Package org.drip.sample.betafloatfloat

Class GTSBreakdown

java.lang.Object
org.drip.sample.betafloatfloat.GTSBreakdown
public class GTSBreakdown
extends java.lang.Object
GTSBreakdown zeds the Managed Sub-segment Level Allocation for the Specified Managed Segment using the Two Beta Scheme. MANAGED SEGMENT - GTS HIGH - Floating Beta LOW - Floating Beta 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
    GTSBreakdown()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • GTSBreakdown

      public GTSBreakdown()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation