Uses of Package
org.drip.simm.margin
| Package | Description |
|---|---|
| org.drip.simm.estimator |
ISDA SIMM Core + Add-On Estimator
|
| org.drip.simm.margin |
ISDA SIMM Risk Factor Margin Metrics
|
| org.drip.simm.product |
ISDA SIMM Risk Factor Sensitivities
|
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Classes in org.drip.simm.margin used by org.drip.simm.estimator Class Description 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. -
Classes in org.drip.simm.margin used by org.drip.simm.margin 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.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. -
Classes in org.drip.simm.margin used by org.drip.simm.product 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.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.