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
- 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 Categoryjava.lang.String[]
currencyArray()
Retrieve the FX Risk Currency Arrayjava.lang.String
description()
Retrieve the FX Risk Group DescriptionMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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FXRiskGroup
public FXRiskGroup(int category, java.lang.String description, java.lang.String[] currencyArray) throws java.lang.ExceptionFXRiskGroup Constructor- Parameters:
category
- The FX Risk Group Categorydescription
- The FX Risk Group DescriptioncurrencyArray
- The FX Risk Group Currency Array- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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category
public int category()Retrieve the FX Risk Group Category- Returns:
- The FX Risk Group Category
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description
public java.lang.String description()Retrieve the FX Risk Group Description- Returns:
- The FX Risk Group Description
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currencyArray
public java.lang.String[] currencyArray()Retrieve the FX Risk Currency Array- Returns:
- The FX Risk Currency Array
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