java.lang.Object

org.drip.simm.common.Chargram

public class Chargram
extends java.lang.Object

Chargram contains the 2-4 Character Code that identifies a specific Risk Class. 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

Field Summary

Fields
Modifier and Type	Field	Description
`static java.lang.String`	`CRNQ`	The Credit Non-Qualifying Quatro-gram CRNQ
`static java.lang.String`	`CRQ`	The Credit Qualifying Trigram CRQ
`static java.lang.String`	`CT`	The Commodity Digram CT
`static java.lang.String`	`EQ`	The Equity Digram EQ
`static java.lang.String`	`FX`	The FX Digram FX
`static java.lang.String`	`IR`	The Interest Rate Digram IR

Constructor Summary

Constructors

Constructor Description

Chargram()
Method Summary

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

Class Chargram