Package org.drip.sample.simmcrnq

ISDA SIMM Credit Non-Qualifying Estimates

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CreditNonQualifyingBucketCurvatureMargin20	CreditNonQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMargin21	CreditNonQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMargin24	CreditNonQualifyingBucketCurvatureMargin24 illustrates the Computation of the SIMM 2.4 CR Curvature Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMarginFlow20	CreditNonQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMarginFlow21	CreditNonQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMarginFlow24	CreditNonQualifyingBucketCurvatureMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMargin20	CreditNonQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMargin21	CreditNonQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMargin24	CreditNonQualifyingBucketDeltaMargin24 illustrates the Computation of the SIMM 2.4 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMarginFlow20	CreditNonQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMarginFlow21	CreditNonQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMarginFlow24	CreditNonQualifyingBucketDeltaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Credit Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketVegaMargin20	CreditNonQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketVegaMargin21	CreditNonQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketVegaMargin24	CreditNonQualifyingBucketVegaMargin24 illustrates the Computation of the SIMM 2.4 CR Vega Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketVegaMarginFlow20	CreditNonQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketVegaMarginFlow21	CreditNonQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketVegaMarginFlow24	CreditNonQualifyingBucketVegaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Credit Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingClassMargin20	CreditNonQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingClassMargin21	CreditNonQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingClassMargin24	CreditNonQualifyingClassMargin24 illustrates the Computation of the SIMM 2.4 CR Class Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingCurvatureMargin20	CreditNonQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingCurvatureMargin21	CreditNonQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingCurvatureMargin24	CreditNonQualifyingCurvatureMargin24 illustrates the Computation of the CR SIMM 2.4 Curvature Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingDeltaMargin20	CreditNonQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingDeltaMargin21	CreditNonQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingDeltaMargin24	CreditNonQualifyingDeltaMargin24 illustrates the Computation of the CR SIMM 2.4 Delta Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingVegaMargin20	CreditNonQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingVegaMargin21	CreditNonQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingVegaMargin24	CreditNonQualifyingVegaMargin24 illustrates the Computation of the CR SIMM 2.4 Vega Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.