Package org.drip.capital.shell

Class CreditSpreadEventContainer

java.lang.Object
org.drip.capital.shell.CreditSpreadEventContainer
public class CreditSpreadEventContainer
extends java.lang.Object
CreditSpreadEventContainer maintains all the Credit Spread Events needed for a Full GSST Scenario Design 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditSpreadEventContainer()
    Empty CreditSpreadEventContainer Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean add​(CreditSpreadEvent creditSpreadEvent)
    Add the Specified Credit Spread Event
    int count()
    Retrieve the Count of the Credit Spread Events
    java.util.Map<java.lang.Integer,​CreditSpreadEvent> creditSpreadEventMap()
    Retrieve the Credit Spread Event Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditSpreadEventContainer

      public CreditSpreadEventContainer()
      Empty CreditSpreadEventContainer Constructor

  • Method Details

    • creditSpreadEventMap

      public java.util.Map<java.lang.Integer,​CreditSpreadEvent> creditSpreadEventMap()
      Retrieve the Credit Spread Event Map
      Returns:
      Credit Spread Event Map

    • count

      public int count()
      Retrieve the Count of the Credit Spread Events
      Returns:
      Count of the Credit Spread Events

    • add

      public boolean add​(CreditSpreadEvent creditSpreadEvent)
      Add the Specified Credit Spread Event
      Parameters:
      creditSpreadEvent - The Credit Spread Event
      Returns:
      TRUE - The Credit Spread Event successfully added