Package org.drip.simm.rates

Class IRThresholdContainer24

java.lang.Object
org.drip.simm.rates.IRThresholdContainer24
public class IRThresholdContainer24
extends java.lang.Object
IRThresholdContainer24 holds the ISDA SIMM 2.4 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    IRThresholdContainer24()  

  • Method Summary

    Modifier and Type Method Description
    static boolean ContainsThreshold​(int groupNumber)
    Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
    static boolean ContainsThreshold​(java.lang.String currency)
    Indicate if the Currency is available as an Interest Rate Threshold
    static java.util.Set<java.lang.String> CurrencySet()
    Retrieve the Interest Rate Threshold Container Currency Set
    static java.util.Map<java.lang.String,​java.lang.Integer> CurrencyThresholdMap()
    Retrieve the Currency Threshold Map
    static java.util.Set<java.lang.Integer> IndexSet()
    Retrieve the Interest Rate Threshold Container Bucket Index Set
    static boolean Init()
    Initialize the Container
    static IRThreshold Threshold​(int groupNumber)
    Retrieve the Interest Rate Threshold denoted by the Group Number
    static IRThreshold Threshold​(java.lang.String currency)
    Retrieve the Interest Rate Threshold denoted by the Currency
    static java.util.Map<java.lang.Integer,​IRThreshold> ThresholdMap()
    Retrieve the Interest Rate Threshold Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IRThresholdContainer24

      public IRThresholdContainer24()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Container
      Returns:
      TRUE - The Container successfully Initialized

    • IndexSet

      public static final java.util.Set<java.lang.Integer> IndexSet()
      Retrieve the Interest Rate Threshold Container Bucket Index Set
      Returns:
      The Interest Rate Threshold Container Bucket Index Set

    • CurrencySet

      public static final java.util.Set<java.lang.String> CurrencySet()
      Retrieve the Interest Rate Threshold Container Currency Set
      Returns:
      The Interest Rate Threshold Container Currency Set

    • ContainsThreshold

      public static final boolean ContainsThreshold​(int groupNumber)
      Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
      Parameters:
      groupNumber - The Group Number
      Returns:
      TRUE - The Entry denoted by the Number is available as an Interest Rate Threshold

    • ContainsThreshold

      public static final boolean ContainsThreshold​(java.lang.String currency)
      Indicate if the Currency is available as an Interest Rate Threshold
      Parameters:
      currency - The Currency
      Returns:
      TRUE - The Currency is available as an Interest Rate Threshold

    • Threshold

      public static final IRThreshold Threshold​(java.lang.String currency)
      Retrieve the Interest Rate Threshold denoted by the Currency
      Parameters:
      currency - The Currency
      Returns:
      The Interest Rate Threshold

    • Threshold

      public static final IRThreshold Threshold​(int groupNumber)
      Retrieve the Interest Rate Threshold denoted by the Group Number
      Parameters:
      groupNumber - The Group Number
      Returns:
      The Interest Rate Threshold

    • CurrencyThresholdMap

      public static final java.util.Map<java.lang.String,​java.lang.Integer> CurrencyThresholdMap()
      Retrieve the Currency Threshold Map
      Returns:
      The Currency Threshold Map

    • ThresholdMap

      public static final java.util.Map<java.lang.Integer,​IRThreshold> ThresholdMap()
      Retrieve the Interest Rate Threshold Map
      Returns:
      The Interest Rate Threshold Map