Package org.drip.function.r1tor1custom

Class ISDABucketCurvatureTenorScaler

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1custom.ISDABucketCurvatureTenorScaler

public class ISDABucketCurvatureTenorScaler
extends R1ToR1

ISDABucketCurvatureTenorScaler generates the ISDA SIMM Tenor Scaling Factor for a given Bucket Curvature. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
• Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
• Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
• International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d To R^d Function Analysis
• Package = Built-in R¹ To R¹ Custom Functions

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ISDABucketCurvatureTenorScaler(int mporCalendarDays)	ISDABucketCurvatureTenorScaler Constructor

Method Summary

Modifier and Type	Method	Description
double	evaluate(double t)	Evaluate for the given variate
int	mporCalendarDays()	Retrieve the MPoR Calendar Days
static ISDABucketCurvatureTenorScaler	Standard()	Construct the Standard ISDA Bucket Curvature Tenor Scaler

Methods inherited from class org.drip.function.definition.R1ToR1

antiDerivative, conditionNumber, derivative, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ISDABucketCurvatureTenorScaler

public ISDABucketCurvatureTenorScaler(int mporCalendarDays)
                               throws java.lang.Exception

ISDABucketCurvatureTenorScaler Constructor

Parameters:

mporCalendarDays - The MPoR Calendar Days

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final ISDABucketCurvatureTenorScaler Standard()

Construct the Standard ISDA Bucket Curvature Tenor Scaler

Returns:

The Standard ISDA Bucket Curvature Tenor Scaler

evaluate

public double evaluate(double t)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

t - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

mporCalendarDays

public int mporCalendarDays()

Retrieve the MPoR Calendar Days

Returns:

The MPoR Calendar Days