Package org.drip.simm.fx

Class FXSystemics24

java.lang.Object
org.drip.simm.fx.FXSystemics24
public class FXSystemics24
extends java.lang.Object
FXSystemics24 contains the SIMM 2.4 Systemic Settings Common to FX Risk Factors. 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf
It provides the following Functionality:
  • FX Risk Class Delta Risk Weight for Regular Given and Regular Calculation Currency Pair
  • FX Risk Class Delta Risk Weight for High Given and Regular Calculation Currency Pair
  • FX Risk Class Delta Risk Weight for Regular Given and High Calculation Currency Pair
  • FX Risk Class Delta Risk Weight for High Given and High Calculation Currency Pair
  • FX Risk Class Historical Volatility Ratio (HVR)
  • FX Risk Class Vega Risk Weight (VRW)
  • FX Pair Correlation: Calculation Currency - Regular; Regular/Regular FX Pair
  • FX Pair Correlation: Calculation Currency - Regular; Regular/High FX Pair
  • FX Pair Correlation: Calculation Currency - Regular; High/Regular FX Pair
  • FX Pair Correlation: Calculation Currency - Regular; High/High FX Pair
  • FX Pair Correlation: Calculation Currency - High; Regular/Regular FX Pair
  • FX Pair Correlation: Calculation Currency - High; Regular/High FX Pair
  • FX Pair Correlation: Calculation Currency - High; High/Regular FX Pair
  • FX Pair Correlation: Calculation Currency - High; High/High FX Pair
  • FX Risk Class Volatility/Curvature Correlation

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

  • Field Details

    • REGULAR_REGULAR_DELTA_RISK_WEIGHT

      public static final double REGULAR_REGULAR_DELTA_RISK_WEIGHT
      FX Risk Class Delta Risk Weight for Regular Given and Regular Calculation Currency Pair
      See Also:
      Constant Field Values

    • HIGH_REGULAR_DELTA_RISK_WEIGHT

      public static final double HIGH_REGULAR_DELTA_RISK_WEIGHT
      FX Risk Class Delta Risk Weight for High Given and Regular Calculation Currency Pair
      See Also:
      Constant Field Values

    • REGULAR_HIGH_DELTA_RISK_WEIGHT

      public static final double REGULAR_HIGH_DELTA_RISK_WEIGHT
      FX Risk Class Delta Risk Weight for Regular Given and High Calculation Currency Pair
      See Also:
      Constant Field Values

    • HIGH_HIGH_DELTA_RISK_WEIGHT

      public static final double HIGH_HIGH_DELTA_RISK_WEIGHT
      FX Risk Class Delta Risk Weight for High Given and High Calculation Currency Pair
      See Also:
      Constant Field Values

    • HISTORICAL_VOLATILITY_RATIO

      public static final double HISTORICAL_VOLATILITY_RATIO
      FX Risk Class Historical Volatility Ratio (HVR)
      See Also:
      Constant Field Values

    • VEGA_RISK_WEIGHT

      public static final double VEGA_RISK_WEIGHT
      FX Risk Class Vega Risk Weight (VRW)
      See Also:
      Constant Field Values

    • REGULAR_REGULAR_REGULAR_CORRELATION

      public static final double REGULAR_REGULAR_REGULAR_CORRELATION
      FX Pair Correlation: Calculation Currency - Regular; Regular/Regular FX Pair
      See Also:
      Constant Field Values

    • REGULAR_REGULAR_HIGH_CORRELATION

      public static final double REGULAR_REGULAR_HIGH_CORRELATION
      FX Pair Correlation: Calculation Currency - Regular; Regular/High FX Pair
      See Also:
      Constant Field Values

    • REGULAR_HIGH_REGULAR_CORRELATION

      public static final double REGULAR_HIGH_REGULAR_CORRELATION
      FX Pair Correlation: Calculation Currency - Regular; High/Regular FX Pair
      See Also:
      Constant Field Values

    • REGULAR_HIGH_HIGH_CORRELATION

      public static final double REGULAR_HIGH_HIGH_CORRELATION
      FX Pair Correlation: Calculation Currency - Regular; High/High FX Pair
      See Also:
      Constant Field Values

    • HIGH_REGULAR_REGULAR_CORRELATION

      public static final double HIGH_REGULAR_REGULAR_CORRELATION
      FX Pair Correlation: Calculation Currency - High; Regular/Regular FX Pair
      See Also:
      Constant Field Values

    • HIGH_REGULAR_HIGH_CORRELATION

      public static final double HIGH_REGULAR_HIGH_CORRELATION
      FX Pair Correlation: Calculation Currency - High; Regular/High FX Pair
      See Also:
      Constant Field Values

    • HIGH_HIGH_REGULAR_CORRELATION

      public static final double HIGH_HIGH_REGULAR_CORRELATION
      FX Pair Correlation: Calculation Currency - High; High/Regular FX Pair
      See Also:
      Constant Field Values

    • HIGH_HIGH_HIGH_CORRELATION

      public static final double HIGH_HIGH_HIGH_CORRELATION
      FX Pair Correlation: Calculation Currency - High; High/High FX Pair
      See Also:
      Constant Field Values

    • VOLATILITY_CURVATURE_CORRELATION

      public static final double VOLATILITY_CURVATURE_CORRELATION
      FX Risk Class Volatility/Curvature Correlation
      See Also:
      Constant Field Values

  • Constructor Details

    • FXSystemics24

      public FXSystemics24()