Package org.drip.simm.parameters

Class BucketVegaSettings

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettings

org.drip.simm.parameters.BucketVegaSettings

Direct Known Subclasses:

BucketCurvatureSettings

public class BucketVegaSettings
extends BucketSensitivitySettings

BucketVegaSettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Vega 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:

• Retrieve the ISDA 2.0 Equity Vega Settings
• Retrieve the ISDA 2.1 Equity Vega Settings
• Retrieve the ISDA 2.4 Equity Vega Settings
• Construct the Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket
• Construct the Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket
• Construct the Standard ISDA 2.4 Commodity Vega Settings for the specified Bucket
• Construct the Standard ISDA 2.0 Bucket FX Settings
• Construct the Standard ISDA 2.1 Bucket FX Settings
• Construct the Standard ISDA 2.4 Bucket FX Settings
• BucketVegaSettings Constructor
• Retrieve the Implied Volatility
• Retrieve the Historical Volatility Ratio
• Retrieve the Raw Vega Risk Weight

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
BucketVegaSettings(double riskWeight, double concentrationFactor, double memberCorrelation, double impliedVolatility, double historicalVolatilityRatio)	BucketVegaSettings Constructor

Method Summary

Modifier and Type	Method	Description
double	historicalVolatilityRatio()	Retrieve the Historical Volatility Ratio
double	impliedVolatility()	Retrieve the Implied Volatility
static BucketVegaSettings	ISDA_CT_20(int bucketIndex)	Construct the Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket
static BucketVegaSettings	ISDA_CT_21(int bucketIndex)	Construct the Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket
static BucketVegaSettings	ISDA_CT_24(int bucketIndex)	Construct the Standard ISDA 2.4 Commodity Vega Settings for the specified Bucket
static BucketVegaSettings	ISDA_EQ_20(int bucketIndex)	Retrieve the ISDA 2.0 Equity Vega Settings
static BucketVegaSettings	ISDA_EQ_21(int bucketIndex)	Retrieve the ISDA 2.1 Equity Vega Settings
static BucketVegaSettings	ISDA_EQ_24(int bucketIndex)	Retrieve the ISDA 2.4 Equity Vega Settings
static BucketVegaSettings	ISDA_FX_20(java.lang.String vegaCategory)	Construct the Standard ISDA 2.0 Bucket FX Settings
static BucketVegaSettings	ISDA_FX_21(java.lang.String vegaCategory)	Construct the Standard ISDA 2.1 Bucket FX Settings
static BucketVegaSettings	ISDA_FX_24(java.lang.String vegaCategory, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct the Standard ISDA 2.4 Bucket FX Settings
double	rawRiskWeight()	Retrieve the Raw Vega Risk Weight
double	riskWeight()	Retrieve the Bucket Risk Factor Weight

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

ISDA_FX_20, ISDA_FX_21, ISDA_FX_24, memberCorrelation

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

BucketVegaSettings

public BucketVegaSettings(double riskWeight,
double concentrationFactor,
double memberCorrelation,
double impliedVolatility,
double historicalVolatilityRatio)
                   throws java.lang.Exception

BucketVegaSettings Constructor

Parameters:

riskWeight - The Vega Risk Weight

concentrationFactor - The Concentration Factor

memberCorrelation - The Member Correlation

impliedVolatility - The Implied Volatility

historicalVolatilityRatio - The Historical Volatility Ratio

Throws:

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

Method Details

ISDA_EQ_20

public static BucketVegaSettings ISDA_EQ_20(int bucketIndex)

Retrieve the ISDA 2.0 Equity Vega Settings

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.0 Equity Vega Settings

ISDA_EQ_21

public static BucketVegaSettings ISDA_EQ_21(int bucketIndex)

Retrieve the ISDA 2.1 Equity Vega Settings

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.1 Equity Vega Settings

ISDA_EQ_24

public static BucketVegaSettings ISDA_EQ_24(int bucketIndex)

Retrieve the ISDA 2.4 Equity Vega Settings

Parameters:

bucketIndex - The Bucket Index

Returns:

The ISDA 2.4 Equity Vega Settings

ISDA_CT_20

public static BucketVegaSettings ISDA_CT_20(int bucketIndex)

Construct the Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket

Parameters:

bucketIndex - The Bucket Index

Returns:

The Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket

ISDA_CT_21

public static BucketVegaSettings ISDA_CT_21(int bucketIndex)

Construct the Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket

Parameters:

bucketIndex - The Bucket Index

Returns:

The Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket

ISDA_CT_24

public static BucketVegaSettings ISDA_CT_24(int bucketIndex)

Construct the Standard ISDA 2.4 Commodity Vega Settings for the specified Bucket

Parameters:

bucketIndex - The Bucket Index

Returns:

The Standard ISDA 2.4 Commodity Vega Settings for the specified Bucket

ISDA_FX_20

public static BucketVegaSettings ISDA_FX_20(java.lang.String vegaCategory)

Construct the Standard ISDA 2.0 Bucket FX Settings

Parameters:

vegaCategory - The Vega Category

Returns:

The Standard ISDA 2.0 Bucket FX Settings

ISDA_FX_21

public static BucketVegaSettings ISDA_FX_21(java.lang.String vegaCategory)

Construct the Standard ISDA 2.1 Bucket FX Settings

Parameters:

vegaCategory - The Vega Category

Returns:

The Standard ISDA 2.1 Bucket FX Settings

ISDA_FX_24

public static BucketVegaSettings ISDA_FX_24(java.lang.String vegaCategory,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct the Standard ISDA 2.4 Bucket FX Settings

Parameters:

vegaCategory - The Vega Category

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

The Standard ISDA 2.4 Bucket FX Settings

impliedVolatility

public double impliedVolatility()

Retrieve the Implied Volatility

Returns:

The Implied Volatility

historicalVolatilityRatio

public double historicalVolatilityRatio()

Retrieve the Historical Volatility Ratio

Returns:

The Historical Volatility Ratio

rawRiskWeight

public double rawRiskWeight()

Retrieve the Raw Vega Risk Weight

Returns:

The Raw Vega Risk Weight

riskWeight

public double riskWeight()

Description copied from class: BucketSensitivitySettings

Retrieve the Bucket Risk Factor Weight

Overrides:

riskWeight in class BucketSensitivitySettings

Returns:

The Bucket Risk Factor Weight