Package org.drip.simm.equity

Equity Risk Factor Calibration Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    EQBucket
    EQBucket holds the ISDA SIMM Region, Sector, Member Correlation, and Risk Weights for a given Equity Issuer Exposure Bucket.
    EQRiskThresholdContainer20
    EQRiskThresholdContainer20 holds the ISDA SIMM 2.0 Equity Risk Thresholds - the Equity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    EQRiskThresholdContainer21
    EQRiskThresholdContainer21 holds the ISDA SIMM 2.1 Equity Risk Thresholds - the Equity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    EQRiskThresholdContainer24
    EQRiskThresholdContainer24 holds the ISDA SIMM 2.4 Equity Risk Thresholds - the Equity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
    EQSettingsContainer20
    EQSettingsContainer20 holds the ISDA SIMM 2.0 Equity Buckets and their Correlations.
    EQSettingsContainer21
    EQSettingsContainer21 holds the ISDA SIMM 2.1 Equity Buckets and their Correlations.
    EQSettingsContainer24
    EQSettingsContainer24 holds the ISDA SIMM 2.4 Equity Buckets and their Correlations.
    EQSystemics20
    EQSystemics20 contains the SIMM 2.0 Systemic Settings common to all Equity Risk Factors.
    EQSystemics21
    EQSystemics21 contains the SIMM 2.1 Systemic Settings common to all Equity Risk Factors.
    EQSystemics24
    EQSystemics24 contains the SIMM 2.4 Systemic Settings common to all Equity Risk Factors.
    MarketCapitalizationSystemics
    MarketCapitalizationSystemics contains the Systemic Settings that contain the Market Capitalization Classification.
    RegionSystemics
    RegionSystemics contains the Systemic Settings that contain the Region Details.