Package org.drip.simm.margin

Class RiskClassAggregateCR

java.lang.Object

org.drip.simm.margin.RiskClassAggregateCR

public class RiskClassAggregateCR
extends java.lang.Object

RiskClassAggregateCR holds the CR 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:

• RiskClassAggregateCR Constructor
• Retrieve the CR Delta SBA Margin
• Retrieve the CR Vega SBA Margin
• Retrieve the CR Curvature SBA 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
RiskClassAggregateCR(RiskMeasureAggregateCR deltaMargin, RiskMeasureAggregateCR vegaMargin, RiskMeasureAggregateCR curvatureMargin)	RiskClassAggregateCR Constructor

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassAggregateCR

public RiskClassAggregateCR(RiskMeasureAggregateCR deltaMargin,
RiskMeasureAggregateCR vegaMargin,
RiskMeasureAggregateCR curvatureMargin)
                     throws java.lang.Exception

RiskClassAggregateCR 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 RiskMeasureAggregateCR deltaMargin()

Retrieve the CR Delta SBA Margin

Returns:

The CR Delta SBA Margin

vegaMargin

public RiskMeasureAggregateCR vegaMargin()

Retrieve the CR Vega SBA Margin

Returns:

The CR Vega SBA Margin

curvatureMargin

public RiskMeasureAggregateCR curvatureMargin()

Retrieve the CR Curvature SBA Margin

Returns:

The CR Curvature SBA Margin

margin

public double margin()

Compute the SBA Margin

Returns:

The SBA Margin