Package org.drip.capital.simulation

Class PathPnLRealization

java.lang.Object

org.drip.capital.simulation.PathPnLRealization

public class PathPnLRealization
extends java.lang.Object

PathPnLRealization holds the Realized PnL and its Components along a Simulated Path. 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
PathPnLRealization(int pathIndex, java.util.Map<java.lang.String,java.lang.Double> fsPnLDecompositionMap, StressEventIncidenceEnsemble systemic, StressEventIncidenceEnsemble idiosyncratic)	PathPnLRealization Constructor

Method Summary

Modifier and Type	Method	Description
static PathPnLRealization	Combine(PathPnLRealization[] pathPnLRealizationArray)	Combine the Path Realizations onto One
java.util.Map<java.lang.String,java.lang.Double>	fsPnLDecompositionMap()	Retrieve the Path FS PnL Decomposition
double	grossFSPnL()	Retrieve the Realized FS Gross PnL
double	grossIdiosyncraticStressPnL()	Retrieve the Realized Idiosyncratic Stress PnL
double	grossPnL()	Retrieve the Total Realized PnL
double	grossSystemicStressPnL()	Retrieve the Realized Systemic Stress PnL
StressEventIncidenceEnsemble	idiosyncratic()	Retrieve the Idiosyncratic Stress Event Incidence Ensemble
int	pathIndex()	Retrieve the Path Index
StressEventIncidenceEnsemble	systemic()	Retrieve the Systemic Stress Event Incidence Ensemble

Methods inherited from class java.lang.Object

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

Constructor Details

PathPnLRealization

public PathPnLRealization(int pathIndex,
java.util.Map<java.lang.String,java.lang.Double> fsPnLDecompositionMap,
StressEventIncidenceEnsemble systemic,
StressEventIncidenceEnsemble idiosyncratic)
                   throws java.lang.Exception

PathPnLRealization Constructor

Parameters:

pathIndex - Index of the Realized Path

fsPnLDecompositionMap - Single Path PnL Decomposition Map by FS Type

systemic - Systemic Stress Event Incidence Ensemble

idiosyncratic - Idiosyncratic Stress Event Incidence Ensemble

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Combine

public static final PathPnLRealization Combine(PathPnLRealization[] pathPnLRealizationArray)

Combine the Path Realizations onto One

Parameters:

pathPnLRealizationArray - Array of Path PnL Realizations

Returns:

The Path Realizations combined into One

pathIndex

public int pathIndex()

Retrieve the Path Index

Returns:

Path index

fsPnLDecompositionMap

public java.util.Map<java.lang.String,java.lang.Double> fsPnLDecompositionMap()

Retrieve the Path FS PnL Decomposition

Returns:

Path FS PnL Decomposition

idiosyncratic

public StressEventIncidenceEnsemble idiosyncratic()

Retrieve the Idiosyncratic Stress Event Incidence Ensemble

Returns:

The Idiosyncratic Stress Event Incidence Ensemble

systemic

public StressEventIncidenceEnsemble systemic()

Retrieve the Systemic Stress Event Incidence Ensemble

Returns:

The Systemic Stress Event Incidence Ensemble

grossSystemicStressPnL

public double grossSystemicStressPnL()

Retrieve the Realized Systemic Stress PnL

Returns:

The Realized Systemic Stress PnL

grossIdiosyncraticStressPnL

public double grossIdiosyncraticStressPnL()

Retrieve the Realized Idiosyncratic Stress PnL

Returns:

The Realized Idiosyncratic Stress PnL

grossFSPnL

public double grossFSPnL()

Retrieve the Realized FS Gross PnL

Returns:

The Realized FS Gross PnL

grossPnL

public double grossPnL()

Retrieve the Total Realized PnL

Returns:

The Total Realized PnL