Package org.drip.simm.commodity

Class CTBucket

java.lang.Object
org.drip.simm.commodity.CTBucket
public class CTBucket
extends java.lang.Object
CTBucket holds the ISDA SIMM Commodity, Risk Weight, and Member Correlation for each Commodity Bucket. 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:
  • CTBucket Constructor
  • Retrieve the SIMM Bucket Number
  • Retrieve the SIMM Bucket Entity
  • Retrieve the SIMM Delta Risk Weight
  • Retrieve the SIMM Member Correlation

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Commodity Risk Factor Calibration Settings

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CTBucket​(int number, java.lang.String entity, double deltaRiskWeight, double memberCorrelation)
    CTBucket Constructor

  • Method Summary

    Modifier and Type Method Description
    double deltaRiskWeight()
    Retrieve the SIMM Delta Risk Weight
    java.lang.String entity()
    Retrieve the SIMM Bucket Entity
    double memberCorrelation()
    Retrieve the SIMM Member Correlation
    int number()
    Retrieve the SIMM Bucket Number

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CTBucket

      public CTBucket​(int number, java.lang.String entity, double deltaRiskWeight, double memberCorrelation) throws java.lang.Exception
      CTBucket Constructor
      Parameters:
      number - Bucket Number
      entity - Bucket Commodity Entity
      deltaRiskWeight - Bucket Delta Risk Weight
      memberCorrelation - Bucket Cross Member Correlation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • number

      public int number()
      Retrieve the SIMM Bucket Number
      Returns:
      The Bucket Number

    • entity

      public java.lang.String entity()
      Retrieve the SIMM Bucket Entity
      Returns:
      The Bucket Entity

    • deltaRiskWeight

      public double deltaRiskWeight()
      Retrieve the SIMM Delta Risk Weight
      Returns:
      The Delta Risk Weight

    • memberCorrelation

      public double memberCorrelation()
      Retrieve the SIMM Member Correlation
      Returns:
      The Member Correlation