Package org.drip.sample.simmfx

ISDA SIMM FX Estimate Runs
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FXClassMargin20
    FXClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
    FXClassMargin21
    FXClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
    FXClassMargin24
    FXClassMargin24 illustrates the Computation of the ISDA 2.4 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
    FXCurvatureMargin20
    FXCurvatureMargin20 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.0 Margin Computation.
    FXCurvatureMargin21
    FXCurvatureMargin21 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.1 Margin Computation.
    FXCurvatureMargin24
    FXCurvatureMargin24 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.4 Margin Computation.
    FXDeltaMargin20
    FXDeltaMargin20 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.0 Margin Computation.
    FXDeltaMargin21
    FXDeltaMargin21 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.1 Margin Computation.
    FXDeltaMargin24
    FXDeltaMargin24 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.4 Margin Computation.
    FXVegaMargin20
    FXVegaMargin20 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.0 Margin Computation.
    FXVegaMargin21
    FXVegaMargin21 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.1 Margin Computation.
    FXVegaMargin24
    FXVegaMargin24 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.4 Margin Computation.