Uses of Enum Class
com.quantfinlib.risk.SaCcrHaircuts.DebtRating

Packages that use SaCcrHaircuts.DebtRating

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

Uses of SaCcrHaircuts.DebtRating in com.quantfinlib.risk

Subclasses with type arguments of type SaCcrHaircuts.DebtRating in com.quantfinlib.risk

Modifier and Type	Class	Description
static enum	SaCcrHaircuts.DebtRating	Issue rating buckets for debt collateral.

Methods in com.quantfinlib.risk that return SaCcrHaircuts.DebtRating

Modifier and Type	Method	Description
static SaCcrHaircuts.DebtRating	SaCcrHaircuts.DebtRating.valueOf(String name)	Returns the enum constant of this class with the specified name.
static SaCcrHaircuts.DebtRating[]	SaCcrHaircuts.DebtRating.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.risk with parameters of type SaCcrHaircuts.DebtRating

Modifier and Type	Method	Description
static double	SaCcrHaircuts.collateralValue(double marketValue, SaCcrHaircuts.CollateralKind kind, SaCcrHaircuts.DebtRating rating, double maturityYears, boolean currencyMismatch, double holdingBusinessDays, boolean held)	Haircut value of one collateral item for C or NICA, BCBS 128 para 151 table.
static double	SaCcrHaircuts.collateralValue(SaCcrHaircuts.Table table, double marketValue, SaCcrHaircuts.CollateralKind kind, SaCcrHaircuts.DebtRating rating, double maturityYears, boolean currencyMismatch, double holdingBusinessDays, boolean held)	Haircut value of one collateral item for C or NICA, from the chosen table.
static double	SaCcrHaircuts.haircut10Day(SaCcrHaircuts.CollateralKind kind, SaCcrHaircuts.DebtRating rating, double maturityYears)	Supervisory haircut on a 10-day holding period, BCBS 128 para 151 (the 2006 table, the default kept for 2.2 compatibility).
static double	SaCcrHaircuts.haircut10Day(SaCcrHaircuts.Table table, SaCcrHaircuts.CollateralKind kind, SaCcrHaircuts.DebtRating rating, double maturityYears)	Supervisory haircut on a 10-day holding period from the chosen table.