HistoricalScenarioDefinition

java.lang.Object

org.drip.capital.systemicscenario.HistoricalScenarioDefinition

public class HistoricalScenarioDefinition
extends java.lang.Object

HistoricalScenarioDefinition holds the Realizations of the Historical Stress Scenarios. 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

HistoricalScenarioDefinition(double fy1974, double fy2008)
HistoricalScenarioDefinition Constructor
Method Summary

Modifier and Type Method Description

double fy1974()
Retrieve the FY 1974 Historical Realization

double fy2008()
Retrieve the FY 2008 Historical Realization

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- HistoricalScenarioDefinition
  
  public HistoricalScenarioDefinition(double fy1974, double fy2008) throws java.lang.Exception
  
  HistoricalScenarioDefinition Constructor
  
  Parameters:
  
  fy1974 - FY 1974 Historical Realization
  
  fy2008 - FY 2008 Historical Realization
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- fy1974
  
  public double fy1974()
  
  Retrieve the FY 1974 Historical Realization
  
  Returns:
  
  The FY 1974 Historical Realization
- fy2008
  
  public double fy2008()
  
  Retrieve the FY 2008 Historical Realization
  
  Returns:
  
  The FY 2008 Historical Realization