Package org.drip.simm.margin

Class SensitivityAggregateIR

java.lang.Object
org.drip.simm.margin.SensitivityAggregateIR
public class SensitivityAggregateIR
extends java.lang.Object
SensitivityAggregateIR holds the IM Margin Sensitivity Co-variances within a single Currency 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:
  • SensitivityAggregateIR Constructor
  • Retrieve the OIS - OIS Margin Co-variance
  • Retrieve the OIS - LIBOR1M Margin Co-variance
  • Retrieve the OIS - LIBOR3M Margin Co-variance
  • Retrieve the OIS - LIBOR6M Margin Co-variance
  • Retrieve the OIS - LIBOR12M Margin Co-variance
  • Retrieve the OIS - PRIME Margin Co-variance
  • Retrieve the OIS - MUNICIPAL Margin Co-variance
  • Retrieve the LIBOR1M - LIBOR1M Margin Co-variance
  • Retrieve the LIBOR1M - LIBOR3M Margin Co-variance
  • Retrieve the LIBOR1M - LIBOR6M Margin Co-variance
  • Retrieve the LIBOR1M - LIBOR12M Margin Co-variance
  • Retrieve the LIBOR1M - PRIME Margin Co-variance
  • Retrieve the LIBOR1M - MUNICIPAL Margin Co-variance
  • Retrieve the LIBOR3M - LIBOR3M Margin Co-variance
  • Retrieve the LIBOR3M - LIBOR6M Margin Co-variance
  • Retrieve the LIBOR3M - LIBOR12M Margin Co-variance
  • Retrieve the LIBOR3M - PRIME Margin Co-variance
  • Retrieve the LIBOR3M - MUNICIPAL Margin Co-variance
  • Retrieve the LIBOR6M - LIBOR6M Margin Co-variance
  • Retrieve the LIBOR6M - LIBOR12M Margin Co-variance
  • Retrieve the LIBOR6M - PRIME Margin Co-variance
  • Retrieve the LIBOR6M - MUNICIPAL Margin Co-variance
  • Retrieve the LIBOR12M - LIBOR12M Margin Co-variance
  • Retrieve the LIBOR12M - PRIME Margin Co-variance
  • Retrieve the LIBOR12M - MUNICIPAL Margin Co-variance
  • Retrieve the PRIME - PRIME Margin Co-variance
  • Retrieve the PRIME - MUNICIPAL Margin Co-variance
  • Retrieve the MUNICIPAL - MUNICIPAL Margin Co-variance
  • Compute the Cumulative Margin Covariance
  • Compute the Cumulative Sensitivity Margin
  • Retrieve the Cumulative Margin Sensitivity

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

    • SensitivityAggregateIR

      public SensitivityAggregateIR​(double marginCovariance_OIS_OIS, double marginCovariance_OIS_LIBOR1M, double marginCovariance_OIS_LIBOR3M, double marginCovariance_OIS_LIBOR6M, double marginCovariance_OIS_LIBOR12M, double marginCovariance_OIS_PRIME, double marginCovariance_OIS_MUNICIPAL, double marginCovariance_LIBOR1M_LIBOR1M, double marginCovariance_LIBOR1M_LIBOR3M, double marginCovariance_LIBOR1M_LIBOR6M, double marginCovariance_LIBOR1M_LIBOR12M, double marginCovariance_LIBOR1M_PRIME, double marginCovariance_LIBOR1M_MUNICIPAL, double marginCovariance_LIBOR3M_LIBOR3M, double marginCovariance_LIBOR3M_LIBOR6M, double marginCovariance_LIBOR3M_LIBOR12M, double marginCovariance_LIBOR3M_PRIME, double marginCovariance_LIBOR3M_MUNICIPAL, double marginCovariance_LIBOR6M_LIBOR6M, double marginCovariance_LIBOR6M_LIBOR12M, double marginCovariance_LIBOR6M_PRIME, double marginCovariance_LIBOR6M_MUNICIPAL, double marginCovariance_LIBOR12M_LIBOR12M, double marginCovariance_LIBOR12M_PRIME, double marginCovariance_LIBOR12M_MUNICIPAL, double marginCovariance_PRIME_PRIME, double marginCovariance_PRIME_MUNICIPAL, double marginCovariance_MUNICIPAL_MUNICIPAL, double cumulativeMarginSensitivity) throws java.lang.Exception
      SensitivityAggregateIR Constructor
      Parameters:
      marginCovariance_OIS_OIS - The OIS - OIS Margin Co-variance
      marginCovariance_OIS_LIBOR1M - The OIS - LIBOR1M Margin Co-variance
      marginCovariance_OIS_LIBOR3M - The OIS - LIBOR3M Margin Co-variance
      marginCovariance_OIS_LIBOR6M - The OIS - LIBOR6M Margin Co-variance
      marginCovariance_OIS_LIBOR12M - The OIS - LIBOR12M Margin Co-variance
      marginCovariance_OIS_PRIME - The OIS - PRIME Margin Co-variance
      marginCovariance_OIS_MUNICIPAL - The OIS - MUNICIPAL Margin Co-variance
      marginCovariance_LIBOR1M_LIBOR1M - The LIBOR1M - LIBOR1M Margin Co-variance
      marginCovariance_LIBOR1M_LIBOR3M - The LIBOR1M - LIBOR3M Margin Co-variance
      marginCovariance_LIBOR1M_LIBOR6M - The LIBOR1M - LIBOR6M Margin Co-variance
      marginCovariance_LIBOR1M_LIBOR12M - The LIBOR1M - LIBOR12M Margin Co-variance
      marginCovariance_LIBOR1M_PRIME - The LIBOR1M - PRIME Margin Co-variance
      marginCovariance_LIBOR1M_MUNICIPAL - The LIBOR1M - MUNICIPAL Margin Co-variance
      marginCovariance_LIBOR3M_LIBOR3M - The LIBOR3M - LIBOR3M Margin Co-variance
      marginCovariance_LIBOR3M_LIBOR6M - The LIBOR3M - LIBOR6M Margin Co-variance
      marginCovariance_LIBOR3M_LIBOR12M - The LIBOR3M - LIBOR12M Margin Co-variance
      marginCovariance_LIBOR3M_PRIME - The LIBOR3M - PRIME Margin Co-variance
      marginCovariance_LIBOR3M_MUNICIPAL - The LIBOR3M - MUNICIPAL Margin Co-variance
      marginCovariance_LIBOR6M_LIBOR6M - The LIBOR6M - LIBOR6M Margin Co-variance
      marginCovariance_LIBOR6M_LIBOR12M - The LIBOR6M - LIBOR12M Margin Co-variance
      marginCovariance_LIBOR6M_PRIME - The LIBOR6M - PRIME Margin Co-variance
      marginCovariance_LIBOR6M_MUNICIPAL - The LIBOR6M - MUNICIPAL Margin Co-variance
      marginCovariance_LIBOR12M_LIBOR12M - The LIBOR12M - LIBOR12M Margin Co-variance
      marginCovariance_LIBOR12M_PRIME - The LIBOR12M - PRIME Margin Co-variance
      marginCovariance_LIBOR12M_MUNICIPAL - The LIBOR12M - MUNICIPAL Margin Co-variance
      marginCovariance_PRIME_PRIME - The PRIME - PRIME Margin Co-variance
      marginCovariance_PRIME_MUNICIPAL - The PRIME - MUNICIPAL Margin Co-variance
      marginCovariance_MUNICIPAL_MUNICIPAL - The MUNICIPAL - MUNICIPAL Margin Co-variance
      cumulativeMarginSensitivity - The Cumulative Margin Sensitivity
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • marginCovariance_OIS_OIS

      public double marginCovariance_OIS_OIS()
      Retrieve the OIS - OIS Margin Co-variance
      Returns:
      The OIS - OIS Margin Co-variance

    • marginCovariance_OIS_LIBOR1M

      public double marginCovariance_OIS_LIBOR1M()
      Retrieve the OIS - LIBOR1M Margin Co-variance
      Returns:
      The OIS - LIBOR1M Margin Co-variance

    • marginCovariance_OIS_LIBOR3M

      public double marginCovariance_OIS_LIBOR3M()
      Retrieve the OIS - LIBOR3M Margin Co-variance
      Returns:
      The OIS - LIBOR3M Margin Co-variance

    • marginCovariance_OIS_LIBOR6M

      public double marginCovariance_OIS_LIBOR6M()
      Retrieve the OIS - LIBOR6M Margin Co-variance
      Returns:
      The OIS - LIBOR6M Margin Co-variance

    • marginCovariance_OIS_LIBOR12M

      public double marginCovariance_OIS_LIBOR12M()
      Retrieve the OIS - LIBOR12M Margin Co-variance
      Returns:
      The OIS - LIBOR12M Margin Co-variance

    • marginCovariance_OIS_PRIME

      public double marginCovariance_OIS_PRIME()
      Retrieve the OIS - PRIME Margin Co-variance
      Returns:
      The OIS - PRIME Margin Co-variance

    • marginCovariance_OIS_MUNICIPAL

      public double marginCovariance_OIS_MUNICIPAL()
      Retrieve the OIS - MUNICIPAL Margin Co-variance
      Returns:
      The OIS - MUNICIPAL Margin Co-variance

    • marginCovariance_LIBOR1M_LIBOR1M

      public double marginCovariance_LIBOR1M_LIBOR1M()
      Retrieve the LIBOR1M - LIBOR1M Margin Co-variance
      Returns:
      The LIBOR1M - LIBOR1M Margin Co-variance

    • marginCovariance_LIBOR1M_LIBOR3M

      public double marginCovariance_LIBOR1M_LIBOR3M()
      Retrieve the LIBOR1M - LIBOR3M Margin Co-variance
      Returns:
      The LIBOR1M - LIBOR3M Margin Co-variance

    • marginCovariance_LIBOR1M_LIBOR6M

      public double marginCovariance_LIBOR1M_LIBOR6M()
      Retrieve the LIBOR1M - LIBOR6M Margin Co-variance
      Returns:
      The LIBOR1M - LIBOR6M Margin Co-variance

    • marginCovariance_LIBOR1M_LIBOR12M

      public double marginCovariance_LIBOR1M_LIBOR12M()
      Retrieve the LIBOR1M - LIBOR12M Margin Co-variance
      Returns:
      The LIBOR1M - LIBOR12M Margin Co-variance

    • marginCovariance_LIBOR1M_PRIME

      public double marginCovariance_LIBOR1M_PRIME()
      Retrieve the LIBOR1M - PRIME Margin Co-variance
      Returns:
      The LIBOR1M - PRIME Margin Co-variance

    • marginCovariance_LIBOR1M_MUNICIPAL

      public double marginCovariance_LIBOR1M_MUNICIPAL()
      Retrieve the LIBOR1M - MUNICIPAL Margin Co-variance
      Returns:
      The LIBOR1M - MUNICIPAL Margin Co-variance

    • marginCovariance_LIBOR3M_LIBOR3M

      public double marginCovariance_LIBOR3M_LIBOR3M()
      Retrieve the LIBOR3M - LIBOR3M Margin Co-variance
      Returns:
      The LIBOR3M - LIBOR3M Margin Co-variance

    • marginCovariance_LIBOR3M_LIBOR6M

      public double marginCovariance_LIBOR3M_LIBOR6M()
      Retrieve the LIBOR3M - LIBOR6M Margin Co-variance
      Returns:
      The LIBOR3M - LIBOR6M Margin Co-variance

    • marginCovariance_LIBOR3M_LIBOR12M

      public double marginCovariance_LIBOR3M_LIBOR12M()
      Retrieve the LIBOR3M - LIBOR12M Margin Co-variance
      Returns:
      The LIBOR3M - LIBOR12M Margin Co-variance

    • marginCovariance_LIBOR3M_PRIME

      public double marginCovariance_LIBOR3M_PRIME()
      Retrieve the LIBOR3M - PRIME Margin Co-variance
      Returns:
      The LIBOR3M - PRIME Margin Co-variance

    • marginCovariance_LIBOR3M_MUNICIPAL

      public double marginCovariance_LIBOR3M_MUNICIPAL()
      Retrieve the LIBOR3M - MUNICIPAL Margin Co-variance
      Returns:
      The LIBOR3M - MUNICIPAL Margin Co-variance

    • marginCovariance_LIBOR6M_LIBOR6M

      public double marginCovariance_LIBOR6M_LIBOR6M()
      Retrieve the LIBOR6M - LIBOR6M Margin Co-variance
      Returns:
      The LIBOR6M - LIBOR6M Margin Co-variance

    • marginCovariance_LIBOR6M_LIBOR12M

      public double marginCovariance_LIBOR6M_LIBOR12M()
      Retrieve the LIBOR6M - LIBOR12M Margin Co-variance
      Returns:
      The LIBOR6M - LIBOR12M Margin Co-variance

    • marginCovariance_LIBOR6M_PRIME

      public double marginCovariance_LIBOR6M_PRIME()
      Retrieve the LIBOR6M - PRIME Margin Co-variance
      Returns:
      The LIBOR6M - PRIME Margin Co-variance

    • marginCovariance_LIBOR6M_MUNICIPAL

      public double marginCovariance_LIBOR6M_MUNICIPAL()
      Retrieve the LIBOR6M - MUNICIPAL Margin Co-variance
      Returns:
      The LIBOR6M - MUNICIPAL Margin Co-variance

    • marginCovariance_LIBOR12M_LIBOR12M

      public double marginCovariance_LIBOR12M_LIBOR12M()
      Retrieve the LIBOR12M - LIBOR12M Margin Co-variance
      Returns:
      The LIBOR12M - LIBOR12M Margin Co-variance

    • marginCovariance_LIBOR12M_PRIME

      public double marginCovariance_LIBOR12M_PRIME()
      Retrieve the LIBOR12M - PRIME Margin Co-variance
      Returns:
      The LIBOR12M - PRIME Margin Co-variance

    • marginCovariance_LIBOR12M_MUNICIPAL

      public double marginCovariance_LIBOR12M_MUNICIPAL()
      Retrieve the LIBOR12M - MUNICIPAL Margin Co-variance
      Returns:
      The LIBOR12M - MUNICIPAL Margin Co-variance

    • marginCovariance_PRIME_PRIME

      public double marginCovariance_PRIME_PRIME()
      Retrieve the PRIME - PRIME Margin Co-variance
      Returns:
      The PRIME - PRIME Margin Co-variance

    • marginCovariance_PRIME_MUNICIPAL

      public double marginCovariance_PRIME_MUNICIPAL()
      Retrieve the PRIME - MUNICIPAL Margin Co-variance
      Returns:
      The PRIME - MUNICIPAL Margin Co-variance

    • marginCovariance_MUNICIPAL_MUNICIPAL

      public double marginCovariance_MUNICIPAL_MUNICIPAL()
      Retrieve the MUNICIPAL - MUNICIPAL Margin Co-variance
      Returns:
      The MUNICIPAL - MUNICIPAL Margin Co-variance

    • cumulativeMarginCovariance

      public double cumulativeMarginCovariance()
      Compute the Cumulative Margin Covariance
      Returns:
      The Cumulative Margin Covariance

    • cumulativeMargin

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

    • cumulativeMarginSensitivity

      public double cumulativeMarginSensitivity()
      Retrieve the Cumulative Margin Sensitivity
      Returns:
      The Cumulative Margin Sensitivity