Class FrtbSa.Girr

java.lang.Object
com.quantfinlib.risk.FrtbSa.Girr
Enclosing class:
FrtbSa
public static final class FrtbSa.Girr extends Object
General interest rate risk parameters.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static final double
    GAMMA
    Cross-currency inter-bucket correlation (MAR21.50, verified).
    static final double
    INFLATION_RW
    Inflation and cross-currency basis risk weight (MAR21.43, verified).
    static final double
    RHO_DIFFERENT_CURVE
    Same tenor, different curve, same currency (MAR21.45).
    static final double
    RHO_INFLATION
    Inflation curve against any tenor of the yield curve (MAR21.48).
    static final double
    RHO_XCCY_BASIS
    Cross-currency basis against yield curve, inflation or another basis curve (MAR21.49).
    static final double[]
    RISK_WEIGHTS
    Delta risk weights per tenor (MAR21.42 Table 1, verified).
    static final double[]
    TENORS
    The ten GIRR delta tenors, years.
    static final double
    XCCY_BASIS_RW
     

  • Method Summary

    Modifier and Type
    Method
    Description
    static double
    differentCurveCorrelation(double tk, double tl)
    Different tenor and different curve: the Table 2 value times 99.9% (MAR21.47; footnote 14 gives 88.69%·0.999 = 88.60% for 1y against 5y).
    static double
    reducedRw(double rw)
    Risk weight divided by √2 for EUR, USD, GBP, AUD, JPY, SEK, CAD and the domestic currency (MAR21.44).
    static double
    tenorCorrelation(double tk, double tl)
    Same-curve tenor correlation max(exp(−3%·|ΔT|/min T), 40%) (MAR21.46 footnote 13, verified).
    static double[][]
    tenorMatrix(double[] tenors)
    Tenor correlation matrix for the given tenors on one curve.

    Methods inherited from class Object

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

  • Field Details

    • TENORS

      public static final double[] TENORS
      The ten GIRR delta tenors, years.

    • RISK_WEIGHTS

      public static final double[] RISK_WEIGHTS
      Delta risk weights per tenor (MAR21.42 Table 1, verified).

    • INFLATION_RW

      public static final double INFLATION_RW
      Inflation and cross-currency basis risk weight (MAR21.43, verified).
      See Also:

    • XCCY_BASIS_RW

      public static final double XCCY_BASIS_RW
      See Also:

    • GAMMA

      public static final double GAMMA
      Cross-currency inter-bucket correlation (MAR21.50, verified).
      See Also:

    • RHO_DIFFERENT_CURVE

      public static final double RHO_DIFFERENT_CURVE
      Same tenor, different curve, same currency (MAR21.45).
      See Also:

    • RHO_INFLATION

      public static final double RHO_INFLATION
      Inflation curve against any tenor of the yield curve (MAR21.48).
      See Also:

    • RHO_XCCY_BASIS

      public static final double RHO_XCCY_BASIS
      Cross-currency basis against yield curve, inflation or another basis curve (MAR21.49).
      See Also:

  • Method Details

    • differentCurveCorrelation

      public static double differentCurveCorrelation(double tk, double tl)
      Different tenor and different curve: the Table 2 value times 99.9% (MAR21.47; footnote 14 gives 88.69%·0.999 = 88.60% for 1y against 5y). Equal tenors give 99.9% (MAR21.45).

    • tenorCorrelation

      public static double tenorCorrelation(double tk, double tl)
      Same-curve tenor correlation max(exp(−3%·|ΔT|/min T), 40%) (MAR21.46 footnote 13, verified).

    • tenorMatrix

      public static double[][] tenorMatrix(double[] tenors)
      Tenor correlation matrix for the given tenors on one curve.

    • reducedRw

      public static double reducedRw(double rw)
      Risk weight divided by √2 for EUR, USD, GBP, AUD, JPY, SEK, CAD and the domestic currency (MAR21.44).