Package org.drip.simm.foundation

Interface CurvatureEstimator

All Known Implementing Classes:
CurvatureEstimatorFRTB, CurvatureEstimatorISDADelta, CurvatureEstimatorResponseFunction
public interface CurvatureEstimator
CurvatureEstimator exposes the Curvature Margin Estimation using the Curvature Sensitivities. 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




Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    boolean isCorrelatorQuadratric()
    Indicate if the Correlator is Quadratic
    double margin​(double cumulativeRiskFactorSensitivity, double cumulativeRiskFactorSensitivityPositive, double riskFactorSensitivityVariance)
    Compute the SBA Margin from the Curvature Sensitivities
    double varianceModulator​(java.lang.String bucketKey1, double bucketVariance1, java.lang.String bucketKey2, double bucketVariance2)
    Generate the Bucket Pair Curvature Variance Modulator

  • Method Details

    • margin

      double margin​(double cumulativeRiskFactorSensitivity, double cumulativeRiskFactorSensitivityPositive, double riskFactorSensitivityVariance) throws java.lang.Exception
      Compute the SBA Margin from the Curvature Sensitivities
      Parameters:
      cumulativeRiskFactorSensitivity - Cumulative Risk Factor Sensitivity
      cumulativeRiskFactorSensitivityPositive - Cumulative Risk Factor Sensitivity Positive
      riskFactorSensitivityVariance - Risk Factor Sensitivity Variance
      Returns:
      The SBA Margin
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • isCorrelatorQuadratric

      boolean isCorrelatorQuadratric()
      Indicate if the Correlator is Quadratic
      Returns:
      TRUE - The Correlator is Quadratic

    • varianceModulator

      double varianceModulator​(java.lang.String bucketKey1, double bucketVariance1, java.lang.String bucketKey2, double bucketVariance2) throws java.lang.Exception
      Generate the Bucket Pair Curvature Variance Modulator
      Parameters:
      bucketKey1 - Bucket #1 Key
      bucketVariance1 - Bucket #1 Variance
      bucketKey2 - Bucket #2 Key
      bucketVariance2 - Bucket #2 Variance
      Returns:
      The Bucket Pair Curvature Variance Modulator
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid