Package org.drip.simm.foundation

Class CurvatureEstimatorFRTB

java.lang.Object
org.drip.simm.foundation.CurvatureEstimatorFRTB
All Implemented Interfaces:
CurvatureEstimator
public class CurvatureEstimatorFRTB
extends java.lang.Object
implements CurvatureEstimator
CurvatureEstimatorFRTB estimates the Curvature Margin from the Curvature Sensitivities using the FRTB Curvature Margin Estimate. 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:
  • Construct the Standard CurvatureEstimatorFRTB Instance
  • Empty CurvatureEstimatorFRTB Constructor
  • 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

  • Constructor Summary

    Constructors
    Constructor Description
    CurvatureEstimatorFRTB()
    Empty CurvatureEstimatorFRTB Constructor

  • 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
    static CurvatureEstimatorFRTB Standard()
    Construct the Standard CurvatureEstimatorFRTB Instance
    double varianceModulator​(java.lang.String bucketKey1, double bucketVariance1, java.lang.String bucketKey2, double bucketVariance2)
    Generate the Bucket Pair Curvature Variance Modulator

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CurvatureEstimatorFRTB

      public CurvatureEstimatorFRTB()
      Empty CurvatureEstimatorFRTB Constructor

  • Method Details

    • Standard

      public static final CurvatureEstimatorFRTB Standard()
      Construct the Standard CurvatureEstimatorFRTB Instance
      Returns:
      The Standard CurvatureEstimatorFRTB Instance

    • margin

      public double margin​(double cumulativeRiskFactorSensitivity, double cumulativeRiskFactorSensitivityPositive, double riskFactorSensitivityVariance) throws java.lang.Exception
      Compute the SBA Margin from the Curvature Sensitivities
      Specified by:
      margin in interface CurvatureEstimator
      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

      public boolean isCorrelatorQuadratric()
      Indicate if the Correlator is Quadratic
      Specified by:
      isCorrelatorQuadratric in interface CurvatureEstimator
      Returns:
      TRUE - The Correlator is Quadratic

    • varianceModulator

      public 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
      Specified by:
      varianceModulator in interface CurvatureEstimator
      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