Class FrtbSa.Equity

java.lang.Object
com.quantfinlib.risk.FrtbSa.Equity
Enclosing class:
FrtbSa
public static final class FrtbSa.Equity extends Object
Equity (spot) parameters, buckets 1-13.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static final double[]
    REPO_RW
    Repo-rate delta risk weights, index = bucket − 1 (MAR21.77 Table 10).
    static final double
    RHO_SPOT_REPO_SAME_ISSUER
    Spot against repo of the same issuer (MAR21.78(1)).
    static final double[]
    SPOT_RW
    Spot delta risk weights, index = bucket − 1 (MAR21.77 Table 10, verified).

  • Method Summary

    Modifier and Type
    Method
    Description
    static double
    gamma(int b, int c)
    Inter-bucket γ: 15% among 1-10, 75% between 12 and 13, 45% otherwise, 0 with 11 (MAR21.80, verified).
    static double
    intraBucket(int bucket)
    Intra-bucket correlation between two different issuers' spot (MAR21.78(2), verified).
    static double
    spotRepoDifferentIssuer(int bucket)
    Spot against repo of different issuers in the same bucket: the spot-spot value times 99.9% (MAR21.78(4)).

    Methods inherited from class Object

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

  • Field Details

    • SPOT_RW

      public static final double[] SPOT_RW
      Spot delta risk weights, index = bucket − 1 (MAR21.77 Table 10, verified).

    • REPO_RW

      public static final double[] REPO_RW
      Repo-rate delta risk weights, index = bucket − 1 (MAR21.77 Table 10).

    • RHO_SPOT_REPO_SAME_ISSUER

      public static final double RHO_SPOT_REPO_SAME_ISSUER
      Spot against repo of the same issuer (MAR21.78(1)).
      See Also:

  • Method Details

    • spotRepoDifferentIssuer

      public static double spotRepoDifferentIssuer(int bucket)
      Spot against repo of different issuers in the same bucket: the spot-spot value times 99.9% (MAR21.78(4)). Repo against repo uses intraBucket(int) unchanged (MAR21.78(3)).

    • intraBucket

      public static double intraBucket(int bucket)
      Intra-bucket correlation between two different issuers' spot (MAR21.78(2), verified).

    • gamma

      public static double gamma(int b, int c)
      Inter-bucket γ: 15% among 1-10, 75% between 12 and 13, 45% otherwise, 0 with 11 (MAR21.80, verified).