Class FrtbSa.SecNonCtp

java.lang.Object

com.quantfinlib.risk.FrtbSa.SecNonCtp

Enclosing class:

FrtbSa

public static final class FrtbSa.SecNonCtp
extends Object

CSR securitisation (non-CTP), buckets 1-25 (MAR21.62 to MAR21.71). Buckets 1-8 senior IG, 9-16 non-senior IG (RW ×1.25), 17-24 HY and non-rated (RW ×1.75), 25 other sector at 3.5%. Across buckets 1-24 γ = 0; bucket 25 is aggregated by Σ|WS| (FrtbSa.otherSectorK(double[])) and added to the risk-class total with no diversification (MAR21.71).

Field Summary

Fields

Modifier and Type	Field	Description
static final double	GAMMA	Inter-bucket γ across buckets 1-24 is 0 (MAR21.70).
static final double	OTHER_RW	Bucket 25 risk weight (MAR21.67).
static final double	RHO_BASIS
static final double	RHO_TENOR
static final double	RHO_TRANCHE

Method Summary

Modifier and Type	Method	Description
static double	intraBucket(boolean sameTranche, boolean sameTenor, boolean sameBasis)	Intra-bucket ρ = ρ_tranche·ρ_tenor·ρ_basis (MAR21.68).
static double	riskWeight(int bucket)	Risk weight of bucket 1-25 (MAR21.64 to MAR21.67).

Methods inherited from class Object

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

Field Details

OTHER_RW

public static final double OTHER_RW

Bucket 25 risk weight (MAR21.67).

See Also:

• Constant Field Values

RHO_TRANCHE

public static final double RHO_TRANCHE

See Also:

• Constant Field Values

RHO_TENOR

public static final double RHO_TENOR

See Also:

• Constant Field Values

RHO_BASIS

public static final double RHO_BASIS

See Also:

• Constant Field Values

GAMMA

public static final double GAMMA

Inter-bucket γ across buckets 1-24 is 0 (MAR21.70).

See Also:

• Constant Field Values

Method Details

riskWeight

public static double riskWeight(int bucket)

Risk weight of bucket 1-25 (MAR21.64 to MAR21.67).

intraBucket

public static double intraBucket(boolean sameTranche,
 boolean sameTenor,
 boolean sameBasis)

Intra-bucket ρ = ρ_tranche·ρ_tenor·ρ_basis (MAR21.68).