CreditQualifyingClassMargin21.java
- package org.drip.sample.simmcrq;
- import java.util.HashMap;
- import java.util.Map;
- import org.drip.analytics.support.CaseInsensitiveHashMap;
- import org.drip.numerical.common.FormatUtil;
- import org.drip.service.env.EnvManager;
- import org.drip.simm.foundation.MarginEstimationSettings;
- import org.drip.simm.margin.RiskClassAggregateCR;
- import org.drip.simm.margin.RiskMeasureAggregateCR;
- import org.drip.simm.parameters.RiskClassSensitivitySettingsCR;
- import org.drip.simm.product.BucketSensitivityCR;
- import org.drip.simm.product.RiskClassSensitivityCR;
- import org.drip.simm.product.RiskFactorTenorSensitivity;
- import org.drip.simm.product.RiskMeasureSensitivityCR;
- /*
- * -*- 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.
- */
- /**
- * CreditQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's
- * Credit 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 CreditQualifyingClassMargin21
- {
- private static final void AddTenorSensitivity (
- 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 CurveTenorSensitivityMap (
- final double notional)
- throws Exception
- {
- Map<String, Double> tenorSensitivityMap = new HashMap<String, Double>();
- AddTenorSensitivity (
- tenorSensitivityMap,
- notional,
- "1Y"
- );
- AddTenorSensitivity (
- tenorSensitivityMap,
- notional,
- "2Y"
- );
- AddTenorSensitivity (
- tenorSensitivityMap,
- notional,
- "3Y"
- );
- AddTenorSensitivity (
- tenorSensitivityMap,
- notional,
- "5Y"
- );
- AddTenorSensitivity (
- tenorSensitivityMap,
- notional,
- "10Y"
- );
- return new RiskFactorTenorSensitivity (tenorSensitivityMap);
- }
- private static final void DisplayComponentTenorSensitivity (
- final String componentName,
- final RiskFactorTenorSensitivity tenorSensitivityMap)
- throws Exception
- {
- System.out.println();
- System.out.println ("\t|--------------||");
- System.out.println ("\t| " + componentName + " VEGA ||");
- System.out.println ("\t|--------------||");
- System.out.println ("\t| ||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| - Tenor ||");
- System.out.println ("\t| - Delta ||");
- System.out.println ("\t|--------------||");
- for (Map.Entry<String, Double> tenorSensitivityEntry :
- tenorSensitivityMap.sensitivityMap().entrySet())
- {
- System.out.println (
- "\t| " +
- tenorSensitivityEntry.getKey() + " => " +
- FormatUtil.FormatDouble (tenorSensitivityEntry.getValue(), 2, 2, 1.) + " ||"
- );
- }
- System.out.println ("\t|--------------||");
- System.out.println();
- }
- private static final void ComponentRiskFactorTenorSensitivity (
- final Map<String, RiskFactorTenorSensitivity> tenorSensitivityMap,
- final double notional,
- final String componentName)
- throws Exception
- {
- RiskFactorTenorSensitivity ustRiskFactorSensitivity = CurveTenorSensitivityMap (notional);
- tenorSensitivityMap.put (
- componentName,
- ustRiskFactorSensitivity
- );
- DisplayComponentTenorSensitivity (
- componentName,
- ustRiskFactorSensitivity
- );
- }
- public static final void main (
- final String[] argumentArray)
- throws Exception
- {
- EnvManager.InitEnv ("");
- double notional = 100.;
- int[] bucketIndexArray = {
- 1,
- 2,
- 3,
- 4,
- 5,
- 6,
- 7,
- 8,
- 9,
- 10,
- 11,
- 12,
- };
- String[][] bucketComponentGrid = {
- {"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"},
- };
- 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])
- {
- ComponentRiskFactorTenorSensitivity (
- tenorDeltaSensitivityMap,
- notional,
- componentName
- );
- ComponentRiskFactorTenorSensitivity (
- tenorVegaSensitivityMap,
- notional,
- componentName
- );
- }
- bucketDeltaSensitivityMap.put (
- "" + bucketIndex,
- new BucketSensitivityCR (tenorDeltaSensitivityMap)
- );
- bucketVegaSensitivityMap.put (
- "" + bucketIndex,
- new BucketSensitivityCR (tenorVegaSensitivityMap)
- );
- }
- RiskClassSensitivityCR riskClassSensitivity = new RiskClassSensitivityCR (
- new RiskMeasureSensitivityCR (bucketDeltaSensitivityMap),
- new RiskMeasureSensitivityCR (bucketVegaSensitivityMap),
- new RiskMeasureSensitivityCR (bucketVegaSensitivityMap)
- );
- MarginEstimationSettings marginEstimationSettings = MarginEstimationSettings.CornishFischer
- (MarginEstimationSettings.POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA);
- RiskClassSensitivitySettingsCR riskClassSensitivitySettings =
- RiskClassSensitivitySettingsCR.ISDA_CRQ_21();
- RiskClassAggregateCR riskClassAggregate = riskClassSensitivity.aggregate (
- riskClassSensitivitySettings,
- marginEstimationSettings
- );
- RiskMeasureAggregateCR deltaRiskMeasureAggregate = riskClassAggregate.deltaMargin();
- RiskMeasureAggregateCR vegaRiskMeasureAggregate = riskClassAggregate.vegaMargin();
- RiskMeasureAggregateCR curvatureRiskMeasureAggregate = riskClassAggregate.curvatureMargin();
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| SBA BASED DELTA MARGIN ||");
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| ||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| ||");
- System.out.println ("\t| - Core Delta SBA Margin ||");
- System.out.println ("\t| - Residual Delta SBA Margin ||");
- System.out.println ("\t| - SBA Delta Margin ||");
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| DELTA MARGIN COMPONENTS => " +
- FormatUtil.FormatDouble (Math.sqrt (deltaRiskMeasureAggregate.coreSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (Math.sqrt (deltaRiskMeasureAggregate.residualSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (deltaRiskMeasureAggregate.sba(), 5, 0, 1.) + " ||"
- );
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| SBA BASED VEGA MARGIN ||");
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| ||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| ||");
- System.out.println ("\t| - Core Vega SBA Margin ||");
- System.out.println ("\t| - Residual Vega SBA Margin ||");
- System.out.println ("\t| - SBA Vega Margin ||");
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t| VEGA MARGIN COMPONENTS => " +
- FormatUtil.FormatDouble (Math.sqrt (vegaRiskMeasureAggregate.coreSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (Math.sqrt (vegaRiskMeasureAggregate.residualSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (vegaRiskMeasureAggregate.sba(), 5, 0, 1.) + " ||"
- );
- System.out.println ("\t|-----------------------------------------------------||");
- System.out.println ("\t|---------------------------------------------------------||");
- System.out.println ("\t| SBA BASED CURVATURE MARGIN ||");
- System.out.println ("\t|---------------------------------------------------------||");
- System.out.println ("\t| ||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| ||");
- System.out.println ("\t| - Core Curvature SBA Margin ||");
- System.out.println ("\t| - Residual Curvature SBA Margin ||");
- System.out.println ("\t| - SBA Curvature Margin ||");
- System.out.println ("\t|---------------------------------------------------------||");
- System.out.println ("\t| CURVATURE MARGIN COMPONENTS => " +
- FormatUtil.FormatDouble (Math.sqrt (curvatureRiskMeasureAggregate.coreSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (Math.sqrt (curvatureRiskMeasureAggregate.residualSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (curvatureRiskMeasureAggregate.sba(), 5, 0, 1.) + " ||"
- );
- System.out.println ("\t|---------------------------------------------------------||");
- System.out.println();
- System.out.println ("\t|------------------------||");
- System.out.println (
- "\t| TOTAL MARGIN => " +
- FormatUtil.FormatDouble (riskClassAggregate.margin(), 5, 0, 1.) + " ||");
- System.out.println ("\t|------------------------||");
- EnvManager.TerminateEnv();
- }
- }