Package org.drip.simm.foundation

Class CurvatureEstimatorISDADelta

java.lang.Object
org.drip.simm.foundation.CurvatureEstimatorISDADelta
All Implemented Interfaces:
CurvatureEstimator
public class CurvatureEstimatorISDADelta
extends java.lang.Object
implements CurvatureEstimator
CurvatureEstimatorISDADelta estimates the Curvature Margin from the Curvature Sensitivities using the ISDA Delta 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CurvatureEstimatorISDADelta()
    Empty CurvatureEstimatorISDADelta 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 CurvatureEstimatorISDADelta Standard()
    Construct the Standard CurvatureEstimatorISDADelta 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

    • CurvatureEstimatorISDADelta

      public CurvatureEstimatorISDADelta()
      Empty CurvatureEstimatorISDADelta Constructor

  • Method Details

    • Standard

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

    • margin

      public double margin​(double cumulativeRiskFactorSensitivity, double cumulativeRiskFactorSensitivityPositive, double riskFactorSensitivityVariance) throws java.lang.Exception
      Description copied from interface: CurvatureEstimator
      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()
      Description copied from interface: CurvatureEstimator
      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
      Description copied from interface: CurvatureEstimator
      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