Package org.drip.simm.common

Common Cross Risk Factor Utilities
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    Chargram
    Chargram contains the 2-4 Character Code that identifies a specific Risk Class.
    CrossRiskClassCorrelation20
    CrossRiskClassCorrelation20 contains the SIMM 2.0 Correlation between the Different Risk Classes.
    CrossRiskClassCorrelation21
    CrossRiskClassCorrelation21 contains the SIMM 2.1 Correlation between the Different Risk Classes.
    CrossRiskClassCorrelation24
    CrossRiskClassCorrelation24 contains the SIMM 2.4 Correlation between the Different Risk Classes.
    DeltaVegaThreshold
    DeltaVegaThreshold holds the ISDA SIMM Delta/Vega Limits defined for the Concentration Thresholds.
    ISDASettingsContainer
    ISDASettingsContainer holds the ISDA SIMM Risk Weights/Correlations for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
    ProductClassMultiplicativeScale
    ProductClassMultiplicativeScale holds the Multiplicative Scales Minimum/Default Values for the Four Product Classes - RatesFX, Credit, Equity, and Commodity.
    RiskFactorThresholdContainer
    RiskFactorThresholdContainer holds the ISDA SIMM 2.0 Risk Factor Thresholds - the Concentration Limits for Interest Rate, Credit Spread, Equity, Commodity, and FX Risk Factors.