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
It provides the following Functionality:
  • Compute the SBA Margin from the Curvature Sensitivities
  • Indicate if the Correlator is Quadratic
  • Generate the Bucket Pair Curvature Variance Modulator

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Foundation Utilities for ISDA SIMM

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