Package org.drip.simm.foundation

Foundation Utilities for ISDA SIMM
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    CurvatureEstimator
    CurvatureEstimator exposes the Curvature Margin Estimation using the Curvature Sensitivities.
    CurvatureResponse
    CurvatureResponse exposes the Calculation of the Curvature Co-variance Scaling Factor (lambda) using the Cumulative Curvature Sensitivities.
  • Class Summary
    Class Description
    CurvatureEstimatorFRTB
    CurvatureEstimatorFRTB estimates the Curvature Margin from the Curvature Sensitivities using the FRTB Curvature Margin Estimate.
    CurvatureEstimatorISDADelta
    CurvatureEstimatorISDADelta estimates the Curvature Margin from the Curvature Sensitivities using the ISDA Delta Curvature Margin Estimate.
    CurvatureEstimatorResponseFunction
    CurvatureEstimatorResponseFunction estimates the Curvature Margin from the Curvature Sensitivities using the Curvature Response Function.
    CurvatureResponseCornishFischer
    CurvatureResponseCornishFischer computes the Curvature Co-variance Scaling Factor using the Cumulative Curvature Sensitivities.
    MarginEstimationSettings
    MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation.
    RiskGroupPrincipalCovariance
    RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance.