Package org.drip.simm.estimator

Class ProductClassSensitivity

java.lang.Object

org.drip.simm.estimator.ProductClassSensitivity

public class ProductClassSensitivity
extends java.lang.Object

ProductClassSensitivity holds the multiple Risk Class Sensitivities for a single Product Class. 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:

• ProductClassSensitivity Constructor
• Retrieve the Equity Risk Class Sensitivity
• Retrieve the Commodity Risk Class Sensitivity
• Retrieve the FX Risk Class Sensitivity
• Retrieve the IR Risk Class Sensitivity
• Retrieve the Credit Qualifying Risk Class Sensitivity
• Retrieve the Credit Non-Qualifying Risk Class Sensitivity
• Generate the Margin for the Product Class

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
ProductClassSensitivity(RiskClassSensitivity equityRiskClassSensitivity, RiskClassSensitivity commodityRiskClassSensitivity, RiskClassSensitivity fxRiskClassSensitivity, RiskClassSensitivityIR irRiskClassSensitivity, RiskClassSensitivityCR creditQualifyingRiskClassSensitivity, RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity)	ProductClassSensitivity Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassSensitivity	commodityRiskClassSensitivity()	Retrieve the Commodity Risk Class Sensitivity
RiskClassSensitivityCR	creditNonQualifyingRiskClassSensitivity()	Retrieve the Credit Non-Qualifying Risk Class Sensitivity
RiskClassSensitivityCR	creditQualifyingRiskClassSensitivity()	Retrieve the Credit Qualifying Risk Class Sensitivity
RiskClassSensitivity	equityRiskClassSensitivity()	Retrieve the Equity Risk Class Sensitivity
ProductClassMargin	estimate(ProductClassSettings productClassSettings, MarginEstimationSettings marginEstimationSettings)	Generate the Margin for the Product Class
RiskClassSensitivity	fxRiskClassSensitivity()	Retrieve the FX Risk Class Sensitivity
RiskClassSensitivityIR	irRiskClassSensitivity()	Retrieve the IR Risk Class Sensitivity

Methods inherited from class java.lang.Object

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

Constructor Details

ProductClassSensitivity

public ProductClassSensitivity(RiskClassSensitivity equityRiskClassSensitivity,
RiskClassSensitivity commodityRiskClassSensitivity,
RiskClassSensitivity fxRiskClassSensitivity,
RiskClassSensitivityIR irRiskClassSensitivity,
RiskClassSensitivityCR creditQualifyingRiskClassSensitivity,
RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity)
                        throws java.lang.Exception

ProductClassSensitivity Constructor

Parameters:

equityRiskClassSensitivity - Equity Risk Class Sensitivity

commodityRiskClassSensitivity - Commodity Risk Class Sensitivity

fxRiskClassSensitivity - FX Risk Class Sensitivity

irRiskClassSensitivity - IR Risk Class Sensitivity

creditQualifyingRiskClassSensitivity - Credit Qualifying Risk Class Sensitivity

creditNonQualifyingRiskClassSensitivity - Credit Non-Qualifying Risk Class Sensitivity

Throws:

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

Method Details

equityRiskClassSensitivity

public RiskClassSensitivity equityRiskClassSensitivity()

Retrieve the Equity Risk Class Sensitivity

Returns:

The Equity Risk Class Sensitivity

commodityRiskClassSensitivity

public RiskClassSensitivity commodityRiskClassSensitivity()

Retrieve the Commodity Risk Class Sensitivity

Returns:

The Commodity Risk Class Sensitivity

fxRiskClassSensitivity

public RiskClassSensitivity fxRiskClassSensitivity()

Retrieve the FX Risk Class Sensitivity

Returns:

The FX Risk Class Sensitivity

irRiskClassSensitivity

public RiskClassSensitivityIR irRiskClassSensitivity()

Retrieve the IR Risk Class Sensitivity

Returns:

The IR Risk Class Sensitivity

creditQualifyingRiskClassSensitivity

public RiskClassSensitivityCR creditQualifyingRiskClassSensitivity()

Retrieve the Credit Qualifying Risk Class Sensitivity

Returns:

The Credit Qualifying Risk Class Sensitivity

creditNonQualifyingRiskClassSensitivity

public RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity()

Retrieve the Credit Non-Qualifying Risk Class Sensitivity

Returns:

The Credit Non-Qualifying Risk Class Sensitivity

estimate

public ProductClassMargin estimate(ProductClassSettings productClassSettings,
MarginEstimationSettings marginEstimationSettings)

Generate the Margin for the Product Class

Parameters:

productClassSettings - The Product Class Settings

marginEstimationSettings - Margin Estimation Settings

Returns:

The Margin for the Product Class