Package org.drip.simm.rates

Class IRWeight

java.lang.Object
org.drip.simm.rates.IRWeight
public class IRWeight
extends java.lang.Object
IRWeight holds the ISDA SIMM Tenor Interest Rate Vertex Risk Weights for Currencies across all Volatility Types. 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 Summary

    Constructors
    Constructor Description
    IRWeight​(java.lang.String volatilityType, java.util.Map<java.lang.String,​java.lang.Double> tenorDelta, java.util.Map<java.lang.String,​java.lang.Double> tenorVega)
    IRWeight Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.String,​java.lang.Double> tenorDelta()
    Retrieve the Tenor Delta Weight Map
    java.util.Set<java.lang.String> tenors()
    Retrieve the Tenors
    java.util.Map<java.lang.String,​java.lang.Double> tenorVega()
    Retrieve the Tenor Vega Weight Map
    java.lang.String volatilityType()
    Retrieve the Volatility Type

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IRWeight

      public IRWeight​(java.lang.String volatilityType, java.util.Map<java.lang.String,​java.lang.Double> tenorDelta, java.util.Map<java.lang.String,​java.lang.Double> tenorVega) throws java.lang.Exception
      IRWeight Constructor
      Parameters:
      volatilityType - The Volatility Type
      tenorDelta - The Map of Tenor Delta Risk Weights
      tenorVega - The Map of Tenor Vega Risk Weights
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • volatilityType

      public java.lang.String volatilityType()
      Retrieve the Volatility Type
      Returns:
      The Volatility Type

    • tenorDelta

      public java.util.Map<java.lang.String,​java.lang.Double> tenorDelta()
      Retrieve the Tenor Delta Weight Map
      Returns:
      The Tenor Delta Weight Map

    • tenorVega

      public java.util.Map<java.lang.String,​java.lang.Double> tenorVega()
      Retrieve the Tenor Vega Weight Map
      Returns:
      The Tenor Vega Weight Map

    • tenors

      public java.util.Set<java.lang.String> tenors()
      Retrieve the Tenors
      Returns:
      The Tenors