StressEventIncidenceEnsemble

java.lang.Object

org.drip.capital.simulation.StressEventIncidenceEnsemble

public class StressEventIncidenceEnsemble
extends java.lang.Object

StressEventIncidenceEnsemble holds the Ensemble of Stress Event Occurrences. 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

StressEventIncidenceEnsemble()
StressEventIncidenceEnsemble Constructor

Method Summary

Modifier and Type	Method	Description
`boolean`	`addStressEventIncidence(StressEventIncidence stressEventIncidence)`	Add the Specified Stress Event Incidence
`java.util.Map<java.lang.String,java.lang.Double>`	`grossPAACategoryPnLDecomposition()`	Compute the Gross PAA Category PnL Decomposition
`double`	`grossPnL()`	Compute the Gross PnL
`java.util.List<StressEventIncidence>`	`stressEventIncidenceList()`	Retrieve the List of Stress Event Incidences

Methods inherited from class java.lang.Object

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

Constructor Details
- StressEventIncidenceEnsemble
  
  public StressEventIncidenceEnsemble()
  
  StressEventIncidenceEnsemble Constructor
Method Details
- stressEventIncidenceList
  
  public java.util.List<StressEventIncidence> stressEventIncidenceList()
  
  Retrieve the List of Stress Event Incidences
  
  Returns:
  
  The List of Stress Event Incidences
- addStressEventIncidence
  
  public boolean addStressEventIncidence(StressEventIncidence stressEventIncidence)
  
  Add the Specified Stress Event Incidence
  
  Parameters:
  
  stressEventIncidence - The Stress Event Incidence
  
  Returns:
  
  TRUE - The Stress Event Incidence successfully added
- grossPnL
  
  public double grossPnL()
  
  Compute the Gross PnL
  
  Returns:
  
  The Gross PnL
- grossPAACategoryPnLDecomposition
  
  public java.util.Map<java.lang.String,java.lang.Double> grossPAACategoryPnLDecomposition()
  
  Compute the Gross PAA Category PnL Decomposition
  
  Returns:
  
  The Gross PAA Category PnL Decomposition