PnLSeries

java.lang.Object

org.drip.capital.stress.PnLSeries

public class PnLSeries
extends java.lang.Object

PnLSeries contains the PnL Series of a Single 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

Module = Portfolio Core Module
Library = Capital Analytics
Project = Basel Market Risk and Operational Capital
Package = Economic Risk Capital Stress Event Settings

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

PnLSeries(double[] outcomeArray)
PnLSeries Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`composite()`	Retrieve the Composite of the Outcomes
`int`	`count()`	Retrieve the Count of PnL Outcomes
`double[]`	`outcomeArray()`	Retrieve the Array of PnL Outcomes
`static PnLSeries`	`SingleOutcome(double outcome)`	Construct a Single Outcome Event PnL
`static PnLSeries`	`SingleZeroOutcome()`	Construct a Single Zero Outcome Event PnL
`java.lang.String`	`toString()`

Methods inherited from class java.lang.Object

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

Constructor Details
- PnLSeries
  
  public PnLSeries(double[] outcomeArray) throws java.lang.Exception
  
  PnLSeries Constructor
  
  Parameters:
  
  outcomeArray - Array of PnL Outcomes
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- SingleOutcome
  
  public static final PnLSeries SingleOutcome(double outcome)
  
  Construct a Single Outcome Event PnL
  
  Parameters:
  
  outcome - The PnL Outcome
  
  Returns:
  
  The Single Outcome Event PnL
- SingleZeroOutcome
  
  public static final PnLSeries SingleZeroOutcome()
  
  Construct a Single Zero Outcome Event PnL
  
  Returns:
  
  The Single Zero Outcome Event PnL
- outcomeArray
  
  public double[] outcomeArray()
  
  Retrieve the Array of PnL Outcomes
  
  Returns:
  
  Array of PnL Outcomes
- count
  
  public int count()
  
  Retrieve the Count of PnL Outcomes
  
  Returns:
  
  Count of PnL Outcomes
- composite
  
  public double composite()
  
  Retrieve the Composite of the Outcomes
  
  Returns:
  
  Composite of the Outcomes
- toString
  
  public java.lang.String toString()
  
  Overrides:
  
  toString in class java.lang.Object