Package org.drip.simm.commodity

Class CTRiskThresholdContainer20

java.lang.Object
org.drip.simm.commodity.CTRiskThresholdContainer20
public class CTRiskThresholdContainer20
extends java.lang.Object
CTRiskThresholdContainer20 holds the ISDA SIMM 2.0 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds. 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
    CTRiskThresholdContainer20()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.Set<java.lang.Integer> BucketSet()
    Retrieve the Commodity Risk Threshold Bucket Set
    static boolean ContainsBucket​(int bucketNumber)
    Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
    static java.util.Map<java.lang.Integer,​DeltaVegaThreshold> DeltaVegaThresholdMap()
    Retrieve the Delta Vega Threshold Map
    static boolean Init()
    Initialize the Commodity Risk Threshold Container
    static DeltaVegaThreshold Threshold​(int bucketNumber)
    Retrieve the Threshold indicated by the Bucket Number

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CTRiskThresholdContainer20

      public CTRiskThresholdContainer20()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Commodity Risk Threshold Container
      Returns:
      TRUE - The Commodity Risk Threshold Container successfully initialized

    • BucketSet

      public static final java.util.Set<java.lang.Integer> BucketSet()
      Retrieve the Commodity Risk Threshold Bucket Set
      Returns:
      The Commodity Risk Threshold Bucket Set

    • ContainsBucket

      public static final boolean ContainsBucket​(int bucketNumber)
      Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
      Parameters:
      bucketNumber - The Bucket Number
      Returns:
      TRUE - The Bucket Number is available in the Commodity Risk Threshold Container

    • Threshold

      public static final DeltaVegaThreshold Threshold​(int bucketNumber)
      Retrieve the Threshold indicated by the Bucket Number
      Parameters:
      bucketNumber - The Bucket Number
      Returns:
      The Threshold indicated by the Bucket Number

    • DeltaVegaThresholdMap

      public static final java.util.Map<java.lang.Integer,​DeltaVegaThreshold> DeltaVegaThresholdMap()
      Retrieve the Delta Vega Threshold Map
      Returns:
      The Delta Vega Threshold Map