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

It provides the following Functionality:

• Retrieve the ISDA 2.0 Credit Qualifying Bucket Vega Settings
• Retrieve the ISDA 2.1 Credit Qualifying Bucket Vega Settings
• Retrieve the ISDA 2.4 Credit Qualifying Bucket Vega Settings
• Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings
• Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings
• Retrieve the ISDA 2.4 Credit Non-Qualifying Bucket Vega Settings
• BucketVegaSettingsCR Constructor
• Retrieve the Vega Scaler
• Retrieve the Historical Volatility Ratio
• Retrieve the Tenor Delta Risk Weight
• Retrieve the Tenor 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
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