Package org.drip.simm.credit

Class SectorSystemics

java.lang.Object
org.drip.simm.credit.SectorSystemics
public class SectorSystemics
extends java.lang.Object
SectorSystemics contains the Systemic Settings that hold Sector-related Information. 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 Sovereigns Sector
  • The Financials Sector
  • The Basic Materials Sector
  • The Consumer Sector
  • The Technology/Media/Telecommunications Sector
  • The Local Services Sector
  • The RMBS/CMBS Sector
  • The "Residual" Sector
  • The Consumer Services Sector
  • The Telecommunications/Industrials Sector
  • The Heavy Industrials Sector
  • The Investment Sector
  • The "All" Sector
  • The Indexes/Funds/ETF's Sector
  • The Volatility Index Sector

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Credit Qualifying/Non-Qualifying Risk Factor Settings

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String[] ALL
    The "All" Sector
    static java.lang.String[] BASIC_MATERIALS
    The Basic Materials Sector
    static java.lang.String[] CONSUMER
    The Consumer Sector
    static java.lang.String[] CONSUMER_SERVICES
    The Consumer Services Sector
    static java.lang.String[] FINANCIALS
    The Financials Sector
    static java.lang.String[] HEAVY_INDUSTRIALS
    The Heavy Industrials Sector
    static java.lang.String[] INDEX_FUND_ETF
    The Indexes/Funds/ETF's Sector
    static java.lang.String[] INVESTMENT
    The Investment Sector
    static java.lang.String[] LOCAL_SERVICES
    The Local Services Sector
    static java.lang.String[] RESIDUAL
    The "Residual" Sector
    static java.lang.String[] RMBS_CMBS
    The RMBS/CMBS Sector
    static java.lang.String[] SOVEREIGNS
    The Sovereigns Sector
    static java.lang.String[] TELECOMMUNICATIONS_INDUSTRIALS
    The Telecommunications/Industrials Sector
    static java.lang.String[] TMT
    The Technology/Media/Telecommunications Sector
    static java.lang.String[] VOLATILITY_INDEX
    The Volatility Index Sector

  • Constructor Summary

    Constructors
    Constructor Description
    SectorSystemics()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • SOVEREIGNS

      public static final java.lang.String[] SOVEREIGNS
      The Sovereigns Sector

    • FINANCIALS

      public static final java.lang.String[] FINANCIALS
      The Financials Sector

    • BASIC_MATERIALS

      public static final java.lang.String[] BASIC_MATERIALS
      The Basic Materials Sector

    • CONSUMER

      public static final java.lang.String[] CONSUMER
      The Consumer Sector

    • TMT

      public static final java.lang.String[] TMT
      The Technology/Media/Telecommunications Sector

    • LOCAL_SERVICES

      public static final java.lang.String[] LOCAL_SERVICES
      The Local Services Sector

    • RMBS_CMBS

      public static final java.lang.String[] RMBS_CMBS
      The RMBS/CMBS Sector

    • RESIDUAL

      public static final java.lang.String[] RESIDUAL
      The "Residual" Sector

    • CONSUMER_SERVICES

      public static final java.lang.String[] CONSUMER_SERVICES
      The Consumer Services Sector

    • TELECOMMUNICATIONS_INDUSTRIALS

      public static final java.lang.String[] TELECOMMUNICATIONS_INDUSTRIALS
      The Telecommunications/Industrials Sector

    • HEAVY_INDUSTRIALS

      public static final java.lang.String[] HEAVY_INDUSTRIALS
      The Heavy Industrials Sector

    • INVESTMENT

      public static final java.lang.String[] INVESTMENT
      The Investment Sector

    • ALL

      public static final java.lang.String[] ALL
      The "All" Sector

    • INDEX_FUND_ETF

      public static final java.lang.String[] INDEX_FUND_ETF
      The Indexes/Funds/ETF's Sector

    • VOLATILITY_INDEX

      public static final java.lang.String[] VOLATILITY_INDEX
      The Volatility Index Sector

  • Constructor Details

    • SectorSystemics

      public SectorSystemics()