java.lang.Object

org.drip.simm.commodity.CTSystemics20

public class CTSystemics20
extends java.lang.Object

CTSystemics20 contains the SIMM 2.0 Systemic Settings Common to Commodity Risk Factors. 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 (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf

It provides the following Functionality:

Module	Portfolio Core Module
Library	Initial and Variation Margin Analytics
Project	Initial Margin Analytics based on ISDA SIMM and its Variants
Package	Commodity Risk Factor Calibration Settings

Field Summary

Fields
Modifier and Type	Field	Description
`static double`	`HISTORICAL_VOLATILITY_RATIO`	Commodity Risk Class Historical Volatility Ratio (HVR)
`static double`	`VEGA_RISK_WEIGHT`	Commodity Risk Class Vega Risk Weight (VRW)

Constructor Summary

Constructors

Constructor Description

CTSystemics20()
Method Summary

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Class CTSystemics20