Package org.drip.simm.estimator

Class ProductClassSettings

java.lang.Object

org.drip.simm.estimator.ProductClassSettings

public class ProductClassSettings
extends java.lang.Object

ProductClassSettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Product Classes. 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:

• Construct an ISDA SIMM 2.0 Version of ProductClassSettings
• Construct an ISDA SIMM 2.1 Version of ProductClassSettings
• Construct an ISDA SIMM 2.4 Version of ProductClassSettings
• ProductClassSettings Constructor
• Retrieve the Equity Risk Class Sensitivity Settings
• Retrieve the Commodity Risk Class Sensitivity Settings
• Retrieve the FX Risk Class Sensitivity Settings
• Retrieve the IR Risk Class Sensitivity Settings
• Retrieve the Credit Qualifying Risk Class Sensitivity Settings
• Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
• Retrieve the Cross Risk Class Label Correlation

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

ProductClassSettings(RiskClassSensitivitySettings equityRiskClassSensitivitySettings, RiskClassSensitivitySettings commodityRiskClassSensitivitySettings, RiskClassSensitivitySettings fxRiskClassSensitivitySettings, RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditQualifyingRiskClassSensitivitySettings, RiskClassSensitivitySettingsCR creditNonQualifyingRiskClassSensitivitySettings, LabelCorrelation labelCorrelation)

ProductClassSettings Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassSensitivitySettings	commodityRiskClassSensitivitySettings()	Retrieve the Commodity Risk Class Sensitivity Settings
RiskClassSensitivitySettingsCR	creditNonQualifyingRiskClassSensitivitySettings()	Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
RiskClassSensitivitySettingsCR	creditQualifyingRiskClassSensitivitySettings()	Retrieve the Credit Qualifying Risk Class Sensitivity Settings
RiskClassSensitivitySettings	equityRiskClassSensitivitySettings()	Retrieve the Equity Risk Class Sensitivity Settings
RiskClassSensitivitySettings	fxRiskClassSensitivitySettings()	Retrieve the FX Risk Class Sensitivity Settings
RiskClassSensitivitySettingsIR	irRiskClassSensitivitySettings()	Retrieve the IR Risk Class Sensitivity Settings
static ProductClassSettings	ISDA_20(java.util.List<java.lang.String> currencyList, int vegaDurationDays)	Construct an ISDA SIMM 2.0 Version of ProductClassSettings
static ProductClassSettings	ISDA_21(java.util.List<java.lang.String> currencyList, int vegaDurationDays)	Construct an ISDA SIMM 2.1 Version of ProductClassSettings
static ProductClassSettings	ISDA_24(java.util.List<java.lang.String> currencyList, int vegaDurationDays, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct an ISDA SIMM 2.4 Version of ProductClassSettings
LabelCorrelation	labelCorrelation()	Retrieve the Cross Risk Class Label Correlation

Methods inherited from class java.lang.Object

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

Constructor Details

ProductClassSettings

public ProductClassSettings(RiskClassSensitivitySettings equityRiskClassSensitivitySettings,
RiskClassSensitivitySettings commodityRiskClassSensitivitySettings,
RiskClassSensitivitySettings fxRiskClassSensitivitySettings,
RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings,
RiskClassSensitivitySettingsCR creditQualifyingRiskClassSensitivitySettings,
RiskClassSensitivitySettingsCR creditNonQualifyingRiskClassSensitivitySettings,
LabelCorrelation labelCorrelation)
                     throws java.lang.Exception

ProductClassSettings Constructor

Parameters:

equityRiskClassSensitivitySettings - Equity Risk Class Sensitivity Settings

commodityRiskClassSensitivitySettings - Commodity Risk Class Sensitivity Settings

fxRiskClassSensitivitySettings - FX Risk Class Sensitivity Settings

irRiskClassSensitivitySettings - IR Risk Class Sensitivity Settings

creditQualifyingRiskClassSensitivitySettings - Credit Qualifying Risk Class Sensitivity Settings

creditNonQualifyingRiskClassSensitivitySettings - Credit Non-Qualifying Risk Class Sensitivity Settings

labelCorrelation - Cross Risk Class Label Correlation

Throws:

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

Method Details

ISDA_20

public static final ProductClassSettings ISDA_20(java.util.List<java.lang.String> currencyList,
int vegaDurationDays)

Construct an ISDA SIMM 2.0 Version of ProductClassSettings

Parameters:

currencyList - Currency List

vegaDurationDays - The Volatility Duration in Days

Returns:

ISDA SIMM 2.0 Version of ProductClassSettings

ISDA_21

public static final ProductClassSettings ISDA_21(java.util.List<java.lang.String> currencyList,
int vegaDurationDays)

Construct an ISDA SIMM 2.1 Version of ProductClassSettings

Parameters:

currencyList - Currency List

vegaDurationDays - The Volatility Duration in Days

Returns:

ISDA SIMM 2.1 Version of ProductClassSettings

ISDA_24

public static final ProductClassSettings ISDA_24(java.util.List<java.lang.String> currencyList,
int vegaDurationDays,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct an ISDA SIMM 2.4 Version of ProductClassSettings

Parameters:

currencyList - Currency List

vegaDurationDays - The Volatility Duration in Days

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

ISDA SIMM 2.4 Version of ProductClassSettings

equityRiskClassSensitivitySettings

public RiskClassSensitivitySettings equityRiskClassSensitivitySettings()

Retrieve the Equity Risk Class Sensitivity Settings

Returns:

The Equity Risk Class Sensitivity Settings

commodityRiskClassSensitivitySettings

public RiskClassSensitivitySettings commodityRiskClassSensitivitySettings()

Retrieve the Commodity Risk Class Sensitivity Settings

Returns:

The Commodity Risk Class Sensitivity Settings

fxRiskClassSensitivitySettings

public RiskClassSensitivitySettings fxRiskClassSensitivitySettings()

Retrieve the FX Risk Class Sensitivity Settings

Returns:

The FX Risk Class Sensitivity Settings

irRiskClassSensitivitySettings

public RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings()

Retrieve the IR Risk Class Sensitivity Settings

Returns:

The IR Risk Class Sensitivity Settings

creditQualifyingRiskClassSensitivitySettings

public RiskClassSensitivitySettingsCR creditQualifyingRiskClassSensitivitySettings()

Retrieve the Credit Qualifying Risk Class Sensitivity Settings

Returns:

The Credit Qualifying Risk Class Sensitivity Settings

creditNonQualifyingRiskClassSensitivitySettings

public RiskClassSensitivitySettingsCR creditNonQualifyingRiskClassSensitivitySettings()

Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings

Returns:

The Credit Non-Qualifying Risk Class Sensitivity Settings

labelCorrelation

public LabelCorrelation labelCorrelation()

Retrieve the Cross Risk Class Label Correlation

Returns:

The Cross Risk Class Label Correlation