Package org.drip.simm.product
Class CreditEntity
java.lang.Object
org.drip.simm.product.CreditEntity
public class CreditEntity
extends java.lang.Object
CreditEntity holds the SIMM specific Details of a Credit Entity. 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
- 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 Sensitivities
- Author:
- Lakshmi Krishnamurthy
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Constructor Summary
Constructors Constructor Description CreditEntity(java.lang.String id, java.lang.String name, java.lang.String family)
CreditEntity Constructor -
Method Summary
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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CreditEntity
public CreditEntity(java.lang.String id, java.lang.String name, java.lang.String family) throws java.lang.ExceptionCreditEntity Constructor- Parameters:
id
- The Credit Entity IDname
- The Credit Entity Namefamily
- The Credit Entity Family- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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id
public java.lang.String id()Retrieve the Credit Entity ID- Returns:
- The Credit Entity ID
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name
public java.lang.String name()Retrieve the Credit Entity Name- Returns:
- The Credit Entity Name
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family
public java.lang.String family()Retrieve the Credit Entity Family- Returns:
- The Credit Entity Family
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