Package org.drip.capital.systemicscenario

Class HypotheticalScenarioDefinition

java.lang.Object
org.drip.capital.systemicscenario.HypotheticalScenarioDefinition
public class HypotheticalScenarioDefinition
extends java.lang.Object
HypotheticalScenarioDefinition holds the Realizations of the Hypothetical 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    HypotheticalScenarioDefinition​(double dollarDecline, double lostDecade, double interestRateShock, double deepDownturn)
    HypotheticalScenarioDefinition Constructor

  • Method Summary

    Modifier and Type Method Description
    double deepDownturn()
    Retrieve the Deep Down-turn Scenario Realization
    double dollarDecline()
    Retrieve the Dollar Decline Scenario Realization
    double interestRateShock()
    Retrieve the Interest Rate Shock Scenario Realization
    double lostDecade()
    Retrieve the Lost Decade Scenario Realization

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HypotheticalScenarioDefinition

      public HypotheticalScenarioDefinition​(double dollarDecline, double lostDecade, double interestRateShock, double deepDownturn) throws java.lang.Exception
      HypotheticalScenarioDefinition Constructor
      Parameters:
      dollarDecline - Dollar Decline Scenario Realization
      lostDecade - Lost Decade Scenario Realization
      interestRateShock - Interest Rate Shock Scenario Realization
      deepDownturn - Deep Down-turn Scenario Realization
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dollarDecline

      public double dollarDecline()
      Retrieve the Dollar Decline Scenario Realization
      Returns:
      The Dollar Decline Scenario Realization

    • lostDecade

      public double lostDecade()
      Retrieve the Lost Decade Scenario Realization
      Returns:
      The Lost Decade Scenario Realization

    • interestRateShock

      public double interestRateShock()
      Retrieve the Interest Rate Shock Scenario Realization
      Returns:
      The Interest Rate Shock Scenario Realization

    • deepDownturn

      public double deepDownturn()
      Retrieve the Deep Down-turn Scenario Realization
      Returns:
      The Deep Down-turn Scenario Realization