Package org.drip.sample.simmcrq

ISDA SIMM Credit Qualifying Estimates

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CreditQualifyingBucketCurvatureMargin20	CreditQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketCurvatureMargin21	CreditQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketCurvatureMargin24	CreditQualifyingBucketCurvatureMargin24 illustrates the Computation of the SIMM 2.4 CR Curvature Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketCurvatureMarginFlow20	CreditQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketCurvatureMarginFlow21	CreditQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketCurvatureMarginFlow24	CreditQualifyingBucketCurvatureMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketDeltaMargin20	CreditQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketDeltaMargin21	CreditQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketDeltaMargin24	CreditQualifyingBucketDeltaMargin24 illustrates the Computation of the SIMM 2.4 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketDeltaMarginFlow20	CreditQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketDeltaMarginFlow21	CreditQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketDeltaMarginFlow24	CreditQualifyingBucketDeltaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Credit Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketVegaMargin20	CreditQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketVegaMargin21	CreditQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketVegaMargin24	CreditQualifyingBucketVegaMargin24 illustrates the Computation of the SIMM 2.4 CR Vega Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketVegaMarginFlow20	CreditQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketVegaMarginFlow21	CreditQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketVegaMarginFlow24	CreditQualifyingBucketVegaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 Credit Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingClassMargin20	CreditQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingClassMargin21	CreditQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingClassMargin24	CreditQualifyingClassMargin24 illustrates the Computation of the SIMM 2.4 CR Class Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingCurvatureMargin20	CreditQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingCurvatureMargin21	CreditQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingCurvatureMargin24	CreditQualifyingCurvatureMargin24 illustrates the Computation of the CR SIMM 2.4 Curvature Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingDeltaMargin20	CreditQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingDeltaMargin21	CreditQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingDeltaMargin24	CreditQualifyingDeltaMargin24 illustrates the Computation of the CR SIMM 2.4 Delta Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingVegaMargin20	CreditQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingVegaMargin21	CreditQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingVegaMargin24	CreditQualifyingVegaMargin24 illustrates the Computation of the CR SIMM 2.4 Vega Margin for a Bucket of Credit Exposure Sensitivities.