Uses of Record Class
com.quantfinlib.risk.FrtbSa.Bucket

Packages that use FrtbSa.Bucket

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

Uses of FrtbSa.Bucket in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return FrtbSa.Bucket

Modifier and Type	Method	Description
static FrtbSa.Bucket	FrtbSa.Bucket.of(double[] sens, double[] rw, double[][] rho)	Bucket with risk weights applied: WS_k = rw[k]·s[k].

Methods in com.quantfinlib.risk that return types with arguments of type FrtbSa.Bucket

Modifier and Type	Method	Description
List<FrtbSa.Bucket>	FrtbSa.RiskClass.curvature()	Returns the value of the curvature record component.
List<FrtbSa.Bucket>	FrtbSa.RiskClass.delta()	Returns the value of the delta record component.
List<FrtbSa.Bucket>	FrtbSa.RiskClass.vega()	Returns the value of the vega record component.

Methods in com.quantfinlib.risk with parameters of type FrtbSa.Bucket

Modifier and Type	Method	Description
static FrtbSa.BucketResult	FrtbSa.bucket(FrtbSa.Bucket b, FrtbSa.Scenario sc)	K_b and clamped S_b of one bucket (delta or vega).

Method parameters in com.quantfinlib.risk with type arguments of type FrtbSa.Bucket

Modifier and Type	Method	Description
static double	FrtbSa.curvature(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc)	Curvature capital of one risk class under one scenario.
static double	FrtbSa.curvature(List<FrtbSa.Bucket> up, List<FrtbSa.Bucket> down, double[][] gamma, FrtbSa.Scenario sc)	Curvature capital with both shock directions (MAR21.5(3) and (4)).
static double	FrtbSa.deltaVega(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc)	Delta or vega capital of one risk class under one scenario.
static double	FrtbSa.deltaVega(List<FrtbSa.Bucket> buckets, double[][] gamma, FrtbSa.Scenario sc, Set<Integer> otherSector)	Delta or vega capital where some buckets are "other sector" buckets (equity 11, CSR non-securitisation 16, securitisation non-CTP 25): their K_b is Σ|WS_k| with no correlation (MAR21.56(1), MAR21.69(1), MAR21.79(1)).

Constructor parameters in com.quantfinlib.risk with type arguments of type FrtbSa.Bucket

Modifier	Constructor	Description
	RiskClass(List<FrtbSa.Bucket> delta, double[][] deltaGamma, List<FrtbSa.Bucket> vega, double[][] vegaGamma, List<FrtbSa.Bucket> curvature, double[][] curvatureGamma)	Creates an instance of a RiskClass record class.