Package org.drip.measure.identifier

Class LabelledVertexRd

java.lang.Object
org.drip.measure.identifier.LabelledVertex
org.drip.measure.identifier.LabelledVertexRd
public class LabelledVertexRd
extends LabelledVertex
LabelledVertexRd holds the Labeled Rd Multi-Factor Latent State Vertex Realizations. The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
  • Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
  • International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
It provides the following Functionality:
  • LabelledVertexRd Constructor
  • Retrieve the Vertex Rd Values
  • Retrieve the Vertex R1 Array for the Specified Label

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package Labels for Latent State Identifiers

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    LabelledVertexRd​(java.util.List<java.lang.String> labelList, double[][] realizationGrid)
    LabelledVertexRd Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] realizationGrid()
    Retrieve the Vertex Rd Values
    double[] vertexR1​(java.lang.String label)
    Retrieve the Vertex R1 Array for the Specified Label

    Methods inherited from class org.drip.measure.identifier.LabelledVertex

    idList

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LabelledVertexRd

      public LabelledVertexRd​(java.util.List<java.lang.String> labelList, double[][] realizationGrid) throws java.lang.Exception
      LabelledVertexRd Constructor
      Parameters:
      labelList - The List of Labels
      realizationGrid - The Rd Vertex Realizations
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • realizationGrid

      public double[][] realizationGrid()
      Retrieve the Vertex Rd Values
      Returns:
      The Vertex Rd Values

    • vertexR1

      public double[] vertexR1​(java.lang.String label)
      Retrieve the Vertex R1 Array for the Specified Label
      Parameters:
      label - The Label
      Returns:
      The Vertex R1 Array