Package org.drip.simm.credit

Class CRThresholdContainer24

java.lang.Object
org.drip.simm.credit.CRThresholdContainer24
public class CRThresholdContainer24
extends java.lang.Object
CRThresholdContainer24 holds the ISDA SIMM 2.4 Credit Risk Thresholds - the Credit Risk 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 Credit Risk Threshold Container
  • Retrieve the Credit Risk Qualifying Threshold Bucket Set
  • Retrieve the Credit Risk Non-Qualifying Threshold Bucket Set
  • Indicate if the Qualifying Bucket specified by the Number is available
  • Indicate if the Non-Qualifying Bucket specified by the Number is available
  • Retrieve the Credit Risk Qualifying Threshold Instance identified by the Bucket Number
  • Retrieve the Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number
  • Retrieve the Credit Risk Qualifying Threshold Map
  • Retrieve the Credit Risk Non-Qualifying Threshold 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
    CRThresholdContainer24()  

  • Method Summary

    Modifier and Type Method Description
    static boolean ContainsNonQualifyingBucket​(int bucketNumber)
    Indicate if the Non-Qualifying Bucket specified by the Number is available
    static boolean ContainsQualifyingBucket​(int bucketNumber)
    Indicate if the Qualifying Bucket specified by the Number is available
    static java.util.Map<java.lang.Integer,​DeltaVegaThreshold> CreditRiskNonQualifyingThresholdMap()
    Retrieve the Credit Risk Non-Qualifying Threshold Map
    static java.util.Map<java.lang.Integer,​DeltaVegaThreshold> CreditRiskQualifyingThresholdMap()
    Retrieve the Credit Risk Qualifying Threshold Map
    static boolean Init()
    Initialize the Credit Risk Threshold Container
    static java.util.Set<java.lang.Integer> NonQualifyingBucketSet()
    Retrieve the Credit Risk Non-Qualifying Threshold Bucket Set
    static DeltaVegaThreshold NonQualifyingThreshold​(int bucketNumber)
    Retrieve the Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number
    static java.util.Set<java.lang.Integer> QualifyingBucketSet()
    Retrieve the Credit Risk Qualifying Threshold Bucket Set
    static DeltaVegaThreshold QualifyingThreshold​(int bucketNumber)
    Retrieve the Credit Risk Qualifying Threshold Instance identified by the Bucket Number

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CRThresholdContainer24

      public CRThresholdContainer24()

  • Method Details

    • Init

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

    • QualifyingBucketSet

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

    • NonQualifyingBucketSet

      public static final java.util.Set<java.lang.Integer> NonQualifyingBucketSet()
      Retrieve the Credit Risk Non-Qualifying Threshold Bucket Set
      Returns:
      The Credit Risk Non-Qualifying Threshold Bucket Set

    • ContainsQualifyingBucket

      public static final boolean ContainsQualifyingBucket​(int bucketNumber)
      Indicate if the Qualifying Bucket specified by the Number is available
      Parameters:
      bucketNumber - The Qualifying Bucket Number
      Returns:
      TRUE - The Qualifying Bucket specified by the Number is available

    • ContainsNonQualifyingBucket

      public static final boolean ContainsNonQualifyingBucket​(int bucketNumber)
      Indicate if the Non-Qualifying Bucket specified by the Number is available
      Parameters:
      bucketNumber - The Non-Qualifying Bucket Number
      Returns:
      TRUE - The Non-Qualifying Bucket specified by the Number is available

    • QualifyingThreshold

      public static final DeltaVegaThreshold QualifyingThreshold​(int bucketNumber)
      Retrieve the Credit Risk Qualifying Threshold Instance identified by the Bucket Number
      Parameters:
      bucketNumber - The Bucket Number
      Returns:
      The Credit Risk Qualifying Threshold Instance identified by the Bucket Number

    • NonQualifyingThreshold

      public static final DeltaVegaThreshold NonQualifyingThreshold​(int bucketNumber)
      Retrieve the Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number
      Parameters:
      bucketNumber - The Bucket Number
      Returns:
      The Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number

    • CreditRiskQualifyingThresholdMap

      public static final java.util.Map<java.lang.Integer,​DeltaVegaThreshold> CreditRiskQualifyingThresholdMap()
      Retrieve the Credit Risk Qualifying Threshold Map
      Returns:
      The Credit Risk Qualifying Threshold Map

    • CreditRiskNonQualifyingThresholdMap

      public static final java.util.Map<java.lang.Integer,​DeltaVegaThreshold> CreditRiskNonQualifyingThresholdMap()
      Retrieve the Credit Risk Non-Qualifying Threshold Map
      Returns:
      The Credit Risk Non-Qualifying Threshold Map