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LakshmikLakshmik
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Features:
Bug Fixes/Re-organization: - SIMM Commodity CT Risk Threshold Container 2.1 - Init #1 (1, 2, 3) - SIMM Commodity CT Risk Threshold Container 2.1 - Init #2 (4, 5, 6) - SIMM Commodity CT Risk Threshold Container 2.1 - Init #3 (7) - SIMM Commodity CT Risk Threshold Container 2.4 #1 (8, 9) - SIMM Commodity CT Risk Threshold Container 2.4 - Delta Vega Map (10, 11) - SIMM Commodity CT Risk Threshold Container 2.4 #2 (12) - SIMM Commodity CT Risk Threshold Container 2.4 - Contains Bucket (13) - SIMM Commodity CT Risk Threshold Container 2.4 - Bucket Set (14) - SIMM Commodity CT Risk Threshold Container 2.4 - Init #1 (15) - SIMM Commodity CT Risk Threshold Container 2.4 - Init #2 (16, 17, 18) - SIMM Commodity CT Risk Threshold Container 2.4 - Init #3 (19, 20, 21) - SIMM Commodity CT Settings Container 2.0 (22, 23) - SIMM Commodity CT Settings Container 2.0 - Cross Bucket Correlation (24, 25) - SIMM Commodity CT Settings Container 2.0 - Bucket Map (26, 27) - SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #1 (28, 29, 30) - SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #2 (31, 32, 33) - SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #3 (34, 35) - SIMM Commodity CT Settings Container 2.0 - Init #1 (36) - SIMM Commodity CT Settings Container 2.0 - Init #2 (37, 38, 39) - SIMM Commodity CT Settings Container 2.0 - Init #3 (40, 41, 42) - SIMM Commodity CT Settings Container 2.0 - Bucket Set (43) - SIMM Commodity CT Settings Container 2.0 - Contains Bucket (44) - SIMM Commodity CT Settings Container 2.0 - Bucket (45) - SIMM Commodity CT Settings Container 2.0 - Cross Bucket Principal Covariance (46) - SIMM Commodity CT Settings Container 2.1 (47, 48) - SIMM Commodity CT Settings Container 2.1 - Cross Bucket Correlation (49, 50) - SIMM Commodity CT Settings Container 2.1 - Bucket Map (51, 52) - SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #1 (53, 54, 55) - SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #2 (56, 57, 58) - SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #3 (59, 60) Samples: IdeaDRIP:
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6 files changed

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lines changed

6 files changed

+264
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lines changed

‎ReleaseNotes/11_23_2023.txt

+40
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@@ -0,0 +1,40 @@
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Features:
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Bug Fixes/Re-organization:
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- SIMM Commodity CT Risk Threshold Container 2.1 - Init #1 (1, 2, 3)
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- SIMM Commodity CT Risk Threshold Container 2.1 - Init #2 (4, 5, 6)
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- SIMM Commodity CT Risk Threshold Container 2.1 - Init #3 (7)
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- SIMM Commodity CT Risk Threshold Container 2.4 #1 (8, 9)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Delta Vega Map (10, 11)
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- SIMM Commodity CT Risk Threshold Container 2.4 #2 (12)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Contains Bucket (13)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Bucket Set (14)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Init #1 (15)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Init #2 (16, 17, 18)
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- SIMM Commodity CT Risk Threshold Container 2.4 - Init #3 (19, 20, 21)
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- SIMM Commodity CT Settings Container 2.0 (22, 23)
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- SIMM Commodity CT Settings Container 2.0 - Cross Bucket Correlation (24, 25)
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- SIMM Commodity CT Settings Container 2.0 - Bucket Map (26, 27)
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- SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #1 (28, 29, 30)
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- SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #2 (31, 32, 33)
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- SIMM Commodity CT Settings Container 2.0 - Set Up Cross Bucket Correlation #3 (34, 35)
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- SIMM Commodity CT Settings Container 2.0 - Init #1 (36)
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- SIMM Commodity CT Settings Container 2.0 - Init #2 (37, 38, 39)
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- SIMM Commodity CT Settings Container 2.0 - Init #3 (40, 41, 42)
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- SIMM Commodity CT Settings Container 2.0 - Bucket Set (43)
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- SIMM Commodity CT Settings Container 2.0 - Contains Bucket (44)
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- SIMM Commodity CT Settings Container 2.0 - Bucket (45)
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- SIMM Commodity CT Settings Container 2.0 - Cross Bucket Principal Covariance (46)
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- SIMM Commodity CT Settings Container 2.1 (47, 48)
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- SIMM Commodity CT Settings Container 2.1 - Cross Bucket Correlation (49, 50)
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- SIMM Commodity CT Settings Container 2.1 - Bucket Map (51, 52)
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- SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #1 (53, 54, 55)
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- SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #2 (56, 57, 58)
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- SIMM Commodity CT Settings Container 2.1 - Set Up Cross Bucket Correlation #3 (59, 60)
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Samples:
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IdeaDRIP:

‎ScheduleSheet.xlsx

-103 Bytes
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‎src/main/java/org/drip/simm/commodity/CTRiskThresholdContainer21.java

+35-140
Original file line numberDiff line numberDiff line change
@@ -151,146 +151,41 @@ public class CTRiskThresholdContainer21
151151

152152
public static final boolean Init()
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{
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try
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{
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s_DeltaVegaThresholdMap.put (
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1,
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new DeltaVegaThreshold (
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700.,
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250.
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)
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);
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s_DeltaVegaThresholdMap.put (
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2,
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new DeltaVegaThreshold (
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3600.,
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1800.
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)
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);
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s_DeltaVegaThresholdMap.put (
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3,
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new DeltaVegaThreshold (
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2700.,
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320.
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)
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);
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s_DeltaVegaThresholdMap.put (
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4,
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new DeltaVegaThreshold (
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2700.,
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320.
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)
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);
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s_DeltaVegaThresholdMap.put (
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5,
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new DeltaVegaThreshold (
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2700.,
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320.
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)
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);
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s_DeltaVegaThresholdMap.put (
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6,
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new DeltaVegaThreshold (
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2600.,
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2200.
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)
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);
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s_DeltaVegaThresholdMap.put (
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7,
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new DeltaVegaThreshold (
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2600.,
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2200.
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)
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);
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s_DeltaVegaThresholdMap.put (
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8,
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new DeltaVegaThreshold (
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1900.,
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780.
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)
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);
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s_DeltaVegaThresholdMap.put (
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9,
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new DeltaVegaThreshold (
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1900.,
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780.
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)
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);
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s_DeltaVegaThresholdMap.put (
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10,
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new DeltaVegaThreshold (
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52.,
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99.
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)
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);
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s_DeltaVegaThresholdMap.put (
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11,
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new DeltaVegaThreshold (
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2000.,
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420.
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)
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);
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s_DeltaVegaThresholdMap.put (
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12,
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new DeltaVegaThreshold (
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3200.,
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650.
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)
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);
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s_DeltaVegaThresholdMap.put (
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13,
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new DeltaVegaThreshold (
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100.,
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570.
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)
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);
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s_DeltaVegaThresholdMap.put (
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14,
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new DeltaVegaThreshold (
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1100.,
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570.
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)
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);
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s_DeltaVegaThresholdMap.put (
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15,
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new DeltaVegaThreshold (
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1100.,
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570.
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)
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);
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s_DeltaVegaThresholdMap.put (
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16,
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new DeltaVegaThreshold (
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52.,
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99.
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)
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);
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s_DeltaVegaThresholdMap.put (
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17,
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new DeltaVegaThreshold (
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5200.,
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330.
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)
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);
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}
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catch (Exception e)
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{
154+
try {
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s_DeltaVegaThresholdMap.put (1, new DeltaVegaThreshold (700., 250.));
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s_DeltaVegaThresholdMap.put (2, new DeltaVegaThreshold (3600., 1800.));
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s_DeltaVegaThresholdMap.put (3, new DeltaVegaThreshold (2700., 320.));
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s_DeltaVegaThresholdMap.put (4, new DeltaVegaThreshold (2700., 320.));
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s_DeltaVegaThresholdMap.put (5, new DeltaVegaThreshold (2700., 320.));
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s_DeltaVegaThresholdMap.put (6, new DeltaVegaThreshold (2600., 2200.));
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s_DeltaVegaThresholdMap.put (7, new DeltaVegaThreshold (2600., 2200.));
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s_DeltaVegaThresholdMap.put (8, new DeltaVegaThreshold (1900., 780.));
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s_DeltaVegaThresholdMap.put (9, new DeltaVegaThreshold (1900., 780.));
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s_DeltaVegaThresholdMap.put (10, new DeltaVegaThreshold (52., 99.));
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s_DeltaVegaThresholdMap.put (11, new DeltaVegaThreshold (2000., 420.));
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s_DeltaVegaThresholdMap.put (12, new DeltaVegaThreshold (3200., 650.));
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s_DeltaVegaThresholdMap.put (13, new DeltaVegaThreshold (100., 570.));
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s_DeltaVegaThresholdMap.put (14, new DeltaVegaThreshold (1100., 570.));
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183+
s_DeltaVegaThresholdMap.put (15, new DeltaVegaThreshold (1100., 570.));
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185+
s_DeltaVegaThresholdMap.put (16, new DeltaVegaThreshold (52., 99.));
186+
187+
s_DeltaVegaThresholdMap.put (17, new DeltaVegaThreshold (5200., 330.));
188+
} catch (Exception e) {
294189
e.printStackTrace();
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296191
return false;

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