Uses of Class
org.drip.measure.stochastic.LabelCorrelation

Packages that use LabelCorrelation

Package	Description
org.drip.measure.stochastic	R1 R1 To R1 Process
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 LabelCorrelation in org.drip.measure.stochastic

Subclasses of LabelCorrelation in org.drip.measure.stochastic

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

Methods in org.drip.measure.stochastic that return LabelCorrelation

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

Uses of LabelCorrelation in org.drip.simm.commodity

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

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

Uses of LabelCorrelation in org.drip.simm.common

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

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

Uses of LabelCorrelation in org.drip.simm.credit

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

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

Uses of LabelCorrelation in org.drip.simm.equity

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

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

Uses of LabelCorrelation in org.drip.simm.estimator

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

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

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

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

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

Constructor

Description

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

ProductClassSettings Constructor

Uses of LabelCorrelation in org.drip.simm.parameters

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

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

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

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

Uses of LabelCorrelation in org.drip.simm.rates

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

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

Uses of LabelCorrelation in org.drip.validation.riskfactorjoint

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

Modifier and Type	Method	Description
LabelCorrelation	NormalSampleCohort.latentStateLabelCovariance()	Retrieve the Latent State Label Covariance