Package org.drip.simm.rates

Class IRSystemics24

java.lang.Object
org.drip.simm.rates.IRSystemics24
public class IRSystemics24
extends java.lang.Object
IRSystemics24 contains the Systemic Settings of the SIMM 2.4 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf




Author:
Lakshmi Krishnamurthy

  • 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

    • IRSystemics24

      public IRSystemics24()