Package org.drip.simm.margin

ISDA SIMM Risk Factor Margin Metrics
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BucketAggregate
    BucketAggregate holds the Single Bucket Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the Aggregate Risk Factor Maps.
    BucketAggregateCR
    BucketAggregateCR holds the Single Bucket CR Sensitivity Margin, the Cumulative CR Bucket Risk Factor Sensitivity Margin, as well as the Aggregate CR Risk Factor Maps.
    BucketAggregateIR
    BucketAggregateIR holds the Single Bucket IR Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the IR Aggregate Risk Factor Maps.
    RiskClassAggregate
    RiskClassAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
    RiskClassAggregateCR
    RiskClassAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
    RiskClassAggregateIR
    RiskClassAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Class.
    RiskFactorAggregate
    RiskFactorAggregate holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with the Normalization Factors.
    RiskFactorAggregateCR
    RiskFactorAggregateCR holds the Sensitivity Margin Aggregates for each of the CR Risk Factors - both Qualifying and Non-qualifying.
    RiskFactorAggregateIR
    RiskFactorAggregateIR holds the Sensitivity Margin Aggregates for each of the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.
    RiskMeasureAggregate
    RiskMeasureAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure.
    RiskMeasureAggregateCR
    RiskMeasureAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure.
    RiskMeasureAggregateIR
    RiskMeasureAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Measure.
    SensitivityAggregateCR
    SensitivityAggregateCR holds the IM Margin Sensitivity Co-variances within a single Bucket for each of the CR Component Risk Factors.
    SensitivityAggregateIR
    SensitivityAggregateIR holds the IM Margin Sensitivity Co-variances within a single Currency for each of the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.