Package org.drip.capital.simulation

Class CapitalSegmentPathEnsemble

java.lang.Object

org.drip.capital.simulation.CapitalUnitPathEnsemble

org.drip.capital.simulation.CapitalSegmentPathEnsemble

All Implemented Interfaces:

EnsemblePnLDistributionGenerator, PathEnsemble

public class CapitalSegmentPathEnsemble
extends CapitalUnitPathEnsemble

CapitalSegmentPathEnsemble generates the Ensemble of Capital Paths from the Simulation PnL Realizations for the Capital Units under the specified Capital Segments. 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 Simulation Ensemble

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalSegmentPathEnsemble(java.util.Map<java.lang.String,PathEnsemble> pathEnsembleMap)	CapitalSegmentPathEnsemble Constructor

Method Summary

Modifier and Type	Method	Description
CapitalSegmentStandaloneMarginal	marginalPnLAttribution(double confidenceLevel)	Construct the Contributing Marginal PnL Attribution given the Confidence Level by Percentage
CapitalSegmentStandaloneMarginal	marginalPnLAttribution(int confidenceCount)	Construct the Contributing Marginal PnL Attribution given the Confidence Level by Count
CapitalSegmentStandaloneMarginal	marginalStandalonePnLAttribution(double confidenceLevel)	Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by Percentage
CapitalSegmentStandaloneMarginal	marginalStandalonePnLAttribution(int confidenceCount)	Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by Count
java.util.Map<java.lang.String,PathEnsemble>	pathEnsembleMap()	Retrieve the Map of Path Ensembles
CapitalSegmentPnLAttribution	standalonePnLAttribution(double confidenceLevel)	Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Percentage
CapitalSegmentPnLAttribution	standalonePnLAttribution(int confidenceCount)	Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Count

Methods inherited from class org.drip.capital.simulation.CapitalUnitPathEnsemble

addPathPnLRealization, count, ensembleDistribution, expectedShortfall, expectedShortfall, grossFSPnLList, grossIdiosyncraticStressPnLList, grossPnLList, grossSystemicStressPnLList, idiosyncraticEventIncidenceCount, idiosyncraticEventIncidenceCountMap, pathPnLRealizationArray, pathPnLRealizationList, pnlAttribution, pnlAttribution, pnlAttribution, pnlListMap, systemicEventIncidenceCount, systemicEventIncidenceCountMap, var, var

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalSegmentPathEnsemble

public CapitalSegmentPathEnsemble(java.util.Map<java.lang.String,PathEnsemble> pathEnsembleMap)
                           throws java.lang.Exception

CapitalSegmentPathEnsemble Constructor

Parameters:

pathEnsembleMap - Map of Path Ensemble

Throws:

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

Method Details

pathEnsembleMap

public java.util.Map<java.lang.String,PathEnsemble> pathEnsembleMap()

Retrieve the Map of Path Ensembles

Returns:

The Map of Path Ensembles

marginalPnLAttribution

public CapitalSegmentStandaloneMarginal marginalPnLAttribution(int confidenceCount)

Construct the Contributing Marginal PnL Attribution given the Confidence Level by Count

Parameters:

confidenceCount - Confidence Level by Count

Returns:

The Contributing Marginal PnL Attribution

marginalPnLAttribution

public CapitalSegmentStandaloneMarginal marginalPnLAttribution(double confidenceLevel)

Construct the Contributing Marginal PnL Attribution given the Confidence Level by Percentage

Parameters:

confidenceLevel - Confidence Level by Percentage

Returns:

The Contributing Marginal PnL Attribution

standalonePnLAttribution

public CapitalSegmentPnLAttribution standalonePnLAttribution(int confidenceCount)

Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Count

Parameters:

confidenceCount - Confidence Level by Count

Returns:

The Capital Segment Stand-alone PnL Attribution

standalonePnLAttribution

public CapitalSegmentPnLAttribution standalonePnLAttribution(double confidenceLevel)

Construct the Capital Segment Stand-alone PnL Attribution given the Confidence Level by Percentage

Parameters:

confidenceLevel - Confidence Level by Percentage

Returns:

The Capital Segment Stand-alone PnL Attribution

marginalStandalonePnLAttribution

public CapitalSegmentStandaloneMarginal marginalStandalonePnLAttribution(int confidenceCount)

Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by Count

Parameters:

confidenceCount - Confidence Level by Count

Returns:

The Contributing Marginal and Stand-alone PnL Attribution

marginalStandalonePnLAttribution

public CapitalSegmentStandaloneMarginal marginalStandalonePnLAttribution(double confidenceLevel)

Construct the Contributing Marginal and Stand-alone PnL Attribution given the Confidence Level by Percentage

Parameters:

confidenceLevel - Confidence Level by Count

Returns:

The Contributing Marginal and Stand-alone PnL Attribution