Package org.drip.simm.rates

Class IRSystemics

java.lang.Object

org.drip.simm.rates.IRSystemics

public class IRSystemics
extends java.lang.Object

IRSystemics contains the Systemic Settings of the SIMM Interest Rate Risk Factors. 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 = SIMM IR Risk Factor Settings

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String	SUB_CURVE_LIBOR_12M	Sub Curve - LIBOR-12M
static java.lang.String	SUB_CURVE_LIBOR_1M	Sub Curve LIBOR-1M
static java.lang.String	SUB_CURVE_LIBOR_3M	Sub Curve LIBOR-3M
static java.lang.String	SUB_CURVE_LIBOR_6M	Sub Curve LIBOR-6M
static java.lang.String	SUB_CURVE_MUNICIPAL	Sub Curve - MUNICIPAL
static java.lang.String	SUB_CURVE_OIS	Sub Curve OIS
static java.lang.String	SUB_CURVE_PRIME	Sub Curve - PRIME
static java.lang.String	TRADE_FREQUENCY_LESS_WELL_TRADED	Interest Rate Type - Trade Frequency Type Less Well Traded
static java.lang.String	TRADE_FREQUENCY_WELL_TRADED	Interest Rate Type - Trade Frequency Type Well Traded
static java.lang.String	VOLATILITY_TYPE_HIGH	Interest Rate Type - High Volatility
static java.lang.String	VOLATILITY_TYPE_LOW	Interest Rate Type - Low Volatility
static java.lang.String	VOLATILITY_TYPE_NULL	Interest Rate Type - NULL Volatility
static java.lang.String	VOLATILITY_TYPE_REGULAR	Interest Rate Type - Regular Volatility

Constructor Summary

Constructors

Constructor	Description
IRSystemics()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

VOLATILITY_TYPE_REGULAR

public static final java.lang.String VOLATILITY_TYPE_REGULAR

Interest Rate Type - Regular Volatility

See Also:

Constant Field Values

VOLATILITY_TYPE_LOW

public static final java.lang.String VOLATILITY_TYPE_LOW

Interest Rate Type - Low Volatility

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Constant Field Values

VOLATILITY_TYPE_HIGH

public static final java.lang.String VOLATILITY_TYPE_HIGH

Interest Rate Type - High Volatility

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Constant Field Values

VOLATILITY_TYPE_NULL

public static final java.lang.String VOLATILITY_TYPE_NULL

Interest Rate Type - NULL Volatility

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Constant Field Values

TRADE_FREQUENCY_WELL_TRADED

public static final java.lang.String TRADE_FREQUENCY_WELL_TRADED

Interest Rate Type - Trade Frequency Type Well Traded

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Constant Field Values

TRADE_FREQUENCY_LESS_WELL_TRADED

public static final java.lang.String TRADE_FREQUENCY_LESS_WELL_TRADED

Interest Rate Type - Trade Frequency Type Less Well Traded

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Constant Field Values

SUB_CURVE_OIS

public static final java.lang.String SUB_CURVE_OIS

Sub Curve OIS

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Constant Field Values

SUB_CURVE_LIBOR_1M

public static final java.lang.String SUB_CURVE_LIBOR_1M

Sub Curve LIBOR-1M

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Constant Field Values

SUB_CURVE_LIBOR_3M

public static final java.lang.String SUB_CURVE_LIBOR_3M

Sub Curve LIBOR-3M

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Constant Field Values

SUB_CURVE_LIBOR_6M

public static final java.lang.String SUB_CURVE_LIBOR_6M

Sub Curve LIBOR-6M

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Constant Field Values

SUB_CURVE_LIBOR_12M

public static final java.lang.String SUB_CURVE_LIBOR_12M

Sub Curve - LIBOR-12M

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Constant Field Values

SUB_CURVE_PRIME

public static final java.lang.String SUB_CURVE_PRIME

Sub Curve - PRIME

See Also:

Constant Field Values

SUB_CURVE_MUNICIPAL

public static final java.lang.String SUB_CURVE_MUNICIPAL

Sub Curve - MUNICIPAL

See Also:

Constant Field Values

Constructor Details

IRSystemics

public IRSystemics()