Package org.drip.simm.parameters

Class BucketSensitivitySettingsCR

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettingsCR

Direct Known Subclasses:

BucketVegaSettingsCR

public class BucketSensitivitySettingsCR
extends LiquiditySettings

BucketSensitivitySettingsCR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Credit 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

It provides the following Functionality:

• Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings
• Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
• Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings
• Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
• Retrieve the ISDA 2.4 Credit Qualifying Bucket Delta Settings
• Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Delta Settings
• BucketSensitivitySettingsCR Constructor
• Retrieve the Tenor Risk Weight Map
• Retrieve the Intra-Family Cross Tenor Correlation
• Retrieve the Extra-Family Cross Tenor Correlation

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
BucketSensitivitySettingsCR(java.util.Map<java.lang.String,java.lang.Double> tenorRiskWeight, double intraFamilyCrossTenorCorrelation, double extraFamilyCrossTenorCorrelation, double concentrationThreshold)	BucketSensitivitySettingsCR Constructor

Method Summary

Modifier and Type	Method	Description
double	extraFamilyCrossTenorCorrelation()	Retrieve the Extra-Family Cross Tenor Correlation
double	intraFamilyCrossTenorCorrelation()	Retrieve the Intra-Family Cross Tenor Correlation
static BucketSensitivitySettingsCR	ISDA_CRNQ_DELTA_20(int bucketNumber)	Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
static BucketSensitivitySettingsCR	ISDA_CRNQ_DELTA_21(int bucketNumber)	Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
static BucketSensitivitySettingsCR	ISDA_CRNQ_DELTA_24(int bucketNumber)	Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Delta Settings
static BucketSensitivitySettingsCR	ISDA_CRQ_DELTA_20(int bucketNumber)	Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings
static BucketSensitivitySettingsCR	ISDA_CRQ_DELTA_21(int bucketNumber)	Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings
static BucketSensitivitySettingsCR	ISDA_CRQ_DELTA_24(int bucketNumber)	Retrieve the ISDA 2.4 Credit Qualifying Bucket Delta Settings
java.util.Map<java.lang.String,java.lang.Double>	tenorRiskWeight()	Retrieve the Tenor Risk Weight Map

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

BucketSensitivitySettingsCR

public BucketSensitivitySettingsCR(java.util.Map<java.lang.String,java.lang.Double> tenorRiskWeight,
double intraFamilyCrossTenorCorrelation,
double extraFamilyCrossTenorCorrelation,
double concentrationThreshold)
                            throws java.lang.Exception

BucketSensitivitySettingsCR Constructor

Parameters:

tenorRiskWeight - The Tenor Risk Weight Map

intraFamilyCrossTenorCorrelation - Intra-Family Cross Tenor Correlation

extraFamilyCrossTenorCorrelation - Extra-Family Cross Tenor Correlation

concentrationThreshold - The Concentration Threshold

Throws:

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

Method Details

ISDA_CRQ_DELTA_20

public static BucketSensitivitySettingsCR ISDA_CRQ_DELTA_20(int bucketNumber)

Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.0 Credit Qualifying Bucket Delta Settings

ISDA_CRNQ_DELTA_20

public static BucketSensitivitySettingsCR ISDA_CRNQ_DELTA_20(int bucketNumber)

Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings

ISDA_CRQ_DELTA_21

public static BucketSensitivitySettingsCR ISDA_CRQ_DELTA_21(int bucketNumber)

Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.1 Credit Qualifying Bucket Delta Settings

ISDA_CRNQ_DELTA_21

public static BucketSensitivitySettingsCR ISDA_CRNQ_DELTA_21(int bucketNumber)

Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings

ISDA_CRQ_DELTA_24

public static BucketSensitivitySettingsCR ISDA_CRQ_DELTA_24(int bucketNumber)

Retrieve the ISDA 2.4 Credit Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.4 Credit Qualifying Bucket Delta Settings

ISDA_CRNQ_DELTA_24

public static BucketSensitivitySettingsCR ISDA_CRNQ_DELTA_24(int bucketNumber)

Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Delta Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.4 Credit Non-Qualifying Bucket Delta Settings

tenorRiskWeight

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

Retrieve the Tenor Risk Weight Map

Returns:

The Tenor Risk Weight Map

intraFamilyCrossTenorCorrelation

public double intraFamilyCrossTenorCorrelation()

Retrieve the Intra-Family Cross Tenor Correlation

Returns:

The Intra-Family Cross Tenor Correlation

extraFamilyCrossTenorCorrelation

public double extraFamilyCrossTenorCorrelation()

Retrieve the Extra-Family Cross Tenor Correlation

Returns:

The Extra-Family Cross Tenor Correlation