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




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