Package org.drip.simm.equity

Class RegionSystemics

java.lang.Object
org.drip.simm.equity.RegionSystemics
public class RegionSystemics
extends java.lang.Object
RegionSystemics contains the Systemic Settings that contain the Region Details. 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




Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String ALL
    The "All" Region
    static java.lang.String[] DEVELOPED_COUNTRIES
    Array of Developed Countries
    static java.lang.String DEVELOPED_MARKETS
    The "Developed Markets" Region
    static java.lang.String EMERGING_MARKETS
    The "Emerging Markets" Region

  • Constructor Summary

    Constructors
    Constructor Description
    RegionSystemics()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • EMERGING_MARKETS

      public static final java.lang.String EMERGING_MARKETS
      The "Emerging Markets" Region
      See Also:
      Constant Field Values

    • DEVELOPED_MARKETS

      public static final java.lang.String DEVELOPED_MARKETS
      The "Developed Markets" Region
      See Also:
      Constant Field Values

    • ALL

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

    • DEVELOPED_COUNTRIES

      public static final java.lang.String[] DEVELOPED_COUNTRIES
      Array of Developed Countries

  • Constructor Details

    • RegionSystemics

      public RegionSystemics()