Package org.drip.simm.credit

Credit Qualifying/Non-Qualifying Risk Factor Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CRBucket
    CRBucket holds the ISDA SIMM Credit Quality, Sector List, and Risk Weights for a given Credit Qualifying/Non-Qualifying Issuer Exposure Bucket.
    CRNQBucketCorrelation20
    CRNQBucketCorrelation20 contains the SIMM 2.0 between the Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Non-Qualifying Buckets.
    CRNQBucketCorrelation21
    CRNQBucketCorrelation21 contains the SIMM 2.1 between the Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Non-Qualifying Buckets.
    CRNQBucketCorrelation24
    CRNQBucketCorrelation24 contains the SIMM 2.4 between the Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Non-Qualifying Buckets.
    CRNQSettingsContainer20
    CRNQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Non-Qualifying Buckets.
    CRNQSettingsContainer21
    CRNQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Non-Qualifying Buckets.
    CRNQSettingsContainer24
    CRNQSettingsContainer24 holds the ISDA SIMM 2.4 Credit Non-Qualifying Buckets.
    CRNQSystemics20
    CRNQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Non-Qualifying Risk Factors.
    CRNQSystemics21
    CRNQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Non-Qualifying Risk Factors.
    CRNQSystemics24
    CRNQSystemics24 contains the SIMM 2.4 Systemic Settings of the Credit Non-Qualifying Risk Factors.
    CRQBucketCorrelation20
    CRQBucketCorrelation20 contains the between the SIMM 2.0 Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Qualifying Buckets.
    CRQBucketCorrelation21
    CRQBucketCorrelation21 contains the between the SIMM 2.1 Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Qualifying Buckets.
    CRQBucketCorrelation24
    CRQBucketCorrelation24 contains the between the SIMM 2.4 Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Qualifying Buckets.
    CRQSettingsContainer20
    CRQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Qualifying Buckets.
    CRQSettingsContainer21
    CRQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Qualifying Buckets.
    CRQSettingsContainer24
    CRQSettingsContainer24 holds the ISDA SIMM 2.4 Credit Qualifying Buckets.
    CRQSystemics20
    CRQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Qualifying Risk Factors.
    CRQSystemics21
    CRQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Qualifying Risk Factors.
    CRQSystemics24
    CRQSystemics24 contains the SIMM 2.4 Systemic Settings of the Credit Qualifying Risk Factors.
    CRSystemics
    CRSystemics contains the Systemic Settings Common to both Qualifying and Non-Qualifying Credit Risk Factors.
    CRThresholdContainer20
    CRThresholdContainer20 holds the ISDA SIMM 2.0 Credit Risk Thresholds - the Credit Risk Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    CRThresholdContainer21
    CRThresholdContainer21 holds the ISDA SIMM 2.1 Credit Risk Thresholds - the Credit Risk Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    CRThresholdContainer24
    CRThresholdContainer24 holds the ISDA SIMM 2.4 Credit Risk Thresholds - the Credit Risk Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    SectorSystemics
    SectorSystemics contains the Systemic Settings that hold Sector-related Information.