Class FrtbRrao

java.lang.Object

com.quantfinlib.risk.FrtbRrao

public final class FrtbRrao
extends Object

FRTB residual risk add-on, styled after BCBS d457 chapter MAR23. Not certified. The add-on is a flat percentage of gross notional: 1.0% for instruments with an exotic underlying, 0.1% for instruments bearing other residual risks (MAR23.8(2)(a) and (b), verified against d457). Classifying an instrument (MAR23.3, MAR23.4) is the caller's job.

Worked example (own test): exotic notional 1000 and other 5000 give 10 + 5 = 15.

Field Summary

Fields

Modifier and Type	Field	Description
static final double	EXOTIC_RW
static final double	OTHER_RW

Method Summary

Modifier and Type	Method	Description
static double	charge(double exoticGrossNotional, double otherGrossNotional)	RRAO from gross (absolute) notionals.

Methods inherited from class Object

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

Field Details

EXOTIC_RW

public static final double EXOTIC_RW

See Also:

• Constant Field Values

OTHER_RW

public static final double OTHER_RW

See Also:

• Constant Field Values

Method Details

charge

public static double charge(double exoticGrossNotional,
 double otherGrossNotional)

RRAO from gross (absolute) notionals.