Package org.drip.validation.riskfactorsingle

Class HypothesisOutcomeAggregate

java.lang.Object
org.drip.validation.riskfactorsingle.HypothesisOutcomeAggregate
public class HypothesisOutcomeAggregate
extends java.lang.Object
HypothesisOutcomeAggregate holds the Hypothesis and its corresponding Gap Test Outcome Aggregate.

  • 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
    HypothesisOutcomeAggregate​(java.lang.String hypothesisID, GapTestOutcomeAggregate gapTestOutcomeAggregate)
    HypothesisOutcomeAggregate Constructor

  • Method Summary

    Modifier and Type Method Description
    GapTestOutcomeAggregate gapTestOutcomeAggregate()
    Retrieve the Gap Test Outcome Aggregate
    java.lang.String hypothesisID()
    Retrieve the Hypothesis ID

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HypothesisOutcomeAggregate

      public HypothesisOutcomeAggregate​(java.lang.String hypothesisID, GapTestOutcomeAggregate gapTestOutcomeAggregate) throws java.lang.Exception
      HypothesisOutcomeAggregate Constructor
      Parameters:
      hypothesisID - Hypothesis ID
      gapTestOutcomeAggregate - Gap Test Outcome Aggregate
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • hypothesisID

      public java.lang.String hypothesisID()
      Retrieve the Hypothesis ID
      Returns:
      The Hypothesis ID

    • gapTestOutcomeAggregate

      public GapTestOutcomeAggregate gapTestOutcomeAggregate()
      Retrieve the Gap Test Outcome Aggregate
      Returns:
      The Gap Test Outcome Aggregate