Package org.drip.simm.commodity

Commodity Risk Factor Calibration Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CTBucket
    CTBucket holds the ISDA SIMM Commodity, Risk Weight, and Member Correlation for each Commodity Bucket.
    CTRiskThresholdContainer20
    CTRiskThresholdContainer20 holds the ISDA SIMM 2.0 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    CTRiskThresholdContainer21
    CTRiskThresholdContainer21 holds the ISDA SIMM 2.1 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    CTRiskThresholdContainer24
    CTRiskThresholdContainer24 holds the ISDA SIMM 2.4 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    CTSettingsContainer20
    CTSettingsContainer20 holds the ISDA SIMM 2.0 Commodity Buckets and their Correlations.
    CTSettingsContainer21
    CTSettingsContainer21 holds the ISDA SIMM 2.1 Commodity Buckets and their Correlations.
    CTSettingsContainer24
    CTSettingsContainer24 holds the ISDA SIMM 2.4 Commodity Buckets and their Correlations.
    CTSystemics20
    CTSystemics20 contains the SIMM 2.0 Systemic Settings Common to Commodity Risk Factors.
    CTSystemics21
    CTSystemics21 contains the SIMM 2.1 Systemic Settings Common to Commodity Risk Factors.
    CTSystemics24
    CTSystemics24 contains the SIMM 2.4 Systemic Settings Common to Commodity Risk Factors.