Package org.drip.capital.stress

Class IdiosyncraticEventContainer

java.lang.Object
org.drip.capital.stress.IdiosyncraticEventContainer
public class IdiosyncraticEventContainer
extends java.lang.Object
IdiosyncraticEventContainer contains the Scenario Stress Events' Specifications of the Idiosyncratic Stress Scenario Event Type that belong inside of a single Coordinate. 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
    IdiosyncraticEventContainer()
    Empty IdiosyncraticEventContainer Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addEvent​(Event event)
    Add the Specified Stress Event Specification
    boolean containsEvent​(java.lang.String stressEventName)
    Check if the Stress Event Exists
    Event event​(java.lang.String eventName)
    Retrieve the Stress Event
    java.util.Map<java.lang.String,​Event> eventMap()
    Retrieve the Stress Event Specification Map
    EventProbabilityContainer eventProbabilityContainer()
    Retrieve the Scenario Probability Event Container
    java.util.Set<java.lang.String> eventSet()
    Retrieve the Stress Event Set
    java.lang.String eventType()
    Retrieve the Stress Event Type
    StressEventIncidenceEnsemble realizeIncidenceEnsemble​(double stressPnLScaler, java.util.Map<java.lang.String,​java.lang.Double> eventIndicatorMap)
    Realize the Event Set in accordance with the Event Indicator Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IdiosyncraticEventContainer

      public IdiosyncraticEventContainer()
      Empty IdiosyncraticEventContainer Constructor

  • Method Details

    • eventType

      public java.lang.String eventType()
      Retrieve the Stress Event Type
      Returns:
      The Stress Event Type

    • addEvent

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

    • containsEvent

      public boolean containsEvent​(java.lang.String stressEventName)
      Check if the Stress Event Exists
      Parameters:
      stressEventName - The Stress Event Name
      Returns:
      TRUE - The Stress Event exists

    • event

      public Event event​(java.lang.String eventName)
      Retrieve the Stress Event
      Parameters:
      eventName - The Stress Event Name
      Returns:
      The Stress Event

    • eventSet

      public java.util.Set<java.lang.String> eventSet()
      Retrieve the Stress Event Set
      Returns:
      The Stress Event Set

    • realizeIncidenceEnsemble

      public StressEventIncidenceEnsemble realizeIncidenceEnsemble​(double stressPnLScaler, java.util.Map<java.lang.String,​java.lang.Double> eventIndicatorMap)
      Realize the Event Set in accordance with the Event Indicator Map
      Parameters:
      stressPnLScaler - The Stress PnL Scaler
      eventIndicatorMap - The Event Indicator Map
      Returns:
      The Realized Event Set

    • eventMap

      public java.util.Map<java.lang.String,​Event> eventMap()
      Retrieve the Stress Event Specification Map
      Returns:
      The Stress Event Specification Map

    • eventProbabilityContainer

      public EventProbabilityContainer eventProbabilityContainer()
      Retrieve the Scenario Probability Event Container
      Returns:
      The Scenario Probability Event Container