Package org.drip.capital.shell
Class SystemicScenarioPnLSeriesPAA
java.lang.Object
org.drip.capital.shell.SystemicScenarioPnLSeriesPAA
public class SystemicScenarioPnLSeriesPAA
extends java.lang.Object
SystemicScenarioPnLSeriesPAA contains the PAA Category Decomposition of 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
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Constructor Summary
Constructors Constructor Description SystemicScenarioPnLSeriesPAA()
Empty SystemicScenarioPnLSeriesPAA Constructor -
Method Summary
Modifier and Type Method Description boolean
addDecompositionEntry(java.lang.String systemicScenarioName, java.lang.String paaCategoryName, double pnlDecomposition)
Add a Decomposed PnL Entry for the Specified Systemic Scenario and PAA CategorySystemicScenarioPnLSeries
aggregatePnL()
Generate the Aggregated GSST PnLjava.util.Map<java.lang.String,PnLSeries>
baseline1974DecompositionMap()
Retrieve the 1974 Baseline PAA Category PnL Decomposition Mapjava.util.Map<java.lang.String,PnLSeries>
baseline2008DecompositionMap()
Retrieve the 2008 Baseline PAA Category PnL Decomposition Mapjava.util.Map<java.lang.String,PnLSeries>
deepDownturnDecompositionMap()
Retrieve the Deep Down-turn PAA Category PnL Decomposition Mapjava.util.Map<java.lang.String,PnLSeries>
dollarDeclineDecompositionMap()
Retrieve the Dollar Decline PAA Category PnL Decomposition Mapjava.util.Map<java.lang.String,PnLSeries>
interestRateShockDecompositionMap()
Retrieve the Interest Rate Shock PAA Category PnL Decomposition Mapjava.util.Map<java.lang.String,PnLSeries>
lostDecadeDecompositionMap()
Retrieve the Lost Decade PAA Category PnL Decomposition Mapjava.lang.String
toString()
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Constructor Details
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SystemicScenarioPnLSeriesPAA
public SystemicScenarioPnLSeriesPAA()Empty SystemicScenarioPnLSeriesPAA Constructor
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Method Details
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baseline1974DecompositionMap
Retrieve the 1974 Baseline PAA Category PnL Decomposition Map- Returns:
- 1974 Baseline PAA Category PnL Decomposition Map
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baseline2008DecompositionMap
Retrieve the 2008 Baseline PAA Category PnL Decomposition Map- Returns:
- 2008 Baseline PAA Category PnL Decomposition Map
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deepDownturnDecompositionMap
Retrieve the Deep Down-turn PAA Category PnL Decomposition Map- Returns:
- Deep Down-turn PAA Category PnL Decomposition Map
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dollarDeclineDecompositionMap
Retrieve the Dollar Decline PAA Category PnL Decomposition Map- Returns:
- Dollar Decline PAA Category PnL Decomposition Map
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interestRateShockDecompositionMap
Retrieve the Interest Rate Shock PAA Category PnL Decomposition Map- Returns:
- Interest Rate Shock PAA Category PnL Decomposition Map
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lostDecadeDecompositionMap
Retrieve the Lost Decade PAA Category PnL Decomposition Map- Returns:
- Lost Decade PAA Category PnL Decomposition Map
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addDecompositionEntry
public boolean addDecompositionEntry(java.lang.String systemicScenarioName, java.lang.String paaCategoryName, double pnlDecomposition)Add a Decomposed PnL Entry for the Specified Systemic Scenario and PAA Category- Parameters:
systemicScenarioName
- Systemic Scenario NamepaaCategoryName
- PAA Category NamepnlDecomposition
- PnL Entry- Returns:
- TRUE - The Entry is successfully added
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aggregatePnL
Generate the Aggregated GSST PnL- Returns:
- Aggregated GSST PnL
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toString
public java.lang.String toString()- Overrides:
toString
in classjava.lang.Object
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