Package org.drip.simm.fx

FX Risk Factor Calibration Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FXRiskGroup
    FXRiskGroup holds the ISDA SIMM FX Risk Group Concentration Categories and their Delta Limits.
    FXRiskThresholdContainer20
    FXRiskThresholdContainer20 holds the ISDA SIMM 2.0 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
    FXRiskThresholdContainer21
    FXRiskThresholdContainer21 holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
    FXRiskThresholdContainer24
    FXRiskThresholdContainer24 holds the ISDA SIMM 2.4 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
    FXSystemics20
    FXSystemics20 contains the SIMM 2.0 Systemic Settings Common to FX Risk Factors.
    FXSystemics21
    FXSystemics21 contains the SIMM 2.1 Systemic Settings Common to FX Risk Factors.
    FXSystemics24
    FXSystemics24 contains the SIMM 2.4 Systemic Settings Common to FX Risk Factors.
    FXVolatilityGroup
    FXVolatilityGroup contains the SIMM 2.4 FX Volatility Group.
    FXVolatilityGroupContainer24
    FXVolatilityGroupContainer24 contains the SIMM 2.4 FX Volatility Group Settings.