Package org.drip.simm.rates

SIMM IR Risk Factor Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CurrencyRiskGroup
    CurrencyRiskGroup holds the ISDA SIMM Currency Risk Group Concentrations.
    IRSettingsContainer20
    IRSettingsContainer20 holds the ISDA SIMM 2.0 Tenor Vertex Risk Weights/Correlations for Single IR Curves, Cross Currencies, and Inflation.
    IRSettingsContainer21
    IRSettingsContainer21 holds the ISDA SIMM 2.1 Tenor Vertex Risk Weights/Correlations for Single IR Curves, Cross Currencies, and Inflation.
    IRSettingsContainer24
    IRSettingsContainer24 holds the ISDA SIMM 2.4 Tenor Vertex Risk Weights/Correlations for Single IR Curves, Cross Currencies, and Inflation.
    IRSystemics
    IRSystemics contains the Systemic Settings of the SIMM Interest Rate Risk Factors.
    IRSystemics20
    IRSystemics20 contains the Systemic Settings of the SIMM 2.0 Interest Rate Risk Factors.
    IRSystemics21
    IRSystemics21 contains the Systemic Settings of the SIMM 2.1 Interest Rate Risk Factors.
    IRSystemics24
    IRSystemics24 contains the Systemic Settings of the SIMM 2.4 Interest Rate Risk Factors.
    IRThreshold
    IRThreshold holds the ISDA SIMM Interest Rate Delta and Vega Concentration Thresholds.
    IRThresholdContainer20
    IRThresholdContainer20 holds the ISDA SIMM 2.0 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds.
    IRThresholdContainer21
    IRThresholdContainer21 holds the ISDA SIMM 2.1 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds.
    IRThresholdContainer24
    IRThresholdContainer24 holds the ISDA SIMM 2.4 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds.
    IRWeight
    IRWeight holds the ISDA SIMM Tenor Interest Rate Vertex Risk Weights for Currencies across all Volatility Types.