Package org.drip.capital.simulation

Interface PathEnsemble

All Superinterfaces:
EnsemblePnLDistributionGenerator
All Known Implementing Classes:
CapitalSegmentPathEnsemble, CapitalUnitPathEnsemble
public interface PathEnsemble
extends EnsemblePnLDistributionGenerator
PathEnsemble exposes the Ensemble of Capital Paths from the Simulation PnL Realizations. 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

    • addPathPnLRealization

      boolean addPathPnLRealization​(PathPnLRealization pathPnLRealization)
      Add the specified Path PnL Realization
      Parameters:
      pathPnLRealization - Path PnL Realization
      Returns:
      The Path PnL Realization successfully added

    • pnlListMap

      java.util.Map<java.lang.Double,​java.util.List<java.lang.Integer>> pnlListMap()
      Retrieve the PnL List Map
      Returns:
      The PnL List Map

    • systemicEventIncidenceCountMap

      java.util.Map<java.lang.String,​java.lang.Integer> systemicEventIncidenceCountMap()
      Retrieve the Systemic Event Incidence Count Map
      Returns:
      The Systemic Event Incidence Count Map

    • idiosyncraticEventIncidenceCountMap

      java.util.Map<java.lang.String,​java.lang.Integer> idiosyncraticEventIncidenceCountMap()
      Retrieve the Idiosyncratic Event Incidence Count Map
      Returns:
      The Idiosyncratic Event Incidence Count Map

    • count

      int count()
      Retrieve the Number of Paths Simulated
      Returns:
      The Number of Paths Simulated

    • systemicEventIncidenceCount

      int systemicEventIncidenceCount​(java.lang.String event)
      Retrieve the Occurrence Count for the specified Systemic Event
      Parameters:
      event - The Systemic Event
      Returns:
      Occurrence Count for the specified Systemic Event

    • idiosyncraticEventIncidenceCount

      int idiosyncraticEventIncidenceCount​(java.lang.String event)
      Retrieve the Occurrence Count for the specified Idiosyncratic Event
      Parameters:
      event - The Idiosyncratic Event
      Returns:
      Occurrence Count for the specified Idiosyncratic Event

    • var

      double var​(int confidenceCount) throws java.lang.Exception
      Compute VaR given the Confidence Level by Count
      Parameters:
      confidenceCount - Confidence Level by Count
      Returns:
      VaR
      Throws:
      java.lang.Exception - Thrown if the VaR cannot be computed

    • var

      double var​(double confidenceLevel) throws java.lang.Exception
      Compute VaR given the Confidence Level by Percentage
      Parameters:
      confidenceLevel - Confidence Level by Percentage
      Returns:
      VaR
      Throws:
      java.lang.Exception - Thrown if the VaR cannot be computed

    • expectedShortfall

      double expectedShortfall​(int confidenceCount) throws java.lang.Exception
      Compute Expected Short-fall given the Confidence Level by Count
      Parameters:
      confidenceCount - Confidence Level by Count
      Returns:
      Expected Short-fall
      Throws:
      java.lang.Exception - Thrown if the VaR cannot be computed

    • expectedShortfall

      double expectedShortfall​(double confidenceLevel) throws java.lang.Exception
      Compute Expected Short-fall given the Confidence Level by Percentage
      Parameters:
      confidenceLevel - Confidence Level by Percentage
      Returns:
      Expected Short-fall
      Throws:
      java.lang.Exception - Thrown if the VaR cannot be computed

    • pnlAttribution

      CapitalUnitPnLAttribution pnlAttribution​(int confidenceCount)
      Construct the Contributing PnL Attribution given the Confidence Level by Count
      Parameters:
      confidenceCount - Confidence Level by Count
      Returns:
      The Contributing PnL Attribution

    • pnlAttribution

      CapitalUnitPnLAttribution pnlAttribution​(double confidenceLevel)
      Construct the Contributing PnL Attribution given the Confidence Level by Percentage
      Parameters:
      confidenceLevel - Confidence Level by Percentage
      Returns:
      The Contributing PnL Attribution

    • pnlAttribution

      CapitalUnitPnLAttribution pnlAttribution​(java.util.List<java.lang.Integer> pathIndexList)
      Construct the Contributing Path Attribution given the Path Index List
      Parameters:
      pathIndexList - Path Index List
      Returns:
      The Contributing Path Attribution