Package org.drip.simm.parameters

Class BucketVegaSettingsCR

java.lang.Object

org.drip.simm.parameters.LiquiditySettings

org.drip.simm.parameters.BucketSensitivitySettingsCR

org.drip.simm.parameters.BucketVegaSettingsCR

Direct Known Subclasses:

BucketCurvatureSettingsCR

public class BucketVegaSettingsCR
extends BucketSensitivitySettingsCR

BucketVegaSettingsCR holds the Vega 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

• 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
BucketVegaSettingsCR(java.util.Map<java.lang.String,java.lang.Double> tenorVegaRiskWeight, double sameIssuerSeniorityCorrelation, double differentIssuerSeniorityCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,java.lang.Double> tenorDeltaRiskWeight)	BucketVegaSettingsCR Constructor

Method Summary

Modifier and Type	Method	Description
double	historicalVolatilityRatio()	Retrieve the Historical Volatility Ratio
static BucketVegaSettingsCR	ISDA_CRNQ_20(int bucketNumber)	Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings
static BucketVegaSettingsCR	ISDA_CRNQ_21(int bucketNumber)	Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings
static BucketVegaSettingsCR	ISDA_CRNQ_24(int bucketNumber)	Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Vega Settings
static BucketVegaSettingsCR	ISDA_CRQ_20(int bucketNumber)	Retrieve the ISDA 2.0 Credit Qualifying Bucket Vega Settings
static BucketVegaSettingsCR	ISDA_CRQ_21(int bucketNumber)	Retrieve the ISDA 2.1 Credit Qualifying Bucket Vega Settings
static BucketVegaSettingsCR	ISDA_CRQ_24(int bucketNumber)	Retrieve the ISDA 2.4 Credit Qualifying Bucket Vega Settings
java.util.Map<java.lang.String,java.lang.Double>	tenorDeltaRiskWeight()	Retrieve the Tenor Delta Risk Weight
java.util.Map<java.lang.String,java.lang.Double>	tenorRiskWeight()	Retrieve the Tenor Risk Weight Map
java.util.Map<java.lang.String,java.lang.Double>	tenorVegaRiskWeight()	Retrieve the Tenor Vega Risk Weight
double	vegaScaler()	Retrieve the Vega Scaler

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

extraFamilyCrossTenorCorrelation, intraFamilyCrossTenorCorrelation, ISDA_CRNQ_DELTA_20, ISDA_CRNQ_DELTA_21, ISDA_CRNQ_DELTA_24, ISDA_CRQ_DELTA_20, ISDA_CRQ_DELTA_21, ISDA_CRQ_DELTA_24

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

BucketVegaSettingsCR

public BucketVegaSettingsCR(java.util.Map<java.lang.String,java.lang.Double> tenorVegaRiskWeight,
double sameIssuerSeniorityCorrelation,
double differentIssuerSeniorityCorrelation,
double concentrationThreshold,
double vegaScaler,
double historicalVolatilityRatio,
java.util.Map<java.lang.String,java.lang.Double> tenorDeltaRiskWeight)
                     throws java.lang.Exception

BucketVegaSettingsCR Constructor

Parameters:

tenorVegaRiskWeight - The Tenor Vega Risk Weight Map

sameIssuerSeniorityCorrelation - Same Issuer/Seniority Correlation

differentIssuerSeniorityCorrelation - Different Issuer/Seniority Correlation

concentrationThreshold - The Concentration Threshold

vegaScaler - The Vega Scaler

historicalVolatilityRatio - The Historical Volatility Ratio

tenorDeltaRiskWeight - The Credit Tenor Delta Risk Weight

Throws:

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

Method Details

ISDA_CRQ_20

public static BucketVegaSettingsCR ISDA_CRQ_20(int bucketNumber)

Retrieve the ISDA 2.0 Credit Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.0 Credit Qualifying Bucket Vega Settings

ISDA_CRNQ_20

public static BucketVegaSettingsCR ISDA_CRNQ_20(int bucketNumber)

Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings

ISDA_CRQ_21

public static BucketVegaSettingsCR ISDA_CRQ_21(int bucketNumber)

Retrieve the ISDA 2.1 Credit Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.1 Credit Qualifying Bucket Vega Settings

ISDA_CRNQ_21

public static BucketVegaSettingsCR ISDA_CRNQ_21(int bucketNumber)

Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings

ISDA_CRQ_24

public static BucketVegaSettingsCR ISDA_CRQ_24(int bucketNumber)

Retrieve the ISDA 2.4 Credit Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.4 Credit Qualifying Bucket Vega Settings

ISDA_CRNQ_24

public static BucketVegaSettingsCR ISDA_CRNQ_24(int bucketNumber)

Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Vega Settings

Parameters:

bucketNumber - The Bucket Number

Returns:

The ISDA 2.4 Credit Non-Qualifying Bucket Vega Settings

vegaScaler

public double vegaScaler()

Retrieve the Vega Scaler

Returns:

The Vega Scaler

historicalVolatilityRatio

public double historicalVolatilityRatio()

Retrieve the Historical Volatility Ratio

Returns:

The Historical Volatility Ratio

tenorDeltaRiskWeight

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

Retrieve the Tenor Delta Risk Weight

Returns:

The Tenor Delta Risk Weight

tenorVegaRiskWeight

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

Retrieve the Tenor Vega Risk Weight

Returns:

The Tenor Vega Risk Weight

tenorRiskWeight

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

Description copied from class: BucketSensitivitySettingsCR

Retrieve the Tenor Risk Weight Map

Overrides:

tenorRiskWeight in class BucketSensitivitySettingsCR

Returns:

The Tenor Risk Weight Map