Package org.drip.validation.riskfactorsingle

Class HypothesisOutcomeSuiteAggregate

java.lang.Object
org.drip.validation.riskfactorsingle.HypothesisOutcomeSuiteAggregate
public class HypothesisOutcomeSuiteAggregate
extends java.lang.Object
HypothesisOutcomeSuiteAggregate holds the Map of 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
    HypothesisOutcomeSuiteAggregate()
    Empty HypothesisOutcomeSuiteAggregate Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean add​(java.lang.String hypothesisID, GapTestOutcomeAggregate gapTestOutcomeAggregate)
    Add a Hypothesis ID and Gap Test Outcome Aggregate
    java.util.TreeMap<java.lang.Double,​java.lang.String> distanceHypothesisMap()
    Retrieve the Aggregate Distance - Hypothesis ID Map
    java.util.Map<java.lang.String,​GapTestOutcomeAggregate> hypothesisOutcomeAggregate()
    Retrieve the Hypothesis Event Gap Test Outcome Aggregate
    HypothesisOutcomeAggregate leadingHypothesis()
    Retrieve the Leading/Best Fit Hypothesis and its Test Outcome Aggregate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HypothesisOutcomeSuiteAggregate

      public HypothesisOutcomeSuiteAggregate()
      Empty HypothesisOutcomeSuiteAggregate Constructor

  • Method Details

    • hypothesisOutcomeAggregate

      public java.util.Map<java.lang.String,​GapTestOutcomeAggregate> hypothesisOutcomeAggregate()
      Retrieve the Hypothesis Event Gap Test Outcome Aggregate
      Returns:
      The Hypothesis Event Gap Test Outcome Aggregate

    • distanceHypothesisMap

      public java.util.TreeMap<java.lang.Double,​java.lang.String> distanceHypothesisMap()
      Retrieve the Aggregate Distance - Hypothesis ID Map
      Returns:
      The Aggregate Distance - Hypothesis ID Map

    • add

      public boolean add​(java.lang.String hypothesisID, GapTestOutcomeAggregate gapTestOutcomeAggregate)
      Add a Hypothesis ID and Gap Test Outcome Aggregate
      Parameters:
      hypothesisID - The Hypothesis ID
      gapTestOutcomeAggregate - The Gap Test Outcome Aggregate
      Returns:
      TRUE - The Gap Test Outcome Aggregate successfully added

    • leadingHypothesis

      public HypothesisOutcomeAggregate leadingHypothesis()
      Retrieve the Leading/Best Fit Hypothesis and its Test Outcome Aggregate
      Returns:
      The Leading/Best Fit Hypothesis and its Test Outcome Aggregate