Package org.drip.sample.simmir

ISDA SIMM Rates Estimate Runs

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
RatesClassMargin20	RatesClassMargin20 illustrates the Computation of the SIMM 2.0 IR Class Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesClassMargin21	RatesClassMargin21 illustrates the Computation of the SIMM 2.1 IR Class Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesClassMargin24	RatesClassMargin24 illustrates the Computation of the SIMM 2.4 IR Class Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMargin20	RatesCurrencyCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMargin21	RatesCurrencyCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMargin24	RatesCurrencyCurvatureMargin24 illustrates the Computation of the SIMM 2.4 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMarginFlow20	RatesCurrencyCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMarginFlow21	RatesCurrencyCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMarginFlow24	RatesCurrencyCurvatureMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMargin20	RatesCurrencyDeltaMargin20 illustrates the Computation of the SIMM 2.0 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMargin21	RatesCurrencyDeltaMargin21 illustrates the Computation of the SIMM 2.1 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMargin24	RatesCurrencyDeltaMargin24 illustrates the Computation of the SIMM 2.4 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMarginFlow20	RatesCurrencyDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMarginFlow21	RatesCurrencyDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMarginFlow24	RatesCurrencyDeltaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMargin20	RatesCurrencyVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMargin21	RatesCurrencyVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMargin24	RatesCurrencyVegaMargin24 illustrates the Computation of the SIMM 2.4 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMarginFlow20	RatesCurrencyVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMarginFlow21	RatesCurrencyVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMarginFlow24	RatesCurrencyVegaMarginFlow24 illustrates the Steps in the Computation of the SIMM 2.4 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurvatureMargin20	RatesCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesCurvatureMargin21	RatesCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesCurvatureMargin24	RatesCurvatureMargin24 illustrates the Computation of the SIMM 2.4 IR Curvature Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesDeltaMargin20	RatesDeltaMargin20 illustrates the Computation of the IR SIMM 2.0 Delta Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesDeltaMargin21	RatesDeltaMargin21 illustrates the Computation of the IR SIMM 2.1 Delta Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesDeltaMargin24	RatesDeltaMargin24 illustrates the Computation of the IR SIMM 2.4 Delta Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesVegaMargin20	RatesVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesVegaMargin21	RatesVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesVegaMargin24	RatesVegaMargin24 illustrates the Computation of the SIMM 2.4 IR Vega Margin for a Bucket of Currency's IR Exposure Sensitivities.