Package org.drip.simm.product

Class BucketSensitivity

java.lang.Object
org.drip.simm.product.BucketSensitivity
public class BucketSensitivity
extends java.lang.Object
BucketSensitivity holds the Risk Factor Sensitivities inside a single Bucket. 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 (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BucketSensitivity​(java.util.Map<java.lang.String,​java.lang.Double> riskFactorSensitivityMap)
    BucketSensitivity Constructor

  • Method Summary

    Modifier and Type Method Description
    BucketAggregate aggregate​(BucketSensitivitySettings bucketSensitivitySettings)
    Weight and Adjust the Input Sensitivities
    java.util.Map<java.lang.String,​java.lang.Double> riskFactorSensitivityMap()
    Retrieve the Map of Risk Factor Sensitivities

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BucketSensitivity

      public BucketSensitivity​(java.util.Map<java.lang.String,​java.lang.Double> riskFactorSensitivityMap) throws java.lang.Exception
      BucketSensitivity Constructor
      Parameters:
      riskFactorSensitivityMap - The Map of Risk Factor Sensitivities
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • riskFactorSensitivityMap

      public java.util.Map<java.lang.String,​java.lang.Double> riskFactorSensitivityMap()
      Retrieve the Map of Risk Factor Sensitivities
      Returns:
      The Map of Risk Factor Sensitivities

    • aggregate

      public BucketAggregate aggregate​(BucketSensitivitySettings bucketSensitivitySettings)
      Weight and Adjust the Input Sensitivities
      Parameters:
      bucketSensitivitySettings - The Bucket Sensitivity Settings
      Returns:
      Map of Weighted and Adjusted Input Sensitivities