Package org.drip.capital.simulation

Class StressEventIncidence

java.lang.Object
org.drip.capital.simulation.StressEventIncidence
public class StressEventIncidence
extends java.lang.Object
StressEventIncidence holds the Name, the Type, and the PnL induced by a Stress Event Occurrence. 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
    StressEventIncidence​(java.lang.String name, java.lang.String type, double pnl, java.util.Map<java.lang.String,​java.lang.Double> paaCategoryPnLDecomposition)
    StressEventIncidence Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String name()
    Retrieve the Name/Description of the Stress Event
    java.util.Map<java.lang.String,​java.lang.Double> paaCategoryPnLDecomposition()
    Retrieve the PnL Decomposition of the Stress Event using PAA Categories
    double pnl()
    Retrieve the PnL of the Stress Event
    java.lang.String type()
    Retrieve the Type of the Stress Event

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StressEventIncidence

      public StressEventIncidence​(java.lang.String name, java.lang.String type, double pnl, java.util.Map<java.lang.String,​java.lang.Double> paaCategoryPnLDecomposition) throws java.lang.Exception
      StressEventIncidence Constructor
      Parameters:
      name - Stress Event Name
      type - Stress Event Type
      pnl - Stress Event PnL
      paaCategoryPnLDecomposition - Decomposition of the Stress Event PnL using PAA Categories
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • name

      public java.lang.String name()
      Retrieve the Name/Description of the Stress Event
      Returns:
      Name/Description of the Stress Event

    • type

      public java.lang.String type()
      Retrieve the Type of the Stress Event
      Returns:
      Type of the Stress Event

    • pnl

      public double pnl()
      Retrieve the PnL of the Stress Event
      Returns:
      PnL of the Stress Event

    • paaCategoryPnLDecomposition

      public java.util.Map<java.lang.String,​java.lang.Double> paaCategoryPnLDecomposition()
      Retrieve the PnL Decomposition of the Stress Event using PAA Categories
      Returns:
      PnL Decomposition of the Stress Event using PAA Categories