Package org.drip.simm.estimator

Class ProductClassMargin

java.lang.Object

org.drip.simm.estimator.ProductClassMargin

public class ProductClassMargin
extends java.lang.Object

ProductClassMargin holds the Initial Margin Estimates for a Single Product Class across the Six Risk Factors - Interest Rate, Credit Qualifying, Credit Non-Qualifying, Equity, Commodity, and FX. 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:

• ProductClassMargin Constructor
• Retrieve the Interest Rate Risk Class Aggregate
• Retrieve the Credit Qualifying Risk Class Aggregate
• Retrieve the Credit Non-Qualifying Risk Class Aggregate
• Retrieve the Equity Risk Class Aggregate
• Retrieve the FX Risk Class Aggregate
• Retrieve the Commodity Risk Class Aggregate
• Compute the Total IM

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
ProductClassMargin(RiskClassAggregateIR irRiskClassAggregate, RiskClassAggregateCR creditQualifyingRiskClassAggregate, RiskClassAggregateCR creditNonQualifyingRiskClassAggregate, RiskClassAggregate equityRiskClassAggregate, RiskClassAggregate fxRiskClassAggregate, RiskClassAggregate commodityRiskClassAggregate)	ProductClassMargin Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassAggregate	commodityRiskClassAggregate()	Retrieve the Commodity Risk Class Aggregate
RiskClassAggregateCR	creditNonQualifyingRiskClassAggregate()	Retrieve the Credit Non-Qualifying Risk Class Aggregate
RiskClassAggregateCR	creditQualifyingRiskClassAggregate()	Retrieve the Credit Qualifying Risk Class Aggregate
RiskClassAggregate	equityRiskClassAggregate()	Retrieve the Equity Risk Class Aggregate
RiskClassAggregate	fxRiskClassAggregate()	Retrieve the FX Risk Class Aggregate
RiskClassAggregateIR	irRiskClassAggregate()	Retrieve the Interest Rate Risk Class Aggregate
double	total(LabelCorrelation labelCorrelation)	Compute the Total IM

Methods inherited from class java.lang.Object

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

Constructor Details

ProductClassMargin

public ProductClassMargin(RiskClassAggregateIR irRiskClassAggregate,
RiskClassAggregateCR creditQualifyingRiskClassAggregate,
RiskClassAggregateCR creditNonQualifyingRiskClassAggregate,
RiskClassAggregate equityRiskClassAggregate,
RiskClassAggregate fxRiskClassAggregate,
RiskClassAggregate commodityRiskClassAggregate)
                   throws java.lang.Exception

ProductClassMargin Constructor

Parameters:

irRiskClassAggregate - IR Risk Class Aggregate

creditQualifyingRiskClassAggregate - Credit Qualifying Risk Class Aggregate

creditNonQualifyingRiskClassAggregate - Credit Non-Qualifying Risk Class Aggregate

equityRiskClassAggregate - Equity Risk Class Aggregate

fxRiskClassAggregate - FX Risk Class Aggregate

commodityRiskClassAggregate - Commodity Risk Class Aggregate

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

irRiskClassAggregate

public RiskClassAggregateIR irRiskClassAggregate()

Retrieve the Interest Rate Risk Class Aggregate

Returns:

The Interest Rate Risk Class Aggregate

creditQualifyingRiskClassAggregate

public RiskClassAggregateCR creditQualifyingRiskClassAggregate()

Retrieve the Credit Qualifying Risk Class Aggregate

Returns:

The Credit Qualifying Risk Class Aggregate

creditNonQualifyingRiskClassAggregate

public RiskClassAggregateCR creditNonQualifyingRiskClassAggregate()

Retrieve the Credit Non-Qualifying Risk Class Aggregate

Returns:

The Credit Non-Qualifying Risk Class Aggregate

equityRiskClassAggregate

public RiskClassAggregate equityRiskClassAggregate()

Retrieve the Equity Risk Class Aggregate

Returns:

The Equity Risk Class Aggregate

fxRiskClassAggregate

public RiskClassAggregate fxRiskClassAggregate()

Retrieve the FX Risk Class Aggregate

Returns:

The FX Risk Class Aggregate

commodityRiskClassAggregate

public RiskClassAggregate commodityRiskClassAggregate()

Retrieve the Commodity Risk Class Aggregate

Returns:

The Commodity Risk Class Aggregate

total

public double total(LabelCorrelation labelCorrelation)
             throws java.lang.Exception

Compute the Total IM

Parameters:

labelCorrelation - Cross Risk Class Label Correlation

Returns:

The Total IM

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid