Package org.drip.simm.common

Class DeltaVegaThreshold

java.lang.Object
org.drip.simm.common.DeltaVegaThreshold
public class DeltaVegaThreshold
extends java.lang.Object
DeltaVegaThreshold holds the ISDA SIMM Delta/Vega Limits defined for the Concentration Thresholds. 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:
  • DeltaVegaThreshold Constructor
  • Retrieve the Delta Concentration Threshold
  • Retrieve the Vega Concentration Threshold

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

  • Constructor Summary

    Constructors
    Constructor Description
    DeltaVegaThreshold​(double delta, double vega)
    DeltaVegaThreshold Constructor

  • Method Summary

    Modifier and Type Method Description
    double delta()
    Retrieve the Delta Concentration Threshold
    double vega()
    Retrieve the Vega Concentration Threshold

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • DeltaVegaThreshold

      public DeltaVegaThreshold​(double delta, double vega) throws java.lang.Exception
      DeltaVegaThreshold Constructor
      Parameters:
      delta - The Delta Concentration Threshold
      vega - The Vega Concentration Threshold
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • delta

      public double delta()
      Retrieve the Delta Concentration Threshold
      Returns:
      The Delta Concentration Threshold

    • vega

      public double vega()
      Retrieve the Vega Concentration Threshold
      Returns:
      The Vega Concentration Threshold