Package org.drip.simm.parameters

Class BucketCurvatureSettingsIR

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettingsIR

org.drip.simm.parameters.BucketVegaSettingsIR

org.drip.simm.parameters.BucketCurvatureSettingsIR

public class BucketCurvatureSettingsIR
extends BucketVegaSettingsIR

BucketCurvatureSettingsIR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor. 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

• 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

BucketCurvatureSettingsIR(java.util.Map<java.lang.String,java.lang.Double> oisTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorVegaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorVegaRiskWeight, LabelCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,java.lang.Double> oisTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor1MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor3MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor6MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> libor12MTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> primeTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> municipalTenorDeltaRiskWeight, java.util.Map<java.lang.String,java.lang.Double> tenorScalingFactorMap)

BucketCurvatureSettingsIR Constructor

Method Summary

Modifier and Type	Method	Description
static BucketCurvatureSettingsIR	ISDA_20(java.lang.String currency)	Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR
static BucketCurvatureSettingsIR	ISDA_21(java.lang.String currency)	Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR
static BucketCurvatureSettingsIR	ISDA_24(java.lang.String currency)	Generate the ISDA 2.4 Standard BucketCurvatureSettingsIR
java.util.Map<java.lang.String,java.lang.Double>	libor12MTenorRiskWeight()	Retrieve the LIBOR 12M Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	libor1MTenorRiskWeight()	Retrieve the LIBOR 1M Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	libor3MTenorRiskWeight()	Retrieve the LIBOR 3M Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	libor6MTenorRiskWeight()	Retrieve the LIBOR 6M Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	municipalTenorRiskWeight()	Retrieve the MUNICIPAL Curve Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	oisTenorRiskWeight()	Retrieve the OIS Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	primeTenorRiskWeight()	Retrieve the PRIME Tenor Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	tenorScalingFactorMap()	Retrieve the Tenor Scaling Factor Map

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

historicalVolatilityRatio, libor12MTenorDeltaRiskWeight, libor12MTenorVegaRiskWeight, libor1MTenorDeltaRiskWeight, libor1MTenorVegaRiskWeight, libor3MTenorDeltaRiskWeight, libor3MTenorVegaRiskWeight, libor6MTenorDeltaRiskWeight, libor6MTenorVegaRiskWeight, municipalTenorDeltaRiskWeight, municipalTenorVegaRiskWeight, oisTenorDeltaRiskWeight, oisTenorVegaRiskWeight, primeTenorDeltaRiskWeight, primeTenorVegaRiskWeight, vegaScaler

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

crossCurveCorrelation, crossTenorCorrelation, ISDA_DELTA_20, ISDA_DELTA_21, ISDA_DELTA_24

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

BucketCurvatureSettingsIR

public BucketCurvatureSettingsIR(java.util.Map<java.lang.String,java.lang.Double> oisTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor1MTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor3MTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor6MTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor12MTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> primeTenorVegaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> municipalTenorVegaRiskWeight,
LabelCorrelation crossTenorCorrelation,
double crossCurveCorrelation,
double concentrationThreshold,
double vegaScaler,
double historicalVolatilityRatio,
java.util.Map<java.lang.String,java.lang.Double> oisTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor1MTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor3MTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor6MTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> libor12MTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> primeTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> municipalTenorDeltaRiskWeight,
java.util.Map<java.lang.String,java.lang.Double> tenorScalingFactorMap)
                          throws java.lang.Exception

BucketCurvatureSettingsIR Constructor

Parameters:

oisTenorVegaRiskWeight - The OIS Tenor Vega Risk Weight

libor1MTenorVegaRiskWeight - The LIBOR 1M Tenor Vega Risk Weight

libor3MTenorVegaRiskWeight - The LIBOR 3M Tenor Vega Risk Weight

libor6MTenorVegaRiskWeight - The LIBOR 6M Tenor Vega Risk Weight

libor12MTenorVegaRiskWeight - The LIBOR 12M Tenor Vega Risk Weight

primeTenorVegaRiskWeight - The PRIME Tenor Vega Risk Weight

municipalTenorVegaRiskWeight - The MUNICIPAL Tenor Vega Risk Weight

crossTenorCorrelation - Single Curve Cross-Tenor Correlation

crossCurveCorrelation - Cross Curve Correlation

concentrationThreshold - The Concentration Threshold

vegaScaler - The Vega Scaler

historicalVolatilityRatio - The Historical Volatility Ratio

oisTenorDeltaRiskWeight - The OIS Tenor Delta Risk Weight

libor1MTenorDeltaRiskWeight - The LIBOR 1M Tenor Delta Risk Weight

libor3MTenorDeltaRiskWeight - The LIBOR 3M Tenor Delta Risk Weight

libor6MTenorDeltaRiskWeight - The LIBOR 6M Tenor Delta Risk Weight

libor12MTenorDeltaRiskWeight - The LIBOR 12M Tenor Delta Risk Weight

primeTenorDeltaRiskWeight - The PRIME Tenor Delta Risk Weight

municipalTenorDeltaRiskWeight - The MUNICIPAL Tenor Delta Risk Weight

tenorScalingFactorMap - The Tenor Scaling Factor Map

Throws:

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

Method Details

ISDA_20

public static BucketCurvatureSettingsIR ISDA_20(java.lang.String currency)

Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR

Parameters:

currency - Currency

Returns:

The ISDA 2.0 Standard BucketCurvatureSettingsIR

ISDA_21

public static BucketCurvatureSettingsIR ISDA_21(java.lang.String currency)

Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR

Parameters:

currency - Currency

Returns:

The ISDA 2.1 Standard BucketCurvatureSettingsIR

ISDA_24

public static BucketCurvatureSettingsIR ISDA_24(java.lang.String currency)

Generate the ISDA 2.4 Standard BucketCurvatureSettingsIR

Parameters:

currency - Currency

Returns:

The ISDA 2.4 Standard BucketCurvatureSettingsIR

tenorScalingFactorMap

public java.util.Map<java.lang.String,java.lang.Double> tenorScalingFactorMap()

Retrieve the Tenor Scaling Factor Map

Returns:

The Tenor Scaling Factor Map

oisTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> oisTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the OIS Tenor Risk Weight

Overrides:

oisTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The OIS Tenor Risk Weight

libor1MTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> libor1MTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the LIBOR 1M Tenor Risk Weight

Overrides:

libor1MTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The LIBOR 1M Tenor Risk Weight

libor3MTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> libor3MTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the LIBOR 3M Tenor Risk Weight

Overrides:

libor3MTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The LIBOR 3M Tenor Risk Weight

libor6MTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> libor6MTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the LIBOR 6M Tenor Risk Weight

Overrides:

libor6MTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The LIBOR 6M Tenor Risk Weight

libor12MTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> libor12MTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the LIBOR 12M Tenor Risk Weight

Overrides:

libor12MTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The LIBOR 12M Tenor Risk Weight

primeTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> primeTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the PRIME Tenor Risk Weight

Overrides:

primeTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The PRIME Tenor Risk Weight

municipalTenorRiskWeight

public java.util.Map<java.lang.String,java.lang.Double> municipalTenorRiskWeight()

Description copied from class: BucketSensitivitySettingsIR

Retrieve the MUNICIPAL Curve Tenor Risk Weight

Overrides:

municipalTenorRiskWeight in class BucketVegaSettingsIR

Returns:

The MUNICIPAL Curve Tenor Risk Weight