Package org.drip.validation.riskfactorsingle

Class GapTestOutcomeAggregate

java.lang.Object
org.drip.validation.riskfactorsingle.GapTestOutcomeAggregate
public class GapTestOutcomeAggregate
extends java.lang.Object
GapTestOutcomeAggregate holds the Map of Event Gap Test Outcomes and the Aggregate DPA Distance Metric for a Single Hypothesis.

  • 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
    GapTestOutcomeAggregate​(java.util.Map<java.lang.String,​GapTestOutcome> gapTestOutcomeMap, double distance)
    GapTestOutcomeAggregate Constructor

  • Method Summary

    Modifier and Type Method Description
    double distance()
    Retrieve the Aggregate Distance
    java.util.Map<java.lang.String,​GapTestOutcome> eventOutcomeMap()
    Retrieve the Event to Gap Test Outcome Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • GapTestOutcomeAggregate

      public GapTestOutcomeAggregate​(java.util.Map<java.lang.String,​GapTestOutcome> gapTestOutcomeMap, double distance) throws java.lang.Exception
      GapTestOutcomeAggregate Constructor
      Parameters:
      gapTestOutcomeMap - Event to Gap Test Outcome Map
      distance - Aggregate Distance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • eventOutcomeMap

      public java.util.Map<java.lang.String,​GapTestOutcome> eventOutcomeMap()
      Retrieve the Event to Gap Test Outcome Map
      Returns:
      The Event to Gap Test Outcome Map

    • distance

      public double distance()
      Retrieve the Aggregate Distance
      Returns:
      The Aggregate Distance