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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • SystemicScenarioPnLSeriesPAA

      public SystemicScenarioPnLSeriesPAA()
      Empty SystemicScenarioPnLSeriesPAA Constructor

  • Method Details

    • baseline1974DecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> baseline1974DecompositionMap()
      Retrieve the 1974 Baseline PAA Category PnL Decomposition Map
      Returns:
      1974 Baseline PAA Category PnL Decomposition Map

    • baseline2008DecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> baseline2008DecompositionMap()
      Retrieve the 2008 Baseline PAA Category PnL Decomposition Map
      Returns:
      2008 Baseline PAA Category PnL Decomposition Map

    • deepDownturnDecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> deepDownturnDecompositionMap()
      Retrieve the Deep Down-turn PAA Category PnL Decomposition Map
      Returns:
      Deep Down-turn PAA Category PnL Decomposition Map

    • dollarDeclineDecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> dollarDeclineDecompositionMap()
      Retrieve the Dollar Decline PAA Category PnL Decomposition Map
      Returns:
      Dollar Decline PAA Category PnL Decomposition Map

    • interestRateShockDecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> interestRateShockDecompositionMap()
      Retrieve the Interest Rate Shock PAA Category PnL Decomposition Map
      Returns:
      Interest Rate Shock PAA Category PnL Decomposition Map

    • lostDecadeDecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> lostDecadeDecompositionMap()
      Retrieve the Lost Decade PAA Category PnL Decomposition Map
      Returns:
      Lost Decade PAA Category PnL Decomposition Map

    • 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 Name
      paaCategoryName - PAA Category Name
      pnlDecomposition - PnL Entry
      Returns:
      TRUE - The Entry is successfully added

    • aggregatePnL

      public SystemicScenarioPnLSeries aggregatePnL()
      Generate the Aggregated GSST PnL
      Returns:
      Aggregated GSST PnL

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object