Package org.drip.capital.shell

Class PredictorScenarioSpecificationContainer

java.lang.Object
org.drip.capital.shell.PredictorScenarioSpecificationContainer
public class PredictorScenarioSpecificationContainer
extends java.lang.Object
PredictorScenarioSpecificationContainer maintains the Map of Predictors and their Scenario Stress Specification as well the Map of Predictors and their Categories. 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 Details

    • PredictorScenarioSpecificationContainer

      public PredictorScenarioSpecificationContainer()
      Empty PredictorScenarioSpecificationContainer Constructor

  • Method Details

    • predictorScenarioSpecificationMap

      public java.util.Map<java.lang.String,​PredictorScenarioSpecification> predictorScenarioSpecificationMap()
      Retrieve the Predictor Stress Scenario Specification Map
      Returns:
      The Predictor Stress Scenario Specification Map

    • categoryPredictorListMap

      public java.util.Map<java.lang.String,​java.util.List<java.lang.String>> categoryPredictorListMap()
      Retrieve the Map of the Categories to their corresponding Predictor Lists
      Returns:
      Map of the Categories to their corresponding Predictor Lists

    • addPredictorScenarioSpecification

      public boolean addPredictorScenarioSpecification​(PredictorScenarioSpecification predictorScenarioSpecification)
      Add the specified Predictor Scenario Specification
      Parameters:
      predictorScenarioSpecification - The Predictor Scenario Specification
      Returns:
      TRUE - The Predictor Scenario Specification successfully added

    • containsPredictor

      public boolean containsPredictor​(java.lang.String predictorName)
      Indicate if the Predictor has a Stress Specification Available
      Parameters:
      predictorName - The Predictor
      Returns:
      TRUE - The Predictor has a Stress Specification Available

    • containsCategory

      public boolean containsCategory​(java.lang.String category)
      Indicate if the Category has Predictor(s) Available
      Parameters:
      category - The Category
      Returns:
      TRUE - The Category has Predictor(s) Available

    • predictorScenarioSpecification

      public PredictorScenarioSpecification predictorScenarioSpecification​(java.lang.String predictorName)
      Retrieve the Predictor Scenario Specification
      Parameters:
      predictorName - The Predictor
      Returns:
      The Predictor Scenario Specification

    • predictorList

      public java.util.List<java.lang.String> predictorList​(java.lang.String category)
      Retrieve the Predictors corresponding to the Category
      Parameters:
      category - The Category
      Returns:
      The Predictors corresponding to the Category