Package org.drip.simm.fx

Class FXVolatilityGroupContainer24

java.lang.Object
org.drip.simm.fx.FXVolatilityGroupContainer24
public class FXVolatilityGroupContainer24
extends java.lang.Object
FXVolatilityGroupContainer24 contains the SIMM 2.4 FX Volatility Group Settings. 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FXVolatilityGroupContainer24()  

  • Method Summary

    Modifier and Type Method Description
    static boolean Init()
    Initialize the FX Volatility Group Threshold Container
    static boolean IsCurrencyHigh​(java.lang.String currency)
    Indicate if the Specified Currency is of High Volatility
    static boolean IsCurrencyRegular​(java.lang.String currency)
    Indicate if the Specified Currency is of Regular Volatility
    static double RiskWeight​(java.lang.String givenCurrency, java.lang.String calculationCurrency)
    Get the Risk Weight for the Currency Pair

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FXVolatilityGroupContainer24

      public FXVolatilityGroupContainer24()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the FX Volatility Group Threshold Container
      Returns:
      TRUE - The FX Volatility Group Threshold Container

    • IsCurrencyRegular

      public static final boolean IsCurrencyRegular​(java.lang.String currency)
      Indicate if the Specified Currency is of Regular Volatility
      Parameters:
      currency - Specified Currency
      Returns:
      TRUE - The Specified Currency is of Regular Volatility

    • IsCurrencyHigh

      public static final boolean IsCurrencyHigh​(java.lang.String currency)
      Indicate if the Specified Currency is of High Volatility
      Parameters:
      currency - Specified Currency
      Returns:
      TRUE - The Specified Currency is of High Volatility

    • RiskWeight

      public static final double RiskWeight​(java.lang.String givenCurrency, java.lang.String calculationCurrency)
      Get the Risk Weight for the Currency Pair
      Parameters:
      givenCurrency - Given Currency
      calculationCurrency - Calculation Currency
      Returns:
      Risk Weight for the Currency Pair