correlatedSystemicScenarioPnLSeries - Correlated Systemic Scenario PnL Series
      Returns:
      TRUE - Correlated Event successfully created and added to the Capital Unit Event Map

    • addIdiosyncratic

      public boolean addIdiosyncratic​(java.lang.String capitalUnitCoordinateFQN, java.lang.String scenarioName, double scenarioProbability, double scenarioPnL)
      Add a Idiosyncratic Event to the Capital Unit Coordinate
      Parameters:
      capitalUnitCoordinateFQN - The Capital Unit Coordinate FQN
      scenarioName - Scenario Name
      scenarioProbability - Scenario Probability
      scenarioPnL - Scenario PnL
      Returns:
      TRUE - Idiosyncratic Event successfully created and added to the Capital Unit Event Map

    • matchingCapitalUnitCoordinateSet

      public java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet​(java.lang.String region, java.lang.String riskType)
      Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the specified Risk Type and Region
      Parameters:
      region - Region
      riskType - Risk Type
      Returns:
      The Capital Unit Coordinate Set

    • matchingCapitalUnitCoordinateSet

      public java.util.Set<java.lang.String> matchingCapitalUnitCoordinateSet​(java.lang.String region)
      Retrieve all the Capital Unit Coordinates that have Entries in the Coordinate Scenario Stress Map for the specified Region
      Parameters:
      region - Region
      Returns:
      The Child Coordinate Set

    • capitalUnitEventMap

      public java.util.Map<java.lang.String,​CapitalUnitEventContainer> capitalUnitEventMap()
      Retrieve the Capital Unit Stress Map
      Returns:
      The Capital Unit Stress Map