Package org.drip.simm.parameters

Class BucketSensitivitySettings

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettings

Direct Known Subclasses:

BucketVegaSettings

public class BucketSensitivitySettings
extends LiquiditySettings

BucketSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Sensitivities. 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:

• Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index
• Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index
• Construct the BucketSensitivitySettings 2.4 Instance for the specified Bucket Index
• Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
• Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
• Construct the ISDA 2.4 Standard Commodity Bucket Sensitivity Settings for the specified Index
• Construct the Standard ISDA 2.0 Instance of FX Delta Settings
• Construct the Standard ISDA 2.1 Instance of FX Delta Settings
• Construct the Standard ISDA 2.4 Instance of FX Delta Settings
• BucketSensitivitySettings Constructor
• Retrieve the Bucket Risk Factor Weight
• Retrieve the Correlation between the Basket Members

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
BucketSensitivitySettings(double riskWeight, double concentrationFactor, double memberCorrelation)	BucketSensitivitySettings Constructor

Method Summary

Modifier and Type	Method	Description
static BucketSensitivitySettings	ISDA_CT_20(int bucketIndex)	Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
static BucketSensitivitySettings	ISDA_CT_21(int bucketIndex)	Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
static BucketSensitivitySettings	ISDA_CT_24(int bucketIndex)	Construct the ISDA 2.4 Standard Commodity Bucket Sensitivity Settings for the specified Index
static BucketSensitivitySettings	ISDA_EQ_20(int bucketIndex)	Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index
static BucketSensitivitySettings	ISDA_EQ_21(int bucketIndex)	Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index
static BucketSensitivitySettings	ISDA_EQ_24(int bucketIndex)	Construct the BucketSensitivitySettings 2.4 Instance for the specified Bucket Index
static BucketSensitivitySettings	ISDA_FX_20(int categoryIndex)	Construct the Standard ISDA 2.0 Instance of FX Delta Settings
static BucketSensitivitySettings	ISDA_FX_21(int categoryIndex)	Construct the Standard ISDA 2.1 Instance of FX Delta Settings
static BucketSensitivitySettings	ISDA_FX_24(int categoryIndex, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct the Standard ISDA 2.4 Instance of FX Delta Settings
double	memberCorrelation()	Retrieve the Correlation between the Basket Members
double	riskWeight()	Retrieve the Bucket Risk Factor Weight

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

BucketSensitivitySettings

public BucketSensitivitySettings(double riskWeight,
double concentrationFactor,
double memberCorrelation)
                          throws java.lang.Exception

BucketSensitivitySettings Constructor

Parameters:

riskWeight - The Risk Factor Weight

concentrationFactor - The Concentration Factor

memberCorrelation - The Bucket Member Correlation

Throws:

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

Method Details

ISDA_EQ_20

public static BucketSensitivitySettings ISDA_EQ_20(int bucketIndex)

Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The BucketSensitivitySettings 2.0 Instance

ISDA_EQ_21

public static BucketSensitivitySettings ISDA_EQ_21(int bucketIndex)

Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The BucketSensitivitySettings 2.1 Instance

ISDA_EQ_24

public static BucketSensitivitySettings ISDA_EQ_24(int bucketIndex)

Construct the BucketSensitivitySettings 2.4 Instance for the specified Bucket Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The BucketSensitivitySettings 2.4 Instance

ISDA_CT_20

public static BucketSensitivitySettings ISDA_CT_20(int bucketIndex)

Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index

ISDA_CT_21

public static BucketSensitivitySettings ISDA_CT_21(int bucketIndex)

Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index

ISDA_CT_24

public static BucketSensitivitySettings ISDA_CT_24(int bucketIndex)

Construct the ISDA 2.4 Standard Commodity Bucket Sensitivity Settings for the specified Index

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.4 Standard Commodity Bucket Sensitivity Settings for the specified Index

ISDA_FX_20

public static BucketSensitivitySettings ISDA_FX_20(int categoryIndex)

Construct the Standard ISDA 2.0 Instance of FX Delta Settings

Parameters:

categoryIndex - The Category Index

Returns:

The Standard ISDA 2.0 Instance of FX Delta Settings

ISDA_FX_21

public static BucketSensitivitySettings ISDA_FX_21(int categoryIndex)

Construct the Standard ISDA 2.1 Instance of FX Delta Settings

Parameters:

categoryIndex - The Category Index

Returns:

The Standard ISDA 2.1 Instance of FX Delta Settings

ISDA_FX_24

public static BucketSensitivitySettings ISDA_FX_24(int categoryIndex,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct the Standard ISDA 2.4 Instance of FX Delta Settings

Parameters:

categoryIndex - The Category Index

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

The Standard ISDA 2.4 Instance of FX Delta Settings

riskWeight

public double riskWeight()

Retrieve the Bucket Risk Factor Weight

Returns:

The Bucket Risk Factor Weight

memberCorrelation

public double memberCorrelation()

Retrieve the Correlation between the Basket Members

Returns:

The Correlation between the Basket Members