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




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 2.1 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 2.1 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_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