Package org.drip.capital.systemicscenario

Class SystemicStressShockIndicator

java.lang.Object
org.drip.capital.systemicscenario.SystemicStressShockIndicator
public class SystemicStressShockIndicator
extends java.lang.Object
SystemicStressShockIndicator holds the Directional Indicator Settings for a given Systemic Stress Shock 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


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String DEFLATIONARY
    DEFLATIONARY Systemic Stress Scenario
    static int DOWN
    Systemic Stress Shock Direction DOWN
    static java.lang.String INFLATIONARY
    INFLATIONARY Systemic Stress Scenario
    static java.lang.String NEITHER
    Neither DEFLATIONARY nor INFLATIONARY Systemic Stress Scenario
    static int UNSPECIFIED
    Systemic Stress Shock Direction UNSPECIFIED
    static int UP
    Systemic Stress Shock Direction UP

  • Constructor Summary

    Constructors
    Constructor Description
    SystemicStressShockIndicator​(int creditSpreads, int equityMarkets, int yieldCurveLevel, int commodities, int energy)
    SystemicStressShockIndicator Constructor

  • Method Summary

    Modifier and Type Method Description
    int commodities()
    Retrieve the Commodities Directional Indicator
    int creditSpreads()
    Retrieve the Credit Spreads Directional Indicator
    static SystemicStressShockIndicator Deflationary()
    Construct a Deflationary Systemic Stress Shock Indicator
    int energy()
    Retrieve the Energy Directional Indicator
    int equityMarkets()
    Retrieve the Equity Markets Directional Indicator
    static SystemicStressShockIndicator Inflationary()
    Construct a Inflationary Systemic Stress Shock Indicator
    java.lang.String inflationType()
    Indicate the Inflation Type
    boolean isDeflationary()
    Indicate if the Scenario is DEFLATIONARY
    boolean isInflationary()
    Indicate if the Scenario is INFLATIONARY
    int yieldCurveLevel()
    Retrieve the Yield Curve Level Directional Indicator

    Methods inherited from class java.lang.Object

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

  • Field Details

    • UP

      public static final int UP
      Systemic Stress Shock Direction UP
      See Also:
      Constant Field Values

    • DOWN

      public static final int DOWN
      Systemic Stress Shock Direction DOWN
      See Also:
      Constant Field Values

    • UNSPECIFIED

      public static final int UNSPECIFIED
      Systemic Stress Shock Direction UNSPECIFIED
      See Also:
      Constant Field Values

    • DEFLATIONARY

      public static final java.lang.String DEFLATIONARY
      DEFLATIONARY Systemic Stress Scenario
      See Also:
      Constant Field Values

    • INFLATIONARY

      public static final java.lang.String INFLATIONARY
      INFLATIONARY Systemic Stress Scenario
      See Also:
      Constant Field Values

    • NEITHER

      public static final java.lang.String NEITHER
      Neither DEFLATIONARY nor INFLATIONARY Systemic Stress Scenario
      See Also:
      Constant Field Values

  • Constructor Details

    • SystemicStressShockIndicator

      public SystemicStressShockIndicator​(int creditSpreads, int equityMarkets, int yieldCurveLevel, int commodities, int energy) throws java.lang.Exception
      SystemicStressShockIndicator Constructor
      Parameters:
      creditSpreads - Credit Spreads Directional Indicator
      equityMarkets - Equity Markets Directional Indicator
      yieldCurveLevel - Yield Curve Level Directional Indicator
      commodities - Commodities Directional Indicator
      energy - Energy Directional Indicator
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Deflationary

      public static final SystemicStressShockIndicator Deflationary()
      Construct a Deflationary Systemic Stress Shock Indicator
      Returns:
      Deflationary Systemic Stress Shock Indicator

    • Inflationary

      public static final SystemicStressShockIndicator Inflationary()
      Construct a Inflationary Systemic Stress Shock Indicator
      Returns:
      Inflationary Systemic Stress Shock Indicator

    • creditSpreads

      public int creditSpreads()
      Retrieve the Credit Spreads Directional Indicator
      Returns:
      The Credit Spreads Directional Indicator

    • equityMarkets

      public int equityMarkets()
      Retrieve the Equity Markets Directional Indicator
      Returns:
      The Equity Markets Directional Indicator

    • yieldCurveLevel

      public int yieldCurveLevel()
      Retrieve the Yield Curve Level Directional Indicator
      Returns:
      The Yield Curve Level Directional Indicator

    • commodities

      public int commodities()
      Retrieve the Commodities Directional Indicator
      Returns:
      The Commodities Directional Indicator

    • energy

      public int energy()
      Retrieve the Energy Directional Indicator
      Returns:
      The Energy Directional Indicator

    • isDeflationary

      public boolean isDeflationary()
      Indicate if the Scenario is DEFLATIONARY
      Returns:
      TRUE - The Scenario is DEFLATIONARY

    • isInflationary

      public boolean isInflationary()
      Indicate if the Scenario is INFLATIONARY
      Returns:
      TRUE - The Scenario is INFLATIONARY

    • inflationType

      public java.lang.String inflationType()
      Indicate the Inflation Type
      Returns:
      The Inflation Type