EnsemblePnLDistribution

java.lang.Object

org.drip.capital.simulation.EnsemblePnLDistribution

public class EnsemblePnLDistribution
extends java.lang.Object

EnsemblePnLDistribution contains the PnL Distribution from Realized Path Ensemble. 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
`EnsemblePnLDistribution(java.util.List<java.lang.Double> grossSystemicStressPnLList, java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList, java.util.List<java.lang.Double> grossFSPnLList, java.util.List<java.lang.Double> grossPnLList)`	EnsemblePnLDistribution Constructor

Method Summary

Modifier and Type	Method	Description
`java.util.List<java.lang.Double>`	`grossFSPnLList()`	Retrieve the Gross FS PnL List
`java.util.List<java.lang.Double>`	`grossIdiosyncraticStressPnLList()`	Retrieve the Gross Idiosyncratic Stress PnL List
`java.util.List<java.lang.Double>`	`grossPnLList()`	Retrieve the Gross PnL List
`java.util.List<java.lang.Double>`	`grossSystemicStressPnLList()`	Retrieve the Gross Systemic Stress PnL List

Methods inherited from class java.lang.Object

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

Constructor Details
- EnsemblePnLDistribution
  
  public EnsemblePnLDistribution(java.util.List<java.lang.Double> grossSystemicStressPnLList, java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList, java.util.List<java.lang.Double> grossFSPnLList, java.util.List<java.lang.Double> grossPnLList) throws java.lang.Exception
  
  EnsemblePnLDistribution Constructor
  
  Parameters:
  
  grossSystemicStressPnLList - The Gross Systemic Stress PnL List
  
  grossIdiosyncraticStressPnLList - The Gross Idiosyncratic Stress PnL List
  
  grossFSPnLList - The Gross FS PnL List
  
  grossPnLList - The Gross PnL List
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- grossSystemicStressPnLList
  
  public java.util.List<java.lang.Double> grossSystemicStressPnLList()
  
  Retrieve the Gross Systemic Stress PnL List
  
  Returns:
  
  The Gross Systemic Stress PnL List
- grossIdiosyncraticStressPnLList
  
  public java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList()
  
  Retrieve the Gross Idiosyncratic Stress PnL List
  
  Returns:
  
  The Gross Idiosyncratic Stress PnL List
- grossFSPnLList
  
  public java.util.List<java.lang.Double> grossFSPnLList()
  
  Retrieve the Gross FS PnL List
  
  Returns:
  
  The Gross FS PnL List
- grossPnLList
  
  public java.util.List<java.lang.Double> grossPnLList()
  
  Retrieve the Gross PnL List
  
  Returns:
  
  The Gross PnL List