Package org.drip.validation.distance

Class GapTestSetting

java.lang.Object

org.drip.validation.distance.GapTestSetting

public class GapTestSetting
extends java.lang.Object

GapTestSetting holds the Settings required to Control a Gap Test Run.

• Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for Back-testing Credit Exposure Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 eSSRN
• Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
• Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit Pricing Palgrave Macmillan
• Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
• Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value

• Module = Computational Core Module
• Library = Model Validation Analytics Library
• Project = Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing
• Package = Hypothesis Target Distance Test Builders

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
GapTestSetting(GapLossFunction lossFunction, GapLossWeightFunction lossWeightFunction)	GapTestSetting Constructor

Method Summary

Modifier and Type	Method	Description
static GapTestSetting	ConservativePortfolioLossTest(GapLossWeightFunction lossWeightFunction)	Construct the Anfuso Karyampas Nawroth (2017) Conservative Portfolio Loss Test Variant of the Gap Test Setting
GapLossFunction	lossFunction()	Retrieve the Gap Loss Function
GapLossWeightFunction	lossWeightFunction()	Retrieve the Gap Loss Weight Function
static GapTestSetting	RiskFactorLossTest(GapLossWeightFunction lossWeightFunction)	Construct the Anfuso Karyampas Nawroth (2017) Risk Factor Loss Test Variant of the Gap Test Setting

Methods inherited from class java.lang.Object

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

Constructor Details

GapTestSetting

public GapTestSetting(GapLossFunction lossFunction,
GapLossWeightFunction lossWeightFunction)
               throws java.lang.Exception

GapTestSetting Constructor

Parameters:

lossFunction - Gap Loss Function

lossWeightFunction - Gap Loss Weight Function

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

RiskFactorLossTest

public static final GapTestSetting RiskFactorLossTest(GapLossWeightFunction lossWeightFunction)

Construct the Anfuso Karyampas Nawroth (2017) Risk Factor Loss Test Variant of the Gap Test Setting

Parameters:

lossWeightFunction - The Loss Weight Function

Returns:

The Anfuso Karyampas Nawroth (2017) Risk Factor Loss Test Variant of the Gap Test Setting

ConservativePortfolioLossTest

public static final GapTestSetting ConservativePortfolioLossTest(GapLossWeightFunction lossWeightFunction)

Construct the Anfuso Karyampas Nawroth (2017) Conservative Portfolio Loss Test Variant of the Gap Test Setting

Parameters:

lossWeightFunction - The Loss Weight Function

Returns:

The Anfuso Karyampas Nawroth (2017) Conservative Portfolio Loss Test Variant of the Gap Test Setting

lossFunction

public GapLossFunction lossFunction()

Retrieve the Gap Loss Function

Returns:

The Gap Loss Function

lossWeightFunction

public GapLossWeightFunction lossWeightFunction()

Retrieve the Gap Loss Weight Function

Returns:

The Gap Loss Weight Function