Package org.drip.simm.rates

Class IRConcentrationThresholdContainer20

java.lang.Object
org.drip.simm.rates.IRConcentrationThresholdContainer20
public class IRConcentrationThresholdContainer20
extends java.lang.Object
IRConcentrationThresholdContainer20 holds the ISDA SIMM 2.0 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds. 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:
  • Initialize the Container
  • Retrieve the Interest Rate Threshold Container Bucket Index Set
  • Retrieve the Interest Rate Threshold Container Currency Set
  • Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
  • Indicate if the Currency is available as an Interest Rate Threshold
  • Retrieve the Interest Rate Threshold denoted by the Currency
  • Retrieve the Interest Rate Threshold denoted by the Group Number
  • Retrieve the Currency Threshold Map
  • Retrieve the Interest Rate Currency Group Threshold Map

Module Computational Core Module
Library Statistical Learning Library
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package SIMM IR Risk Factor Settings
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    IRConcentrationThresholdContainer20()  

  • Method Summary

    Modifier and Type Method Description
    static boolean ContainsThreshold​(int groupNumber)
    Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
    static boolean ContainsThreshold​(java.lang.String currency)
    Indicate if the Currency is available as an Interest Rate Threshold
    static java.util.Set<java.lang.String> CurrencySet()
    Retrieve the Interest Rate Threshold Container Currency Set
    static java.util.Map<java.lang.String,​java.lang.Integer> CurrencyThresholdMap()
    Retrieve the Currency Threshold Map
    static java.util.Set<java.lang.Integer> IndexSet()
    Retrieve the Interest Rate Threshold Container Bucket Index Set
    static boolean Init()
    Initialize the Container
    static IRConcentrationThreshold Threshold​(int groupNumber)
    Retrieve the Interest Rate Threshold denoted by the Group Number
    static IRConcentrationThreshold Threshold​(java.lang.String currency)
    Retrieve the Interest Rate Threshold denoted by the Currency
    static java.util.Map<java.lang.Integer,​IRConcentrationThreshold> ThresholdMap()
    Retrieve the Interest Rate Currency Group Threshold Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IRConcentrationThresholdContainer20

      public IRConcentrationThresholdContainer20()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Container
      Returns:
      TRUE - The Container successfully Initialized

    • IndexSet

      public static final java.util.Set<java.lang.Integer> IndexSet()
      Retrieve the Interest Rate Threshold Container Bucket Index Set
      Returns:
      The Interest Rate Threshold Container Bucket Index Set

    • CurrencySet

      public static final java.util.Set<java.lang.String> CurrencySet()
      Retrieve the Interest Rate Threshold Container Currency Set
      Returns:
      The Interest Rate Threshold Container Currency Set

    • ContainsThreshold

      public static final boolean ContainsThreshold​(int groupNumber)
      Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
      Parameters:
      groupNumber - The Group Number
      Returns:
      TRUE - The Entry denoted by the Number is available as an Interest Rate Threshold

    • ContainsThreshold

      public static final boolean ContainsThreshold​(java.lang.String currency)
      Indicate if the Currency is available as an Interest Rate Threshold
      Parameters:
      currency - The Currency
      Returns:
      TRUE - The Currency is available as an Interest Rate Threshold

    • Threshold

      public static final IRConcentrationThreshold Threshold​(java.lang.String currency)
      Retrieve the Interest Rate Threshold denoted by the Currency
      Parameters:
      currency - The Currency
      Returns:
      The Interest Rate Threshold

    • Threshold

      public static final IRConcentrationThreshold Threshold​(int groupNumber)
      Retrieve the Interest Rate Threshold denoted by the Group Number
      Parameters:
      groupNumber - The Group Number
      Returns:
      The Interest Rate Threshold

    • CurrencyThresholdMap

      public static final java.util.Map<java.lang.String,​java.lang.Integer> CurrencyThresholdMap()
      Retrieve the Currency Threshold Map
      Returns:
      The Currency Threshold Map

    • ThresholdMap

      public static final java.util.Map<java.lang.Integer,​IRConcentrationThreshold> ThresholdMap()
      Retrieve the Interest Rate Currency Group Threshold Map
      Returns:
      The Interest Rate Currency Group Threshold Map