Package org.drip.simm.parameters

Class RiskClassSensitivitySettingsIR

java.lang.Object

org.drip.simm.parameters.RiskClassSensitivitySettingsIR

public class RiskClassSensitivitySettingsIR
extends java.lang.Object

RiskClassSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR 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
RiskClassSensitivitySettingsIR(RiskMeasureSensitivitySettingsIR delta, RiskMeasureSensitivitySettingsIR vega, RiskMeasureSensitivitySettingsIR curvature)	RiskClassSensitivitySettingsIR Constructor

Method Summary

Modifier and Type	Method	Description
RiskMeasureSensitivitySettingsIR	curvature()	Curvature IR Risk Measure Sensitivity Settings
RiskMeasureSensitivitySettingsIR	delta()	Retrieve the IR Risk Class Delta Sensitivity Settings
static RiskClassSensitivitySettingsIR	ISDA_20(java.util.List<java.lang.String> currencyList)	Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettingsIR	ISDA_21(java.util.List<java.lang.String> currencyList)	Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
static RiskClassSensitivitySettingsIR	ISDA_24(java.util.List<java.lang.String> currencyList)	Generate the ISDA 2.4 Standard Commodity Sensitivity Settings
RiskMeasureSensitivitySettingsIR	vega()	Retrieve the IR Risk Class Vega Sensitivity Settings

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassSensitivitySettingsIR

public RiskClassSensitivitySettingsIR(RiskMeasureSensitivitySettingsIR delta,
RiskMeasureSensitivitySettingsIR vega,
RiskMeasureSensitivitySettingsIR curvature)
                               throws java.lang.Exception

RiskClassSensitivitySettingsIR Constructor

Parameters:

delta - The IR Risk Class Delta Sensitivity Settings

vega - The IR Risk Class Vega Sensitivity Settings

curvature - Curvature Risk Measure Sensitivity Settings

Throws:

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

Method Details

ISDA_20

public static final RiskClassSensitivitySettingsIR ISDA_20(java.util.List<java.lang.String> currencyList)

Generate the ISDA 2.0 Standard Commodity Sensitivity Settings

Parameters:

currencyList - The Currency List

Returns:

The ISDA 2.0 Standard Commodity Sensitivity Settings

ISDA_21

public static final RiskClassSensitivitySettingsIR ISDA_21(java.util.List<java.lang.String> currencyList)

Generate the ISDA 2.1 Standard Commodity Sensitivity Settings

Parameters:

currencyList - The Currency List

Returns:

The ISDA 2.1 Standard Commodity Sensitivity Settings

ISDA_24

public static final RiskClassSensitivitySettingsIR ISDA_24(java.util.List<java.lang.String> currencyList)

Generate the ISDA 2.4 Standard Commodity Sensitivity Settings

Parameters:

currencyList - The Currency List

Returns:

The ISDA 2.4 Standard Commodity Sensitivity Settings

delta

public RiskMeasureSensitivitySettingsIR delta()

Retrieve the IR Risk Class Delta Sensitivity Settings

Returns:

The IR Risk Class Delta Sensitivity Settings

vega

public RiskMeasureSensitivitySettingsIR vega()

Retrieve the IR Risk Class Vega Sensitivity Settings

Returns:

The IR Risk Class Vega Sensitivity Settings

curvature

public RiskMeasureSensitivitySettingsIR curvature()

Curvature IR Risk Measure Sensitivity Settings

Returns:

IR Curvature Risk Measure Sensitivity Settings