Package org.drip.sample.anfuso2017

Anfuso, Karyampas, and Nawroth (2017)
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ADCorrelationBacktesting7a
    ADCorrelationBacktesting7a demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7a of Anfuso, Karyampas, and Nawroth (2017).
    ADCorrelationBacktesting7b
    ADCorrelationBacktesting7b demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7b of Anfuso, Karyampas, and Nawroth (2017).
    ADCorrelationBacktesting7c
    ADCorrelationBacktesting7c demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7c of Anfuso, Karyampas, and Nawroth (2017).
    ADCorrelationDiscriminatoryPowerAnalysis9d
    ADCorrelationDiscriminatoryPowerAnalysis9d demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9d of Anfuso, Karyampas, and Nawroth (2017).
    ADCorrelationDiscriminatoryPowerAnalysis9e
    ADCorrelationDiscriminatoryPowerAnalysis9e demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9e of Anfuso, Karyampas, and Nawroth (2017).
    ADCorrelationDiscriminatoryPowerAnalysis9f
    ADCorrelationDiscriminatoryPowerAnalysis9f demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9f of Anfuso, Karyampas, and Nawroth (2017).
    ADDiscriminatoryPowerAggregation6b
    ADDiscriminatoryPowerAggregation6b demonstrates Multi-Horizon Discriminatory Power Aggregation illustrated in Table 6b of Anfuso, Karyampas, and Nawroth (2017).
    ADDiscriminatoryPowerAnalysis4a
    ADDiscriminatoryPowerAnalysis4a demonstrates the Discriminatory Power Analysis illustrated in Table 4a of Anfuso, Karyampas, and Nawroth (2013).
    ADDiscriminatoryPowerAnalysis4b
    ADDiscriminatoryPowerAnalysis4b demonstrates the Discriminatory Power Analysis illustrated in Table 4b of Anfuso, Karyampas, and Nawroth (2013).
    ADDiscriminatoryPowerAnalysis4c
    ADDiscriminatoryPowerAnalysis4c demonstrates the Discriminatory Power Analysis illustrated in Table 4c of Anfuso, Karyampas, and Nawroth (2013).
    CVMCorrelationBacktesting7d
    CVMCorrelationBacktesting7d demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7d of Anfuso, Karyampas, and Nawroth (2017).
    CVMCorrelationBacktesting7e
    CVMCorrelationBacktesting7e demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7e of Anfuso, Karyampas, and Nawroth (2017).
    CVMCorrelationBacktesting7f
    CVMCorrelationBacktesting7f demonstrates the Horizon Multi-Factor Gap PIT Quantiles set out in Table 7f of Anfuso, Karyampas, and Nawroth (2017).
    CVMCorrelationDiscriminatoryPowerAnalysis9a
    CVMCorrelationDiscriminatoryPowerAnalysis9a demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9a of Anfuso, Karyampas, and Nawroth (2017).
    CVMCorrelationDiscriminatoryPowerAnalysis9b
    CVMCorrelationDiscriminatoryPowerAnalysis9b demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9b of Anfuso, Karyampas, and Nawroth (2017).
    CVMCorrelationDiscriminatoryPowerAnalysis9c
    CVMCorrelationDiscriminatoryPowerAnalysis9c demonstrates the Correlation Discriminatory Power Analysis on an Ensemble of Hypothesis as seen in Table 9c of Anfuso, Karyampas, and Nawroth (2017).
    CVMDiscriminatoryPowerAggregation6a
    CVMDiscriminatoryPowerAggregation6a demonstrates Multi-Horizon Discriminatory Power Aggregation illustrated in Table 6a of Anfuso, Karyampas, and Nawroth (2013).
    CVMDiscriminatoryPowerAnalysis3a
    CVMDiscriminatoryPowerAnalysis3a demonstrates the Discriminatory Power Analysis illustrated in Table 3a of Anfuso, Karyampas, and Nawroth (2013).
    CVMDiscriminatoryPowerAnalysis3b
    CVMDiscriminatoryPowerAnalysis3b demonstrates the Discriminatory Power Analysis illustrated in Table 3b of Anfuso, Karyampas, and Nawroth (2013).
    CVMDiscriminatoryPowerAnalysis3c
    CVMDiscriminatoryPowerAnalysis3c demonstrates the Discriminatory Power Analysis illustrated in Table 3c of Anfuso, Karyampas, and Nawroth (2013).
    ExpectedPositiveExposure12
    ExpectedPositiveExposure12 computes the Expected Positive Exposure as a Function of the MTM Volatility as laid out in Table 12 of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13a
    ImportanceWeight13a demonstrates the MTM Distributions set out in Table 13a of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13b
    ImportanceWeight13b demonstrates the Computation of the Importance Weight set out in Table 13b of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13c
    ImportanceWeight13c demonstrates the Computation of the Importance Weight set out in Table 13c of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13d
    ImportanceWeight13d demonstrates the Computation of the Importance Weight set out in Table 13d of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13e
    ImportanceWeight13e demonstrates the Computation of the Importance Weight set out in Table 13e of Anfuso, Karyampas, and Nawroth (2017).
    ImportanceWeight13f
    ImportanceWeight13f demonstrates the Computation of the Importance Weight set out in Table 13f of Anfuso, Karyampas, and Nawroth (2017).
    ModelMTMDistribution11a
    ModelMTMDistribution11a illustrates the Model MTM Distributions laid out in Table 11a of Anfuso, Karyampas, and Nawroth (2017).
    ModelMTMDistribution11c
    ModelMTMDistribution11c illustrates the Model MTM Distributions laid out in Table 11c of Anfuso, Karyampas, and Nawroth (2017).
    MTMVolatilityComparison11b
    MTMVolatilityComparison11b illustrates the Impact on Gap Distribution of Hypothesis Parameters as laid out in Table 11b of Anfuso, Karyampas, and Nawroth (2017).
    MTMVolatilityComparison11d
    MTMVolatilityComparison11d illustrates the Impact on Gap Distribution of Hypothesis Parameters as laid out in Table 11d of Anfuso, Karyampas, and Nawroth (2017).
    RollingWindowCorrelation8
    RollingWindowCorrelation8 demonstrates computing the Correlation on a Rolling Window Basis between Two Correlated Series as illustrated in Table 8 of Anfuso, Karyampas, and Nawroth (2017).
    WeightedGapDistribution2a
    WeightedGapDistribution2a demonstrates the Weighted Gap Distribution illustrated in Table 2a of Anfuso, Karyampas, and Nawroth (2013).
    WeightedGapDistribution2b
    WeightedGapDistribution2b demonstrates the Weighted Gap Distribution illustrated in Table 2b of Anfuso, Karyampas, and Nawroth (2013).
    WeightedGapDistribution2c
    WeightedGapDistribution2c demonstrates the Weighted Gap Distribution illustrated in Table 2c of Anfuso, Karyampas, and Nawroth (2013).