Uses of Enum Class
com.quantfinlib.risk.FrtbSa.Scenario

Packages that use FrtbSa.Scenario

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of FrtbSa.Scenario in com.quantfinlib.risk

Subclasses with type arguments of type FrtbSa.Scenario in com.quantfinlib.risk

Modifier and Type	Class	Description
static enum	FrtbSa.Scenario	Correlation scenarios of MAR21.

Methods in com.quantfinlib.risk that return FrtbSa.Scenario

Modifier and Type	Method	Description
static FrtbSa.Scenario	FrtbSa.Scenario.valueOf(String name)	Returns the enum constant of this class with the specified name.
static FrtbSa.Scenario[]	FrtbSa.Scenario.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.risk with parameters of type FrtbSa.Scenario

Modifier and Type	Method	Description
static FrtbSa.BucketResult	FrtbSa.bucket(FrtbSa.Bucket b, FrtbSa.Scenario sc)	K_b and clamped S_b of one bucket (delta or vega).
static double	FrtbSa.curvature(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc)	Curvature capital of one risk class under one scenario.
static double	FrtbSa.curvature(List<FrtbSa.Bucket> up, List<FrtbSa.Bucket> down, double[][] gamma, FrtbSa.Scenario sc)	Curvature capital with both shock directions (MAR21.5(3) and (4)).
static double	FrtbSa.deltaVega(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc)	Delta or vega capital of one risk class under one scenario.
static double	FrtbSa.deltaVega(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc, Set<Integer> otherSector)	Delta or vega capital where some buckets are "other sector" buckets (equity 11, CSR non-securitisation 16, securitisation non-CTP 25): their K_b is Σ|WS_k| with no correlation (MAR21.56(1), MAR21.69(1), MAR21.79(1)).
static double	FrtbSa.total(List<FrtbSa.RiskClass> classes, FrtbSa.Scenario sc)	Total SBM charge of a set of risk classes under one scenario.