Package org.drip.simm.parameters

Class RiskClassSensitivitySettingsCR

java.lang.Object

org.drip.simm.parameters.RiskClassSensitivitySettingsCR

public class RiskClassSensitivitySettingsCR
extends java.lang.Object

RiskClassSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR 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
RiskClassSensitivitySettingsCR(RiskMeasureSensitivitySettingsCR delta, RiskMeasureSensitivitySettingsCR vega, RiskMeasureSensitivitySettingsCR curvature)	RiskClassSensitivitySettingsCR Constructor

Method Summary

Modifier and Type	Method	Description
RiskMeasureSensitivitySettingsCR	curvature()	Retrieve the Credit Risk Class Curvature Sensitivity Settings
RiskMeasureSensitivitySettingsCR	delta()	Retrieve the Credit Risk Class Delta Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRNQ_20()	Generate the SIMM 2.0 CRNQ Class Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRNQ_21()	Generate the SIMM 2.1 CRNQ Class Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRNQ_24()	Generate the SIMM 2.4 CRNQ Class Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRQ_20()	Generate the SIMM 2.0 CRQ Class Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRQ_21()	Generate the SIMM 2.1 CRQ Class Sensitivity Settings
static RiskClassSensitivitySettingsCR	ISDA_CRQ_24()	Generate the SIMM 2.4 CRQ Class Sensitivity Settings
RiskMeasureSensitivitySettingsCR	vega()	Retrieve the Credit Risk Class Vega Sensitivity Settings

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassSensitivitySettingsCR

public RiskClassSensitivitySettingsCR(RiskMeasureSensitivitySettingsCR delta,
RiskMeasureSensitivitySettingsCR vega,
RiskMeasureSensitivitySettingsCR curvature)
                               throws java.lang.Exception

RiskClassSensitivitySettingsCR Constructor

Parameters:

delta - The Credit Risk Class Delta Sensitivity Settings

vega - The Credit Risk Class Vega Sensitivity Settings

curvature - The Credit Risk Class Curvature Sensitivity Settings

Throws:

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

Method Details

ISDA_CRQ_20

public static final RiskClassSensitivitySettingsCR ISDA_CRQ_20()

Generate the SIMM 2.0 CRQ Class Sensitivity Settings

Returns:

The SIMM 2.0 CRQ Class Sensitivity Settings

ISDA_CRQ_21

public static final RiskClassSensitivitySettingsCR ISDA_CRQ_21()

Generate the SIMM 2.1 CRQ Class Sensitivity Settings

Returns:

The SIMM 2.1 CRQ Class Sensitivity Settings

ISDA_CRQ_24

public static final RiskClassSensitivitySettingsCR ISDA_CRQ_24()

Generate the SIMM 2.4 CRQ Class Sensitivity Settings

Returns:

The SIMM 2.4 CRQ Class Sensitivity Settings

ISDA_CRNQ_20

public static final RiskClassSensitivitySettingsCR ISDA_CRNQ_20()

Generate the SIMM 2.0 CRNQ Class Sensitivity Settings

Returns:

The SIMM 2.0 CRNQ Class Sensitivity Settings

ISDA_CRNQ_21

public static final RiskClassSensitivitySettingsCR ISDA_CRNQ_21()

Generate the SIMM 2.1 CRNQ Class Sensitivity Settings

Returns:

The SIMM 2.1 CRNQ Class Sensitivity Settings

ISDA_CRNQ_24

public static final RiskClassSensitivitySettingsCR ISDA_CRNQ_24()

Generate the SIMM 2.4 CRNQ Class Sensitivity Settings

Returns:

The SIMM 2.4 CRNQ Class Sensitivity Settings

delta

public RiskMeasureSensitivitySettingsCR delta()

Retrieve the Credit Risk Class Delta Sensitivity Settings

Returns:

The Credit Risk Class Delta Sensitivity Settings

vega

public RiskMeasureSensitivitySettingsCR vega()

Retrieve the Credit Risk Class Vega Sensitivity Settings

Returns:

The Credit Risk Class Vega Sensitivity Settings

curvature

public RiskMeasureSensitivitySettingsCR curvature()

Retrieve the Credit Risk Class Curvature Sensitivity Settings

Returns:

The Credit Risk Class Curvature Sensitivity Settings