Package org.drip.simm.equity

Class EQBucket

java.lang.Object
org.drip.simm.equity.EQBucket
public class EQBucket
extends java.lang.Object
EQBucket holds the ISDA SIMM Region, Sector, Member Correlation, and Risk Weights for a given Equity 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:
  • EQBucket Constructor
  • Retrieve the Bucket Number
  • Retrieve the Bucket Size
  • Retrieve the Bucket Region
  • Retrieve the Bucket Sector Array
  • Retrieve the Bucket Delta Risk Weight
  • Retrieve the Correlation between the Bucket Members
  • Retrieve the Bucket Vega Risk Weight

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Equity Risk Factor Calibration Settings

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    EQBucket​(int number, java.lang.String size, java.lang.String region, java.lang.String[] sectorArray, double deltaRiskWeight, double memberCorrelation, double vegaRiskWeight)
    EQBucket Constructor

  • Method Summary

    Modifier and Type Method Description
    double deltaRiskWeight()
    Retrieve the Bucket Delta Risk Weight
    double memberCorrelation()
    Retrieve the Correlation between the Bucket Members
    int number()
    Retrieve the Bucket Number
    java.lang.String region()
    Retrieve the Bucket Region
    java.lang.String[] sectorArray()
    Retrieve the Bucket Sector Array
    java.lang.String size()
    Retrieve the Bucket Size
    double vegaRiskWeight()
    Retrieve the Bucket Vega Risk Weight

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EQBucket

      public EQBucket​(int number, java.lang.String size, java.lang.String region, java.lang.String[] sectorArray, double deltaRiskWeight, double memberCorrelation, double vegaRiskWeight) throws java.lang.Exception
      EQBucket Constructor
      Parameters:
      number - Bucket Number
      size - Bucket Equity Market Capitalization Size
      region - Bucket Region
      sectorArray - Bucket Sector Array
      deltaRiskWeight - Bucket Delta Risk Weight
      memberCorrelation - Bucket Member Correlation
      vegaRiskWeight - The Bucket Vega Risk Weight
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • number

      public int number()
      Retrieve the Bucket Number
      Returns:
      The Bucket Number

    • size

      public java.lang.String size()
      Retrieve the Bucket Size
      Returns:
      The Bucket Size

    • region

      public java.lang.String region()
      Retrieve the Bucket Region
      Returns:
      The Bucket Region

    • sectorArray

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

    • deltaRiskWeight

      public double deltaRiskWeight()
      Retrieve the Bucket Delta Risk Weight
      Returns:
      The Bucket Delta Risk Weight

    • memberCorrelation

      public double memberCorrelation()
      Retrieve the Correlation between the Bucket Members
      Returns:
      Correlation between the Bucket Members

    • vegaRiskWeight

      public double vegaRiskWeight()
      Retrieve the Bucket Vega Risk Weight
      Returns:
      The Bucket Vega Risk Weight