Package org.drip.capital.stress

Class Event

java.lang.Object
org.drip.capital.stress.Event
public class Event
extends java.lang.Object
Event holds the Coordinate-Level Parameterization of a Stress Event. 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 Details

    • Event

      public Event​(EventSpecification specification, PnLSeries aggregatePnLSeries, java.util.Map<java.lang.String,​PnLSeries> pnlSeriesDecompositionMap) throws java.lang.Exception
      Event Constructor
      Parameters:
      specification - Stress Event Specification
      aggregatePnLSeries - Event Aggregate PnL Series
      pnlSeriesDecompositionMap - PnL Series Decomposition Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • specification

      public EventSpecification specification()
      Retrieve the Stress Event Specification
      Returns:
      Stress Event Specification

    • aggregatePnLSeries

      public PnLSeries aggregatePnLSeries()
      Retrieve the Event Aggregate PnL Series
      Returns:
      The Event Aggregate PnL Series

    • attachedEventPnLSeries

      public java.util.Map<java.lang.String,​PnLSeries> attachedEventPnLSeries()
      Retrieve the Attached Event PnL Series Map
      Returns:
      The Attached Event PnL Series Map

    • pnlSeriesDecompositionMap

      public java.util.Map<java.lang.String,​PnLSeries> pnlSeriesDecompositionMap()
      Retrieve the PnL Series Decomposition Map
      Returns:
      The PnL Series Decomposition Map

    • attachStressEventPnL

      public boolean attachStressEventPnL​(java.lang.String stressEventName, PnLSeries stressEventPnL)
      Attach the Specified Stress Event PnL
      Parameters:
      stressEventName - The Stress Event Name
      stressEventPnL - The Stress Event PnL
      Returns:
      TRUE - The Stress Event PnL successfully attached

    • containsAttachedEvent

      public boolean containsAttachedEvent​(java.lang.String attachedEventName)
      Indicate if the Named Attached Event is available
      Parameters:
      attachedEventName - The Attached Event Name
      Returns:
      TRUE - The Attached Event is available

    • attachedEventPnL

      public PnLSeries attachedEventPnL​(java.lang.String attachedEventName)
      Retrieve the Specified Attached Event PnL
      Parameters:
      attachedEventName - Attached Event Name
      Returns:
      Attached Event PnL

    • generatePnLDecompositionMap

      public java.util.Map<java.lang.String,​java.lang.Double> generatePnLDecompositionMap​(double scaler)
      Generate the PnL Decomposition Map
      Parameters:
      scaler - PnL Scaler
      Returns:
      PnL Decomposition Map

    • generateIncidence

      public StressEventIncidence generateIncidence​(java.lang.String stressEventType)
      Generate a Stress Event Incidence of a given Type
      Parameters:
      stressEventType - The Stress Event Type
      Returns:
      The Generated Stress Event Incidence

    • generateEnsemble

      public StressEventIncidenceEnsemble generateEnsemble​(java.lang.String parentStressEventType, java.lang.String childStressEventType)
      Generate a Stress Event Ensemble of a given Type
      Parameters:
      parentStressEventType - The Parent Stress Event Type
      childStressEventType - The Child Stress Event Type
      Returns:
      The Generated Stress Event Ensemble