Package org.drip.simm.parameters

Class BucketSensitivitySettingsIR

java.lang.Object
org.drip.simm.parameters.LiquiditySettings
org.drip.simm.parameters.BucketSensitivitySettingsIR
Direct Known Subclasses:
BucketVegaSettingsIR
public class BucketSensitivitySettingsIR
extends LiquiditySettings
BucketSensitivitySettingsIR holds the Delta 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BucketSensitivitySettingsIR​(java.util.Map<java.lang.String,​java.lang.Double> oisTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorRiskWeight, LabelCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold)
    BucketSensitivitySettingsIR Constructor

  • Method Summary

    Modifier and Type Method Description
    double crossCurveCorrelation()
    Retrieve the Cross Curve Correlation
    LabelCorrelation crossTenorCorrelation()
    Retrieve the Single Curve Cross Tenor Correlation
    static BucketSensitivitySettingsIR ISDA_DELTA_20​(java.lang.String currency)
    Construct the ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
    static BucketSensitivitySettingsIR ISDA_DELTA_21​(java.lang.String currency)
    Construct the ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
    static BucketSensitivitySettingsIR ISDA_DELTA_24​(java.lang.String currency)
    Construct the ISDA 2.4 Standard IR Delta Sensitivity Settings for the Currency
    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

    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

    • BucketSensitivitySettingsIR

      public BucketSensitivitySettingsIR​(java.util.Map<java.lang.String,​java.lang.Double> oisTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorRiskWeight, LabelCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold) throws java.lang.Exception
      BucketSensitivitySettingsIR Constructor
      Parameters:
      oisTenorRiskWeight - The OIS Tenor Risk Weight
      libor1MTenorRiskWeight - The LIBOR 1M Tenor Risk Weight
      libor3MTenorRiskWeight - The LIBOR 3M Tenor Risk Weight
      libor6MTenorRiskWeight - The LIBOR 6M Tenor Risk Weight
      libor12MTenorRiskWeight - The LIBOR 12M Tenor Risk Weight
      primeTenorRiskWeight - The PRIME Tenor Risk Weight
      municipalTenorRiskWeight - The MUNICIPAL Tenor Risk Weight
      crossTenorCorrelation - Single Curve Cross-Tenor Correlation
      crossCurveCorrelation - Cross Curve Correlation
      concentrationThreshold - The Concentration Threshold
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • ISDA_DELTA_20

      public static final BucketSensitivitySettingsIR ISDA_DELTA_20​(java.lang.String currency)
      Construct the ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency

    • ISDA_DELTA_21

      public static final BucketSensitivitySettingsIR ISDA_DELTA_21​(java.lang.String currency)
      Construct the ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency

    • ISDA_DELTA_24

      public static final BucketSensitivitySettingsIR ISDA_DELTA_24​(java.lang.String currency)
      Construct the ISDA 2.4 Standard IR Delta Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.4 Standard IR Delta Sensitivity Settings for the Currency

    • oisTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> oisTenorRiskWeight()
      Retrieve the OIS Tenor Risk Weight
      Returns:
      The OIS Tenor Risk Weight

    • libor1MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorRiskWeight()
      Retrieve the LIBOR 1M Tenor Risk Weight
      Returns:
      The LIBOR 1M Tenor Risk Weight

    • libor3MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorRiskWeight()
      Retrieve the LIBOR 3M Tenor Risk Weight
      Returns:
      The LIBOR 3M Tenor Risk Weight

    • libor6MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorRiskWeight()
      Retrieve the LIBOR 6M Tenor Risk Weight
      Returns:
      The LIBOR 6M Tenor Risk Weight

    • libor12MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorRiskWeight()
      Retrieve the LIBOR 12M Tenor Risk Weight
      Returns:
      The LIBOR 12M Tenor Risk Weight

    • primeTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> primeTenorRiskWeight()
      Retrieve the PRIME Tenor Risk Weight
      Returns:
      The PRIME Tenor Risk Weight

    • municipalTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> municipalTenorRiskWeight()
      Retrieve the MUNICIPAL Curve Tenor Risk Weight
      Returns:
      The MUNICIPAL Curve Tenor Risk Weight

    • crossCurveCorrelation

      public double crossCurveCorrelation()
      Retrieve the Cross Curve Correlation
      Returns:
      The Cross Curve Correlation

    • crossTenorCorrelation

      public LabelCorrelation crossTenorCorrelation()
      Retrieve the Single Curve Cross Tenor Correlation
      Returns:
      The Single Curve Cross Tenor Correlation