Package org.drip.validation.riskfactorsingle

Class HypothesisSuiteAggregate

java.lang.Object
org.drip.validation.riskfactorsingle.HypothesisSuiteAggregate
public class HypothesisSuiteAggregate
extends java.lang.Object
HypothesisSuiteAggregate holds Indexed Hypothesis Ensembles across One/More Event Points.

  • 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
    HypothesisSuiteAggregate()
    Empty HypothesisSuiteAggregate Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean add​(java.lang.String hypothesisID, java.lang.String eventID, Ensemble hypothesis)
    Add the Specified Hypothesis with its ID and the Event
    boolean containsHypothesis​(java.lang.String hypothesisID, java.lang.String eventID)
    Indicate if the specified Hypothesis is Available
    Ensemble hypothesis​(java.lang.String hypothesisID, java.lang.String eventID)
    Retrieve the Specified Hypothesis
    java.util.Map<java.lang.String,​java.util.Map<java.lang.String,​Ensemble>> hypothesisEventMap()
    Retrieve the Hypothesis Event Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HypothesisSuiteAggregate

      public HypothesisSuiteAggregate()
      Empty HypothesisSuiteAggregate Constructor

  • Method Details

    • hypothesisEventMap

      public java.util.Map<java.lang.String,​java.util.Map<java.lang.String,​Ensemble>> hypothesisEventMap()
      Retrieve the Hypothesis Event Map
      Returns:
      The Hypothesis Event Map

    • add

      public boolean add​(java.lang.String hypothesisID, java.lang.String eventID, Ensemble hypothesis)
      Add the Specified Hypothesis with its ID and the Event
      Parameters:
      hypothesisID - The Hypothesis ID
      eventID - The Event ID
      hypothesis - The Hypothesis
      Returns:
      TRUE - The Hypothesis Successfully Added

    • containsHypothesis

      public boolean containsHypothesis​(java.lang.String hypothesisID, java.lang.String eventID)
      Indicate if the specified Hypothesis is Available
      Parameters:
      hypothesisID - The Hypothesis ID
      eventID - The Event ID
      Returns:
      TRUE - The specified Hypothesis is Available

    • hypothesis

      public Ensemble hypothesis​(java.lang.String hypothesisID, java.lang.String eventID)
      Retrieve the Specified Hypothesis
      Parameters:
      hypothesisID - The Hypothesis ID
      eventID - The Event ID
      Returns:
      The Specified Hypothesis