Package org.drip.simm.commodity

Class CTRiskThresholdContainer24

java.lang.Object
org.drip.simm.commodity.CTRiskThresholdContainer24
public class CTRiskThresholdContainer24
extends java.lang.Object
CTRiskThresholdContainer24 holds the ISDA SIMM 2.4 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf
It provides the following Functionality:
  • Initialize the Commodity Risk Threshold Container
  • Retrieve the Commodity Risk Threshold Bucket Set
  • Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
  • Retrieve the Threshold indicated by the Bucket Number
  • Retrieve the Delta Vega Threshold Map

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
    CTRiskThresholdContainer24()  

  • 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

    • CTRiskThresholdContainer24

      public CTRiskThresholdContainer24()

  • 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