Package org.drip.simm.margin

Class RiskFactorAggregate

java.lang.Object
org.drip.simm.margin.RiskFactorAggregate
public class RiskFactorAggregate
extends java.lang.Object
RiskFactorAggregate holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with the Normalization Factors. 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:
  • RiskClassAggregateIR 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
    RiskFactorAggregate​(double sensitivityMargin, double concentrationRiskFactor)
    RiskFactorAggregate Constructor

  • Method Summary

    Modifier and Type Method Description
    double concentrationRiskFactor()
    Retrieve the Bucket Concentration Risk Factor
    double sensitivityMargin()
    Retrieve the Bucket Sensitivity Margin

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskFactorAggregate

      public RiskFactorAggregate​(double sensitivityMargin, double concentrationRiskFactor) throws java.lang.Exception
      RiskFactorAggregate Constructor
      Parameters:
      sensitivityMargin - The Bucket Sensitivity Margin
      concentrationRiskFactor - The Bucket Concentration Risk Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • sensitivityMargin

      public double sensitivityMargin()
      Retrieve the Bucket Sensitivity Margin
      Returns:
      The Bucket Sensitivity Margin

    • concentrationRiskFactor

      public double concentrationRiskFactor()
      Retrieve the Bucket Concentration Risk Factor
      Returns:
      The Bucket Concentration Risk Factor