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
It provides the following Functionality:
  • FXRiskGroup Constructor
  • Retrieve the FX Risk Group Category
  • Retrieve the FX Risk Group Description
  • Retrieve the FX Risk Currency Array

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package FX Risk Factor Calibration Settings

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