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




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()