Package org.drip.simm.equity

Class EQSettingsContainer24

java.lang.Object
org.drip.simm.equity.EQSettingsContainer24
public class EQSettingsContainer24
extends java.lang.Object
EQSettingsContainer24 holds the ISDA SIMM 2.4 Equity Buckets and their Correlations. 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 Equity Settings Container
  • Retrieve the Set of Bucket Indexes available
  • Indicate if the Bucket denoted by the Number is available
  • Retrieve the Bucket denoted by the Number
  • Retrieve the Cross Bucket Correlation
  • Retrieve the Bucket Map
  • Retrieve the Cross Bucket Co-variance Matrix

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
    EQSettingsContainer24()  

  • Method Summary

    Modifier and Type Method Description
    static EQBucket Bucket​(int bucketNumber)
    Retrieve the Bucket denoted by the Number
    static java.util.Map<java.lang.Integer,​EQBucket> BucketMap()
    Retrieve the Bucket Map
    static java.util.Set<java.lang.Integer> BucketSet()
    Retrieve the Set of Bucket Indexes available
    static boolean ContainsBucket​(int bucketNumber)
    Indicate if the Bucket denoted by the Number is available
    static LabelCorrelation CrossBucketCorrelation()
    Retrieve the Cross Bucket Correlation
    static RiskGroupPrincipalCovariance CrossBucketPrincipalCovariance()
    Retrieve the Cross Bucket Co-variance Matrix
    static boolean Init()
    Initialize the Equity Settings Container

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EQSettingsContainer24

      public EQSettingsContainer24()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Equity Settings Container
      Returns:
      TRUE - Equity Settings Container successfully initialized

    • BucketSet

      public static final java.util.Set<java.lang.Integer> BucketSet()
      Retrieve the Set of Bucket Indexes available
      Returns:
      The Set of Bucket Indexes available

    • ContainsBucket

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

    • Bucket

      public static final EQBucket Bucket​(int bucketNumber)
      Retrieve the Bucket denoted by the Number
      Parameters:
      bucketNumber - The Bucket Number
      Returns:
      The Bucket denoted by the Number

    • CrossBucketCorrelation

      public static final LabelCorrelation CrossBucketCorrelation()
      Retrieve the Cross Bucket Correlation
      Returns:
      The Cross Bucket Correlation

    • BucketMap

      public static final java.util.Map<java.lang.Integer,​EQBucket> BucketMap()
      Retrieve the Bucket Map
      Returns:
      The Bucket Map

    • CrossBucketPrincipalCovariance

      public static final RiskGroupPrincipalCovariance CrossBucketPrincipalCovariance()
      Retrieve the Cross Bucket Co-variance Matrix
      Returns:
      The Cross Bucket Co-variance Matrix