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




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