Package org.drip.simm.equity

Class MarketCapitalizationSystemics

java.lang.Object
org.drip.simm.equity.MarketCapitalizationSystemics
public class MarketCapitalizationSystemics
extends java.lang.Object
MarketCapitalizationSystemics contains the Systemic Settings that contain the Market Capitalization Classification. 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 "Large" Market Capitalization
  • The "Small" Market Capitalization
  • The "All" Market Capitalization
  • Cutoff for the Large Market Capitalization

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Equity Risk Factor Calibration Settings

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String ALL
    The "All" Market Capitalization
    static java.lang.String LARGE
    The "Large" Market Capitalization
    static double LARGE_MARKET_CAPITALIZATION_CUTOFF
    Cutoff for the Large Market Capitalization
    static java.lang.String SMALL
    The "Small" Market Capitalization

  • Constructor Summary

    Constructors
    Constructor Description
    MarketCapitalizationSystemics()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • LARGE

      public static final java.lang.String LARGE
      The "Large" Market Capitalization
      See Also:
      Constant Field Values

    • SMALL

      public static final java.lang.String SMALL
      The "Small" Market Capitalization
      See Also:
      Constant Field Values

    • ALL

      public static final java.lang.String ALL
      The "All" Market Capitalization
      See Also:
      Constant Field Values

    • LARGE_MARKET_CAPITALIZATION_CUTOFF

      public static final double LARGE_MARKET_CAPITALIZATION_CUTOFF
      Cutoff for the Large Market Capitalization
      See Also:
      Constant Field Values

  • Constructor Details

    • MarketCapitalizationSystemics

      public MarketCapitalizationSystemics()