Package org.drip.simm.parameters

Class RiskClassSensitivitySettings

java.lang.Object

org.drip.simm.parameters.RiskClassSensitivitySettings

public class RiskClassSensitivitySettings
extends java.lang.Object

RiskClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Class Buckets. 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
RiskClassSensitivitySettings(RiskMeasureSensitivitySettings delta, RiskMeasureSensitivitySettings vega, RiskMeasureSensitivitySettings curvature)	RiskClassSensitivitySettings Constructor

Method Summary

Modifier and Type	Method	Description
RiskMeasureSensitivitySettings	curvature()	Curvature Risk Measure Sensitivity Settings
RiskMeasureSensitivitySettings	delta()	Delta Risk Measure Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_CT_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_CT_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_CT_24(int vegaDurationDays)	Generate the ISDA 2.4 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_EQ_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_EQ_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_EQ_24(int vegaDurationDays)	Generate the ISDA 2.4 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_FX_20(int vegaDurationDays)	Generate the ISDA 2.0 Standard FX Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_FX_21(int vegaDurationDays)	Generate the ISDA 2.1 Standard FX Sensitivity Settings
static RiskClassSensitivitySettings	ISDA_FX_24(int vegaDurationDays, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Generate the ISDA 2.4 Standard FX Sensitivity Settings
RiskMeasureSensitivitySettings	vega()	Vega Risk Measure Sensitivity Settings

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

RiskClassSensitivitySettings

public RiskClassSensitivitySettings(RiskMeasureSensitivitySettings delta,
RiskMeasureSensitivitySettings vega,
RiskMeasureSensitivitySettings curvature)
                             throws java.lang.Exception

RiskClassSensitivitySettings Constructor

Parameters:

delta - Delta Risk Measure Sensitivity Settings

vega - Vega Risk Measure Sensitivity Settings

curvature - Curvature Risk Measure Sensitivity Settings

Throws:

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

Method Details

ISDA_EQ_20

public static final RiskClassSensitivitySettings ISDA_EQ_20(int vegaDurationDays)

Generate the ISDA 2.0 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.0 Standard Commodity Sensitivity Settings

ISDA_EQ_21

public static final RiskClassSensitivitySettings ISDA_EQ_21(int vegaDurationDays)

Generate the ISDA 2.1 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.1 Standard Commodity Sensitivity Settings

ISDA_EQ_24

public static final RiskClassSensitivitySettings ISDA_EQ_24(int vegaDurationDays)

Generate the ISDA 2.4 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.4 Standard Commodity Sensitivity Settings

ISDA_CT_20

public static final RiskClassSensitivitySettings ISDA_CT_20(int vegaDurationDays)

Generate the ISDA 2.0 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.0 Standard Commodity Sensitivity Settings

ISDA_CT_21

public static final RiskClassSensitivitySettings ISDA_CT_21(int vegaDurationDays)

Generate the ISDA 2.1 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.1 Standard Commodity Sensitivity Settings

ISDA_CT_24

public static final RiskClassSensitivitySettings ISDA_CT_24(int vegaDurationDays)

Generate the ISDA 2.4 Standard Commodity Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.4 Standard Commodity Sensitivity Settings

ISDA_FX_20

public static final RiskClassSensitivitySettings ISDA_FX_20(int vegaDurationDays)

Generate the ISDA 2.0 Standard FX Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.0 Standard FX Sensitivity Settings

ISDA_FX_21

public static final RiskClassSensitivitySettings ISDA_FX_21(int vegaDurationDays)

Generate the ISDA 2.1 Standard FX Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

The ISDA 2.1 Standard FX Sensitivity Settings

ISDA_FX_24

public static final RiskClassSensitivitySettings ISDA_FX_24(int vegaDurationDays,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Generate the ISDA 2.4 Standard FX Sensitivity Settings

Parameters:

vegaDurationDays - The Vega Duration Days

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

The ISDA 2.4 Standard FX Sensitivity Settings

delta

public RiskMeasureSensitivitySettings delta()

Delta Risk Measure Sensitivity Settings

Returns:

Delta Risk Measure Sensitivity Settings

vega

public RiskMeasureSensitivitySettings vega()

Vega Risk Measure Sensitivity Settings

Returns:

Vega Risk Measure Sensitivity Settings

curvature

public RiskMeasureSensitivitySettings curvature()

Curvature Risk Measure Sensitivity Settings

Returns:

Curvature Risk Measure Sensitivity Settings