Package org.drip.simm.fx

Class FXRiskGroup

java.lang.Object
org.drip.simm.fx.FXRiskGroup
public class FXRiskGroup
extends java.lang.Object
FXRiskGroup holds the ISDA SIMM FX Risk Group Concentration Categories and their Delta Limits. 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FXRiskGroup​(int category, java.lang.String description, java.lang.String[] currencyArray)
    FXRiskGroup Constructor

  • Method Summary

    Modifier and Type Method Description
    int category()
    Retrieve the FX Risk Group Category
    java.lang.String[] currencyArray()
    Retrieve the FX Risk Currency Array
    java.lang.String description()
    Retrieve the FX Risk Group Description

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • FXRiskGroup

      public FXRiskGroup​(int category, java.lang.String description, java.lang.String[] currencyArray) throws java.lang.Exception
      FXRiskGroup Constructor
      Parameters:
      category - The FX Risk Group Category
      description - The FX Risk Group Description
      currencyArray - The FX Risk Group Currency Array
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • category

      public int category()
      Retrieve the FX Risk Group Category
      Returns:
      The FX Risk Group Category

    • description

      public java.lang.String description()
      Retrieve the FX Risk Group Description
      Returns:
      The FX Risk Group Description

    • currencyArray

      public java.lang.String[] currencyArray()
      Retrieve the FX Risk Currency Array
      Returns:
      The FX Risk Currency Array