Package org.drip.simm.foundation

Class RiskGroupPrincipalCovariance

java.lang.Object
org.drip.simm.foundation.RiskGroupPrincipalCovariance
public class RiskGroupPrincipalCovariance
extends java.lang.Object
RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance. 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:
  • Construct the Standard RiskGroupPrincipalCovariance Instance from the Bucket Correlation Matrix and the Cross Correlation Entry
  • RiskGroupPrincipalCovariance Constructor
  • Retrieve the Intra-Group Principal Eigen-Component
  • Retrieve the Cross Group Correlation
  • Retrieve the Scaled Principal Eigen-vector
  • Retrieve the Unadjusted Cross-Group Co-variance
  • Retrieve the Adjusted Cross-Group Co-variance

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

  • Constructor Summary

    Constructors
    Constructor Description
    RiskGroupPrincipalCovariance​(EigenComponent principalEigenComponent, double extraGroupCorrelation)
    RiskGroupPrincipalCovariance Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] adjustedCovariance()
    Retrieve the Adjusted Cross-Group Co-variance
    double extraGroupCorrelation()
    Retrieve the Cross Group Correlation
    EigenComponent principalEigenComponent()
    Retrieve the Intra-Group Principal Eigen-Component
    double[] scaledPrincipalEigenvector()
    Retrieve the Scaled Principal Eigen-vector
    static RiskGroupPrincipalCovariance Standard​(double[][] intraGroupCorrelationMatrix, double extraGroupCorrelation)
    Construct the Standard RiskGroupPrincipalCovariance Instance from the Bucket Correlation Matrix and the Cross Correlation Entry
    double[][] unadjustedCovariance()
    Retrieve the Unadjusted Cross-Group Co-variance

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • RiskGroupPrincipalCovariance

      public RiskGroupPrincipalCovariance​(EigenComponent principalEigenComponent, double extraGroupCorrelation) throws java.lang.Exception
      RiskGroupPrincipalCovariance Constructor
      Parameters:
      principalEigenComponent - Intra-Group Principal Eigen-Component
      extraGroupCorrelation - Cross Group Correlation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final RiskGroupPrincipalCovariance Standard​(double[][] intraGroupCorrelationMatrix, double extraGroupCorrelation)
      Construct the Standard RiskGroupPrincipalCovariance Instance from the Bucket Correlation Matrix and the Cross Correlation Entry
      Parameters:
      intraGroupCorrelationMatrix - The Intra-Group Correlation Matrix
      extraGroupCorrelation - Cross Group Correlation
      Returns:
      The Standard RiskGroupPrincipalCovariance Instance

    • principalEigenComponent

      public EigenComponent principalEigenComponent()
      Retrieve the Intra-Group Principal Eigen-Component
      Returns:
      The Intra-Group Principal Eigen-Component

    • extraGroupCorrelation

      public double extraGroupCorrelation()
      Retrieve the Cross Group Correlation
      Returns:
      The Cross Group Correlation

    • scaledPrincipalEigenvector

      public double[] scaledPrincipalEigenvector()
      Retrieve the Scaled Principal Eigen-vector
      Returns:
      The Scaled Principal Eigen-vector

    • unadjustedCovariance

      public double[][] unadjustedCovariance()
      Retrieve the Unadjusted Cross-Group Co-variance
      Returns:
      The Unadjusted Cross-Group Co-variance

    • adjustedCovariance

      public double[][] adjustedCovariance()
      Retrieve the Adjusted Cross-Group Co-variance
      Returns:
      The Adjusted Cross-Group Co-variance