Package org.drip.simm.product

ISDA SIMM Risk Factor Sensitivities

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BucketSensitivity	BucketSensitivity holds the Risk Factor Sensitivities inside a single Bucket.
BucketSensitivityCR	BucketSensitivityCR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across CR Tenor Factors.
BucketSensitivityIR	BucketSensitivityIR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across IR Factor Sub Curves.
CreditEntity	CreditEntity holds the SIMM specific Details of a Credit Entity.
RiskClassSensitivity	RiskClassSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Class.
RiskClassSensitivityCR	RiskClassSensitivityCR holds the Risk Class Bucket Sensitivities for a single CR Class.
RiskClassSensitivityIR	RiskClassSensitivityIR holds the Risk Class Bucket Sensitivities for a single IR Class.
RiskFactorTenorSensitivity	RiskFactorTenorSensitivity holds the ISDA SIMM 2.0 Risk Factor Tenor Bucket Sensitivities.
RiskMeasureSensitivity	RiskMeasureSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Measure.
RiskMeasureSensitivityCR	RiskMeasureSensitivityCR holds the Risk Class Bucket Sensitivities for the CR Risk Measure.
RiskMeasureSensitivityIR	RiskMeasureSensitivityIR holds the Risk Class Bucket Sensitivities for the IR Risk Measure.