Package org.drip.capital.systemicscenario

Class StressScenarioQuantification

java.lang.Object
org.drip.capital.systemicscenario.StressScenarioQuantification
public class StressScenarioQuantification
extends java.lang.Object
StressScenarioQuantification specifies the Unit and the Type of Change for the given Market Factor/Applicability Combination. 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
    StressScenarioQuantification​(java.lang.String typeOfChange, int unit)
    StressScenarioQuantification Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String typeOfChange()
    Retrieve the Type of Change
    int unit()
    Retrieve the Unit of Change

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StressScenarioQuantification

      public StressScenarioQuantification​(java.lang.String typeOfChange, int unit) throws java.lang.Exception
      StressScenarioQuantification Constructor
      Parameters:
      typeOfChange - Type of Change
      unit - Unit of Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • unit

      public int unit()
      Retrieve the Unit of Change
      Returns:
      The Unit of Change

    • typeOfChange

      public java.lang.String typeOfChange()
      Retrieve the Type of Change
      Returns:
      The Type of Change