Package org.drip.measure.stochastic

Class LabelCorrelation

java.lang.Object
org.drip.measure.stochastic.LabelBase
org.drip.measure.stochastic.LabelCorrelation
Direct Known Subclasses:
LabelCovariance
public class LabelCorrelation
extends LabelBase
LabelCorrelation holds the Correlations between any Stochastic Variates identified by their Labels. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    LabelCorrelation​(java.util.List<java.lang.String> labelList, double[][] matrix)
    LabelCorrelation Constructor

  • Method Summary

    Modifier and Type Method Description
    double entry​(java.lang.String label1, java.lang.String label2)
    Retrieve the Correlation Entry for the Pair of Labels
    double[][] matrix()
    Retrieve the Cross-Label Correlation Matrix
    LabelCorrelation subTenor​(java.util.List<java.lang.String> subTenorList)
    Generate the InterestRateTenorCorrelation Instance that corresponds to the Tenor sub-space

    Methods inherited from class org.drip.measure.stochastic.LabelBase

    labelList

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LabelCorrelation

      public LabelCorrelation​(java.util.List<java.lang.String> labelList, double[][] matrix) throws java.lang.Exception
      LabelCorrelation Constructor
      Parameters:
      labelList - The List of Labels
      matrix - The Correlation Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • matrix

      public double[][] matrix()
      Retrieve the Cross-Label Correlation Matrix
      Returns:
      The Cross-Label Correlation Matrix

    • entry

      public double entry​(java.lang.String label1, java.lang.String label2) throws java.lang.Exception
      Retrieve the Correlation Entry for the Pair of Labels
      Parameters:
      label1 - Label #1
      label2 - Label #2
      Returns:
      The Correlation Entry
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • subTenor

      public LabelCorrelation subTenor​(java.util.List<java.lang.String> subTenorList)
      Generate the InterestRateTenorCorrelation Instance that corresponds to the Tenor sub-space
      Parameters:
      subTenorList - The sub-Tenor List
      Returns:
      The InterestRateTenorCorrelation Instance