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
It provides the following Functionality:
  • BucketSensitivity Constructor
  • Retrieve the Map of Risk Factor Sensitivities
  • Weight and Adjust the Input Sensitivities

Module Computational Core Module
Library Statistical Learning Library
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package ISDA SIMM Risk Factor Sensitivities
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