Package org.drip.simm.margin

Class BucketAggregateIR

java.lang.Object

org.drip.simm.margin.BucketAggregateIR

public class BucketAggregateIR
extends java.lang.Object

BucketAggregateIR holds the Single Bucket IR Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the IR Aggregate 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:

• BucketAggregateIR Constructor
• Retrieve the IR Risk Factor Aggregate
• Retrieve the IR Sensitivity Aggregate
• Retrieve the Bucket's Sensitivity Margin Variance
• Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
• 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
BucketAggregateIR(RiskFactorAggregateIR riskFactorAggregate, SensitivityAggregateIR sensitivityAggregate, double sensitivityMarginVariance, double cumulativeSensitivityMargin)	BucketAggregateIR Constructor

Method Summary

Modifier and Type	Method	Description
double	cumulativeSensitivityMargin()	Retrieve the Bucket's Cumulative Risk Factor 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
RiskFactorAggregateIR	riskFactorAggregate()	Retrieve the IR Risk Factor Aggregate
SensitivityAggregateIR	sensitivityAggregate()	Retrieve the IR Sensitivity Aggregate
double	sensitivityMarginVariance()	Retrieve the Bucket's Sensitivity Margin Variance

Methods inherited from class java.lang.Object

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

Constructor Details

BucketAggregateIR

public BucketAggregateIR(RiskFactorAggregateIR riskFactorAggregate,
SensitivityAggregateIR sensitivityAggregate,
double sensitivityMarginVariance,
double cumulativeSensitivityMargin)
                  throws java.lang.Exception

BucketAggregateIR Constructor

Parameters:

riskFactorAggregate - The IR Risk Factor Aggregate

sensitivityAggregate - The IR 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

riskFactorAggregate

public RiskFactorAggregateIR riskFactorAggregate()

Retrieve the IR Risk Factor Aggregate

Returns:

The IR Risk Factor Aggregate

sensitivityAggregate

public SensitivityAggregateIR sensitivityAggregate()

Retrieve the IR Sensitivity Aggregate

Returns:

The IR Sensitivity Aggregate

sensitivityMarginVariance

public double sensitivityMarginVariance()

Retrieve the Bucket's Sensitivity Margin Variance

Returns:

The Bucket's Sensitivity Margin Variance

cumulativeSensitivityMargin

public double cumulativeSensitivityMargin()

Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin

Returns:

The Bucket's Cumulative Risk Factor Sensitivity Margin

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