Package org.drip.measure.stochastic

Class LabelCovariance

java.lang.Object
org.drip.measure.stochastic.LabelBase
org.drip.measure.stochastic.LabelCorrelation
org.drip.measure.stochastic.LabelCovariance
public class LabelCovariance
extends LabelCorrelation
LabelCovariance 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

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

    entry, matrix, subTenor

    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

    • LabelCovariance

      public LabelCovariance​(java.util.List<java.lang.String> labelList, double[] meanArray, double[] volatilityArray, double[][] correlationMatrix) throws java.lang.Exception
      LabelCovariance 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