Package org.drip.simm.margin

Class RiskMeasureAggregateCR

java.lang.Object
org.drip.simm.margin.RiskMeasureAggregateCR
public class RiskMeasureAggregateCR
extends java.lang.Object
RiskMeasureAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure. 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:
  • RiskMeasureAggregate Constructor
  • Retrieve the Bucket Sensitivity Aggregate Map
  • Retrieve the Core SBA Variance
  • Retrieve the Residual SBA Variance
  • Retrieve the SBA Based 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
    RiskMeasureAggregateCR​(java.util.Map<java.lang.String,​BucketAggregateCR> bucketAggregateMap, double coreSBAVariance, double residualSBAVariance)
    RiskMeasureAggregateCR Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.String,​BucketAggregateCR> bucketAggregateMap()
    Retrieve the Credit Bucket Sensitivity Aggregate Map
    double coreSBAVariance()
    Retrieve the Core SBA Variance
    double residualSBAVariance()
    Retrieve the Residual SBA Variance
    double sba()
    Retrieve the SBA Based Margin

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskMeasureAggregateCR

      public RiskMeasureAggregateCR​(java.util.Map<java.lang.String,​BucketAggregateCR> bucketAggregateMap, double coreSBAVariance, double residualSBAVariance) throws java.lang.Exception
      RiskMeasureAggregateCR Constructor
      Parameters:
      bucketAggregateMap - The Bucket Aggregate Sensitivity Map
      coreSBAVariance - The Core SBA Variance
      residualSBAVariance - The Residual SBA Variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • bucketAggregateMap

      public java.util.Map<java.lang.String,​BucketAggregateCR> bucketAggregateMap()
      Retrieve the Credit Bucket Sensitivity Aggregate Map
      Returns:
      The Credit Bucket Sensitivity Aggregate Map

    • coreSBAVariance

      public double coreSBAVariance()
      Retrieve the Core SBA Variance
      Returns:
      The Core SBA Variance

    • residualSBAVariance

      public double residualSBAVariance()
      Retrieve the Residual SBA Variance
      Returns:
      The Residual SBA Variance

    • sba

      public double sba()
      Retrieve the SBA Based Margin
      Returns:
      The SBA Based Margin