Package org.drip.simm.common

Class ProductClassMultiplicativeScale

java.lang.Object
org.drip.simm.common.ProductClassMultiplicativeScale
public class ProductClassMultiplicativeScale
extends java.lang.Object
ProductClassMultiplicativeScale holds the Multiplicative Scales Minimum/Default Values for the Four Product Classes - RatesFX, Credit, Equity, and Commodity. 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:
  • The RatesFX Multiplicative Factor Default (1.0)
  • The Credit Qualifying Multiplicative Factor Default (1.0)
  • The Credit Non-Qualifying Multiplicative Factor Default (1.0)
  • The Equity Multiplicative Factor Default (1.0)
  • The Commodity Multiplicative Factor Default (1.0)

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 MS_COMMODITY_DEFAULT
    The Commodity Multiplicative Factor Default (1.0)
    static double MS_CREDIT_NON_QUALIFYING_DEFAULT
    The Credit Non-Qualifying Multiplicative Factor Default (1.0)
    static double MS_CREDIT_QUALIFYING_DEFAULT
    The Credit Qualifying Multiplicative Factor Default (1.0)
    static double MS_EQUITY_DEFAULT
    The Equity Multiplicative Factor Default (1.0)
    static double MS_RATESFX_DEFAULT
    The RatesFX Multiplicative Factor Default (1.0)

  • Constructor Summary

    Constructors
    Constructor Description
    ProductClassMultiplicativeScale()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • MS_RATESFX_DEFAULT

      public static final double MS_RATESFX_DEFAULT
      The RatesFX Multiplicative Factor Default (1.0)
      See Also:
      Constant Field Values

    • MS_CREDIT_QUALIFYING_DEFAULT

      public static final double MS_CREDIT_QUALIFYING_DEFAULT
      The Credit Qualifying Multiplicative Factor Default (1.0)
      See Also:
      Constant Field Values

    • MS_CREDIT_NON_QUALIFYING_DEFAULT

      public static final double MS_CREDIT_NON_QUALIFYING_DEFAULT
      The Credit Non-Qualifying Multiplicative Factor Default (1.0)
      See Also:
      Constant Field Values

    • MS_EQUITY_DEFAULT

      public static final double MS_EQUITY_DEFAULT
      The Equity Multiplicative Factor Default (1.0)
      See Also:
      Constant Field Values

    • MS_COMMODITY_DEFAULT

      public static final double MS_COMMODITY_DEFAULT
      The Commodity Multiplicative Factor Default (1.0)
      See Also:
      Constant Field Values

  • Constructor Details

    • ProductClassMultiplicativeScale

      public ProductClassMultiplicativeScale()