Package org.drip.capital.stress

Class EventProbabilityContainer

java.lang.Object
org.drip.capital.stress.EventProbabilityContainer
public class EventProbabilityContainer
extends java.lang.Object
EventProbabilityContainer contains the Map of the Named Stress Event Probabilities. 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
    EventProbabilityContainer()
    Empty EventProbabilityContainer

  • Method Summary

    Modifier and Type Method Description
    boolean addEvent​(Event event)
    Add the Stress Event
    java.util.Map<java.lang.String,​java.lang.Double> map()
    Retrieve the Probability Event Map
    java.util.Set<java.lang.String> realizeEventSet​(java.util.Map<java.lang.String,​java.lang.Double> eventIndicatorMap)
    Realize the Event Set in accordance with the Random Event Indicator Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EventProbabilityContainer

      public EventProbabilityContainer()
      Empty EventProbabilityContainer

  • Method Details

    • addEvent

      public boolean addEvent​(Event event)
      Add the Stress Event
      Parameters:
      event - The Stress Event
      Returns:
      TRUE - The Stress Event successfully added

    • realizeEventSet

      public java.util.Set<java.lang.String> realizeEventSet​(java.util.Map<java.lang.String,​java.lang.Double> eventIndicatorMap)
      Realize the Event Set in accordance with the Random Event Indicator Map
      Parameters:
      eventIndicatorMap - The Event Indicator Map
      Returns:
      The Realized Event Set

    • map

      public java.util.Map<java.lang.String,​java.lang.Double> map()
      Retrieve the Probability Event Map
      Returns:
      The Probability Event Map