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

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	Common Cross Risk Factor Utilities

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