Class FrtbSa.Commodity

java.lang.Object
com.quantfinlib.risk.FrtbSa.Commodity
Enclosing class:
FrtbSa
public static final class FrtbSa.Commodity extends Object
Commodity parameters, buckets 1-11.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static final double
    GAMMA
    Inter-bucket γ (buckets 1-10); bucket 11 takes 0 (MAR21.85, verified).
    static final double
    RHO_BASIS
    Different delivery location (MAR21.83(3), verified).
    static final double[]
    RHO_CTY
    Intra-bucket commodity correlation ρ_cty, index = bucket − 1 (MAR21.83 Table 12, verified).
    static final double
    RHO_TENOR
    Different tenor (MAR21.83(2), verified).
    static final double[]
    RW
    Delta risk weights, index = bucket − 1 (MAR21.82 Table 11, verified).

  • Method Summary

    Modifier and Type
    Method
    Description
    static double
    gamma(int b, int c)
    Inter-bucket γ for buckets 1-11 (MAR21.85).

    Methods inherited from class Object

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

  • Field Details

    • RW

      public static final double[] RW
      Delta risk weights, index = bucket − 1 (MAR21.82 Table 11, verified).

    • RHO_CTY

      public static final double[] RHO_CTY
      Intra-bucket commodity correlation ρ_cty, index = bucket − 1 (MAR21.83 Table 12, verified).

    • GAMMA

      public static final double GAMMA
      Inter-bucket γ (buckets 1-10); bucket 11 takes 0 (MAR21.85, verified).
      See Also:

    • RHO_TENOR

      public static final double RHO_TENOR
      Different tenor (MAR21.83(2), verified).
      See Also:

    • RHO_BASIS

      public static final double RHO_BASIS
      Different delivery location (MAR21.83(3), verified).
      See Also:

  • Method Details

    • gamma

      public static double gamma(int b, int c)
      Inter-bucket γ for buckets 1-11 (MAR21.85).