Uses of Class
org.drip.simm.parameters.RiskClassSensitivitySettings

Packages that use RiskClassSensitivitySettings

Package	Description
org.drip.simm.estimator	ISDA SIMM Core + Add-On Estimator
org.drip.simm.parameters	ISDA SIMM Risk Factor Parameters
org.drip.simm.product	ISDA SIMM Risk Factor Sensitivities

Uses of RiskClassSensitivitySettings in org.drip.simm.estimator

Methods in org.drip.simm.estimator that return RiskClassSensitivitySettings

Modifier and Type	Method	Description
RiskClassSensitivitySettings	ProductClassSettings.commodityRiskClassSensitivitySettings()	Retrieve the Commodity Risk Class Sensitivity Settings
RiskClassSensitivitySettings	ProductClassSettings.equityRiskClassSensitivitySettings()	Retrieve the Equity Risk Class Sensitivity Settings
RiskClassSensitivitySettings	ProductClassSettings.fxRiskClassSensitivitySettings()	Retrieve the FX Risk Class Sensitivity Settings

Constructors in org.drip.simm.estimator with parameters of type RiskClassSensitivitySettings

Constructor

Description

ProductClassSettings(RiskClassSensitivitySettings equityRiskClassSensitivitySettings, RiskClassSensitivitySettings commodityRiskClassSensitivitySettings, RiskClassSensitivitySettings fxRiskClassSensitivitySettings, RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditQualifyingRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditNonQualifyingRiskClassSensitivitySettings, LabelCorrelation labelCorrelation)

ProductClassSettings Constructor

Uses of RiskClassSensitivitySettings in org.drip.simm.parameters

Methods in org.drip.simm.parameters that return RiskClassSensitivitySettings

Modifier and Type	Method	Description
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_CT_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_CT_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_CT_24(int vegaDurationDays)	Generate the ISDA 2.4 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_EQ_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_EQ_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_EQ_24(int vegaDurationDays)	Generate the ISDA 2.4 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_FX_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard FX Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_FX_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard FX Sensitivity Settings
static RiskClassSensitivitySettings	RiskClassSensitivitySettings.ISDA_FX_24(int vegaDurationDays, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Generate the ISDA 2.4 Standard FX Sensitivity Settings

Uses of RiskClassSensitivitySettings in org.drip.simm.product

Methods in org.drip.simm.product with parameters of type RiskClassSensitivitySettings

Modifier and Type	Method	Description
RiskClassAggregate	RiskClassSensitivity.aggregate(RiskClassSensitivitySettings riskClassSensitivitySettings, MarginEstimationSettings marginEstimationSettings)	Compute the Risk Class Sensitivity Aggregate