FSPnLDecompositionContainer

java.lang.Object

org.drip.capital.simulation.FSPnLDecompositionContainer

public class FSPnLDecompositionContainer
extends java.lang.Object

FSPnLDecompositionContainer holds the Series of Decomposed FS PnL's. 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

FSPnLDecompositionContainer(java.util.List<FSPnLDecomposition> fsPnLDecompositionList)
FSPnLDecompositionContainer Constructor

Method Summary

Modifier and Type	Method	Description
`java.util.List<java.util.Map<java.lang.String,java.lang.Double>>`	`applyVolatilityAdjustment(java.util.Map<java.lang.String,java.lang.Double> fsTypeAdjustmentMap)`	Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
`int`	`count()`	Retrieve the Count of the PnL List
`java.util.List<FSPnLDecomposition>`	`fsPnLDecompositionList()`	Retrieve the List of FS PnL Decomposition
`static FSPnLDecompositionContainer`	`Standard(double notional, int count)`	Generate a Standard Instance of FSPnLDecompositionContainer

Methods inherited from class java.lang.Object

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

Constructor Details
- FSPnLDecompositionContainer
  
  public FSPnLDecompositionContainer(java.util.List<FSPnLDecomposition> fsPnLDecompositionList) throws java.lang.Exception
  
  FSPnLDecompositionContainer Constructor
  
  Parameters:
  
  fsPnLDecompositionList - List of FS PnL Decomposition
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- Standard
  
  public static final FSPnLDecompositionContainer Standard(double notional, int count)
  
  Generate a Standard Instance of FSPnLDecompositionContainer
  
  Parameters:
  
  notional - The Notional
  
  count - Count of the PnL List
  
  Returns:
  
  Standard Instance of FSPnLDecompositionContainer
- fsPnLDecompositionList
  
  public java.util.List<FSPnLDecomposition> fsPnLDecompositionList()
  
  Retrieve the List of FS PnL Decomposition
  
  Returns:
  
  List of FS PnL Decomposition
- count
  
  public int count()
  
  Retrieve the Count of the PnL List
  
  Returns:
  
  Count of the PnL List
- applyVolatilityAdjustment
  
  public java.util.List<java.util.Map<java.lang.String,java.lang.Double>> applyVolatilityAdjustment(java.util.Map<java.lang.String,java.lang.Double> fsTypeAdjustmentMap)
  
  Apply the FS Type Specific Volatility Scaling to the PnL Decomposition
  
  Parameters:
  
  fsTypeAdjustmentMap - FS Type Volatility Adjustment Map
  
  Returns:
  
  FS Type Specific Volatility Adjusted List