ProductMargin20.java

package org.drip.sample.simm;

import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.TreeMap;

import org.drip.analytics.support.CaseInsensitiveHashMap;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.simm.estimator.ProductClassMargin;
import org.drip.simm.estimator.ProductClassSensitivity;
import org.drip.simm.estimator.ProductClassSettings;
import org.drip.simm.foundation.MarginEstimationSettings;
import org.drip.simm.fx.FXRiskThresholdContainer20;
import org.drip.simm.margin.RiskClassAggregate;
import org.drip.simm.margin.RiskClassAggregateCR;
import org.drip.simm.margin.RiskClassAggregateIR;
import org.drip.simm.product.BucketSensitivity;
import org.drip.simm.product.BucketSensitivityCR;
import org.drip.simm.product.BucketSensitivityIR;
import org.drip.simm.product.RiskClassSensitivity;
import org.drip.simm.product.RiskClassSensitivityCR;
import org.drip.simm.product.RiskClassSensitivityIR;
import org.drip.simm.product.RiskFactorTenorSensitivity;
import org.drip.simm.product.RiskMeasureSensitivity;
import org.drip.simm.product.RiskMeasureSensitivityCR;
import org.drip.simm.product.RiskMeasureSensitivityIR;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * ProductMargin20 illustrates the Computation of the ISDA SIMM 2.0 Product Margin for across a Group of Risk
 *  Factor Exposure Sensitivities. 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
 */

public class ProductMargin20
{

    private static final void AddEquityBucketRiskFactorSensitivity (
        final Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap,
        final int bucketIndex,
        final double notional,
        final String[] equityArray)
    {
        Map<String, Double> riskFactorSensitivityMap = new CaseInsensitiveHashMap<Double>();

        for (String equity : equityArray)
        {
            riskFactorSensitivityMap.put (
                equity,
                notional * (Math.random() - 0.5)
            );
        }

        bucketRiskFactorSensitivityMap.put (
            "" + bucketIndex,
            riskFactorSensitivityMap
        );
    }

    private static final void AddCommodityBucketRiskFactorSensitivity (
        final Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap,
        final int bucketIndex,
        final double notional,
        final String commodity)
    {
        Map<String, Double> riskFactorSensitivityMap = new CaseInsensitiveHashMap<Double>();

        riskFactorSensitivityMap.put (
            commodity,
            notional * (Math.random() - 0.5)
        );

        bucketRiskFactorSensitivityMap.put (
            "" + bucketIndex,
            riskFactorSensitivityMap
        );
    }

    private static final Map<String, Map<String, Double>> FXCategorySensitivityMap (
        final String[] currencyArray,
        final double notional)
        throws Exception
    {
        Map<String, Map<String, Double>> currencySentivityMap = new TreeMap<String, Map<String, Double>>();

        for (String currency : currencyArray)
        {
            int categoryIndex = FXRiskThresholdContainer20.CurrencyCategory (currency);

            if (currencySentivityMap.containsKey ("" + categoryIndex))
            {
                Map<String, Double> riskFactorSensitivityMap = currencySentivityMap.get ("" + categoryIndex);

                riskFactorSensitivityMap.put (
                    currency,
                    notional * (Math.random() - 0.5)
                );
            }
            else
            {
                Map<String, Double> riskFactorSensitivityMap = new CaseInsensitiveHashMap<Double>();

                riskFactorSensitivityMap.put (
                    currency,
                    notional * (Math.random() - 0.5)
                );

                currencySentivityMap.put (
                    "" + categoryIndex,
                    riskFactorSensitivityMap
                );
            }
        }

        return currencySentivityMap;
    }

    private static final RiskFactorTenorSensitivity IRCurveTenorSensitivityMap (
        final double notional)
        throws Exception
    {
        Map<String, Double> tenorSensitivityMap = new HashMap<String, Double>();

        tenorSensitivityMap.put (
            "2W",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "1M",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "3M",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "6M",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "1Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "2Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "3Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "5Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "10Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "15Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "20Y",
            notional * (Math.random() - 0.5)
        );

        tenorSensitivityMap.put (
            "30Y",
            notional * (Math.random() - 0.5)
        );

        return new RiskFactorTenorSensitivity (tenorSensitivityMap);
    }

    private static final void AddCreditTenorSensitivity (
        final Map<String, Double> tenorSensitivityMap,
        final double notional,
        final String tenor)
        throws Exception
    {
        if (tenorSensitivityMap.containsKey (tenor))
        {
            tenorSensitivityMap.put (
                tenor,
                tenorSensitivityMap.get (tenor) + notional * (Math.random() - 0.5)
            );
        }
        else
        {
            tenorSensitivityMap.put (
                tenor,
                notional * (Math.random() - 0.5)
            );
        }
    }

    private static final RiskFactorTenorSensitivity CreditCurveTenorSensitivityMap (
        final double notional)
        throws Exception
    {
        Map<String, Double> tenorSensitivityMap = new HashMap<String, Double>();

        AddCreditTenorSensitivity (
            tenorSensitivityMap,
            notional,
            "1Y"
        );

        AddCreditTenorSensitivity (
            tenorSensitivityMap,
            notional,
            "2Y"
        );

        AddCreditTenorSensitivity (
            tenorSensitivityMap,
            notional,
            "3Y"
        );

        AddCreditTenorSensitivity (
            tenorSensitivityMap,
            notional,
            "5Y"
        );

        AddCreditTenorSensitivity (
            tenorSensitivityMap,
            notional,
            "10Y"
        );

        return new RiskFactorTenorSensitivity (tenorSensitivityMap);
    }

    private static final Map<String, Map<String, Double>> EquityRiskFactorSensitivityMap (
        final double notional)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap =
            new TreeMap<String, Map<String, Double>>();

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            -1,
            notional,
            new String[]
            {
                "BOEING  ",
                "LOCKHEED",
                "RAND    ",
                "RAYTHEON",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            1,
            notional,
            new String[]
            {
                "ADP     ",
                "PSEANDG ",
                "STAPLES ",
                "U-HAUL  ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            2,
            notional,
            new String[]
            {
                "CISCO   ",
                "DEERE   ",
                "HALIBTN ",
                "VERIZON ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            3,
            notional,
            new String[]
            {
                "DUKE    ",
                "MONSANTO",
                "MMM     ",
                "VEDANTA ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            4,
            notional,
            new String[]
            {
                "AMAZON  ",
                "GOLDMAN ",
                "MORGAN  ",
                "REMAX   ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            5,
            notional,
            new String[]
            {
                "ALDI    ",
                "INFOSYS ",
                "OLLA    ",
                "RELIANCE",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            6,
            notional,
            new String[]
            {
                "GCC     ",
                "NOKIA   ",
                "SIEMENS ",
                "VODAFONE",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            7,
            notional,
            new String[]
            {
                "ADIDAS  ",
                "BAYER   ",
                "BILLERTN",
                "DE BEER ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            8,
            notional,
            new String[]
            {
                "NOKIA   ",
                "NOMURA  ",
                "QATARSOV",
                "SOTHEBY ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            9,
            notional,
            new String[]
            {
                "AUTODESK",
                "CALYPSO ",
                "NUMERIX ",
                "WEBLOGIC",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            10,
            notional,
            new String[]
            {
                "COGNIZAN",
                "TATAMOTO",
                "TOBLERON",
                "TVS     ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            11,
            notional,
            new String[]
            {
                "DJIA    ",
                "LEHMAN  ",
                "RUSSELL ",
                "SANDP   ",
            }
        );

        AddEquityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            12,
            notional,
            new String[]
            {
                "CBOE    ",
                "CITI    ",
                "RUSSELL ",
                "VIX     ",
            }
        );

        return bucketRiskFactorSensitivityMap;
    }

    private static final Map<String, Map<String, Double>> CommodityRiskFactorSensitivityMap (
        final double notional)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap =
            new HashMap<String, Map<String, Double>>();

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            1,
            notional,
            "COAL                          "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            2,
            notional,
            "CRUDE                         "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            3,
            notional,
            "LIGHT ENDS                    "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            4,
            notional,
            "MIDDLE DISTILLATES            "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            5,
            notional,
            "HEAVY DISTILLATES             "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            6,
            notional,
            "NORTH AMERICAN NATURAL GAS    "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            7,
            notional,
            "EUROPEAN NATURAL GAS          "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            8,
            notional,
            "NORTH AMERICAN POWER          "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            9,
            notional,
            "EUROPEAN POWER                "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            10,
            notional,
            "FREIGHT                       "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            11,
            notional,
            "BASE METALS                   "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            12,
            notional,
            "PRECIOUS METALS               "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            13,
            notional,
            "GRAINS                        "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            14,
            notional,
            "SOFTS                         "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            15,
            notional,
            "LIVESTOCK                     "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            16,
            notional,
            "OTHER                         "
        );

        AddCommodityBucketRiskFactorSensitivity (
            bucketRiskFactorSensitivityMap,
            17,
            notional,
            "INDEXES                       "
        );

        return bucketRiskFactorSensitivityMap;
    }

    private static final void AddFXBucketRiskFactorSensitivity (
        final Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap,
        final String bucketKey,
        final double notional,
        final String[] fxPairArray)
    {
        Map<String, Double> riskFactorSensitivityMap = new CaseInsensitiveHashMap<Double>();

        for (String fxPair : fxPairArray)
        {
            riskFactorSensitivityMap.put (
                fxPair,
                notional * (Math.random() - 0.5)
            );
        }

        bucketRiskFactorSensitivityMap.put (
            bucketKey,
            riskFactorSensitivityMap
        );
    }

    private static final Map<String, BucketSensitivity> BucketFXVegaSensitivityMap (
        final double notional)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketVegaMap = new TreeMap<String, Map<String, Double>>();

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "1__1",
            notional,
            new String[]
            {
                "USD_EUR",
                "USD_JPY",
                "USD_GBP",
                "USD_AUD",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "1__2",
            notional,
            new String[]
            {
                "USD_BRL",
                "USD_CNY",
                "USD_HKD",
                "USD_INR",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "2__1",
            notional,
            new String[]
            {
                "BRL_USD",
                "CNY_USD",
                "HKD_USD",
                "INR_USD",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "2__2",
            notional,
            new String[]
            {
                "BRL_CNY",
                "BRL_KDD",
                "BRL_INR",
                "BRL_KRW",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "1__3",
            notional,
            new String[]
            {
                "USD_IDR",
                "USD_PKR",
                "USD_SRL",
                "USD_BNT",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "2__3",
            notional,
            new String[]
            {
                "BRL_IDR",
                "BRL_PKR",
                "BRL_SRL",
                "BRL_BNT",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "3__1",
            notional,
            new String[]
            {
                "IDR_USD",
                "PKR_USD",
                "SRL_USD",
                "BNT_USD",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "3__2",
            notional,
            new String[]
            {
                "IDR_BRL",
                "PKR_BRL",
                "SRL_BRL",
                "BNT_BRL",
            }
        );

        AddFXBucketRiskFactorSensitivity (
            bucketVegaMap,
            "3__3",
            notional,
            new String[]
            {
                "IDR_PKR",
                "PKR_SRL",
                "SRL_IDR",
                "BNT_SRL",
            }
        );

        Map<String, BucketSensitivity> bucketVegaSensitivityMap = new TreeMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> bucketVegaMapEntry : bucketVegaMap.entrySet())
        {
            bucketVegaSensitivityMap.put (
                bucketVegaMapEntry.getKey(),
                new BucketSensitivity (bucketVegaMapEntry.getValue())
            );
        }

        return bucketVegaSensitivityMap;
    }

    private static final BucketSensitivityIR IRCurrencyBucketSensitivity (
        final String currency,
        final double notional)
        throws Exception
    {
        return new BucketSensitivityIR (
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional),
            IRCurveTenorSensitivityMap (notional)
        );
    }

    private static final void CreditComponentRiskFactorTenorSensitivity (
        final Map<String, RiskFactorTenorSensitivity> tenorSensitivityMap,
        final double notional,
        final String componentName)
        throws Exception
    {
        RiskFactorTenorSensitivity ustRiskFactorSensitivity = CreditCurveTenorSensitivityMap (notional);

        tenorSensitivityMap.put (
            componentName,
            ustRiskFactorSensitivity
        );
    }

    private static final RiskClassSensitivity EquitySensitivity (
        final double notional,
        final int vegaDurationDays)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketDeltaMap = EquityRiskFactorSensitivityMap (notional);

        Map<String, BucketSensitivity> bucketDeltaSensitivityMap = new HashMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> bucketDeltaMapEntry : bucketDeltaMap.entrySet())
        {
            bucketDeltaSensitivityMap.put (
                bucketDeltaMapEntry.getKey(),
                new BucketSensitivity (bucketDeltaMapEntry.getValue())
            );
        }

        Map<String, Map<String, Double>> bucketVegaMap = EquityRiskFactorSensitivityMap (notional);

        Map<String, BucketSensitivity> bucketVegaSensitivityMap = new HashMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> bucketVegaMapEntry : bucketVegaMap.entrySet())
        {
            bucketVegaSensitivityMap.put (
                bucketVegaMapEntry.getKey(),
                new BucketSensitivity (bucketVegaMapEntry.getValue())
            );
        }

        return new RiskClassSensitivity (
            new RiskMeasureSensitivity (bucketDeltaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap)
        );
    }

    private static final RiskClassSensitivity CommoditySensitivity (
        final double notional,
        final int vegaDurationDays)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketDeltaMap = CommodityRiskFactorSensitivityMap (notional);

        Map<String, BucketSensitivity> bucketDeltaSensitivityMap = new HashMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> bucketDeltaMapEntry : bucketDeltaMap.entrySet())
        {
            bucketDeltaSensitivityMap.put (
                bucketDeltaMapEntry.getKey(),
                new BucketSensitivity (bucketDeltaMapEntry.getValue())
            );
        }

        Map<String, Map<String, Double>> bucketVegaMap = CommodityRiskFactorSensitivityMap (notional);

        Map<String, BucketSensitivity> bucketVegaSensitivityMap = new HashMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> bucketVegaMapEntry : bucketVegaMap.entrySet())
        {
            bucketVegaSensitivityMap.put (
                bucketVegaMapEntry.getKey(),
                new BucketSensitivity (bucketVegaMapEntry.getValue())
            );
        }

        return new RiskClassSensitivity (
            new RiskMeasureSensitivity (bucketDeltaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap)
        );
    }

    private static final RiskClassSensitivity FXSensitivity (
        final String[] currencyArray,
        final double notional)
        throws Exception
    {
        Map<String, Map<String, Double>> bucketDeltaMap = FXCategorySensitivityMap (
            currencyArray,
            notional
        );

        Map<String, BucketSensitivity> bucketDeltaSensitivityMap = new TreeMap<String, BucketSensitivity>();

        for (Map.Entry<String, Map<String, Double>> deltaCategoryMapEntry : bucketDeltaMap.entrySet())
        {
            bucketDeltaSensitivityMap.put (
                deltaCategoryMapEntry.getKey(),
                new BucketSensitivity (deltaCategoryMapEntry.getValue())
            );
        }

        Map<String, BucketSensitivity> bucketVegaSensitivityMap = BucketFXVegaSensitivityMap (notional);

        return new RiskClassSensitivity (
            new RiskMeasureSensitivity (bucketDeltaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap),
            new RiskMeasureSensitivity (bucketVegaSensitivityMap)
        );
    }

    private static final RiskClassSensitivityIR IRSensitivity (
        final String[] currencyArray,
        final double[] notionalArray)
        throws Exception
    {
        Map<String, BucketSensitivityIR> bucketDeltaSensitivityMap = new HashMap<String, BucketSensitivityIR>();

        Map<String, BucketSensitivityIR> bucketVegaSensitivityMap = new HashMap<String, BucketSensitivityIR>();

        for (int currencyIndex = 0; currencyIndex < currencyArray.length; ++currencyIndex)
        {
            bucketDeltaSensitivityMap.put (
                currencyArray[currencyIndex],
                IRCurrencyBucketSensitivity (
                    currencyArray[currencyIndex],
                    notionalArray[currencyIndex]
                )
            );

            bucketVegaSensitivityMap.put (
                currencyArray[currencyIndex],
                IRCurrencyBucketSensitivity (
                    currencyArray[currencyIndex],
                    notionalArray[currencyIndex]
                )
            );
        }

        return new RiskClassSensitivityIR (
            new RiskMeasureSensitivityIR (bucketDeltaSensitivityMap),
            new RiskMeasureSensitivityIR (bucketVegaSensitivityMap),
            new RiskMeasureSensitivityIR (bucketVegaSensitivityMap)
        );
    }

    private static final RiskClassSensitivityCR CreditSensitivity (
        final String[][] bucketComponentGrid,
        final int[] bucketIndexArray,
        final double notional)
        throws Exception
    {
        Map<String, BucketSensitivityCR> bucketDeltaSensitivityMap =
            new HashMap<String, BucketSensitivityCR>();

        Map<String, BucketSensitivityCR> bucketVegaSensitivityMap =
            new HashMap<String, BucketSensitivityCR>();


        for (int bucketIndex : bucketIndexArray)
        {
            Map<String, RiskFactorTenorSensitivity> tenorDeltaSensitivityMap = new
                CaseInsensitiveHashMap<RiskFactorTenorSensitivity>();

            Map<String, RiskFactorTenorSensitivity> tenorVegaSensitivityMap = new
                CaseInsensitiveHashMap<RiskFactorTenorSensitivity>();

            for (String componentName : bucketComponentGrid[bucketIndex - 1])
            {
                CreditComponentRiskFactorTenorSensitivity (
                    tenorDeltaSensitivityMap,
                    notional,
                    componentName
                );

                CreditComponentRiskFactorTenorSensitivity (
                    tenorVegaSensitivityMap,
                    notional,
                    componentName
                );
            }

            bucketDeltaSensitivityMap.put (
                "" + bucketIndex,
                new BucketSensitivityCR (tenorDeltaSensitivityMap)
            );

            bucketVegaSensitivityMap.put (
                "" + bucketIndex,
                new BucketSensitivityCR (tenorVegaSensitivityMap)
            );
        }

        return new RiskClassSensitivityCR (
            new RiskMeasureSensitivityCR (bucketDeltaSensitivityMap),
            new RiskMeasureSensitivityCR (bucketVegaSensitivityMap),
            new RiskMeasureSensitivityCR (bucketVegaSensitivityMap)
        );
    }

    public static final void main (
        final String[] inputArray)
        throws Exception
    {
        EnvManager.InitEnv ("");

        double notional = 100.;
        int vegaDurationDays = 365;
        String[] fxCurrencyArray = {
            "USD",
            "EUR",
            "CNY",
            "INR",
            "JPY"
        };
        String[] irCurrencyArray = {
            "USD",
            "EUR",
            "CNY",
            "INR",
            "JPY"
        };

        double[] irNotionalArray = {
            100.,
            108.,
            119.,
             49.,
             28.
        };
        int[] crqBucketIndexArray = {
             1,
             2,
             3,
             4,
             5,
             6,
             7,
             8,
             9,
            10,
            11,
            12,
        };
        String[][] crqBucketComponentGrid = {
            {"01a", "01b", "01c", "01d", "01e", "01f"},
            {"02a", "02b", "02c", "02d", "02e", "02f"},
            {"03a", "03b", "03c", "03d", "03e", "03f"},
            {"04a", "04b", "04c", "04d", "04e", "04f"},
            {"05a", "05b", "05c", "05d", "05e", "05f"},
            {"06a", "06b", "06c", "06d", "06e", "06f"},
            {"07a", "07b", "07c", "07d", "07e", "07f"},
            {"08a", "08b", "08c", "08d", "08e", "08f"},
            {"09a", "09b", "09c", "09d", "09e", "09f"},
            {"10a", "10b", "10c", "10d", "10e", "10f"},
            {"11a", "11b", "11c", "11d", "11e", "11f"},
            {"12a", "12b", "12c", "12d", "12e", "12f"},
        };
        int[] crnqBucketIndexArray = {
             1,
             2,
        };
        String[][] crnqBucketComponentGrid = {
            {"01a", "01b", "01c", "01d", "01e", "01f"},
            {"02a", "02b", "02c", "02d", "02e", "02f"},
        };

        List<String> fxCurrencyList = new ArrayList<String>();

        for (String fxCurrency : fxCurrencyArray)
        {
            fxCurrencyList.add (fxCurrency);
        }

        MarginEstimationSettings marginEstimationSettings = MarginEstimationSettings.CornishFischer
            (MarginEstimationSettings.POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA);

        ProductClassSettings productClassSettings = ProductClassSettings.ISDA_20 (
            fxCurrencyList,
            vegaDurationDays
        );

        RiskClassSensitivity equityRiskClassSensitivity = EquitySensitivity (
            notional,
            vegaDurationDays
        );

        RiskClassAggregate equityRiskClassAggregate = equityRiskClassSensitivity.aggregate (
            productClassSettings.equityRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        RiskClassSensitivity commodityRiskClassSensitivity = CommoditySensitivity (
            notional,
            vegaDurationDays
        );

        RiskClassAggregate commodityRiskClassAggregate = commodityRiskClassSensitivity.aggregate (
            productClassSettings.commodityRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        RiskClassSensitivity fxRiskClassSensitivity = FXSensitivity (
            fxCurrencyArray,
            notional
        );

        RiskClassAggregate fxRiskClassAggregate = fxRiskClassSensitivity.aggregate (
            productClassSettings.fxRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        RiskClassSensitivityIR irRiskClassSensitivity = IRSensitivity (
            irCurrencyArray,
            irNotionalArray
        );

        RiskClassAggregateIR irRiskClassAggregate = irRiskClassSensitivity.aggregate (
            productClassSettings.irRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        RiskClassSensitivityCR crqRiskClassSensitivity = CreditSensitivity (
            crqBucketComponentGrid,
            crqBucketIndexArray,
            notional
        );

        RiskClassAggregateCR crqRiskClassAggregate = crqRiskClassSensitivity.aggregate (
            productClassSettings.creditQualifyingRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        RiskClassSensitivityCR crnqRiskClassSensitivity = CreditSensitivity (
            crnqBucketComponentGrid,
            crnqBucketIndexArray,
            notional
        );

        RiskClassAggregateCR crnqRiskClassAggregate = crnqRiskClassSensitivity.aggregate (
            productClassSettings.creditNonQualifyingRiskClassSensitivitySettings(),
            marginEstimationSettings
        );

        System.out.println ("\t|-------------------------------------||");

        System.out.println ("\t|   SIMM RISK CLASS INITIAL MARGIN    ||");

        System.out.println ("\t|-------------------------------------||");

        System.out.println ("\t|                                     ||");

        System.out.println ("\t|  L -> R:                            ||");

        System.out.println ("\t|     - RISK FACTOR        =>  MARGIN ||");

        System.out.println ("\t|-------------------------------------||");

        System.out.println ("\t|-------------------------------------||");

        System.out.println (
            "\t| PRODUCT EQUITY MARGIN    => " +
            FormatUtil.FormatDouble (equityRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| PRODUCT COMMODITY MARGIN => " +
            FormatUtil.FormatDouble (commodityRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| PRODUCT FX MARGIN        => " +
            FormatUtil.FormatDouble (fxRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| PRODUCT IR MARGIN        => " +
            FormatUtil.FormatDouble (irRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| PRODUCT CRQ MARGIN       => " +
            FormatUtil.FormatDouble (crqRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println (
            "\t| PRODUCT CRNQ MARGIN      => " +
            FormatUtil.FormatDouble (crnqRiskClassAggregate.margin(), 6, 0, 1.) + " ||"
        );

        System.out.println ("\t|-------------------------------------||");

        System.out.println();

        ProductClassSensitivity productClassSensitivity = new ProductClassSensitivity (
            equityRiskClassSensitivity,
            commodityRiskClassSensitivity,
            fxRiskClassSensitivity,
            irRiskClassSensitivity,
            crqRiskClassSensitivity,
            crnqRiskClassSensitivity
        );

        ProductClassMargin productClassMargin = productClassSensitivity.estimate (
            productClassSettings,
            marginEstimationSettings
        );

        System.out.println ("\t|-------------------------------------||");

        System.out.println ("\t|  SIMM PRODUCT CLASS INITIAL MARGIN  ||");

        System.out.println ("\t|-------------------------------------||");

        System.out.println ("\t|                                     ||");

        System.out.println ("\t|  L -> R:                            ||");

        System.out.println ("\t|     - RISK FACTOR        =>  MARGIN ||");

        System.out.println ("\t|-------------------------------------||");

        System.out.println (
            "\t| PRODUCT EQUITY MARGIN    => " +
            FormatUtil.FormatDouble (
                productClassMargin.equityRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println (
            "\t| PRODUCT COMMODITY MARGIN => " +
            FormatUtil.FormatDouble (
                productClassMargin.commodityRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println (
            "\t| PRODUCT FX MARGIN        => " +
            FormatUtil.FormatDouble (
                productClassMargin.fxRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println (
            "\t| PRODUCT IR MARGIN        => " +
            FormatUtil.FormatDouble (
                productClassMargin.irRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println (
            "\t| PRODUCT CRQ MARGIN       => " +
            FormatUtil.FormatDouble (
                productClassMargin.creditQualifyingRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println (
            "\t| PRODUCT CRNQ MARGIN      => " +
            FormatUtil.FormatDouble (
                productClassMargin.creditNonQualifyingRiskClassAggregate().margin(), 6, 0, 1.
            ) + " ||"
        );

        System.out.println ("\t|-------------------------------------||");

        System.out.println (
            "\t| PRODUCT TOTAL MARGIN     => " +
            FormatUtil.FormatDouble (
                productClassMargin.total (productClassSettings.labelCorrelation()), 6, 0, 1.
            ) + " ||"
        );

        System.out.println ("\t|-------------------------------------||");

        EnvManager.TerminateEnv();
    }
}