Package org.drip.simm.parameters

Class BucketCurvatureSettings

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettings

org.drip.simm.parameters.BucketVegaSettings

org.drip.simm.parameters.BucketCurvatureSettings

public class BucketCurvatureSettings
extends BucketVegaSettings

BucketCurvatureSettings holds the ISDA SIMM Curvature Settings for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange. 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf

It provides the following Functionality:

• BucketAggregate Constructor

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 Parameters

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BucketCurvatureSettings(double riskWeight, double memberCorrelation, double impliedVolatility, double tenorScalingFactor)	BucketCurvatureSettings Constructor

Method Summary

Modifier and Type	Method	Description
static BucketCurvatureSettings	ISDA(double riskWeight, double memberCorrelation, double impliedVolatility, int vegaDurationDays)	Construct the ISDA Standard BucketCurvatureSettings
static BucketCurvatureSettings	ISDA_CT_20(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.0 CT Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_CT_21(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.1 CT Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_CT_24(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.4 CT Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_EQ_20(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.0 EQ Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_EQ_21(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.1 EQ Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_EQ_24(int bucketIndex, int vegaDurationDays)	Construct the Standard ISDA 2.4 EQ Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_FX_20(java.lang.String vegaCategory, int vegaDurationDays)	Construct the Standard ISDA 2.0 FX Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_FX_21(java.lang.String vegaCategory, int vegaDurationDays)	Construct the Standard ISDA 2.1 FX Bucket Curvature Settings
static BucketCurvatureSettings	ISDA_FX_24(java.lang.String vegaCategory, int vegaDurationDays, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct the Standard ISDA 2.4 FX Bucket Curvature Settings
double	riskWeight()	Retrieve the Bucket Risk Factor Weight
double	tenorScalingFactor()	Retrieve the Tenor Scaling Factor
double	vegaRiskWeight()	Retrieve the Vega Risk Weight

Methods inherited from class org.drip.simm.parameters.BucketVegaSettings

historicalVolatilityRatio, impliedVolatility, ISDA_CT_20, ISDA_CT_21, ISDA_CT_24, ISDA_EQ_20, ISDA_EQ_21, ISDA_EQ_24, ISDA_FX_20, ISDA_FX_21, ISDA_FX_24, rawRiskWeight

Methods inherited from class org.drip.simm.parameters.BucketSensitivitySettings

ISDA_FX_20, ISDA_FX_21, ISDA_FX_24, memberCorrelation

Methods inherited from class org.drip.simm.parameters.LiquiditySettings

concentrationThreshold

Methods inherited from class java.lang.Object

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

Constructor Details

BucketCurvatureSettings

public BucketCurvatureSettings(double riskWeight,
double memberCorrelation,
double impliedVolatility,
double tenorScalingFactor)
                        throws java.lang.Exception

BucketCurvatureSettings Constructor

Parameters:

riskWeight - The Vega Risk Weight

memberCorrelation - The Member Correlation

impliedVolatility - The Implied Volatility

tenorScalingFactor - The Tenor Scaling Factor

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

ISDA

public static final BucketCurvatureSettings ISDA(double riskWeight,
double memberCorrelation,
double impliedVolatility,
int vegaDurationDays)

Construct the ISDA Standard BucketCurvatureSettings

Parameters:

riskWeight - The Vega Risk Weight

memberCorrelation - The Member Correlation

impliedVolatility - The Implied Volatility

vegaDurationDays - The Bucket Vega Duration in Days

Returns:

The ISDA Standard BucketCurvatureSettings

ISDA_EQ_20

public static BucketCurvatureSettings ISDA_EQ_20(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.0 EQ Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.0 EQ Bucket Curvature Settings

ISDA_EQ_21

public static BucketCurvatureSettings ISDA_EQ_21(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.1 EQ Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.1 EQ Bucket Curvature Settings

ISDA_EQ_24

public static BucketCurvatureSettings ISDA_EQ_24(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.4 EQ Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.4 EQ Bucket Curvature Settings

ISDA_CT_20

public static BucketCurvatureSettings ISDA_CT_20(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.0 CT Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.0 CT Bucket Curvature Settings

ISDA_CT_21

public static BucketCurvatureSettings ISDA_CT_21(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.1 CT Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.1 CT Bucket Curvature Settings

ISDA_CT_24

public static BucketCurvatureSettings ISDA_CT_24(int bucketIndex,
int vegaDurationDays)

Construct the Standard ISDA 2.4 CT Bucket Curvature Settings

Parameters:

bucketIndex - The Bucket Index

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.4 CT Bucket Curvature Settings

ISDA_FX_20

public static BucketCurvatureSettings ISDA_FX_20(java.lang.String vegaCategory,
int vegaDurationDays)

Construct the Standard ISDA 2.0 FX Bucket Curvature Settings

Parameters:

vegaCategory - The Vega Category

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.0 FX Bucket Curvature Settings

ISDA_FX_21

public static BucketCurvatureSettings ISDA_FX_21(java.lang.String vegaCategory,
int vegaDurationDays)

Construct the Standard ISDA 2.1 FX Bucket Curvature Settings

Parameters:

vegaCategory - The Vega Category

vegaDurationDays - The Vega Duration Days

Returns:

The Standard ISDA 2.1 FX Bucket Curvature Settings

ISDA_FX_24

public static BucketCurvatureSettings ISDA_FX_24(java.lang.String vegaCategory,
int vegaDurationDays,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct the Standard ISDA 2.4 FX Bucket Curvature Settings

Parameters:

vegaCategory - The Vega Category

vegaDurationDays - The Vega Duration Days

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

The Standard ISDA 2.4 FX Bucket Curvature Settings

tenorScalingFactor

public double tenorScalingFactor()

Retrieve the Tenor Scaling Factor

Returns:

The Tenor Scaling Factor

vegaRiskWeight

public double vegaRiskWeight()

Retrieve the Vega Risk Weight

Returns:

The Vega Risk Weight

riskWeight

public double riskWeight()

Description copied from class: BucketSensitivitySettings

Retrieve the Bucket Risk Factor Weight

Overrides:

riskWeight in class BucketVegaSettings

Returns:

The Bucket Risk Factor Weight