Package org.drip.simm.margin

Class BucketAggregateCR

java.lang.Object

org.drip.simm.margin.BucketAggregateCR

public class BucketAggregateCR
extends java.lang.Object

BucketAggregateCR holds the Single Bucket CR Sensitivity Margin, the Cumulative CR Bucket Risk Factor Sensitivity Margin, as well as the Aggregate CR Risk Factor Maps. 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:

• BucketAggregateCR Constructor
• Retrieve the CR Bucket Sensitivity Margin Variance
• Retrieve the CR Bucket Cumulative Sensitivity Margin
• Retrieve the CR Risk Factor Aggregate
• Retrieve the CR Sensitivity Aggregate
• Compute the ISDA SIMM Position Principal Component Co-variance
• Compute the FRTB SBA-C Position Principal Component Co-variance

Module	Portfolio Core Module
Library	Initial and Variation Margin Analytics
Project	Initial Margin Analytics based on ISDA SIMM and its Variants
Package	ISDA SIMM Risk Factor Margin Metrics

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BucketAggregateCR(RiskFactorAggregateCR riskFactorAggregate, SensitivityAggregateCR sensitivityAggregate, double sensitivityMarginVariance, double cumulativeSensitivityMargin)	BucketAggregateCR Constructor

Method Summary

Modifier and Type	Method	Description
double	cumulativeSensitivityMargin()	Retrieve the CR Bucket Cumulative Sensitivity Margin
double	positionPrincipalComponentCovarianceFRTB()	Compute the FRTB SBA-C Position Principal Component Co-variance
double	positionPrincipalComponentCovarianceISDA()	Compute the ISDA SIMM Position Principal Component Co-variance
RiskFactorAggregateCR	riskFactorAggregate()	Retrieve the CR Risk Factor Aggregate
SensitivityAggregateCR	sensitivityAggregate()	Retrieve the CR Sensitivity Aggregate
double	sensitivityMarginVariance()	Retrieve the CR Bucket Sensitivity Margin Variance

Methods inherited from class java.lang.Object

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

Constructor Details

BucketAggregateCR

public BucketAggregateCR(RiskFactorAggregateCR riskFactorAggregate,
SensitivityAggregateCR sensitivityAggregate,
double sensitivityMarginVariance,
double cumulativeSensitivityMargin)
                  throws java.lang.Exception

BucketAggregateCR Constructor

Parameters:

riskFactorAggregate - The CR Risk Factor Aggregate

sensitivityAggregate - THe CR Sensitivity Aggregate

sensitivityMarginVariance - The Bucket's Sensitivity Margin Variance

cumulativeSensitivityMargin - The Cumulative Risk Factor Sensitivity Margin

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

sensitivityMarginVariance

public double sensitivityMarginVariance()

Retrieve the CR Bucket Sensitivity Margin Variance

Returns:

The CR Bucket Sensitivity Margin Variance

cumulativeSensitivityMargin

public double cumulativeSensitivityMargin()

Retrieve the CR Bucket Cumulative Sensitivity Margin

Returns:

The CR Bucket Cumulative Sensitivity Margin

riskFactorAggregate

public RiskFactorAggregateCR riskFactorAggregate()

Retrieve the CR Risk Factor Aggregate

Returns:

The CR Risk Factor Aggregate

sensitivityAggregate

public SensitivityAggregateCR sensitivityAggregate()

Retrieve the CR Sensitivity Aggregate

Returns:

The CR Sensitivity Aggregate

positionPrincipalComponentCovarianceISDA

public double positionPrincipalComponentCovarianceISDA()

Compute the ISDA SIMM Position Principal Component Co-variance

Returns:

The ISDA SIMM Position Principal Component Co-variance

positionPrincipalComponentCovarianceFRTB

public double positionPrincipalComponentCovarianceFRTB()

Compute the FRTB SBA-C Position Principal Component Co-variance

Returns:

The FRTB SBA-C Position Principal Component Co-variance