EventProbabilityLadder

java.lang.Object

org.drip.capital.stress.EventProbabilityLadder

public class EventProbabilityLadder
extends java.lang.Object

EventProbabilityLadder contains the Probabilities and their corresponding Event Steps in a Ladder Progression. 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 Stress Event Settings

Author:: Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type Field Description

static java.lang.String NO_REALIZATION
Designation for "No Realization"
Constructor Summary

Constructors

Constructor Description

EventProbabilityLadder()
Empty EventProbabilityLadder Constructor

Method Summary

Modifier and Type	Method	Description
`boolean`	`addEvent(Event event)`	Add the Specified Stress Event
`java.lang.String`	`realizeEvent(double eventIndicator)`	Realize the Event in accordance with the Indicator
`java.util.Map<java.lang.Double,java.lang.String>`	`stepMap()`	Retrieve the Probability Event Step Map

Methods inherited from class java.lang.Object

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

Field Details
- NO_REALIZATION
  
  public static final java.lang.String NO_REALIZATION
  
  Designation for "No Realization"
  
  See Also:
  
  Constant Field Values
Constructor Details
- EventProbabilityLadder
  
  public EventProbabilityLadder()
  
  Empty EventProbabilityLadder Constructor
Method Details
- stepMap
  
  public java.util.Map<java.lang.Double,java.lang.String> stepMap()
  
  Retrieve the Probability Event Step Map
  
  Returns:
  
  The Probability Event Step Map
- addEvent
  
  public boolean addEvent(Event event)
  
  Add the Specified Stress Event
  
  Parameters:
  
  event - The Stress Event
  
  Returns:
  
  TRUE - The Stress Event successfully added
- realizeEvent
  
  public java.lang.String realizeEvent(double eventIndicator)
  
  Realize the Event in accordance with the Indicator
  
  Parameters:
  
  eventIndicator - The Event Indicator
  
  Returns:
  
  The Realized Event