Package org.drip.simm.product

Class RiskClassSensitivity

java.lang.Object

org.drip.simm.product.RiskClassSensitivity

public class RiskClassSensitivity
extends java.lang.Object

RiskClassSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Class. 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

• 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 Sensitivities

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
RiskClassSensitivity(RiskMeasureSensitivity delta, RiskMeasureSensitivity vega, RiskMeasureSensitivity curvature)	RiskClassSensitivity Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassAggregate	aggregate(RiskClassSensitivitySettings riskClassSensitivitySettings, MarginEstimationSettings marginEstimationSettings)	Compute the Risk Class Sensitivity Aggregate
RiskMeasureSensitivity	curvature()	Retrieve the Curvature Risk Measure Sensitivity
RiskMeasureSensitivity	delta()	Retrieve the Delta Risk Measure Sensitivity
RiskMeasureSensitivity	vega()	Retrieve the Vega Risk Measure Sensitivity

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassSensitivity

public RiskClassSensitivity(RiskMeasureSensitivity delta,
RiskMeasureSensitivity vega,
RiskMeasureSensitivity curvature)
                     throws java.lang.Exception

RiskClassSensitivity Constructor

Parameters:

delta - The Delta Risk Measure Sensitivity

vega - The Vega Risk Measure Sensitivity

curvature - The Curvature Risk Measure Sensitivity

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

delta

public RiskMeasureSensitivity delta()

Retrieve the Delta Risk Measure Sensitivity

Returns:

The Delta Risk Measure Sensitivity

vega

public RiskMeasureSensitivity vega()

Retrieve the Vega Risk Measure Sensitivity

Returns:

The Vega Risk Measure Sensitivity

curvature

public RiskMeasureSensitivity curvature()

Retrieve the Curvature Risk Measure Sensitivity

Returns:

The Curvature Risk Measure Sensitivity

aggregate

public RiskClassAggregate aggregate(RiskClassSensitivitySettings riskClassSensitivitySettings,
MarginEstimationSettings marginEstimationSettings)

Compute the Risk Class Sensitivity Aggregate

Parameters:

riskClassSensitivitySettings - The Risk Class Sensitivity Settings

marginEstimationSettings - Margin Estimation Settings

Returns:

The Risk Class Sensitivity Aggregate