Record Class CentralRiskBook.CrbReport

java.lang.Object
java.lang.Record
com.quantfinlib.crb.CentralRiskBook.CrbReport
Record Components:
grossExposure - Σ over factors of gross booked notional
netExposure - Σ over factors of |netted| notional
nettingEfficiency - 1 − net/gross
var - delta-normal VaR of the netted book
es - delta-normal ES of the netted book
standaloneDeskVar - Σ of per-desk standalone VaRs
diversificationBenefit - standaloneDeskVar − var: what central netting is worth in VaR terms
Enclosing class:
CentralRiskBook
public static record CentralRiskBook.CrbReport(double grossExposure, double netExposure, double nettingEfficiency, double var, double es, double standaloneDeskVar, double diversificationBenefit) extends Record

  • Constructor Details

    • CrbReport

      public CrbReport(double grossExposure, double netExposure, double nettingEfficiency, double var, double es, double standaloneDeskVar, double diversificationBenefit)
      Creates an instance of a CrbReport record class.
      Parameters:
      grossExposure - the value for the grossExposure record component
      netExposure - the value for the netExposure record component
      nettingEfficiency - the value for the nettingEfficiency record component
      var - the value for the var record component
      es - the value for the es record component
      standaloneDeskVar - the value for the standaloneDeskVar record component
      diversificationBenefit - the value for the diversificationBenefit 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. All components in this record class 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.

    • grossExposure

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

    • netExposure

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

    • nettingEfficiency

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

    • var

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

    • es

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

    • standaloneDeskVar

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

    • diversificationBenefit

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