Package org.drip.simm.common

Class CrossRiskClassCorrelation24

java.lang.Object
org.drip.simm.common.CrossRiskClassCorrelation24
public class CrossRiskClassCorrelation24
extends java.lang.Object
CrossRiskClassCorrelation24 contains the SIMM 2.4 Correlation between the Different Risk Classes. 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf
It provides the following Functionality:
  • Correlation between Interest Rate and Credit Qualifying Risk Classes
  • Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
  • Correlation between Interest Rate and Equity Risk Classes
  • Correlation between Interest Rate and Commodity Risk Classes
  • Correlation between Interest Rate and FX Risk Classes
  • Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
  • Correlation between Credit Qualifying and Equity Risk Classes
  • Correlation between Credit Qualifying and Commodity Risk Classes
  • Correlation between Credit Qualifying and FX Risk Classes
  • Correlation between Credit Non Qualifying and Equity Risk Classes
  • Correlation between Credit Non Qualifying and Commodity Risk Classes
  • Correlation between Credit Non Qualifying and FX Risk Classes
  • Correlation between Equity and Commodity Risk Classes
  • Correlation between Equity and FX Risk Classes
  • Correlation between Commodity and FX Risk Classes
  • Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance

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

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static double CRNQ_CT
    Correlation between Credit Non Qualifying and Commodity Risk Classes
    static double CRNQ_EQ
    Correlation between Credit Non Qualifying and Equity Risk Classes
    static double CRNQ_FX
    Correlation between Credit Non Qualifying and FX Risk Classes
    static double CRQ_CRNQ
    Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
    static double CRQ_CT
    Correlation between Credit Qualifying and Commodity Risk Classes
    static double CRQ_EQ
    Correlation between Credit Qualifying and Equity Risk Classes
    static double CRQ_FX
    Correlation between Credit Qualifying and FX Risk Classes
    static double CT_FX
    Correlation between Commodity and FX Risk Classes
    static double EQ_CT
    Correlation between Equity and Commodity Risk Classes
    static double EQ_FX
    Correlation between Equity and FX Risk Classes
    static double IR_CRNQ
    Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
    static double IR_CRQ
    Correlation between Interest Rate and Credit Qualifying Risk Classes
    static double IR_CT
    Correlation between Interest Rate and Commodity Risk Classes
    static double IR_EQ
    Correlation between Interest Rate and Equity Risk Classes
    static double IR_FX
    Correlation between Interest Rate and FX Risk Classes

  • Constructor Summary

    Constructors
    Constructor Description
    CrossRiskClassCorrelation24()  

  • Method Summary

    Modifier and Type Method Description
    static LabelCorrelation Matrix()
    Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • IR_CRQ

      public static final double IR_CRQ
      Correlation between Interest Rate and Credit Qualifying Risk Classes
      See Also:
      Constant Field Values

    • IR_CRNQ

      public static final double IR_CRNQ
      Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
      See Also:
      Constant Field Values

    • IR_EQ

      public static final double IR_EQ
      Correlation between Interest Rate and Equity Risk Classes
      See Also:
      Constant Field Values

    • IR_CT

      public static final double IR_CT
      Correlation between Interest Rate and Commodity Risk Classes
      See Also:
      Constant Field Values

    • IR_FX

      public static final double IR_FX
      Correlation between Interest Rate and FX Risk Classes
      See Also:
      Constant Field Values

    • CRQ_CRNQ

      public static final double CRQ_CRNQ
      Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
      See Also:
      Constant Field Values

    • CRQ_EQ

      public static final double CRQ_EQ
      Correlation between Credit Qualifying and Equity Risk Classes
      See Also:
      Constant Field Values

    • CRQ_CT

      public static final double CRQ_CT
      Correlation between Credit Qualifying and Commodity Risk Classes
      See Also:
      Constant Field Values

    • CRQ_FX

      public static final double CRQ_FX
      Correlation between Credit Qualifying and FX Risk Classes
      See Also:
      Constant Field Values

    • CRNQ_EQ

      public static final double CRNQ_EQ
      Correlation between Credit Non Qualifying and Equity Risk Classes
      See Also:
      Constant Field Values

    • CRNQ_CT

      public static final double CRNQ_CT
      Correlation between Credit Non Qualifying and Commodity Risk Classes
      See Also:
      Constant Field Values

    • CRNQ_FX

      public static final double CRNQ_FX
      Correlation between Credit Non Qualifying and FX Risk Classes
      See Also:
      Constant Field Values

    • EQ_CT

      public static final double EQ_CT
      Correlation between Equity and Commodity Risk Classes
      See Also:
      Constant Field Values

    • EQ_FX

      public static final double EQ_FX
      Correlation between Equity and FX Risk Classes
      See Also:
      Constant Field Values

    • CT_FX

      public static final double CT_FX
      Correlation between Commodity and FX Risk Classes
      See Also:
      Constant Field Values

  • Constructor Details

    • CrossRiskClassCorrelation24

      public CrossRiskClassCorrelation24()

  • Method Details

    • Matrix

      public static final LabelCorrelation Matrix()
      Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
      Returns:
      The Risk Class Correlation Matrix