Package org.drip.simm.product

Class RiskClassSensitivityIR

java.lang.Object

org.drip.simm.product.RiskClassSensitivityIR

public class RiskClassSensitivityIR
extends java.lang.Object

RiskClassSensitivityIR holds the Risk Class Bucket Sensitivities for a single IR 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
RiskClassSensitivityIR(RiskMeasureSensitivityIR delta, RiskMeasureSensitivityIR vega, RiskMeasureSensitivityIR curvature)	RiskClassSensitivityIR Constructor

Method Summary

Modifier and Type	Method	Description
RiskClassAggregateIR	aggregate(RiskClassSensitivitySettingsIR riskClassSensitivitySettingsIR, MarginEstimationSettings marginEstimationSettings)	Compute the Risk Class Sensitivity Aggregate
RiskMeasureSensitivityIR	curvature()	Retrieve the IR Curvature Tenor Sensitivity
RiskMeasureSensitivityIR	delta()	Retrieve the IR Delta Tenor Sensitivity
RiskMeasureSensitivityIR	vega()	Retrieve the IR Vega Tenor Sensitivity

Methods inherited from class java.lang.Object

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

Constructor Details

RiskClassSensitivityIR

public RiskClassSensitivityIR(RiskMeasureSensitivityIR delta,
RiskMeasureSensitivityIR vega,
RiskMeasureSensitivityIR curvature)
                       throws java.lang.Exception

RiskClassSensitivityIR Constructor

Parameters:

delta - The IR Delta Tenor Sensitivity

vega - The IR Vega Tenor Sensitivity

curvature - The IR Curvature Tenor Sensitivity

Throws:

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

Method Details

delta

public RiskMeasureSensitivityIR delta()

Retrieve the IR Delta Tenor Sensitivity

Returns:

The IR Delta Tenor Sensitivity

vega

public RiskMeasureSensitivityIR vega()

Retrieve the IR Vega Tenor Sensitivity

Returns:

The IR Vega Tenor Sensitivity

curvature

public RiskMeasureSensitivityIR curvature()

Retrieve the IR Curvature Tenor Sensitivity

Returns:

The IR Curvature Tenor Sensitivity

aggregate

public RiskClassAggregateIR aggregate(RiskClassSensitivitySettingsIR riskClassSensitivitySettingsIR,
MarginEstimationSettings marginEstimationSettings)

Compute the Risk Class Sensitivity Aggregate

Parameters:

riskClassSensitivitySettingsIR - The IR Risk Class Sensitivity Settings

marginEstimationSettings - Margin Estimation Settings

Returns:

The Risk Class Sensitivity Aggregate