Package org.drip.measure.state

Class LabelledRd

java.lang.Object
org.drip.measure.state.LabelledRd
Direct Known Subclasses:
LabelledRdCorrelation, LabelledRdRealizationSequence
public class LabelledRd
extends java.lang.Object
LabelledRd is the Base Class that holds the Labeled Latent State Vertex Content. 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:
  • LabelledRd Constructor
  • Retrieve the Label List

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
    LabelledRd​(java.util.List<java.lang.String> idList)
    LabelledRd Constructor

  • Method Summary

    Modifier and Type Method Description
    int count()
    Retrieve the Count of Predictors
    static LabelledRd FromArray​(java.lang.String[] idArray)
    Construct a LabelledRd Instance from the ID Array
    java.lang.String[] idArray()
    Retrieve the Array of the Ids
    java.util.List<java.lang.String> idList()
    Retrieve the Label List
    java.util.Map<java.lang.String,​java.lang.Integer> idMap()
    Retrieve the Label Index Map
    int index​(java.lang.String id)
    Retrieve the Index of the Predictor Id

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LabelledRd

      public LabelledRd​(java.util.List<java.lang.String> idList) throws java.lang.Exception
      LabelledRd Constructor
      Parameters:
      idList - The List of Labels
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromArray

      public static final LabelledRd FromArray​(java.lang.String[] idArray)
      Construct a LabelledRd Instance from the ID Array
      Parameters:
      idArray - ID Array
      Returns:
      LabelledRd Instance

    • idList

      public java.util.List<java.lang.String> idList()
      Retrieve the Label List
      Returns:
      The Label List

    • idMap

      public java.util.Map<java.lang.String,​java.lang.Integer> idMap()
      Retrieve the Label Index Map
      Returns:
      The Label Index Map

    • idArray

      public java.lang.String[] idArray()
      Retrieve the Array of the Ids
      Returns:
      The Array of the Ids

    • count

      public int count()
      Retrieve the Count of Predictors
      Returns:
      The Count of Predictors

    • index

      public int index​(java.lang.String id)
      Retrieve the Index of the Predictor Id
      Parameters:
      id - The Predictor Id
      Returns:
      Index of the Predictor Id