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
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
    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