Package org.drip.simm.foundation

Class MarginEstimationSettings

java.lang.Object
org.drip.simm.foundation.MarginEstimationSettings
public class MarginEstimationSettings
extends java.lang.Object
MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation. 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:
  • FRTB Based Position - Principal Component Estimator
  • ISDA Based Position - Principal Component Estimator
  • Generate a Cornish-Fischer Instance of MarginEstimationSettings
  • Generate a ISDA Delta Instance of MarginEstimationSettings
  • Generate an FRTB Instance of MarginEstimationSettings
  • MarginEstimationSettings Constructor
  • Retrieve the Position Principal Component Scheme
  • Retrieve the Curvature Estimator Function

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

  • Field Details

    • POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_FRTB

      public static final java.lang.String POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_FRTB
      FRTB Based Position - Principal Component Estimator
      See Also:
      Constant Field Values

    • POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA

      public static final java.lang.String POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA
      ISDA Based Position - Principal Component Estimator
      See Also:
      Constant Field Values

  • Constructor Details

    • MarginEstimationSettings

      public MarginEstimationSettings​(java.lang.String positionPrincipalComponentScheme, CurvatureEstimator curvatureEstimator) throws java.lang.Exception
      MarginEstimationSettings Constructor
      Parameters:
      positionPrincipalComponentScheme - The Position Principal Component Scheme
      curvatureEstimator - The Curvature Estimator Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • CornishFischer

      public static final MarginEstimationSettings CornishFischer​(java.lang.String positionPrincipalComponentScheme)
      Generate a Cornish-Fischer Instance of MarginEstimationSettings
      Parameters:
      positionPrincipalComponentScheme - The Position Principal Component Scheme
      Returns:
      Cornish-Fischer Instance of MarginEstimationSettings

    • ISDADelta

      public static final MarginEstimationSettings ISDADelta​(java.lang.String positionPrincipalComponentScheme)
      Generate a ISDA Delta Instance of MarginEstimationSettings
      Parameters:
      positionPrincipalComponentScheme - The Position Principal Component Scheme
      Returns:
      ISDA Delta Instance of MarginEstimationSettings

    • FRTB

      public static final MarginEstimationSettings FRTB​(java.lang.String positionPrincipalComponentScheme)
      Generate an FRTB Instance of MarginEstimationSettings
      Parameters:
      positionPrincipalComponentScheme - The Position Principal Component Scheme
      Returns:
      FRTB Instance of MarginEstimationSettings

    • positionPrincipalComponentScheme

      public java.lang.String positionPrincipalComponentScheme()
      Retrieve the Position Principal Component Scheme
      Returns:
      The Position Principal Component Scheme

    • curvatureEstimator

      public CurvatureEstimator curvatureEstimator()
      Retrieve the Curvature Estimator Function
      Returns:
      The Curvature Estimator Function