Package org.drip.validation.riskfactorjoint

Class NormalSampleCohort

java.lang.Object
org.drip.validation.riskfactorjoint.NormalSampleCohort
All Implemented Interfaces:
SampleCohort
public class NormalSampleCohort
extends java.lang.Object
implements SampleCohort
NormalSampleCohort holds the Joint Realizations from a Multivariate Normal Distribution and its Reduction to a Synthetic Single Risk Factor.

  • 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NormalSampleCohort​(LabelRdVertex labelRdVertex, LabelCovariance latentStateLabelCovariance, double horizon)
    NormalSampleCohort Constructor

  • Method Summary

    Modifier and Type Method Description
    static NormalSampleCohort Correlated​(java.util.List<java.lang.String> labelList, double[] annualMeanArray, double[] annualVolatilityArray, double[][] correlationMatrix, int vertexCount, double horizon)
    Generate a Correlated NormalSampleCohort
    double horizon()
    Retrieve the Sample Horizon
    LabelCorrelation latentStateLabelCovariance()
    Retrieve the Latent State Label Covariance
    java.util.List<java.lang.String> latentStateLabelList()
    Retrieve the List of Latent State Labels
    Sample reduce​(java.lang.String label1, java.lang.String label2)
    Reduce the Joint Realizations for the Pair of State Labels to a Single Risk Factor Sample
    LabelRdVertex vertexRd()
    Retrieve the Vertex Rd Multi-Factor Realizations

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • NormalSampleCohort

      public NormalSampleCohort​(LabelRdVertex labelRdVertex, LabelCovariance latentStateLabelCovariance, double horizon) throws java.lang.Exception
      NormalSampleCohort Constructor
      Parameters:
      labelRdVertex - Rd Labeled Vertex
      latentStateLabelCovariance - Rd Labeled Covariance
      horizon - Horizon
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Correlated

      public static final NormalSampleCohort Correlated​(java.util.List<java.lang.String> labelList, double[] annualMeanArray, double[] annualVolatilityArray, double[][] correlationMatrix, int vertexCount, double horizon)
      Generate a Correlated NormalSampleCohort
      Parameters:
      labelList - Label List
      annualMeanArray - Array of Annual Means
      annualVolatilityArray - Array of Annual Volatilities
      correlationMatrix - Correlation Matrix
      vertexCount - Vertex Count
      horizon - Horizon
      Returns:
      NormalSampleCohort Instance

    • latentStateLabelCovariance

      public LabelCorrelation latentStateLabelCovariance()
      Retrieve the Latent State Label Covariance
      Returns:
      The Latent State Label Covariance

    • horizon

      public double horizon()
      Retrieve the Sample Horizon
      Returns:
      The Sample Horizon

    • latentStateLabelList

      public java.util.List<java.lang.String> latentStateLabelList()
      Description copied from interface: SampleCohort
      Retrieve the List of Latent State Labels
      Specified by:
      latentStateLabelList in interface SampleCohort
      Returns:
      The List of Latent State Labels

    • vertexRd

      public LabelRdVertex vertexRd()
      Description copied from interface: SampleCohort
      Retrieve the Vertex Rd Multi-Factor Realizations
      Specified by:
      vertexRd in interface SampleCohort
      Returns:
      The Vertex Rd Multi-Factor Realizations

    • reduce

      public Sample reduce​(java.lang.String label1, java.lang.String label2)
      Description copied from interface: SampleCohort
      Reduce the Joint Realizations for the Pair of State Labels to a Single Risk Factor Sample
      Specified by:
      reduce in interface SampleCohort
      Parameters:
      label1 - Latent State Label 1
      label2 - Latent State Label 2
      Returns:
      The Single Risk Factor Sample