Package org.drip.simm.rates

Class IRThreshold

java.lang.Object

org.drip.simm.rates.IRThreshold

public class IRThreshold
extends java.lang.Object

IRThreshold holds the ISDA SIMM Interest Rate Delta and Vega Concentration Thresholds. 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

Constructor Summary

Constructors

Constructor	Description
IRThreshold(CurrencyRiskGroup currencyRiskGroup, DeltaVegaThreshold deltaVega)	IRThreshold Constructor

Method Summary

Modifier and Type	Method	Description
CurrencyRiskGroup	currencyRiskGroup()	Retrieve the Currency Risk Group
DeltaVegaThreshold	deltaVega()	Retrieve the Delta Vega Concentration Threshold

Methods inherited from class java.lang.Object

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

Constructor Details

IRThreshold

public IRThreshold(CurrencyRiskGroup currencyRiskGroup,
DeltaVegaThreshold deltaVega)
            throws java.lang.Exception

IRThreshold Constructor

Parameters:

currencyRiskGroup - The Currency Risk Group

deltaVega - The Delta/Vega Concentration Threshold

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

currencyRiskGroup

public CurrencyRiskGroup currencyRiskGroup()

Retrieve the Currency Risk Group

Returns:

The Currency Risk Group

deltaVega

public DeltaVegaThreshold deltaVega()

Retrieve the Delta Vega Concentration Threshold

Returns:

The Delta Vega Concentration Threshold