Package org.drip.simm.parameters

Class RiskMeasureSensitivitySettings

java.lang.Object

org.drip.simm.parameters.RiskMeasureSensitivitySettings

public class RiskMeasureSensitivitySettings
extends java.lang.Object

RiskMeasureSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Measure 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
RiskMeasureSensitivitySettings(java.util.Map<java.lang.String,BucketSensitivitySettings> bucketSettingsMap, LabelCorrelation crossBucketCorrelation)	RiskMeasureSensitivitySettings Constructor

Method Summary

Modifier and Type	Method	Description
java.util.Map<java.lang.String,BucketSensitivitySettings>	bucketSettingsMap()	Retrieve the Bucket Sensitivity Settings Map
LabelCorrelation	crossBucketCorrelation()	Retrieve the Cross Bucket Correlation
static RiskMeasureSensitivitySettings	ISDA_CT_CURVATURE_20(int vegaDurationDays)	Construct an ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_CURVATURE_21(int vegaDurationDays)	Construct an ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_CURVATURE_24(int vegaDurationDays)	Construct an ISDA 2.4 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_DELTA_20()	Construct an ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_DELTA_21()	Construct an ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_DELTA_24()	Construct an ISDA 2.4 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_VEGA_20()	Construct an ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_VEGA_21()	Construct an ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_CT_VEGA_24()	Construct an ISDA 2.4 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_CURVATURE_20(int vegaDurationDays)	Construct an ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_CURVATURE_21(int vegaDurationDays)	Construct an ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_CURVATURE_24(int vegaDurationDays)	Construct an ISDA 2.4 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_DELTA_20()	Construct an ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_DELTA_21()	Construct an ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_DELTA_24()	Construct an ISDA 2.4 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_VEGA_20()	Construct an ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_VEGA_21()	Construct an ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_EQ_VEGA_24()	Construct an ISDA 2.4 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_CURVATURE_20(int vegaDurationDays)	Construct an ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_CURVATURE_21(int vegaDurationDays)	Construct an ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_CURVATURE_24(int vegaDurationDays, java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct an ISDA 2.4 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_DELTA_20()	Construct an ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_DELTA_21()	Construct an ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_DELTA_24(java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct an ISDA 2.4 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_VEGA_20()	Construct an ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_VEGA_21()	Construct an ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
static RiskMeasureSensitivitySettings	ISDA_FX_VEGA_24(java.lang.String givenCurrency, java.lang.String calculationCurrency)	Construct an ISDA 2.4 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

Methods inherited from class java.lang.Object

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

Constructor Details

RiskMeasureSensitivitySettings

public RiskMeasureSensitivitySettings(java.util.Map<java.lang.String,BucketSensitivitySettings> bucketSettingsMap,
LabelCorrelation crossBucketCorrelation)
                               throws java.lang.Exception

RiskMeasureSensitivitySettings Constructor

Parameters:

bucketSettingsMap - The Bucket Sensitivity Settings Map

crossBucketCorrelation - The Cross Bucket Correlation

Throws:

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

Method Details

ISDA_EQ_DELTA_20

public static final RiskMeasureSensitivitySettings ISDA_EQ_DELTA_20()

Construct an ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_DELTA_21

public static final RiskMeasureSensitivitySettings ISDA_EQ_DELTA_21()

Construct an ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_DELTA_24

public static final RiskMeasureSensitivitySettings ISDA_EQ_DELTA_24()

Construct an ISDA 2.4 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.4 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_VEGA_20

public static final RiskMeasureSensitivitySettings ISDA_EQ_VEGA_20()

Construct an ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_VEGA_21

public static final RiskMeasureSensitivitySettings ISDA_EQ_VEGA_21()

Construct an ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_VEGA_24

public static final RiskMeasureSensitivitySettings ISDA_EQ_VEGA_24()

Construct an ISDA 2.4 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.4 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_CURVATURE_20

public static final RiskMeasureSensitivitySettings ISDA_EQ_CURVATURE_20(int vegaDurationDays)

Construct an ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_CURVATURE_21

public static final RiskMeasureSensitivitySettings ISDA_EQ_CURVATURE_21(int vegaDurationDays)

Construct an ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_EQ_CURVATURE_24

public static final RiskMeasureSensitivitySettings ISDA_EQ_CURVATURE_24(int vegaDurationDays)

Construct an ISDA 2.4 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.4 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_DELTA_20

public static final RiskMeasureSensitivitySettings ISDA_CT_DELTA_20()

Construct an ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_DELTA_21

public static final RiskMeasureSensitivitySettings ISDA_CT_DELTA_21()

Construct an ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_DELTA_24

public static final RiskMeasureSensitivitySettings ISDA_CT_DELTA_24()

Construct an ISDA 2.4 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.4 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_VEGA_20

public static final RiskMeasureSensitivitySettings ISDA_CT_VEGA_20()

Construct an ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_VEGA_21

public static final RiskMeasureSensitivitySettings ISDA_CT_VEGA_21()

Construct an ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_VEGA_24

public static final RiskMeasureSensitivitySettings ISDA_CT_VEGA_24()

Construct an ISDA 2.4 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.4 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_CURVATURE_20

public static final RiskMeasureSensitivitySettings ISDA_CT_CURVATURE_20(int vegaDurationDays)

Construct an ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_CURVATURE_21

public static final RiskMeasureSensitivitySettings ISDA_CT_CURVATURE_21(int vegaDurationDays)

Construct an ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_CT_CURVATURE_24

public static final RiskMeasureSensitivitySettings ISDA_CT_CURVATURE_24(int vegaDurationDays)

Construct an ISDA 2.4 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.4 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_DELTA_20

public static final RiskMeasureSensitivitySettings ISDA_FX_DELTA_20()

Construct an ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_DELTA_21

public static final RiskMeasureSensitivitySettings ISDA_FX_DELTA_21()

Construct an ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_DELTA_24

public static final RiskMeasureSensitivitySettings ISDA_FX_DELTA_24(java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct an ISDA 2.4 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

Parameters:

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

ISDA 2.4 FX DELTA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_VEGA_20

public static final RiskMeasureSensitivitySettings ISDA_FX_VEGA_20()

Construct an ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_VEGA_21

public static final RiskMeasureSensitivitySettings ISDA_FX_VEGA_21()

Construct an ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

Returns:

ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_VEGA_24

public static final RiskMeasureSensitivitySettings ISDA_FX_VEGA_24(java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct an ISDA 2.4 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

Parameters:

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

ISDA 2.4 FX VEGA Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_CURVATURE_20

public static final RiskMeasureSensitivitySettings ISDA_FX_CURVATURE_20(int vegaDurationDays)

Construct an ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_CURVATURE_21

public static final RiskMeasureSensitivitySettings ISDA_FX_CURVATURE_21(int vegaDurationDays)

Construct an ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

Returns:

ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

ISDA_FX_CURVATURE_24

public static final RiskMeasureSensitivitySettings ISDA_FX_CURVATURE_24(int vegaDurationDays,
java.lang.String givenCurrency,
java.lang.String calculationCurrency)

Construct an ISDA 2.4 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

Parameters:

vegaDurationDays - The Vega Duration Days

givenCurrency - Given Currency

calculationCurrency - Calculation Currency

Returns:

ISDA 2.4 FX Curvature Standard Instance of RiskMeasureSensitivitySettings

crossBucketCorrelation

public LabelCorrelation crossBucketCorrelation()

Retrieve the Cross Bucket Correlation

Returns:

The Cross Bucket Correlation

bucketSettingsMap

public java.util.Map<java.lang.String,BucketSensitivitySettings> bucketSettingsMap()

Retrieve the Bucket Sensitivity Settings Map

Returns:

The Bucket Sensitivity Settings Map