VolatilityScaleContext

java.lang.Object

org.drip.capital.shell.VolatilityScaleContext

public class VolatilityScaleContext
extends java.lang.Object

VolatilityScaleContext maintains the Loaded Risk-Factor Volatility Scale Mappings. 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

VolatilityScaleContext(java.util.Map<java.lang.String,java.lang.Double> fsTypeAdjustmentMap)
VolatilityScaleContext Constructor

Method Summary

Modifier and Type	Method	Description
`boolean`	`containsFSType(java.lang.String fsType)`	Check for the Existence of the FS Type
`java.util.Map<java.lang.String,java.lang.Double>`	`fsTypeAdjustmentMap()`	Retrieve the FS Type to Volatility Adjustment Map
`double`	`volatilityAdjustment(java.lang.String fsType)`	Retrieve the Volatility Adjustment corresponding to the FS Type

Methods inherited from class java.lang.Object

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

Constructor Details
- VolatilityScaleContext
  
  public VolatilityScaleContext(java.util.Map<java.lang.String,java.lang.Double> fsTypeAdjustmentMap) throws java.lang.Exception
  
  VolatilityScaleContext Constructor
  
  Parameters:
  
  fsTypeAdjustmentMap - FS Type to Volatility Adjustment Map
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- containsFSType
  
  public boolean containsFSType(java.lang.String fsType)
  
  Check for the Existence of the FS Type
  
  Parameters:
  
  fsType - FS Type
  
  Returns:
  
  TRUE - The FS Type exists
- volatilityAdjustment
  
  public double volatilityAdjustment(java.lang.String fsType) throws java.lang.Exception
  
  Retrieve the Volatility Adjustment corresponding to the FS Type
  
  Parameters:
  
  fsType - FS Type
  
  Returns:
  
  Volatility Adjustment corresponding to the FS Type
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
- fsTypeAdjustmentMap
  
  public java.util.Map<java.lang.String,java.lang.Double> fsTypeAdjustmentMap()
  
  Retrieve the FS Type to Volatility Adjustment Map
  
  Returns:
  
  The FS Type to Volatility Adjustment Map