Uses of Package
org.drip.simm.parameters
| 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.parameters |
ISDA SIMM Risk Factor Parameters
|
| org.drip.simm.product |
ISDA SIMM Risk Factor Sensitivities
|
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Classes in org.drip.simm.parameters used by org.drip.simm.estimator Class Description 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. -
Classes in org.drip.simm.parameters used by org.drip.simm.margin Class Description 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. -
Classes in org.drip.simm.parameters used by org.drip.simm.parameters 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. -
Classes in org.drip.simm.parameters used by org.drip.simm.product Class Description 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.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.