Package org.drip.simm.margin
Class RiskMeasureAggregateIR
java.lang.Object
org.drip.simm.margin.RiskMeasureAggregateIR
public class RiskMeasureAggregateIR
extends java.lang.Object
RiskMeasureAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR 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
- RiskMeasureAggregateIR Constructor
- Retrieve the Core SBA Variance
- Retrieve the Residual SBA Variance
- Retrieve the Aggregate Bucket Map
- Retrieve the Total 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
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Constructor Summary
Constructors Constructor Description RiskMeasureAggregateIR(java.util.Map<java.lang.String,BucketAggregateIR> bucketAggregateMap, double coreSBAVariance, double residualSBAVariance)
RiskMeasureAggregateIR Constructor -
Method Summary
Modifier and Type Method Description java.util.Map<java.lang.String,BucketAggregateIR>
bucketAggregateMap()
Retrieve the Aggregate Bucket Mapdouble
coreSBAVariance()
Retrieve the Core SBA Variancedouble
residualSBAVariance()
Retrieve the Residual SBA Variancedouble
sba()
Retrieve the Total SBA MarginMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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RiskMeasureAggregateIR
public RiskMeasureAggregateIR(java.util.Map<java.lang.String,BucketAggregateIR> bucketAggregateMap, double coreSBAVariance, double residualSBAVariance) throws java.lang.ExceptionRiskMeasureAggregateIR Constructor- Parameters:
bucketAggregateMap
- IR Bucket Aggregate MapcoreSBAVariance
- The Core SBA VarianceresidualSBAVariance
- The Residual SBA Variance- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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coreSBAVariance
public double coreSBAVariance()Retrieve the Core SBA Variance- Returns:
- The Core SBA Variance
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residualSBAVariance
public double residualSBAVariance()Retrieve the Residual SBA Variance- Returns:
- The Residual SBA Variance
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bucketAggregateMap
Retrieve the Aggregate Bucket Map- Returns:
- The Aggregate Bucket Map
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sba
public double sba()Retrieve the Total SBA Margin- Returns:
- The Total SBA Margin
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