Constant Field Values

com.quantfinlib.*

com.quantfinlib.alpha.CalendarAnomalies

Modifier and Type	Constant Field	Value
public static final double	FAMILY_WISE_ALPHA	0.05

com.quantfinlib.backtest.ParentOrder

Modifier and Type	Constant Field	Value
public static final String	REASON_ENTRY	"ENTRY"

com.quantfinlib.backtest.Trade

Modifier and Type	Constant Field	Value
public static final String	REASON_END_OF_DATA	"END_OF_DATA"
public static final String	REASON_SIGNAL	"SIGNAL"
public static final String	REASON_STOP_LOSS	"STOP_LOSS"
public static final String	REASON_TAKE_PROFIT	"TAKE_PROFIT"

com.quantfinlib.credit.IsdaCdsModel

Modifier and Type	Constant Field	Value
public static final double	COUPON_100BP	0.01
public static final double	COUPON_500BP	0.05
public static final double	STANDARD_RECOVERY	0.4

com.quantfinlib.data.PointInTimeUniverse

Modifier and Type	Constant Field	Value
public static final double	DEFAULT_INVOLUNTARY_DELISTING_RETURN	-0.3

com.quantfinlib.execution.BenchmarkExecutor

Modifier and Type	Constant Field	Value
public static final double	SPREAD_SENSITIVITY	100.0

com.quantfinlib.execution.VenueScorecard

Modifier and Type	Constant Field	Value
public static final int	PENDING_RING	4

com.quantfinlib.execution.WmrFixingScheduler

Modifier and Type	Constant Field	Value
public static final long	WINDOW_MILLIS	300000L

com.quantfinlib.fx.LpScorecard

Modifier and Type	Constant Field	Value
public static final int	PENDING_RING	4

com.quantfinlib.hedging.CointegrationTest

Modifier and Type	Constant Field	Value
public static final double	CRITICAL_10PCT	-3.04
public static final double	CRITICAL_1PCT	-3.9
public static final double	CRITICAL_5PCT	-3.34

com.quantfinlib.microstructure.CircuitBreakers.MarketWide

Modifier and Type	Constant Field	Value
public static final double	LEVEL_1	0.07
public static final double	LEVEL_2	0.13
public static final double	LEVEL_3	0.2

com.quantfinlib.microstructure.IcSignificance

Modifier and Type	Constant Field	Value
public static final double	DEFAULT_Z	2.0

com.quantfinlib.microstructure.SpreadForecaster

Modifier and Type	Constant Field	Value
public static final double	DEVIATION_ALPHA	0.25

com.quantfinlib.microstructure.TradeClassifier

Modifier and Type	Constant Field	Value
public static final int	BUY	1
public static final int	SELL	-1
public static final int	UNKNOWN	0

com.quantfinlib.ml.AnomalyDetector

Modifier and Type	Constant Field	Value
public static final String	PRICE_SPIKE	"PRICE_SPIKE"
public static final String	QUOTE_STUFFING	"QUOTE_STUFFING"

com.quantfinlib.pricing.DupireLocalVol

Modifier and Type	Constant Field	Value
public static final double	MIN_TIME	0.001

com.quantfinlib.pricing.HestonCos

Modifier and Type	Constant Field	Value
public static final int	DEFAULT_TERMS	1024
public static final double	DEFAULT_TRUNCATION	32.0

com.quantfinlib.pricing.LocalVolMonteCarlo

Modifier and Type	Constant Field	Value
public static final int	GRID_POINTS	401

com.quantfinlib.pricing.SviSlice

Modifier and Type	Constant Field	Value
public static final double	BUTTERFLY_PENALTY	100.0

com.quantfinlib.pricing.TouchOption

Modifier and Type	Constant Field	Value
public static final int	DOUBLE_TOUCH_SERIES_TERMS	50

com.quantfinlib.pricing.VannaVolga

Modifier and Type	Constant Field	Value
public static final double	WING_DELTA	0.1

com.quantfinlib.rates.MultiCurveBootstrap

Modifier and Type	Constant Field	Value
public static final double	TOLERANCE	1.0E-12

com.quantfinlib.risk.FrtbDrc

Modifier and Type	Constant Field	Value
public static final double	LGD_COVERED_BOND	0.25
public static final double	LGD_EQUITY	1.0
public static final double	LGD_NON_SENIOR	1.0
public static final double	LGD_SENIOR	0.75

com.quantfinlib.risk.FrtbDrcSecuritisation

Modifier and Type	Constant Field	Value
public static final double	MAX_UNKNOWN_W_SHARE	0.05
public static final double	RW_1250	12.5

com.quantfinlib.risk.FrtbEs

Modifier and Type	Constant Field	Value
public static final int	LH_10	10
public static final int	LH_120	120
public static final int	LH_20	20
public static final int	LH_40	40
public static final int	LH_60	60
public static final double	MIN_REDUCED_SET_COVERAGE	0.75

com.quantfinlib.risk.FrtbNmrf

Modifier and Type	Constant Field	Value
public static final double	RHO	0.6

com.quantfinlib.risk.FrtbRrao

Modifier and Type	Constant Field	Value
public static final double	EXOTIC_RW	0.01
public static final double	OTHER_RW	0.001

com.quantfinlib.risk.FrtbSa

Modifier and Type	Constant Field	Value
public static final int	VEGA_LH_COMMODITY	120
public static final int	VEGA_LH_CSR	120
public static final int	VEGA_LH_EQUITY_LARGE_CAP	20
public static final int	VEGA_LH_EQUITY_SMALL_CAP	60
public static final int	VEGA_LH_FX	40
public static final int	VEGA_LH_GIRR	60

com.quantfinlib.risk.FrtbSa.Commodity

Modifier and Type	Constant Field	Value
public static final double	GAMMA	0.2
public static final double	RHO_BASIS	0.999
public static final double	RHO_TENOR	0.99

com.quantfinlib.risk.FrtbSa.Csr

Modifier and Type	Constant Field	Value
public static final double	GAMMA_RATING	0.5
public static final double	RHO_BASIS	0.999
public static final double	RHO_BASIS_CTP	0.99
public static final double	RHO_NAME	0.35
public static final double	RHO_NAME_INDEX	0.8
public static final double	RHO_TENOR	0.65

com.quantfinlib.risk.FrtbSa.Equity

Modifier and Type	Constant Field	Value
public static final double	RHO_SPOT_REPO_SAME_ISSUER	0.999

com.quantfinlib.risk.FrtbSa.Fx

Modifier and Type	Constant Field	Value
public static final double	GAMMA	0.6
public static final double	RISK_WEIGHT	0.15

com.quantfinlib.risk.FrtbSa.Girr

Modifier and Type	Constant Field	Value
public static final double	GAMMA	0.5
public static final double	INFLATION_RW	0.016
public static final double	RHO_DIFFERENT_CURVE	0.999
public static final double	RHO_INFLATION	0.4
public static final double	RHO_XCCY_BASIS	0.0
public static final double	XCCY_BASIS_RW	0.016

com.quantfinlib.risk.FrtbSa.SecNonCtp

Modifier and Type	Constant Field	Value
public static final double	GAMMA	0.0
public static final double	OTHER_RW	0.035
public static final double	RHO_BASIS	0.999
public static final double	RHO_TENOR	0.8
public static final double	RHO_TRANCHE	0.4

com.quantfinlib.risk.RiskMetrics

Modifier and Type	Constant Field	Value
public static final int	TRADING_DAYS_PER_YEAR	252

com.quantfinlib.risk.SaCcr

Modifier and Type	Constant Field	Value
public static final double	ALPHA	1.4
public static final double	MULTIPLIER_FLOOR	0.05
public static final double	OPTION_VOL_COMMODITY_OTHER	0.7
public static final double	OPTION_VOL_CREDIT_INDEX	0.8
public static final double	OPTION_VOL_CREDIT_SINGLE	1.0
public static final double	OPTION_VOL_ELECTRICITY	1.5
public static final double	OPTION_VOL_EQUITY_INDEX	0.75
public static final double	OPTION_VOL_EQUITY_SINGLE	1.2
public static final double	OPTION_VOL_FX	0.15
public static final double	OPTION_VOL_INTEREST_RATE	0.5

com.quantfinlib.risk.SaCcrHaircuts

Modifier and Type	Constant Field	Value
public static final double	CURRENCY_MISMATCH	0.08

com.quantfinlib.risk.VarBacktest

Modifier and Type	Constant Field	Value
public static final double	Z2_THRESHOLD_001PCT	-1.8
public static final double	Z2_THRESHOLD_5PCT	-0.7