Package org.drip.measure.state

Class LabelledRdRealizationSequence

java.lang.Object
org.drip.measure.state.LabelledRd
org.drip.measure.state.LabelledRdRealizationSequence
public class LabelledRdRealizationSequence
extends LabelledRd
LabelledRdRealizationSequence 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:
  • LabelledRdRealizationSequence 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
    LabelledRdRealizationSequence​(java.util.List<java.lang.String> labelList, double[][] vertexValueArray)
    LabelledRdRealizationSequence Constructor

  • Method Summary

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

    Methods inherited from class org.drip.measure.state.LabelledRd

    count, FromArray, idArray, idList, idMap, index

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LabelledRdRealizationSequence

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

  • Method Details

    • vertexValueArray

      public double[][] vertexValueArray()
      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