Package org.drip.simm.parameters

Class BucketVegaSettingsIR

java.lang.Object
org.drip.simm.parameters.LiquiditySettings
org.drip.simm.parameters.BucketSensitivitySettingsIR
org.drip.simm.parameters.BucketVegaSettingsIR
Direct Known Subclasses:
BucketCurvatureSettingsIR
public class BucketVegaSettingsIR
extends BucketSensitivitySettingsIR
BucketVegaSettingsIR holds the Vega 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
    BucketVegaSettingsIR​(java.util.Map<java.lang.String,​java.lang.Double> oisTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorVegaRiskWeight, LabelCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,​java.lang.Double> oisTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorDeltaRiskWeight)
    BucketVegaSettingsIR Constructor

  • Method Summary

    Modifier and Type Method Description
    double historicalVolatilityRatio()
    Retrieve the Historical Volatility Ratio
    static BucketVegaSettingsIR ISDA_20​(java.lang.String currency)
    Construct the ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
    static BucketVegaSettingsIR ISDA_21​(java.lang.String currency)
    Construct the ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
    static BucketVegaSettingsIR ISDA_24​(java.lang.String currency)
    Construct the ISDA 2.4 Standard IR Vega Sensitivity Settings for the Currency
    java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorDeltaRiskWeight()
    Retrieve the LIBOR 12M Tenor Delta Risk Weight
    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> libor12MTenorVegaRiskWeight()
    Retrieve the LIBOR 12M Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorDeltaRiskWeight()
    Retrieve the LIBOR 1M Tenor Delta 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> libor1MTenorVegaRiskWeight()
    Retrieve the LIBOR1M Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorDeltaRiskWeight()
    Retrieve the LIBOR 3M Tenor Delta 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> libor3MTenorVegaRiskWeight()
    Retrieve the LIBOR3M Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorDeltaRiskWeight()
    Retrieve the LIBOR 6M Tenor Delta 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> libor6MTenorVegaRiskWeight()
    Retrieve the LIBOR6M Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> municipalTenorDeltaRiskWeight()
    Retrieve the MUNICIPAL Tenor Delta 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> municipalTenorVegaRiskWeight()
    Retrieve the MUNICIPAL Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> oisTenorDeltaRiskWeight()
    Retrieve the OIS Tenor Delta 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> oisTenorVegaRiskWeight()
    Retrieve the OIS Tenor Vega Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> primeTenorDeltaRiskWeight()
    Retrieve the PRIME Tenor Delta Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> primeTenorRiskWeight()
    Retrieve the PRIME Tenor Risk Weight
    java.util.Map<java.lang.String,​java.lang.Double> primeTenorVegaRiskWeight()
    Retrieve the PRIME Tenor Vega Risk Weight
    double vegaScaler()
    Retrieve the Vega Scaler

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

    crossCurveCorrelation, crossTenorCorrelation, ISDA_DELTA_20, ISDA_DELTA_21, ISDA_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

    • BucketVegaSettingsIR

      public BucketVegaSettingsIR​(java.util.Map<java.lang.String,​java.lang.Double> oisTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorVegaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorVegaRiskWeight, LabelCorrelation crossTenorCorrelation, double crossCurveCorrelation, double concentrationThreshold, double vegaScaler, double historicalVolatilityRatio, java.util.Map<java.lang.String,​java.lang.Double> oisTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> primeTenorDeltaRiskWeight, java.util.Map<java.lang.String,​java.lang.Double> municipalTenorDeltaRiskWeight) throws java.lang.Exception
      BucketVegaSettingsIR Constructor
      Parameters:
      oisTenorVegaRiskWeight - The OIS Tenor Vega Risk Weight
      libor1MTenorVegaRiskWeight - The LIBOR 1M Tenor Vega Risk Weight
      libor3MTenorVegaRiskWeight - The LIBOR 3M Tenor Vega Risk Weight
      libor6MTenorVegaRiskWeight - The LIBOR 6M Tenor Vega Risk Weight
      libor12MTenorVegaRiskWeight - The LIBOR 12M Tenor Vega Risk Weight
      primeTenorVegaRiskWeight - The PRIME Tenor Vega Risk Weight
      municipalTenorVegaRiskWeight - The MUNICIPAL Tenor Vega Risk Weight
      crossTenorCorrelation - Single Curve Cross-Tenor Correlation
      crossCurveCorrelation - Cross Curve Correlation
      concentrationThreshold - The Concentration Threshold
      vegaScaler - The Vega Scaler
      historicalVolatilityRatio - The Historical Volatility Ratio
      oisTenorDeltaRiskWeight - The OIS Tenor Delta Risk Weight
      libor1MTenorDeltaRiskWeight - The LIBOR 1M Tenor Delta Risk Weight
      libor3MTenorDeltaRiskWeight - The LIBOR 3M Tenor Delta Risk Weight
      libor6MTenorDeltaRiskWeight - The LIBOR 6M Tenor Delta Risk Weight
      libor12MTenorDeltaRiskWeight - The LIBOR 12M Tenor Delta Risk Weight
      primeTenorDeltaRiskWeight - The PRIME Tenor Delta Risk Weight
      municipalTenorDeltaRiskWeight - The MUNICIPAL Tenor Delta Risk Weight
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • ISDA_20

      public static BucketVegaSettingsIR ISDA_20​(java.lang.String currency)
      Construct the ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency

    • ISDA_21

      public static BucketVegaSettingsIR ISDA_21​(java.lang.String currency)
      Construct the ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency

    • ISDA_24

      public static BucketVegaSettingsIR ISDA_24​(java.lang.String currency)
      Construct the ISDA 2.4 Standard IR Vega Sensitivity Settings for the Currency
      Parameters:
      currency - Currency
      Returns:
      The ISDA 2.4 Standard IR Vega Sensitivity Settings for the Currency

    • 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

    • oisTenorDeltaRiskWeight

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

    • oisTenorVegaRiskWeight

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

    • libor1MTenorDeltaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorDeltaRiskWeight()
      Retrieve the LIBOR 1M Tenor Delta Risk Weight
      Returns:
      The LIBOR 1M Tenor Delta Risk Weight

    • libor1MTenorVegaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorVegaRiskWeight()
      Retrieve the LIBOR1M Tenor Vega Risk Weight
      Returns:
      The LIBOR1M Tenor Vega Risk Weight

    • libor3MTenorDeltaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorDeltaRiskWeight()
      Retrieve the LIBOR 3M Tenor Delta Risk Weight
      Returns:
      The LIBOR 3M Tenor Delta Risk Weight

    • libor3MTenorVegaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorVegaRiskWeight()
      Retrieve the LIBOR3M Tenor Vega Risk Weight
      Returns:
      The LIBOR3M Tenor Vega Risk Weight

    • libor6MTenorDeltaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorDeltaRiskWeight()
      Retrieve the LIBOR 6M Tenor Delta Risk Weight
      Returns:
      The LIBOR 6M Tenor Delta Risk Weight

    • libor6MTenorVegaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorVegaRiskWeight()
      Retrieve the LIBOR6M Tenor Vega Risk Weight
      Returns:
      The LIBOR6M Tenor Vega Risk Weight

    • libor12MTenorDeltaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorDeltaRiskWeight()
      Retrieve the LIBOR 12M Tenor Delta Risk Weight
      Returns:
      The LIBOR 12M Tenor Delta Risk Weight

    • libor12MTenorVegaRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorVegaRiskWeight()
      Retrieve the LIBOR 12M Tenor Vega Risk Weight
      Returns:
      The LIBOR 12M Tenor Vega Risk Weight

    • primeTenorDeltaRiskWeight

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

    • primeTenorVegaRiskWeight

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

    • municipalTenorDeltaRiskWeight

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

    • municipalTenorVegaRiskWeight

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

    • oisTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> oisTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the OIS Tenor Risk Weight
      Overrides:
      oisTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The OIS Tenor Risk Weight

    • libor1MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor1MTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the LIBOR 1M Tenor Risk Weight
      Overrides:
      libor1MTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The LIBOR 1M Tenor Risk Weight

    • libor3MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor3MTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the LIBOR 3M Tenor Risk Weight
      Overrides:
      libor3MTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The LIBOR 3M Tenor Risk Weight

    • libor6MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor6MTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the LIBOR 6M Tenor Risk Weight
      Overrides:
      libor6MTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The LIBOR 6M Tenor Risk Weight

    • libor12MTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> libor12MTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the LIBOR 12M Tenor Risk Weight
      Overrides:
      libor12MTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The LIBOR 12M Tenor Risk Weight

    • primeTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> primeTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the PRIME Tenor Risk Weight
      Overrides:
      primeTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The PRIME Tenor Risk Weight

    • municipalTenorRiskWeight

      public java.util.Map<java.lang.String,​java.lang.Double> municipalTenorRiskWeight()
      Description copied from class: BucketSensitivitySettingsIR
      Retrieve the MUNICIPAL Curve Tenor Risk Weight
      Overrides:
      municipalTenorRiskWeight in class BucketSensitivitySettingsIR
      Returns:
      The MUNICIPAL Curve Tenor Risk Weight