Package org.drip.capital.simulation

Class FSPnLDecomposition

java.lang.Object
org.drip.capital.simulation.FSPnLDecomposition
public class FSPnLDecomposition
extends java.lang.Object
FSPnLDecomposition holds the Per FS PnL Decomposition. 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 Summary

    Constructors
    Constructor Description
    FSPnLDecomposition​(java.util.Map<java.lang.String,​PnLSeries> fsMap)
    FSPnLDecomposition Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.String,​java.lang.Double> applyVolatilityAdjustment​(java.util.Map<java.lang.String,​java.lang.Double> fsTypeAdjustmentMap, double pnlScaler)
    Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
    java.util.Map<java.lang.String,​PnLSeries> fsMap()
    Retrieve the FS PnL Decomposition Map
    double grossPnL()
    Retrieve the Cross-RF Gross PnL
    static FSPnLDecomposition Standard​(double notional)
    Construct a Standard Instance of FSPnLDecomposition

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FSPnLDecomposition

      public FSPnLDecomposition​(java.util.Map<java.lang.String,​PnLSeries> fsMap) throws java.lang.Exception
      FSPnLDecomposition Constructor
      Parameters:
      fsMap - FS PnL Decomposition Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final FSPnLDecomposition Standard​(double notional)
      Construct a Standard Instance of FSPnLDecomposition
      Parameters:
      notional - Notional the PnL is based upon
      Returns:
      Standard Instance of FSPnLDecomposition

    • fsMap

      public java.util.Map<java.lang.String,​PnLSeries> fsMap()
      Retrieve the FS PnL Decomposition Map
      Returns:
      FS PnL Decomposition Map

    • grossPnL

      public double grossPnL()
      Retrieve the Cross-RF Gross PnL
      Returns:
      Cross-RF Gross PnL

    • applyVolatilityAdjustment

      public java.util.Map<java.lang.String,​java.lang.Double> applyVolatilityAdjustment​(java.util.Map<java.lang.String,​java.lang.Double> fsTypeAdjustmentMap, double pnlScaler)
      Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
      Parameters:
      fsTypeAdjustmentMap - FS Type Volatility Adjustment Map
      pnlScaler - The PnL Scaler
      Returns:
      Volatility Adjusted FS PnL Decomposition Map