CapitalUnitCBSSTProcessor.java

package org.drip.sample.feed;

import java.util.Map;

import org.drip.capital.feed.CapitalUnitStressScenarioLoader;
import org.drip.capital.feed.CapitalUnitCorrelatedScenario;
import org.drip.service.env.EnvManager;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2019 Quantitative Risk Analytics
 */

/**
 * <i>CapitalUnitCBSSTProcessor</i> zeds the Loading of the Capital Unit cBSST Scenarios from the specified
 *  Input File. The References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
 *              Results and Practice https://www.bis.org/publ/cgfs24.htm
 *      </li>
 *      <li>
 *          Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
 *      </li>
 *      <li>
 *          Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
 *      </li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CapitalUnitCBSSTProcessor
{

    public static final void main (
        final String[] argumentArray)
        throws Exception
    {
        EnvManager.InitEnv ("");

        String capitalUnitCBSSTInputFile = "I:\\CapitalUnitRuns\\CBSST_Input_Sample.csv";

        Map<String, CapitalUnitCorrelatedScenario> capitalUnitCBSSTScenarioMap =
            CapitalUnitStressScenarioLoader.LoadCorrelated (
                capitalUnitCBSSTInputFile,
                true
            );

        for (Map.Entry<String, CapitalUnitCorrelatedScenario> capitalUnitCBSSTScenarioEntry :
            capitalUnitCBSSTScenarioMap.entrySet())
        {
            System.out.println (
                "\t" + capitalUnitCBSSTScenarioEntry.getKey() + " => " +
                capitalUnitCBSSTScenarioEntry.getValue()
            );
        }

        EnvManager.TerminateEnv();
    }
}