Package org.drip.simm.estimator

ISDA SIMM Core + Add-On Estimator
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AdditionalInitialMargin
    AdditionalInitialMargin holds the Additional Initial Margin along with the Product Specific Add-On Components.
    ProductClassMargin
    ProductClassMargin holds the Initial Margin Estimates for a Single Product Class across the Six Risk Factors - Interest Rate, Credit Qualifying, Credit Non-Qualifying, Equity, Commodity, and FX.
    ProductClassSensitivity
    ProductClassSensitivity holds the multiple Risk Class Sensitivities for a single Product Class.
    ProductClassSettings
    ProductClassSettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Product Classes.