Uses of Class
org.drip.measure.state.LabelledRdCorrelation

Packages that use LabelledRdCorrelation

Package	Description
org.drip.measure.state	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 LabelledRdCorrelation in org.drip.measure.state

Subclasses of LabelledRdCorrelation in org.drip.measure.state

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

Methods in org.drip.measure.state that return LabelledRdCorrelation

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

Uses of LabelledRdCorrelation in org.drip.simm.commodity

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

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

Uses of LabelledRdCorrelation in org.drip.simm.common

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

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

Uses of LabelledRdCorrelation in org.drip.simm.credit

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

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

Uses of LabelledRdCorrelation in org.drip.simm.equity

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

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

Uses of LabelledRdCorrelation in org.drip.simm.estimator

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

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

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

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

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

Constructor

Description

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

ProductClassSettings Constructor

Uses of LabelledRdCorrelation in org.drip.simm.parameters

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

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

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

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, LabelledRdCorrelation 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, LabelledRdCorrelation 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, LabelledRdCorrelation 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, LabelledRdCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettings Constructor
RiskMeasureSensitivitySettingsCR(java.util.Map<java.lang.String,BucketSensitivitySettingsCR> bucketSensitivitySettingsMap, LabelledRdCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettingsCR Constructor
RiskMeasureSensitivitySettingsIR(java.util.Map<java.lang.String,BucketSensitivitySettingsIR> bucketSensitivitySettingsMap, LabelledRdCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettingsIR Constructor

Uses of LabelledRdCorrelation in org.drip.simm.rates

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

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

Uses of LabelledRdCorrelation in org.drip.validation.riskfactorjoint

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

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