Package org.drip.simm.rates

Class IRSystemics21

java.lang.Object

org.drip.simm.rates.IRSystemics21

public class IRSystemics21
extends java.lang.Object

IRSystemics21 contains the Systemic Settings of the SIMM 2.1 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 double	CROSS_CURRENCY_CORRELATION	Cross Currency Curve Correlation
static double	HISTORICAL_VOLATILITY_RATIO	Interest Rate Historical Volatility Ratio
static double	SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION	Single Currency Basis Swap Spread Inflation Correlation
static double	SINGLE_CURRENCY_CROSS_CURVE_CORRELATION	Single Currency Cross-Curve Correlation
static double	SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION	Single Currency Curve Basis Swap Spread Correlation
static double	SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT	Single Currency Single Curve Basis Swap Spread
static double	SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION	Single Currency Curve Inflation Correlation
static double	SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT	Same Currency Curve Inflation Rate Risk Weight
static double	SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION	Single Currency Curve Volatility Inflation Volatility Correlation
static double	VEGA_RISK_WEIGHT	Interest Rate Vega Risk Weight

Constructor Summary

Constructors

Constructor	Description
IRSystemics21()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT

public static final double SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT

Same Currency Curve Inflation Rate Risk Weight

See Also:

Constant Field Values

SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT

public static final double SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT

Single Currency Single Curve Basis Swap Spread

See Also:

Constant Field Values

HISTORICAL_VOLATILITY_RATIO

public static final double HISTORICAL_VOLATILITY_RATIO

Interest Rate Historical Volatility Ratio

See Also:

Constant Field Values

VEGA_RISK_WEIGHT

public static final double VEGA_RISK_WEIGHT

Interest Rate Vega Risk Weight

See Also:

Constant Field Values

SINGLE_CURRENCY_CROSS_CURVE_CORRELATION

public static final double SINGLE_CURRENCY_CROSS_CURVE_CORRELATION

Single Currency Cross-Curve Correlation

See Also:

Constant Field Values

SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION

public static final double SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION

Single Currency Curve Inflation Correlation

See Also:

Constant Field Values

SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION

public static final double SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION

Single Currency Curve Volatility Inflation Volatility Correlation

See Also:

Constant Field Values

SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION

public static final double SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION

Single Currency Curve Basis Swap Spread Correlation

See Also:

Constant Field Values

SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION

public static final double SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION

Single Currency Basis Swap Spread Inflation Correlation

See Also:

Constant Field Values

CROSS_CURRENCY_CORRELATION

public static final double CROSS_CURRENCY_CORRELATION

Cross Currency Curve Correlation

See Also:

Constant Field Values

Constructor Details

IRSystemics21

public IRSystemics21()