Package org.drip.sample.simmsettings

ISDA SIMM Calibration Parameter Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CommodityParameters20
    CommodityParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Commodity Bucket Risk Weights, Correlations, and Systemics.
    CommodityParameters21
    CommodityParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Commodity Bucket Risk Weights, Correlations, and Systemics.
    CommodityParameters24
    CommodityParameters24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Single/Cross Currency Commodity Bucket Risk Weights, Correlations, and Systemics.
    CommodityRiskConcentrationThreshold20
    CommodityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Commodity Risk Concentration Thresholds.
    CommodityRiskConcentrationThreshold21
    CommodityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Commodity Risk Concentration Thresholds.
    CommodityRiskConcentrationThreshold24
    CommodityRiskConcentrationThreshold24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Commodity Risk Concentration Thresholds.
    CreditNonQualifyingParameters20
    CreditNonQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditNonQualifyingParameters21
    CreditNonQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditNonQualifyingParameters24
    CreditNonQualifyingParameters24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Single/Cross Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditQualifyingParameters20
    CreditQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditQualifyingParameters21
    CreditQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditQualifyingParameters24
    CreditQualifyingParameters24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Single/Cross Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
    CreditRiskConcentrationThreshold20
    CreditRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Credit Risk Concentration Thresholds.
    CreditRiskConcentrationThreshold21
    CreditRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Credit Risk Concentration Thresholds.
    CreditRiskConcentrationThreshold24
    CreditRiskConcentrationThreshold24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Credit Risk Concentration Thresholds.
    Equity20
    Equity20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Equity Bucket Risk Weights, Correlations, and Systemics.
    Equity21
    Equity21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Equity Bucket Risk Weights, Correlations, and Systemics.
    Equity24
    Equity24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Single/Cross Currency Equity Bucket Risk Weights, Correlations, and Systemics.
    EquityRiskConcentrationThreshold20
    EquityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Equity Risk Concentration Thresholds.
    EquityRiskConcentrationThreshold21
    EquityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Equity Risk Concentration Thresholds.
    EquityRiskConcentrationThreshold24
    EquityRiskConcentrationThreshold24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Equity Risk Concentration Thresholds.
    FX20
    FX20 demonstrates the Extraction and Display of ISDA SIMM 2.0 FX Bucket Risk Weights, Correlations, and Systemics.
    FX21
    FX21 demonstrates the Extraction and Display of ISDA SIMM 2.1 FX Bucket Risk Weights, Correlations, and Systemics.
    FX24
    FX24 demonstrates the Extraction and Display of ISDA SIMM 2.4 FX Bucket Risk Weights, Correlations, and Systemics.
    InterestRate20
    InterestRate20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Interest Rate Tenor Risk Weights, Systemics, and Correlations.
    InterestRate21
    InterestRate21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Interest Rate Tenor Risk Weights, Systemics, and Correlations.
    InterestRate24
    InterestRate24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Single/Cross Currency Interest Rate Tenor Risk Weights, Systemics, and Correlations.
    InterestRateConcentrationThreshold20
    InterestRateConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Interest Rate Concentration Thresholds.
    InterestRateConcentrationThreshold21
    InterestRateConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Interest Rate Concentration Thresholds.
    InterestRateConcentrationThreshold24
    InterestRateConcentrationThreshold24 demonstrates the Extraction and Display of ISDA SIMM 2.4 Interest Rate Concentration Thresholds.