Package org.drip.simm.parameters

ISDA SIMM Risk Factor Parameters

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BucketCurvatureSettings	BucketCurvatureSettings holds the ISDA SIMM Curvature Settings for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
BucketCurvatureSettingsCR	BucketCurvatureSettingsCR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Currency Curve and its Tenor.
BucketCurvatureSettingsIR	BucketCurvatureSettingsIR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
BucketSensitivitySettings	BucketSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Sensitivities.
BucketSensitivitySettingsCR	BucketSensitivitySettingsCR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Credit Curve and its Tenor.
BucketSensitivitySettingsIR	BucketSensitivitySettingsIR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
BucketVegaSettings	BucketVegaSettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Vega Sensitivities.
BucketVegaSettingsCR	BucketVegaSettingsCR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Credit Curve and its Tenor.
BucketVegaSettingsIR	BucketVegaSettingsIR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
LiquiditySettings	LiquiditySettings exposes the Concentration Thresholds for each Risk Factor.
RiskClassSensitivitySettings	RiskClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Class Buckets.
RiskClassSensitivitySettingsCR	RiskClassSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR Risk Class Buckets.
RiskClassSensitivitySettingsIR	RiskClassSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR Risk Class Buckets.
RiskMeasureSensitivitySettings	RiskMeasureSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Measure Buckets.
RiskMeasureSensitivitySettingsCR	RiskMeasureSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR Class Risk Measure Buckets.
RiskMeasureSensitivitySettingsIR	RiskMeasureSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR Class Risk Measure Buckets.