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
It provides the following Functionality:
  • The "Emerging Markets" Region
  • The "Developed Markets" Region
  • The "All" Region
  • Array of Developed Countries

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" 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()