Uses of Class
org.drip.measure.identifier.LabelledVertexCorrelation

Packages that use LabelledVertexCorrelation

Package	Description
org.drip.measure.identifier	Labels for Latent State Identifiers
org.drip.simm.commodity	Commodity Risk Factor Calibration Settings
org.drip.simm.common	Common Cross Risk Factor Utilities
org.drip.simm.credit	Credit Qualifying/Non-Qualifying Risk Factor Settings
org.drip.simm.equity	Equity Risk Factor Calibration Settings
org.drip.simm.estimator	ISDA SIMM Core + Add-On Estimator
org.drip.simm.parameters	ISDA SIMM Risk Factor Parameters
org.drip.simm.rates	SIMM IR Risk Factor Settings
org.drip.validation.riskfactorjoint	Joint Risk Factor Aggregate Tests

Uses of LabelledVertexCorrelation in org.drip.measure.identifier

Subclasses of LabelledVertexCorrelation in org.drip.measure.identifier

Modifier and Type	Class	Description
class	LabelledVertexCovariance	LabelledVertexCovariance holds the Covariance between any Stochastic Variates identified by their Labels, as well as their Means.

Methods in org.drip.measure.identifier that return LabelledVertexCorrelation

Modifier and Type	Method	Description
LabelledVertexCorrelation	LabelledVertexCorrelation.subTenor(java.util.List<java.lang.String> subTenorList)	Generate the LabelledVertexCorrelation Instance that corresponds to the Tenor sub-space

Uses of LabelledVertexCorrelation in org.drip.simm.commodity

Methods in org.drip.simm.commodity that return LabelledVertexCorrelation

Modifier and Type	Method	Description
static LabelledVertexCorrelation	CTSettingsContainer20.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	CTSettingsContainer21.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	CTSettingsContainer24.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation

Uses of LabelledVertexCorrelation in org.drip.simm.common

Methods in org.drip.simm.common that return LabelledVertexCorrelation

Modifier and Type	Method	Description
static LabelledVertexCorrelation	CrossRiskClassCorrelation20.Matrix()	Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
static LabelledVertexCorrelation	CrossRiskClassCorrelation21.Matrix()	Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
static LabelledVertexCorrelation	CrossRiskClassCorrelation24.Matrix()	Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance

Uses of LabelledVertexCorrelation in org.drip.simm.credit

Methods in org.drip.simm.credit that return LabelledVertexCorrelation

Modifier and Type	Method	Description
static LabelledVertexCorrelation	CRQSettingsContainer20.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	CRQSettingsContainer21.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	CRQSettingsContainer24.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation

Uses of LabelledVertexCorrelation in org.drip.simm.equity

Methods in org.drip.simm.equity that return LabelledVertexCorrelation

Modifier and Type	Method	Description
static LabelledVertexCorrelation	EQSettingsContainer20.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	EQSettingsContainer21.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static LabelledVertexCorrelation	EQSettingsContainer24.CrossBucketCorrelation()	Retrieve the Cross Bucket Correlation

Uses of LabelledVertexCorrelation in org.drip.simm.estimator

Methods in org.drip.simm.estimator that return LabelledVertexCorrelation

Modifier and Type	Method	Description
LabelledVertexCorrelation	ProductClassSettings.labelCorrelation()	Retrieve the Cross Risk Class Label Correlation

Methods in org.drip.simm.estimator with parameters of type LabelledVertexCorrelation

Modifier and Type	Method	Description
double	ProductClassMargin.total(LabelledVertexCorrelation labelCorrelation)	Compute the Total IM

Constructors in org.drip.simm.estimator with parameters of type LabelledVertexCorrelation

Constructor

Description

ProductClassSettings(RiskClassSensitivitySettings equityRiskClassSensitivitySettings, RiskClassSensitivitySettings commodityRiskClassSensitivitySettings, RiskClassSensitivitySettings fxRiskClassSensitivitySettings, RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditQualifyingRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditNonQualifyingRiskClassSensitivitySettings, LabelledVertexCorrelation labelCorrelation)

ProductClassSettings Constructor

Uses of LabelledVertexCorrelation in org.drip.simm.parameters

Methods in org.drip.simm.parameters that return LabelledVertexCorrelation

Modifier and Type	Method	Description
LabelledVertexCorrelation	RiskMeasureSensitivitySettings.crossBucketCorrelation()	Retrieve the Cross Bucket Correlation
LabelledVertexCorrelation	RiskMeasureSensitivitySettingsCR.crossBucketCorrelation()	Retrieve the Cross Bucket Correlation
LabelledVertexCorrelation	RiskMeasureSensitivitySettingsIR.crossBucketCorrelation()	Retrieve the Cross Bucket Correlation
LabelledVertexCorrelation	BucketSensitivitySettingsIR.crossTenorCorrelation()	Retrieve the Single Curve Cross Tenor Correlation

Constructors in org.drip.simm.parameters with parameters of type LabelledVertexCorrelation

Constructor	Description
BucketCurvatureSettingsIR(java.util.Map<java.lang.String,java.lang.Double> oisTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorVegaRiskWeight, LabelledVertexCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,java.lang.Double> oisTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> tenorScalingFactorMap)	BucketCurvatureSettingsIR Constructor
BucketSensitivitySettingsIR(java.util.Map<java.lang.String,java.lang.Double> oisTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorRiskWeight, LabelledVertexCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold)	BucketSensitivitySettingsIR Constructor
BucketVegaSettingsIR(java.util.Map<java.lang.String,java.lang.Double> oisTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorVegaRiskWeight, LabelledVertexCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,java.lang.Double> oisTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorDeltaRiskWeight)	BucketVegaSettingsIR Constructor
RiskMeasureSensitivitySettings(java.util.Map<java.lang.String,BucketSensitivitySettings> bucketSettingsMap, LabelledVertexCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettings Constructor
RiskMeasureSensitivitySettingsCR(java.util.Map<java.lang.String,BucketSensitivitySettingsCR> bucketSensitivitySettingsMap, LabelledVertexCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettingsCR Constructor
RiskMeasureSensitivitySettingsIR(java.util.Map<java.lang.String,BucketSensitivitySettingsIR> bucketSensitivitySettingsMap, LabelledVertexCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettingsIR Constructor

Uses of LabelledVertexCorrelation in org.drip.simm.rates

Methods in org.drip.simm.rates that return LabelledVertexCorrelation

Modifier and Type	Method	Description
static LabelledVertexCorrelation	IRSettingsContainer20.SingleCurveTenorCorrelation()	Retrieve the Interest Rate Single Curve Tenor Correlation Instance
static LabelledVertexCorrelation	IRSettingsContainer21.SingleCurveTenorCorrelation()	Retrieve the Interest Rate Single Curve Tenor Correlation Instance
static LabelledVertexCorrelation	IRSettingsContainer24.SingleCurveTenorCorrelation()	Retrieve the Interest Rate Single Curve Tenor Correlation Instance

Uses of LabelledVertexCorrelation in org.drip.validation.riskfactorjoint

Methods in org.drip.validation.riskfactorjoint that return LabelledVertexCorrelation

Modifier and Type	Method	Description
LabelledVertexCorrelation	NormalLatentStateSampleCohort.labelCovariance()	Retrieve the Latent State Label Covariance