Package org.drip.capital.shell

Class SystemicScenarioPnLSeries

java.lang.Object

org.drip.capital.shell.SystemicScenarioPnLSeries

public class SystemicScenarioPnLSeries
extends java.lang.Object

SystemicScenarioPnLSeries contains the PnL Series of a Systemic Stress Scenario. 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
SystemicScenarioPnLSeries(PnLSeries baseline1974, PnLSeries baseline2008, PnLSeries deepDownturn, PnLSeries dollarDecline, PnLSeries interestRateShock, PnLSeries lostDecade)	SystemicScenarioPnLSeries Constructor

Method Summary

Modifier and Type	Method	Description
static SystemicScenarioPnLSeries	AggregateComposite(SystemicScenarioPnLSeries[] systemicScenarioPnLSeriesArray)	Aggregate the Array of SystemicScenarioPnLSeries onto a Composite SystemicScenarioPnLSeries
PnLSeries	baseline1974()	Retrieve the 1974 Baseline PnL Series
PnLSeries	baseline2008()	Retrieve the 2008 Baseline PnL Series
PnLSeries	deepDownturn()	Retrieve the Deep Down-turn PnL Series
PnLSeries	dollarDecline()	Retrieve the Dollar Decline PnL Series
PnLSeries	interestRateShock()	Retrieve the Interest Rate Shock PnL Series
PnLSeries	lostDecade()	Retrieve the Lost Decade PnL Series
static SystemicScenarioPnLSeries	SingleOutcome(double baseline1974PnL, double baseline2008PnL, double deepDownturnPnL, double dollarDeclinePnL, double interestRateShockPnL, double lostDecadePnL)	Construct the SystemicScenarioPnLSeries with Single Outcome
java.lang.String	toString()
static SystemicScenarioPnLSeries	ZERO()	Construct the SystemicScenarioPnLSeries with Zeros

Methods inherited from class java.lang.Object

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

Constructor Details

SystemicScenarioPnLSeries

public SystemicScenarioPnLSeries(PnLSeries baseline1974,
PnLSeries baseline2008,
PnLSeries deepDownturn,
PnLSeries dollarDecline,
PnLSeries interestRateShock,
PnLSeries lostDecade)
                          throws java.lang.Exception

SystemicScenarioPnLSeries Constructor

Parameters:

baseline1974 - 1974 Baseline PnL Series

baseline2008 - 2008 Baseline PnL Series

deepDownturn - Deep Down-turn PnL Series

dollarDecline - Dollar Decline PnL Series

interestRateShock - Interest Rate Shock PnL Series

lostDecade - Lost Decade PnL Series

Throws:

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

Method Details

ZERO

public static final SystemicScenarioPnLSeries ZERO()

Construct the SystemicScenarioPnLSeries with Zeros

Returns:

The SystemicScenarioPnLSeries with Zeros

SingleOutcome

public static final SystemicScenarioPnLSeries SingleOutcome(double baseline1974PnL,
double baseline2008PnL,
double deepDownturnPnL,
double dollarDeclinePnL,
double interestRateShockPnL,
double lostDecadePnL)

Construct the SystemicScenarioPnLSeries with Single Outcome

Parameters:

baseline1974PnL - 1974 Baseline PnL

baseline2008PnL - 2008 Baseline PnL

deepDownturnPnL - Deep Down-turn PnL

dollarDeclinePnL - Dollar Decline PnL

interestRateShockPnL - Interest Rate Shock PnL

lostDecadePnL - Lost Decade PnL

Returns:

The SystemicScenarioPnLSeries with Single Outcome

AggregateComposite

public static final SystemicScenarioPnLSeries AggregateComposite(SystemicScenarioPnLSeries[] systemicScenarioPnLSeriesArray)

Aggregate the Array of SystemicScenarioPnLSeries onto a Composite SystemicScenarioPnLSeries

Parameters:

systemicScenarioPnLSeriesArray - Array of SystemicScenarioPnLSeries

Returns:

The Aggregated, Composite SystemicScenarioPnLSeries

baseline1974

public PnLSeries baseline1974()

Retrieve the 1974 Baseline PnL Series

Returns:

The 1974 Baseline PnL Series

baseline2008

public PnLSeries baseline2008()

Retrieve the 2008 Baseline PnL Series

Returns:

The 2008 Baseline PnL Series

deepDownturn

public PnLSeries deepDownturn()

Retrieve the Deep Down-turn PnL Series

Returns:

The Deep Down-turn PnL Series

dollarDecline

public PnLSeries dollarDecline()

Retrieve the Dollar Decline PnL Series

Returns:

The Dollar Decline PnL Series

interestRateShock

public PnLSeries interestRateShock()

Retrieve the Interest Rate Shock PnL Series

Returns:

The Interest Rate Shock PnL Series

lostDecade

public PnLSeries lostDecade()

Retrieve the Lost Decade PnL Series

Returns:

The Lost Decade PnL Series

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object