Package org.drip.simm.margin

Class RiskFactorAggregateIR

java.lang.Object
org.drip.simm.margin.RiskFactorAggregateIR
public class RiskFactorAggregateIR
extends java.lang.Object
RiskFactorAggregateIR holds the Sensitivity Margin Aggregates for each of the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL. 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:
  • RiskFactorAggregateIR Constructor
  • Retrieve the OIS Sensitivity Margin Map
  • Retrieve the LIBOR 1M Sensitivity Margin Map
  • Retrieve the LIBOR 3M Sensitivity Margin Map
  • Retrieve the LIBOR 6M Sensitivity Margin Map
  • Retrieve the LIBOR 12M Sensitivity Margin Map
  • Retrieve the PRIME Sensitivity Margin Map
  • Retrieve the MUNICIPAL Sensitivity Margin Map
  • Retrieve the Bucket Concentration Risk Factor
  • Compute the Cumulative OIS Sensitivity Margin
  • Compute the Cumulative LIBOR1M Sensitivity Margin
  • Compute the Cumulative LIBOR3M Sensitivity Margin
  • Compute the Cumulative LIBOR6M Sensitivity Margin
  • Compute the Cumulative LIBOR12M Sensitivity Margin
  • Compute the Cumulative PRIME Sensitivity Margin
  • Compute the Cumulative MUNICIPAL Sensitivity Margin
  • Compute the Cumulative Sensitivity Margin
  • Compute the Linear OIS-OIS Sensitivity Margin Co-variance
  • Compute the Curvature OIS-OIS Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Linear PRIME-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature PRIME-PRIME Sensitivity Margin Co-variance
  • Compute the Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear OIS-LIBOR1M Sensitivity Margin Co-variance
  • Compute the Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
  • Compute the Linear OIS-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Linear OIS-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Linear OIS-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Linear OIS-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature OIS-PRIME Sensitivity Margin Co-variance
  • Compute the Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
  • Compute the Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
  • Compute the Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  • Compute the Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
  • Compute the Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
  • Compute the Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
  • Compute the Linear Margin Co-variance
  • Compute the Curvature Margin 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 Details

    • RiskFactorAggregateIR

      public RiskFactorAggregateIR​(java.util.Map<java.lang.String,​java.lang.Double> oisSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> libor1MSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> libor3MSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> libor6MSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> libor12MSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> primeSensitivityMargin, java.util.Map<java.lang.String,​java.lang.Double> municipalSensitivityMargin, double concentrationRiskFactor) throws java.lang.Exception
      RiskFactorAggregateIR Constructor
      Parameters:
      oisSensitivityMargin - The OIS Sensitivity Margin
      libor1MSensitivityMargin - The LIBOR 1M Sensitivity Margin
      libor3MSensitivityMargin - The LIBOR 3M Sensitivity Margin
      libor6MSensitivityMargin - The LIBOR 6M Sensitivity Margin
      libor12MSensitivityMargin - The LIBOR 12M Sensitivity Margin
      primeSensitivityMargin - The PRIME Sensitivity Margin
      municipalSensitivityMargin - The Municipal Sensitivity Margin
      concentrationRiskFactor - The Currency's Concentration Risk Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • oisSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> oisSensitivityMargin()
      Retrieve the OIS Sensitivity Margin Map
      Returns:
      The OIS Sensitivity Margin Map

    • libor1MSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> libor1MSensitivityMargin()
      Retrieve the LIBOR 1M Sensitivity Margin Map
      Returns:
      The LIBOR 1M Sensitivity Margin Map

    • libor3MSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> libor3MSensitivityMargin()
      Retrieve the LIBOR 3M Sensitivity Margin Map
      Returns:
      The LIBOR 3M Sensitivity Margin Map

    • libor6MSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> libor6MSensitivityMargin()
      Retrieve the LIBOR 6M Sensitivity Margin Map
      Returns:
      The LIBOR 6M Sensitivity Margin Map

    • libor12MSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> libor12MSensitivityMargin()
      Retrieve the LIBOR 12M Sensitivity Margin Map
      Returns:
      The LIBOR 12M Sensitivity Margin Map

    • primeSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> primeSensitivityMargin()
      Retrieve the PRIME Sensitivity Margin Map
      Returns:
      The PRIME Sensitivity Margin Map

    • municipalSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> municipalSensitivityMargin()
      Retrieve the MUNICIPAL Sensitivity Margin Map
      Returns:
      The MUNICIPAL Sensitivity Margin Map

    • concentrationRiskFactor

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

    • cumulativeOISSensitivityMargin

      public double cumulativeOISSensitivityMargin()
      Compute the Cumulative OIS Sensitivity Margin
      Returns:
      The Cumulative OIS Sensitivity Margin

    • cumulativeLIBOR1MSensitivityMargin

      public double cumulativeLIBOR1MSensitivityMargin()
      Compute the Cumulative LIBOR1M Sensitivity Margin
      Returns:
      The Cumulative LIBOR1M Sensitivity Margin

    • cumulativeLIBOR3MSensitivityMargin

      public double cumulativeLIBOR3MSensitivityMargin()
      Compute the Cumulative LIBOR3M Sensitivity Margin
      Returns:
      The Cumulative LIBOR3M Sensitivity Margin

    • cumulativeLIBOR6MSensitivityMargin

      public double cumulativeLIBOR6MSensitivityMargin()
      Compute the Cumulative LIBOR6M Sensitivity Margin
      Returns:
      The Cumulative LIBOR6M Sensitivity Margin

    • cumulativeLIBOR12MSensitivityMargin

      public double cumulativeLIBOR12MSensitivityMargin()
      Compute the Cumulative LIBOR12M Sensitivity Margin
      Returns:
      The Cumulative LIBOR12M Sensitivity Margin

    • cumulativePRIMESensitivityMargin

      public double cumulativePRIMESensitivityMargin()
      Compute the Cumulative PRIME Sensitivity Margin
      Returns:
      The Cumulative PRIME Sensitivity Margin

    • cumulativeMUNICIPALSensitivityMargin

      public double cumulativeMUNICIPALSensitivityMargin()
      Compute the Cumulative MUNICIPAL Sensitivity Margin
      Returns:
      The Cumulative MUNICIPAL Sensitivity Margin

    • cumulativeSensitivityMargin

      public double cumulativeSensitivityMargin()
      Compute the Cumulative Sensitivity Margin
      Returns:
      The Cumulative Sensitivity Margin

    • linearMarginCovariance_OIS_OIS

      public double linearMarginCovariance_OIS_OIS​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-OIS Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-OIS Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_OIS

      public double curvatureMarginCovariance_OIS_OIS​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-OIS Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-OIS Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_LIBOR1M

      public double linearMarginCovariance_LIBOR1M_LIBOR1M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_LIBOR1M

      public double curvatureMarginCovariance_LIBOR1M_LIBOR1M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR3M_LIBOR3M

      public double linearMarginCovariance_LIBOR3M_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR3M_LIBOR3M

      public double curvatureMarginCovariance_LIBOR3M_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR6M_LIBOR6M

      public double linearMarginCovariance_LIBOR6M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR6M_LIBOR6M

      public double curvatureMarginCovariance_LIBOR6M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR12M_LIBOR12M

      public double linearMarginCovariance_LIBOR12M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR12M_LIBOR12M

      public double curvatureMarginCovariance_LIBOR12M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_PRIME_PRIME

      public double linearMarginCovariance_PRIME_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear PRIME-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear PRIME-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_PRIME_PRIME

      public double curvatureMarginCovariance_PRIME_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature PRIME-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature PRIME-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_MUNICIPAL_MUNICIPAL

      public double linearMarginCovariance_MUNICIPAL_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_MUNICIPAL_MUNICIPAL

      public double curvatureMarginCovariance_MUNICIPAL_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_LIBOR1M

      public double linearMarginCovariance_OIS_LIBOR1M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-LIBOR1M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-LIBOR1M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_LIBOR1M

      public double curvatureMarginCovariance_OIS_LIBOR1M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_LIBOR3M

      public double linearMarginCovariance_OIS_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_LIBOR3M

      public double curvatureMarginCovariance_OIS_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_LIBOR6M

      public double linearMarginCovariance_OIS_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_LIBOR6M

      public double curvatureMarginCovariance_OIS_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_LIBOR12M

      public double linearMarginCovariance_OIS_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_LIBOR12M

      public double curvatureMarginCovariance_OIS_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_PRIME

      public double linearMarginCovariance_OIS_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_PRIME

      public double curvatureMarginCovariance_OIS_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_OIS_MUNICIPAL

      public double linearMarginCovariance_OIS_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_OIS_MUNICIPAL

      public double curvatureMarginCovariance_OIS_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_LIBOR3M

      public double linearMarginCovariance_LIBOR1M_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_LIBOR3M

      public double curvatureMarginCovariance_LIBOR1M_LIBOR3M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_LIBOR6M

      public double linearMarginCovariance_LIBOR1M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_LIBOR6M

      public double curvatureMarginCovariance_LIBOR1M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_LIBOR12M

      public double linearMarginCovariance_LIBOR1M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_LIBOR12M

      public double curvatureMarginCovariance_LIBOR1M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_PRIME

      public double linearMarginCovariance_LIBOR1M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_PRIME

      public double curvatureMarginCovariance_LIBOR1M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR1M_MUNICIPAL

      public double linearMarginCovariance_LIBOR1M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR1M_MUNICIPAL

      public double curvatureMarginCovariance_LIBOR1M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR3M_LIBOR6M

      public double linearMarginCovariance_LIBOR3M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR3M_LIBOR6M

      public double curvatureMarginCovariance_LIBOR3M_LIBOR6M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR3M_LIBOR12M

      public double linearMarginCovariance_LIBOR3M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR3M_LIBOR12M

      public double curvatureMarginCovariance_LIBOR3M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR3M_PRIME

      public double linearMarginCovariance_LIBOR3M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR3M_PRIME

      public double curvatureMarginCovariance_LIBOR3M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR3M_MUNICIPAL

      public double linearMarginCovariance_LIBOR3M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR3M_MUNICIPAL

      public double curvatureMarginCovariance_LIBOR3M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR6M_LIBOR12M

      public double linearMarginCovariance_LIBOR6M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR6M_LIBOR12M

      public double curvatureMarginCovariance_LIBOR6M_LIBOR12M​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR6M_PRIME

      public double linearMarginCovariance_LIBOR6M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR6M_PRIME

      public double curvatureMarginCovariance_LIBOR6M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR6M_MUNICIPAL

      public double linearMarginCovariance_LIBOR6M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR6M_MUNICIPAL

      public double curvatureMarginCovariance_LIBOR6M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR12M_PRIME

      public double linearMarginCovariance_LIBOR12M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR12M_PRIME

      public double curvatureMarginCovariance_LIBOR12M_PRIME​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_LIBOR12M_MUNICIPAL

      public double linearMarginCovariance_LIBOR12M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_LIBOR12M_MUNICIPAL

      public double curvatureMarginCovariance_LIBOR12M_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMarginCovariance_PRIME_MUNICIPAL

      public double linearMarginCovariance_PRIME_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • curvatureMarginCovariance_PRIME_MUNICIPAL

      public double curvatureMarginCovariance_PRIME_MUNICIPAL​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR) throws java.lang.Exception
      Compute the Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • linearMargin

      public SensitivityAggregateIR linearMargin​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
      Compute the Linear Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Linear Margin Co-variance

    • curvatureMargin

      public SensitivityAggregateIR curvatureMargin​(BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
      Compute the Curvature Margin Co-variance
      Parameters:
      bucketSensitivitySettingsIR - The IR Currency Bucket Curve Tenor Sensitivity Settings
      Returns:
      The Curvature Margin Co-variance