Package org.drip.simm.product

Class BucketSensitivityCR

java.lang.Object
org.drip.simm.product.BucketSensitivityCR
public class BucketSensitivityCR
extends java.lang.Object
BucketSensitivityCR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across CR Tenor Factors. 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 Details

    • BucketSensitivityCR

      public BucketSensitivityCR​(java.util.Map<java.lang.String,​RiskFactorTenorSensitivity> tenorSensitivityMap) throws java.lang.Exception
      BucketSensitivityCR Constructor
      Parameters:
      tenorSensitivityMap - The Risk Factor Tenor Sensitivity Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • cumulativeTenorSensitivityMap

      public RiskFactorTenorSensitivity cumulativeTenorSensitivityMap()
      Retrieve the Cumulative Risk Factor Tenor Sensitivity Map
      Returns:
      The Cumulative Risk Factor Tenor Sensitivity Map

    • tenorSensitivityMap

      public java.util.Map<java.lang.String,​RiskFactorTenorSensitivity> tenorSensitivityMap()
      Retrieve the Risk Factor Tenor Sensitivity Map
      Returns:
      The Risk Factor Tenor Sensitivity Map

    • cumulativeTenorSensitivity

      public double cumulativeTenorSensitivity()
      Generate the Cumulative Tenor Sensitivity
      Returns:
      The Cumulative Tenor Sensitivity

    • sensitivityConcentrationRiskFactor

      public double sensitivityConcentrationRiskFactor​(double sensitivityConcentrationThreshold) throws java.lang.Exception
      Compute the Sensitivity Concentration Risk Factor
      Parameters:
      sensitivityConcentrationThreshold - The Sensitivity Concentration Threshold
      Returns:
      The Sensitivity Concentration Risk Factor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • tenorSensitivityMargin

      public java.util.Map<java.lang.String,​java.lang.Double> tenorSensitivityMargin​(BucketSensitivitySettingsCR bucketSensitivitySettings)
      Generate the Tenor Sensitivity Margin Map
      Parameters:
      bucketSensitivitySettings - The Bucket Tenor Sensitivity Settings
      Returns:
      The Tenor Sensitivity Margin Map

    • curveAggregate

      public RiskFactorAggregateCR curveAggregate​(BucketSensitivitySettingsCR bucketSensitivitySettings)
      Generate the CR Margin Factor Curve Tenor Aggregate
      Parameters:
      bucketSensitivitySettings - The Bucket Tenor Sensitivity Settings
      Returns:
      The CR Margin Factor Curve Tenor Aggregate

    • aggregate

      public BucketAggregateCR aggregate​(BucketSensitivitySettingsCR bucketSensitivitySettingsCR)
      Generate the Bucket CR Sensitivity Margin Aggregate
      Parameters:
      bucketSensitivitySettingsCR - The CR Bucket Sensitivity Settings
      Returns:
      The Bucket IR Sensitivity Margin Aggregate