Package org.drip.simm.rates

Class CurrencyRiskGroup

java.lang.Object
org.drip.simm.rates.CurrencyRiskGroup
public class CurrencyRiskGroup
extends java.lang.Object
CurrencyRiskGroup holds the ISDA SIMM Currency Risk Group Concentrations. 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
    CurrencyRiskGroup​(java.lang.String volatilityType, java.lang.String tradeFrequencyType, java.lang.String[] componentArray)
    CurrencyRiskGroup Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String[] componentArray()
    Retrieve the Component Currency Array
    java.lang.String tradeFrequencyType()
    Retrieve the Trade Frequency Type
    java.lang.String volatilityType()
    Retrieve the Volatility Type

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CurrencyRiskGroup

      public CurrencyRiskGroup​(java.lang.String volatilityType, java.lang.String tradeFrequencyType, java.lang.String[] componentArray) throws java.lang.Exception
      CurrencyRiskGroup Constructor
      Parameters:
      volatilityType - The Volatility Type
      tradeFrequencyType - The Trade Frequency Type
      componentArray - Array of the COmponent CUrrencies
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • volatilityType

      public java.lang.String volatilityType()
      Retrieve the Volatility Type
      Returns:
      The Volatility Type

    • tradeFrequencyType

      public java.lang.String tradeFrequencyType()
      Retrieve the Trade Frequency Type
      Returns:
      The Trade Frequency Type

    • componentArray

      public java.lang.String[] componentArray()
      Retrieve the Component Currency Array
      Returns:
      The Component Currency Array