Package org.drip.simm.estimator

Class AdditionalInitialMargin

java.lang.Object
org.drip.simm.estimator.AdditionalInitialMargin
public class AdditionalInitialMargin
extends java.lang.Object
AdditionalInitialMargin holds the Additional Initial Margin along with the Product Specific Add-On Components. 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:
  • The "Emerging Markets" Region
  • The "Developed Markets" Region
  • The "All" Region
  • Array of Developed Countries

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package ISDA SIMM Core + Add-On Estimator

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AdditionalInitialMargin​(double ratesFXMultiplicativeScale, double creditMultiplicativeScale, double equityMultiplicativeScale, double commodityMultiplicativeScale, double addOnFixed, java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap)
    AdditionalInitialMargin Constructor

  • Method Summary

    Modifier and Type Method Description
    double addOnFixed()
    Retrieve the Fixed Add-On
    double commodityMultiplicativeScale()
    Retrieve the Commodity Multiplicative Scale
    double creditMultiplicativeScale()
    Retrieve the Credit Multiplicative Scale
    double equityMultiplicativeScale()
    Retrieve the Equity Multiplicative Scale
    double productAddOn​(java.util.Map<java.lang.String,​java.lang.Double> productNotionalMap)
    Compute the Product Add On Estimate
    java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap()
    Retrieve the Product Add-On Factor Map
    double ratesFXMultiplicativeScale()
    Retrieve the RatesFX Multiplicative Scale
    static AdditionalInitialMargin Standard​(double addOnFixed, java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap)
    Construct a Standard Instance of AdditionalInitialMargin
    double total​(java.util.Map<java.lang.String,​java.lang.Double> productNotionalMap)
    Compute the Total IM Add On

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AdditionalInitialMargin

      public AdditionalInitialMargin​(double ratesFXMultiplicativeScale, double creditMultiplicativeScale, double equityMultiplicativeScale, double commodityMultiplicativeScale, double addOnFixed, java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap) throws java.lang.Exception
      AdditionalInitialMargin Constructor
      Parameters:
      ratesFXMultiplicativeScale - The RatesFX Multiplicative Scale
      creditMultiplicativeScale - The Credit Multiplicative Scale
      equityMultiplicativeScale - The Equity Multiplicative Scale
      commodityMultiplicativeScale - The Commodity Multiplicative Scale
      addOnFixed - The Fixed Add-On
      productAddOnFactorMap - The Product Add-On Factor Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final AdditionalInitialMargin Standard​(double addOnFixed, java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap)
      Construct a Standard Instance of AdditionalInitialMargin
      Parameters:
      addOnFixed - The Fixed Add-On
      productAddOnFactorMap - The Product Add-On Factor Map
      Returns:
      The Standard AdditionalInitialMargin Instance

    • ratesFXMultiplicativeScale

      public double ratesFXMultiplicativeScale()
      Retrieve the RatesFX Multiplicative Scale
      Returns:
      The RatesFX Multiplicative Scale

    • creditMultiplicativeScale

      public double creditMultiplicativeScale()
      Retrieve the Credit Multiplicative Scale
      Returns:
      The Credit Multiplicative Scale

    • equityMultiplicativeScale

      public double equityMultiplicativeScale()
      Retrieve the Equity Multiplicative Scale
      Returns:
      The Equity Multiplicative Scale

    • commodityMultiplicativeScale

      public double commodityMultiplicativeScale()
      Retrieve the Commodity Multiplicative Scale
      Returns:
      The Commodity Multiplicative Scale

    • addOnFixed

      public double addOnFixed()
      Retrieve the Fixed Add-On
      Returns:
      The Fixed Add-On

    • productAddOnFactorMap

      public java.util.Map<java.lang.String,​java.lang.Double> productAddOnFactorMap()
      Retrieve the Product Add-On Factor Map
      Returns:
      The Product Add-On Factor Map

    • productAddOn

      public double productAddOn​(java.util.Map<java.lang.String,​java.lang.Double> productNotionalMap)
      Compute the Product Add On Estimate
      Parameters:
      productNotionalMap - The Product Notional Map
      Returns:
      The Product Add On Estimate

    • total

      public double total​(java.util.Map<java.lang.String,​java.lang.Double> productNotionalMap)
      Compute the Total IM Add On
      Parameters:
      productNotionalMap - The Product Notional Map
      Returns:
      The Total IM Add On