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
It provides the following Functionality:
  • 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

  • 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 Map
    double coreSBAVariance()
    Retrieve the Core SBA Variance
    double residualSBAVariance()
    Retrieve the Residual SBA Variance
    double sba()
    Retrieve the Total SBA Margin

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskMeasureAggregateIR

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

  • Method Details

    • 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

    • bucketAggregateMap

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

    • sba

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