Package org.drip.simm.parameters

Class LiquiditySettings

java.lang.Object
org.drip.simm.parameters.LiquiditySettings
Direct Known Subclasses:
BucketSensitivitySettings, BucketSensitivitySettingsCR, BucketSensitivitySettingsIR
public abstract class LiquiditySettings
extends java.lang.Object
LiquiditySettings exposes the Concentration Thresholds for each Risk Factor. 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 (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
It provides the following Functionality:
  • Retrieve the Concentration Threshold

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package ISDA SIMM Risk Factor Parameters

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double concentrationThreshold()
    Retrieve the Concentration Threshold

    Methods inherited from class java.lang.Object

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

  • Method Details

    • concentrationThreshold

      public double concentrationThreshold()
      Retrieve the Concentration Threshold
      Returns:
      The Concentration Threshold