Package org.drip.simm.fx

Class FXVolatilityGroup

java.lang.Object
org.drip.simm.fx.FXVolatilityGroup
public class FXVolatilityGroup
extends java.lang.Object
FXVolatilityGroup contains the SIMM 2.4 FX Volatility Group. 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:
  • FXVolatilityGroup Constructor
  • FX Volatility Group Name
  • FX Volatility Group Constituent Currency Array
  • Indicate if the Specified Currency if available in the Component 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
    FXVolatilityGroup​(java.lang.String name, java.lang.String[] componentCurrencyArray)
    FXVolatilityGroup Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String[] componentCurrencyArray()
    FX Volatility Group Constituent Currency Array
    boolean contains​(java.lang.String currency)
    Indicate if the Specified Currency if available in the Component Currency Array
    java.lang.String name()
    FX Volatility Group Name

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FXVolatilityGroup

      public FXVolatilityGroup​(java.lang.String name, java.lang.String[] componentCurrencyArray) throws java.lang.Exception
      FXVolatilityGroup Constructor
      Parameters:
      name - Name
      componentCurrencyArray - Constituent Currency Array
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • name

      public java.lang.String name()
      FX Volatility Group Name
      Returns:
      The FX Volatility Group Name

    • componentCurrencyArray

      public java.lang.String[] componentCurrencyArray()
      FX Volatility Group Constituent Currency Array
      Returns:
      The FX Volatility Group Constituent Currency Array

    • contains

      public boolean contains​(java.lang.String currency)
      Indicate if the Specified Currency if available in the Component Currency Array
      Parameters:
      currency - Specified Currency
      Returns:
      TRUE - The Specified Currency if available in the Component Currency Array