Package org.drip.simm.parameters

Class RiskMeasureSensitivitySettingsIR

java.lang.Object
org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
public class RiskMeasureSensitivitySettingsIR
extends java.lang.Object
RiskMeasureSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR Class 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




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • RiskMeasureSensitivitySettingsIR

      public RiskMeasureSensitivitySettingsIR​(java.util.Map<java.lang.String,​BucketSensitivitySettingsIR> bucketSensitivitySettingsMap, LabelCorrelation crossBucketCorrelation) throws java.lang.Exception
      RiskMeasureSensitivitySettingsIR Constructor
      Parameters:
      bucketSensitivitySettingsMap - The IR Bucket Sensitivity Settings Map
      crossBucketCorrelation - The Cross Bucket Correlation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • ISDA_DELTA_20

      public static final RiskMeasureSensitivitySettingsIR ISDA_DELTA_20​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_DELTA_21

      public static final RiskMeasureSensitivitySettingsIR ISDA_DELTA_21​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_DELTA_24

      public static final RiskMeasureSensitivitySettingsIR ISDA_DELTA_24​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.4 DELTA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.4 DELTA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_VEGA_20

      public static final RiskMeasureSensitivitySettingsIR ISDA_VEGA_20​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_VEGA_21

      public static final RiskMeasureSensitivitySettingsIR ISDA_VEGA_21​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_VEGA_24

      public static final RiskMeasureSensitivitySettingsIR ISDA_VEGA_24​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.4 VEGA Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.4 VEGA Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_CURVATURE_20

      public static final RiskMeasureSensitivitySettingsIR ISDA_CURVATURE_20​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_CURVATURE_21

      public static final RiskMeasureSensitivitySettingsIR ISDA_CURVATURE_21​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR

    • ISDA_CURVATURE_24

      public static final RiskMeasureSensitivitySettingsIR ISDA_CURVATURE_24​(java.util.List<java.lang.String> currencyList)
      Generate the Standard ISDA 2.4 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
      Parameters:
      currencyList - The Currency List
      Returns:
      The Standard ISDA 2.4 CURVATURE Instance of RiskMeasureSensitivitySettingsIR

    • crossBucketCorrelation

      public LabelCorrelation crossBucketCorrelation()
      Retrieve the Cross Bucket Correlation
      Returns:
      The Cross Bucket Correlation

    • bucketSensitivitySettingsMap

      public java.util.Map<java.lang.String,​BucketSensitivitySettingsIR> bucketSensitivitySettingsMap()
      Retrieve the IR Bucket Sensitivity Settings Map
      Returns:
      The IR Bucket Sensitivity Settings Map