Package org.drip.capital.systemicscenario

Class Criterion

java.lang.Object
org.drip.capital.systemicscenario.Criterion
public class Criterion
extends java.lang.Object
Criterion contains the Specification Details of a Credit Spread Event Criterion. 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
    Criterion​(java.lang.String name, java.lang.String description, int unit, double value)
    Criterion Constructor

  • Method Summary

    Modifier and Type Method Description
    static Criterion BaaSpreadChange​(double baaSpreadChange)
    Construct the Baa Spread Change Criterion
    java.lang.String description()
    Retrieve the Criterion Description
    static Criterion FXRateChange​(double fxRateChange)
    Construct the FX Rate Change Criterion
    java.lang.String name()
    Retrieve the Criterion Name
    static Criterion SnP500AnnualReturn​(double snp500AnnualReturn)
    Construct the SnP 500 Annual Return Criterion
    static Criterion SnPGSCINonEnergyCommodityIndex​(double snpGSCINonEnergyCommodityIndex)
    Construct the SnP GSCI Non-energy Commodity Index Criterion
    int unit()
    Retrieve the Criterion Unit
    static Criterion UST10YMinus3MAbsoluteChange​(double ust10YMinus3MAbsoluteChange)
    Construct the UST 10Y - 3M Absolute Change Criterion
    static Criterion UST5YAbsoluteChange​(double ust5YAbsoluteChange)
    Construct the UST 5Y Absolute Change Criterion
    double value()
    Retrieve the Criterion Value
    static Criterion WTISpotReturn​(double wtiSpotReturn)
    Construct the WTI Spot Return Criterion

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Criterion

      public Criterion​(java.lang.String name, java.lang.String description, int unit, double value) throws java.lang.Exception
      Criterion Constructor
      Parameters:
      name - Criterion Name
      description - Criterion Description
      unit - Criterion Unit
      value - Criterion Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • BaaSpreadChange

      public static final Criterion BaaSpreadChange​(double baaSpreadChange)
      Construct the Baa Spread Change Criterion
      Parameters:
      baaSpreadChange - Baa Spread Change in Basis Points
      Returns:
      Baa Spread Change Criterion

    • SnP500AnnualReturn

      public static final Criterion SnP500AnnualReturn​(double snp500AnnualReturn)
      Construct the SnP 500 Annual Return Criterion
      Parameters:
      snp500AnnualReturn - SnP 500 Annual Return in Percentage
      Returns:
      SnP 500 Annual Return Criterion

    • UST5YAbsoluteChange

      public static final Criterion UST5YAbsoluteChange​(double ust5YAbsoluteChange)
      Construct the UST 5Y Absolute Change Criterion
      Parameters:
      ust5YAbsoluteChange - UST 5Y Absolute Change in Basis Points
      Returns:
      UST 5Y Absolute Change Criterion

    • UST10YMinus3MAbsoluteChange

      public static final Criterion UST10YMinus3MAbsoluteChange​(double ust10YMinus3MAbsoluteChange)
      Construct the UST 10Y - 3M Absolute Change Criterion
      Parameters:
      ust10YMinus3MAbsoluteChange - UST 10Y - 3M Absolute Change in Basis Points
      Returns:
      UST 10Y - 3M Absolute Change Criterion

    • FXRateChange

      public static final Criterion FXRateChange​(double fxRateChange)
      Construct the FX Rate Change Criterion
      Parameters:
      fxRateChange - FX Rate Change in Percentage
      Returns:
      FX Rate Change Criterion

    • WTISpotReturn

      public static final Criterion WTISpotReturn​(double wtiSpotReturn)
      Construct the WTI Spot Return Criterion
      Parameters:
      wtiSpotReturn - WTI Spot Return in Percentage
      Returns:
      WTI Spot Return Criterion

    • SnPGSCINonEnergyCommodityIndex

      public static final Criterion SnPGSCINonEnergyCommodityIndex​(double snpGSCINonEnergyCommodityIndex)
      Construct the SnP GSCI Non-energy Commodity Index Criterion
      Parameters:
      snpGSCINonEnergyCommodityIndex - SnP GSCI Non-energy Commodity Index in Percentage
      Returns:
      SnP GSCI Non-energy Commodity Index Criterion

    • name

      public java.lang.String name()
      Retrieve the Criterion Name
      Returns:
      The Criterion Name

    • description

      public java.lang.String description()
      Retrieve the Criterion Description
      Returns:
      The Criterion Description

    • unit

      public int unit()
      Retrieve the Criterion Unit
      Returns:
      The Criterion Unit

    • value

      public double value()
      Retrieve the Criterion Value
      Returns:
      The Criterion Value