Class FrtbSa.Fx

java.lang.Object
com.quantfinlib.risk.FrtbSa.Fx
Enclosing class:
FrtbSa
public static final class FrtbSa.Fx extends Object
FX parameters.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static final double
    GAMMA
    FX inter-bucket correlation (MAR21.89, verified).
    static final double
    RISK_WEIGHT
    FX delta risk weight (MAR21.87, verified).

  • Method Summary

    Modifier and Type
    Method
    Description
    static double
    reducedRw()
    RW / √2 for the specified currency pairs and their first-order crosses (MAR21.88).

    Methods inherited from class Object

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

  • Field Details

    • RISK_WEIGHT

      public static final double RISK_WEIGHT
      FX delta risk weight (MAR21.87, verified).
      See Also:

    • GAMMA

      public static final double GAMMA
      FX inter-bucket correlation (MAR21.89, verified).
      See Also:

  • Method Details

    • reducedRw

      public static double reducedRw()
      RW / √2 for the specified currency pairs and their first-order crosses (MAR21.88).