Package org.drip.capital.simulation

Economic Risk Capital Simulation Ensemble

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
EnsemblePnLDistributionGenerator	EnsemblePnLDistributionGenerator exposes the Functionality to generate the PnL Distribution from the Realized Path Ensemble.
PathEnsemble	PathEnsemble exposes the Ensemble of Capital Paths from the Simulation PnL Realizations.

Class Summary

Class	Description
CapitalSegmentPathEnsemble	CapitalSegmentPathEnsemble generates the Ensemble of Capital Paths from the Simulation PnL Realizations for the Capital Units under the specified Capital Segments.
CapitalUnitPathEnsemble	CapitalUnitPathEnsemble generates the Ensemble of Capital Paths from the Simulation PnL Realizations for the specified Capital Unit.
EnsemblePnLDistribution	EnsemblePnLDistribution contains the PnL Distribution from Realized Path Ensemble.
FSPnLDecomposition	FSPnLDecomposition holds the Per FS PnL Decomposition.
FSPnLDecompositionContainer	FSPnLDecompositionContainer holds the Series of Decomposed FS PnL's.
PathPnLRealization	PathPnLRealization holds the Realized PnL and its Components along a Simulated Path.
StressEventIncidence	StressEventIncidence holds the Name, the Type, and the PnL induced by a Stress Event Occurrence.
StressEventIncidenceEnsemble	StressEventIncidenceEnsemble holds the Ensemble of Stress Event Occurrences.
StressEventIndicator	StressEventIndicator holds the Systemic and the Idiosyncratic Stress Event Indicators corresponding to the specified Entity.