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




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