Package org.drip.simm.foundation

Interface CurvatureResponse

All Known Implementing Classes:
CurvatureResponseCornishFischer
public interface CurvatureResponse
CurvatureResponse exposes the Calculation of the Curvature Co-variance Scaling Factor (lambda) using the Cumulative 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 Lambda from the Curvature Sensitivities

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
    double lambda​(double cumulativeRiskFactorSensitivity, double cumulativeRiskFactorSensitivityPositive)
    Compute the Lambda from the Curvature Sensitivities

  • Method Details

    • lambda

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