Package org.drip.sample.simmct

ISDA SIMM Commodity Estimate Runs
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CommodityClassMargin20
    CommodityClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityClassMargin21
    CommodityClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityClassMargin24
    CommodityClassMargin24 illustrates the Computation of the ISDA 2.4 Aggregate Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityCurvatureMargin20
    CommodityCurvatureMargin20 illustrates the Computation of the SIMM 2.0 Curvature Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityCurvatureMargin21
    CommodityCurvatureMargin21 illustrates the Computation of the SIMM 2.1 Curvature Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityCurvatureMargin24
    CommodityCurvatureMargin24 illustrates the Computation of the SIMM 2.4 Curvature Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityDeltaMargin20
    CommodityDeltaMargin20 illustrates the Computation of the ISDA 2.0 Delta Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityDeltaMargin21
    CommodityDeltaMargin21 illustrates the Computation of the ISDA 2.1 Delta Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityDeltaMargin24
    CommodityDeltaMargin24 illustrates the Computation of the ISDA 2.4 Delta Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityVegaMargin20
    CommodityVegaMargin20 illustrates the Computation of the SIMM 2.0 Vega Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityVegaMargin21
    CommodityVegaMargin21 illustrates the Computation of the SIMM 2.1 Vega Margin for across a Group of Commodity Bucket Exposure Sensitivities.
    CommodityVegaMargin24
    CommodityVegaMargin24 illustrates the Computation of the SIMM 2.4 Vega Margin for across a Group of Commodity Bucket Exposure Sensitivities.