Record Class VarBacktest.TrafficLight

java.lang.Object
java.lang.Record
com.quantfinlib.risk.VarBacktest.TrafficLight
Record Components:
zone - green, amber or red
exceptions - number of exceptions in the sample
observations - sample size
cumulativeProbability - P(X ≤ exceptions) for X ~ Binomial(observations, 1 - coverage)
multiplier - the backtesting-dependent multiplier of MAR32.9 Table 1 (1.50 to 2.00) for a 250-observation sample at 99 % coverage; NaN otherwise, where the Basel text defines the zones but no multipliers
Enclosing class:
VarBacktest
public static record VarBacktest.TrafficLight(VarBacktest.Zone zone, int exceptions, int observations, double cumulativeProbability, double multiplier) extends Record
Result of the Basel traffic-light test.

  • Constructor Details

    • TrafficLight

      public TrafficLight(VarBacktest.Zone zone, int exceptions, int observations, double cumulativeProbability, double multiplier)
      Creates an instance of a TrafficLight record class.
      Parameters:
      zone - the value for the zone record component
      exceptions - the value for the exceptions record component
      observations - the value for the observations record component
      cumulativeProbability - the value for the cumulativeProbability record component
      multiplier - the value for the multiplier record component

  • Method Details

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • zone

      public VarBacktest.Zone zone()
      Returns the value of the zone record component.
      Returns:
      the value of the zone record component

    • exceptions

      public int exceptions()
      Returns the value of the exceptions record component.
      Returns:
      the value of the exceptions record component

    • observations

      public int observations()
      Returns the value of the observations record component.
      Returns:
      the value of the observations record component

    • cumulativeProbability

      public double cumulativeProbability()
      Returns the value of the cumulativeProbability record component.
      Returns:
      the value of the cumulativeProbability record component

    • multiplier

      public double multiplier()
      Returns the value of the multiplier record component.
      Returns:
      the value of the multiplier record component