Package org.drip.capital.simulation

Interface EnsemblePnLDistributionGenerator

All Known Subinterfaces:
PathEnsemble
All Known Implementing Classes:
CapitalSegmentPathEnsemble, CapitalSegmentStandaloneMarginal, CapitalUnitPathEnsemble, CapitalUnitPnLAttribution
public interface EnsemblePnLDistributionGenerator
EnsemblePnLDistributionGenerator exposes the Functionality to generate the PnL Distribution from the 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


Author:
Lakshmi Krishnamurthy

  • Method Details

    • grossSystemicStressPnLList

      java.util.List<java.lang.Double> grossSystemicStressPnLList()
      Generate the Gross Systemic PnL Distribution
      Returns:
      The Gross Systemic PnL Distribution

    • grossIdiosyncraticStressPnLList

      java.util.List<java.lang.Double> grossIdiosyncraticStressPnLList()
      Generate the Gross Idiosyncratic PnL Distribution
      Returns:
      The Gross Idiosyncratic PnL Distribution

    • grossFSPnLList

      java.util.List<java.lang.Double> grossFSPnLList()
      Generate the Gross FS PnL Distribution
      Returns:
      The Gross FS PnL Distribution

    • grossPnLList

      java.util.List<java.lang.Double> grossPnLList()
      Generate the Gross PnL Distribution
      Returns:
      The Gross PnL Distribution

    • ensembleDistribution

      EnsemblePnLDistribution ensembleDistribution()
      Generate the Ensemble PnL Distribution
      Returns:
      The Ensemble PnL Distribution