Package org.drip.simm.common

Class RiskFactorThresholdContainer

java.lang.Object
org.drip.simm.common.RiskFactorThresholdContainer
public class RiskFactorThresholdContainer
extends java.lang.Object
RiskFactorThresholdContainer holds the ISDA SIMM 2.0 Risk Factor Thresholds - the Concentration Limits for Interest Rate, Credit Spread, Equity, Commodity, and FX Risk Factors. 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

  • Constructor Summary

    Constructors
    Constructor Description
    RiskFactorThresholdContainer()  

  • Method Summary

    Modifier and Type Method Description
    static boolean Init()
    Initialize the Risk Factor Threshold Container

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskFactorThresholdContainer

      public RiskFactorThresholdContainer()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Risk Factor Threshold Container
      Returns:
      TRUE - The Risk Factor Threshold Container successfully initialized