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

Packages that use FrtbDrcSecuritisation.NetJtd

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

Uses of FrtbDrcSecuritisation.NetJtd in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return FrtbDrcSecuritisation.NetJtd

Modifier and Type	Method	Description
FrtbDrcSecuritisation.NetJtd	FrtbDrcSecuritisation.Position.netJtd()	Returns the value of the netJtd record component.

Methods in com.quantfinlib.risk that return types with arguments of type FrtbDrcSecuritisation.NetJtd

Modifier and Type	Method	Description
static <K> Map<K, List<FrtbDrcSecuritisation.NetJtd>>	FrtbDrcSecuritisation.byBucket(List<FrtbDrcSecuritisation.Position<K>> positions)	Groups positions by bucket key in first-seen order.

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

Modifier and Type	Method	Description
static double	FrtbDrcSecuritisation.ctpBucketCharge(List<FrtbDrcSecuritisation.NetJtd> bucket, double hbrCtp)	CTP index-bucket charge with the portfolio-wide HBR_ctp and no floor (MAR22.44): Σ RW·long − HBR_ctp·Σ RW·|short|; may be negative.
static double	FrtbDrcSecuritisation.hedgeBenefitRatio(List<FrtbDrcSecuritisation.NetJtd> positions)	HBR = Σ long / (Σ long + Σ |short|), unweighted (MAR22.23); 0 for an empty set.
static double	FrtbDrcSecuritisation.nonCtpBucketCharge(List<FrtbDrcSecuritisation.NetJtd> bucket)	Non-CTP bucket charge, max(Σ RW·long − HBR_b·Σ RW·|short|, 0) (MAR22.33).

Constructors in com.quantfinlib.risk with parameters of type FrtbDrcSecuritisation.NetJtd

Modifier	Constructor	Description
	Position(K bucket, FrtbDrcSecuritisation.NetJtd netJtd)	Creates an instance of a Position record class.