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




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