Uses of Record Class
com.quantfinlib.risk.FrtbDrc.NetJtd

Packages that use FrtbDrc.NetJtd

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of FrtbDrc.NetJtd in com.quantfinlib.risk

Method parameters in com.quantfinlib.risk with type arguments of type FrtbDrc.NetJtd

Modifier and Type	Method	Description
static double	FrtbDrc.bucketCharge(List<FrtbDrc.NetJtd> bucket)	DRC of one bucket, max(Σ RW·long − HBR·Σ RW·|short|, 0) (MAR22.25, verified).
static double	FrtbDrc.hedgeBenefitRatio(List<FrtbDrc.NetJtd> bucket)	Hedge benefit ratio HBR = Σ long / (Σ long + Σ|short|), not risk-weighted (MAR22.23, verified).
static double	FrtbDrc.total(List<List<FrtbDrc.NetJtd>> buckets)	Total non-securitisation DRC: simple sum of bucket charges (MAR22.26, verified).