Package org.drip.sample.simmir

Class RatesCurrencyVegaMarginFlow24

java.lang.Object
org.drip.sample.simmir.RatesCurrencyVegaMarginFlow24
public class RatesCurrencyVegaMarginFlow24
extends java.lang.Object
RatesCurrencyVegaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities. The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
  • Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
  • International Swaps and Derivatives Association (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    RatesCurrencyVegaMarginFlow24()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] inputArray)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • RatesCurrencyVegaMarginFlow24

      public RatesCurrencyVegaMarginFlow24()

  • Method Details

    • main

      public static final void main​(java.lang.String[] inputArray) throws java.lang.Exception
      Entry Point
      Parameters:
      inputArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation