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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditEntity​(java.lang.String id, java.lang.String name, java.lang.String family)
    CreditEntity Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String family()
    Retrieve the Credit Entity Family
    java.lang.String id()
    Retrieve the Credit Entity ID
    java.lang.String name()
    Retrieve the Credit Entity Name

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditEntity

      public CreditEntity​(java.lang.String id, java.lang.String name, java.lang.String family) throws java.lang.Exception
      CreditEntity Constructor
      Parameters:
      id - The Credit Entity ID
      name - The Credit Entity Name
      family - The Credit Entity Family
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • id

      public java.lang.String id()
      Retrieve the Credit Entity ID
      Returns:
      The Credit Entity ID

    • name

      public java.lang.String name()
      Retrieve the Credit Entity Name
      Returns:
      The Credit Entity Name

    • family

      public java.lang.String family()
      Retrieve the Credit Entity Family
      Returns:
      The Credit Entity Family