Package org.drip.sample.simmvariance

Position Bucket Co-variance - ISDA SIMM vs. FRTB SBA-C vs. Actual
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CRNQMarginComparison
    CRNQMarginComparison illustrates the Comparison of the Credit Non-Qualifying Margin Estimates using different Schemes for Calculating the Position-Bucket Principal Component Co-variance.
    CrossGroupPrincipalCovariance
    CrossGroupPrincipalCovariance demonstrates the Computation of the Cross Risk Group Principal Component Co-variance using the Actual Risk Group Principal Component.
    CRQMarginComparison
    CRQMarginComparison illustrates the Comparison of the Credit Qualifying Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
    CTCrossBucketPrincipal
    CTCrossBucketPrincipal demonstrates the Computation of the Cross CT Bucket Principal Component Co-variance using the CT Bucket Principal Component.
    CTMarginComparison
    CTMarginComparison illustrates the Comparison of the Commodity Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
    EQCrossBucketPrincipal
    EQCrossBucketPrincipal demonstrates the Computation of the Cross EQ Bucket Principal Component Co-variance using the EQ Bucket Principal Component.
    EQMarginComparison
    EQMarginComparison illustrates the Comparison of the Equity Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
    FXCrossGroupPrincipal
    FXCrossGroupPrincipal demonstrates the Computation of the Cross FX Bucket Principal Component Co-variance using the FX Risk Group Principal Component.
    FXMarginComparison
    FXMarginComparison illustrates the Comparison of the FX Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
    IRCrossCurvePrincipal
    IRCrossCurvePrincipal demonstrates the Computation of the Cross IR Curve Principal Component Co-variance using the IR Curve Tenor Principal Component.
    IRMarginComparison
    IRMarginComparison illustrates the Comparison of the Interest Rate Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.