Package org.drip.simm.commodity
Class CTSystemics20
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
- Commodity Risk Class Historical Volatility Ratio (HVR)
- Commodity Risk Class Vega Risk Weight (VRW)
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 |
- Author:
- Lakshmi Krishnamurthy
-
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()
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Method Summary
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Field Details
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HISTORICAL_VOLATILITY_RATIO
public static final double HISTORICAL_VOLATILITY_RATIOCommodity Risk Class Historical Volatility Ratio (HVR)- See Also:
- Constant Field Values
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VEGA_RISK_WEIGHT
public static final double VEGA_RISK_WEIGHTCommodity Risk Class Vega Risk Weight (VRW)- See Also:
- Constant Field Values
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Constructor Details
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CTSystemics20
public CTSystemics20()
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