Package org.drip.capital.systemicscenario

Class CreditSpreadEvent

java.lang.Object

org.drip.capital.systemicscenario.CreditSpreadEvent

public class CreditSpreadEvent
extends java.lang.Object

CreditSpreadEvent contains the Specifications of Criteria corresponding to a Credit Spread 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 = Systemic Stress Scenario Design/Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CreditSpreadEvent(java.lang.String scenario, Criterion baaSpreadChange, Criterion snp500Return, Criterion ust5YChange, Criterion ust10YMinus3MChange, Criterion fxChange, Criterion wtiSpotReturn, Criterion snpGSCI, SystemicStressShockIndicator systemicStressShockIndicator)	CreditSpreadEvent Constructor

Method Summary

Modifier and Type	Method	Description
Criterion	baaSpreadChange()	Retrieve the Baa Spread Change Criterion
Criterion	fxChange()	Retrieve the FX Change Criterion
java.lang.String	scenario()	Retrieve the Credit Spread Event Scenario
Criterion	snp500Return()	Retrieve the SnP 500 Return Criterion
Criterion	snpGSCI()	Retrieve the SnP GSCI Criterion
static CreditSpreadEvent	Standard(java.lang.String scenario, double baaSpreadChange, double snp500AnnualReturn, double ust5YAbsoluteChange, double ust10YMinus3MAbsoluteChange, double fxRateChange, double wtiSpotReturn, double snpGSCINonEnergyCommodityIndex, SystemicStressShockIndicator systemicStressShockIndicator)	Construct a Standard CreditSpreadEvent Instance
SystemicStressShockIndicator	systemicStressShockIndicator()	Retrieve the Systemic Stress Shock Indicator
Criterion	ust10YMinus3MChange()	Retrieve the 10Y - 3M UST Change Criterion
Criterion	ust5YChange()	Retrieve the 5Y UST Change Criterion
Criterion	wtiSpotReturn()	Retrieve the WTI Spot Return Criterion

Methods inherited from class java.lang.Object

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

Constructor Details

CreditSpreadEvent

public CreditSpreadEvent(java.lang.String scenario,
Criterion baaSpreadChange,
Criterion snp500Return,
Criterion ust5YChange,
Criterion ust10YMinus3MChange,
Criterion fxChange,
Criterion wtiSpotReturn,
Criterion snpGSCI,
SystemicStressShockIndicator systemicStressShockIndicator)
                  throws java.lang.Exception

CreditSpreadEvent Constructor

Parameters:

scenario - Credit Spread Event Scenario

baaSpreadChange - Baa Spread Change Criterion

snp500Return - SnP 500 Return Criterion

ust5YChange - 5Y UST Change Criterion

ust10YMinus3MChange - 10Y - 3M UST Change Criterion

fxChange - FX Change Criterion

wtiSpotReturn - WTI Spot Return Criterion

snpGSCI - SnP GSCI Criterion

systemicStressShockIndicator - Credit Event Systemic Stress Shock Indicator

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final CreditSpreadEvent Standard(java.lang.String scenario,
double baaSpreadChange,
double snp500AnnualReturn,
double ust5YAbsoluteChange,
double ust10YMinus3MAbsoluteChange,
double fxRateChange,
double wtiSpotReturn,
double snpGSCINonEnergyCommodityIndex,
SystemicStressShockIndicator systemicStressShockIndicator)

Construct a Standard CreditSpreadEvent Instance

Parameters:

scenario - Credit Spread Event Scenario

baaSpreadChange - Baa Spread Change in Basis Points

snp500AnnualReturn - SnP 500 Annual Return in Percentage

ust5YAbsoluteChange - UST 5Y Absolute Change in Basis Points

ust10YMinus3MAbsoluteChange - UST 10Y - 3M Absolute Change in Basis Points

fxRateChange - FX Rate Change in Percentage

wtiSpotReturn - WTI Spot Return in Percentage

snpGSCINonEnergyCommodityIndex - SnP GSCI Non-energy Commodity Index in Percentage

systemicStressShockIndicator - Credit Event Systemic Stress Shock Indicator

Returns:

CreditSpreadEvent Instance

scenario

public java.lang.String scenario()

Retrieve the Credit Spread Event Scenario

Returns:

The Credit Spread Event Scenario

baaSpreadChange

public Criterion baaSpreadChange()

Retrieve the Baa Spread Change Criterion

Returns:

The Baa Spread Change Criterion

snp500Return

public Criterion snp500Return()

Retrieve the SnP 500 Return Criterion

Returns:

The SnP 500 Return Criterion

ust5YChange

public Criterion ust5YChange()

Retrieve the 5Y UST Change Criterion

Returns:

The 5Y UST Change Criterion

ust10YMinus3MChange

public Criterion ust10YMinus3MChange()

Retrieve the 10Y - 3M UST Change Criterion

Returns:

The 10Y - 3M UST Change Criterion

fxChange

public Criterion fxChange()

Retrieve the FX Change Criterion

Returns:

The FX Change Criterion

wtiSpotReturn

public Criterion wtiSpotReturn()

Retrieve the WTI Spot Return Criterion

Returns:

The WTI Spot Return Criterion

snpGSCI

public Criterion snpGSCI()

Retrieve the SnP GSCI Criterion

Returns:

The SnP GSCI Criterion

systemicStressShockIndicator

public SystemicStressShockIndicator systemicStressShockIndicator()

Retrieve the Systemic Stress Shock Indicator

Returns:

The Systemic Stress Shock Indicator