Package org.drip.simm.margin

Class RiskClassAggregate

java.lang.Object

org.drip.simm.margin.RiskClassAggregate

public class RiskClassAggregate
extends java.lang.Object

RiskClassAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Class. 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:

• RiskClassAggregate Constructor
• Retrieve the Delta Margin
• Retrieve the Vega Margin
• Retrieve the Curvature Margin
• Compute the SBA Margin

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
RiskClassAggregate(RiskMeasureAggregate deltaMargin, RiskMeasureAggregate vegaMargin, RiskMeasureAggregate curvatureMargin)	RiskClassAggregate Constructor

Method Summary

Modifier and Type	Method	Description
RiskMeasureAggregate	curvatureMargin()	Retrieve the Curvature Margin
RiskMeasureAggregate	deltaMargin()	Retrieve the Delta Margin
double	margin()	Compute the SBA Margin
RiskMeasureAggregate	vegaMargin()	Retrieve the Vega Margin

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassAggregate

public RiskClassAggregate(RiskMeasureAggregate deltaMargin,
RiskMeasureAggregate vegaMargin,
RiskMeasureAggregate curvatureMargin)
                   throws java.lang.Exception

RiskClassAggregate Constructor

Parameters:

deltaMargin - The Delta Margin

vegaMargin - The Vega Margin

curvatureMargin - The Curvature Margin

Throws:

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

Method Details

deltaMargin

public RiskMeasureAggregate deltaMargin()

Retrieve the Delta Margin

Returns:

The Delta Margin

vegaMargin

public RiskMeasureAggregate vegaMargin()

Retrieve the Vega Margin

Returns:

The Vega Margin

curvatureMargin

public RiskMeasureAggregate curvatureMargin()

Retrieve the Curvature Margin

Returns:

The Curvature Margin

margin

public double margin()

Compute the SBA Margin

Returns:

The SBA Margin