Uses of Package
org.drip.simm.foundation
| Package | Description |
|---|---|
| org.drip.simm.commodity |
Commodity Risk Factor Calibration Settings
|
| org.drip.simm.equity |
Equity Risk Factor Calibration Settings
|
| org.drip.simm.estimator |
ISDA SIMM Core + Add-On Estimator
|
| org.drip.simm.foundation |
Foundation Utilities for ISDA SIMM
|
| org.drip.simm.fx |
FX Risk Factor Calibration Settings
|
| org.drip.simm.product |
ISDA SIMM Risk Factor Sensitivities
|
| org.drip.simm.rates |
SIMM IR Risk Factor Settings
|
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Classes in org.drip.simm.foundation used by org.drip.simm.commodity Class Description RiskGroupPrincipalCovariance RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance. -
Classes in org.drip.simm.foundation used by org.drip.simm.equity Class Description RiskGroupPrincipalCovariance RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance. -
Classes in org.drip.simm.foundation used by org.drip.simm.estimator Class Description MarginEstimationSettings MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation. -
Classes in org.drip.simm.foundation used by org.drip.simm.foundation Class Description CurvatureEstimator CurvatureEstimator exposes the Curvature Margin Estimation using the Curvature Sensitivities.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.CurvatureResponse CurvatureResponse exposes the Calculation of the Curvature Co-variance Scaling Factor (lambda) using the Cumulative Curvature Sensitivities.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. -
Classes in org.drip.simm.foundation used by org.drip.simm.fx Class Description RiskGroupPrincipalCovariance RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance. -
Classes in org.drip.simm.foundation used by org.drip.simm.product Class Description MarginEstimationSettings MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation. -
Classes in org.drip.simm.foundation used by org.drip.simm.rates Class Description RiskGroupPrincipalCovariance RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance.