Package org.drip.simm.product

Class RiskClassSensitivityCR

java.lang.Object

org.drip.simm.product.RiskClassSensitivityCR

public class RiskClassSensitivityCR
extends java.lang.Object

RiskClassSensitivityCR holds the Risk Class Bucket Sensitivities for a single CR 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
RiskClassSensitivityCR(RiskMeasureSensitivityCR delta, RiskMeasureSensitivityCR vega, RiskMeasureSensitivityCR curvature)	RiskClassSensitivityCR Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassAggregateCR	aggregate(RiskClassSensitivitySettingsCR riskClassSensitivitySettingsCR, MarginEstimationSettings marginEstimationSettings)	Compute the Risk Class Sensitivity Aggregate
RiskMeasureSensitivityCR	curvature()	Retrieve the CR Curvature Risk Measure Sensitivity
RiskMeasureSensitivityCR	delta()	Retrieve the CR Delta Risk Measure Sensitivity
RiskMeasureSensitivityCR	vega()	Retrieve the CR Vega Risk Measure Sensitivity

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassSensitivityCR

public RiskClassSensitivityCR(RiskMeasureSensitivityCR delta,
RiskMeasureSensitivityCR vega,
RiskMeasureSensitivityCR curvature)
                       throws java.lang.Exception

RiskClassSensitivityCR Constructor

Parameters:

delta - The CR Delta Tenor Sensitivity

vega - The CR Vega Tenor Sensitivity

curvature - The CR Curvature Tenor Sensitivity

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

delta

public RiskMeasureSensitivityCR delta()

Retrieve the CR Delta Risk Measure Sensitivity

Returns:

The CR Delta Risk Measure Sensitivity

vega

public RiskMeasureSensitivityCR vega()

Retrieve the CR Vega Risk Measure Sensitivity

Returns:

The CR Vega Risk Measure Sensitivity

curvature

public RiskMeasureSensitivityCR curvature()

Retrieve the CR Curvature Risk Measure Sensitivity

Returns:

The CR Curvature Risk Measure Sensitivity

aggregate

public RiskClassAggregateCR aggregate(RiskClassSensitivitySettingsCR riskClassSensitivitySettingsCR,
MarginEstimationSettings marginEstimationSettings)

Compute the Risk Class Sensitivity Aggregate

Parameters:

riskClassSensitivitySettingsCR - The CR Risk Class Sensitivity Settings

marginEstimationSettings - Margin Estimation Settings

Returns:

The Risk Class Sensitivity Aggregate