Package org.drip.measure.identifier

Class LabelledVertexCovariance

java.lang.Object
org.drip.measure.identifier.LabelledVertex
org.drip.measure.identifier.LabelledVertexCorrelation
org.drip.measure.identifier.LabelledVertexCovariance
public class LabelledVertexCovariance
extends LabelledVertexCorrelation
LabelledVertexCovariance holds the Covariance between any Stochastic Variates identified by their Labels, as well as their Means. 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
It provides the following Functionality:
  • LabelledVertexCovariance Constructor
  • Retrieve the Array of Variate Means
  • Retrieve the Array of Variate Volatilities
  • Retrieve the Correlation Matrix
  • Retrieve the Covariance Matrix
  • Retrieve the Precision Matrix
  • Retrieve the Mean of the Latent State
  • Retrieve the Volatility of the Latent State

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package Labels for Latent State Identifiers

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    LabelledVertexCovariance​(java.util.List<java.lang.String> labelList, double[] meanArray, double[] volatilityArray, double[][] correlationMatrix)
    LabelledVertexCovariance Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] correlationMatrix()
    Retrieve the Correlation Matrix
    double[][] covarianceMatrix()
    Retrieve the Covariance Matrix
    double mean​(java.lang.String label)
    Retrieve the Mean of the Latent State
    double[] meanArray()
    Retrieve the Array of Variate Means
    double[][] precisionMatrix()
    Retrieve the Precision Matrix
    double volatility​(java.lang.String label)
    Retrieve the Volatility of the Latent State
    double[] volatilityArray()
    Retrieve the Array of Variate Volatilities

    Methods inherited from class org.drip.measure.identifier.LabelledVertexCorrelation

    entry, matrix, subTenor

    Methods inherited from class org.drip.measure.identifier.LabelledVertex

    idList

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LabelledVertexCovariance

      public LabelledVertexCovariance​(java.util.List<java.lang.String> labelList, double[] meanArray, double[] volatilityArray, double[][] correlationMatrix) throws java.lang.Exception
      LabelledVertexCovariance Constructor
      Parameters:
      labelList - The List of Labels
      meanArray - Array of Variate Means
      volatilityArray - Array of Variate Volatilities
      correlationMatrix - The Correlation Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • meanArray

      public double[] meanArray()
      Retrieve the Array of Variate Means
      Returns:
      The Array of Variate Means

    • volatilityArray

      public double[] volatilityArray()
      Retrieve the Array of Variate Volatilities
      Returns:
      The Array of Variate Volatilities

    • correlationMatrix

      public double[][] correlationMatrix()
      Retrieve the Correlation Matrix
      Returns:
      The Correlation Matrix

    • covarianceMatrix

      public double[][] covarianceMatrix()
      Retrieve the Covariance Matrix
      Returns:
      The Covariance Matrix

    • precisionMatrix

      public double[][] precisionMatrix()
      Retrieve the Precision Matrix
      Returns:
      The Precision Matrix

    • mean

      public double mean​(java.lang.String label) throws java.lang.Exception
      Retrieve the Mean of the Latent State
      Parameters:
      label - Latent State Label
      Returns:
      Mean of the Latent State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • volatility

      public double volatility​(java.lang.String label) throws java.lang.Exception
      Retrieve the Volatility of the Latent State
      Parameters:
      label - Latent State Label
      Returns:
      Volatility of the Latent State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid