Package org.drip.simm.common

Class ISDASettingsContainer

java.lang.Object
org.drip.simm.common.ISDASettingsContainer
public class ISDASettingsContainer
extends java.lang.Object
ISDASettingsContainer holds the ISDA SIMM Risk Weights/Correlations for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange. The corresponding Concentration Thresholds are also contained. 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:
  • Initial the ISDA Settings Container

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
    ISDASettingsContainer()  

  • Method Summary

    Modifier and Type Method Description
    static boolean Init()
    Initial the ISDA Settings Container

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ISDASettingsContainer

      public ISDASettingsContainer()

  • Method Details

    • Init

      public static final boolean Init()
      Initial the ISDA Settings Container
      Returns:
      TRUE - The ISDA Settings Container successfully initialized