Package org.drip.simm.credit

Class CRBucket

java.lang.Object
org.drip.simm.credit.CRBucket
public class CRBucket
extends java.lang.Object
CRBucket holds the ISDA SIMM Credit Quality, Sector List, and Risk Weights for a given Credit Qualifying/Non-Qualifying Issuer Exposure 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:
  • CRBucket Constructor
  • Retrieve the SIMM Bucket Number
  • Retrieve the SIMM Credit Quality
  • Retrieve the SIMM Sector Array
  • Retrieve the Risk Weight
  • Retrieve the Credit Tenor Risk Weight Map

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Credit Qualifying/Non-Qualifying Risk Factor Settings

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CRBucket​(int number, java.lang.String quality, java.lang.String[] sectorArray, double riskWeight)
    CRBucket Constructor

  • Method Summary

    Modifier and Type Method Description
    int number()
    Retrieve the SIMM Bucket Number
    java.lang.String quality()
    Retrieve the SIMM Credit Quality
    double riskWeight()
    Retrieve the Risk Weight
    java.lang.String[] sectorArray()
    Retrieve the SIMM Sector Array
    java.util.Map<java.lang.String,​java.lang.Double> tenorWeightMap​(java.util.Set<java.lang.String> tenorSet)
    Retrieve the Credit Tenor Risk Weight Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CRBucket

      public CRBucket​(int number, java.lang.String quality, java.lang.String[] sectorArray, double riskWeight) throws java.lang.Exception
      CRBucket Constructor
      Parameters:
      number - The Bucket Number
      quality - The Credit Quality
      sectorArray - The Sector Array
      riskWeight - The Risk Weight
      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

    • quality

      public java.lang.String quality()
      Retrieve the SIMM Credit Quality
      Returns:
      The Credit Quality

    • sectorArray

      public java.lang.String[] sectorArray()
      Retrieve the SIMM Sector Array
      Returns:
      The Sector Array

    • riskWeight

      public double riskWeight()
      Retrieve the Risk Weight
      Returns:
      The Risk Weight

    • tenorWeightMap

      public java.util.Map<java.lang.String,​java.lang.Double> tenorWeightMap​(java.util.Set<java.lang.String> tenorSet)
      Retrieve the Credit Tenor Risk Weight Map
      Parameters:
      tenorSet - The Tenor Set
      Returns:
      The Credit Tenor Risk Weight Map