EquityDeltaMargin20.java
- package org.drip.sample.simmeq;
- 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.foundation.MarginEstimationSettings;
- import org.drip.simm.margin.BucketAggregate;
- import org.drip.simm.margin.RiskMeasureAggregate;
- import org.drip.simm.parameters.RiskMeasureSensitivitySettings;
- import org.drip.simm.product.BucketSensitivity;
- import org.drip.simm.product.RiskMeasureSensitivity;
- /*
- * -*- 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.
- */
- /**
- * EquityDeltaMargin20 illustrates the Computation of the SIMM 2.0 Delta Margin across a Group of Equity
- * Bucket 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 EquityDeltaMargin20
- {
- private static final void AddBucketRiskFactorSensitivity (
- 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 Map<String, Map<String, Double>> BucketRiskFactorSensitivityMap (
- final double notional)
- throws Exception
- {
- Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap =
- new TreeMap<String, Map<String, Double>>();
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- -1,
- notional,
- new String[]
- {
- "BOEING ",
- "LOCKHEED",
- "RAND ",
- "RAYTHEON",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 1,
- notional,
- new String[]
- {
- "ADP ",
- "PSEANDG ",
- "STAPLES ",
- "U-HAUL ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 2,
- notional,
- new String[]
- {
- "CISCO ",
- "DEERE ",
- "HALIBTN ",
- "VERIZON ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 3,
- notional,
- new String[]
- {
- "DUKE ",
- "MONSANTO",
- "MMM ",
- "VEDANTA ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 4,
- notional,
- new String[]
- {
- "AMAZON ",
- "GOLDMAN ",
- "MORGAN ",
- "REMAX ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 5,
- notional,
- new String[]
- {
- "ALDI ",
- "INFOSYS ",
- "OLLA ",
- "RELIANCE",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 6,
- notional,
- new String[]
- {
- "GCC ",
- "NOKIA ",
- "SIEMENS ",
- "VODAFONE",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 7,
- notional,
- new String[]
- {
- "ADIDAS ",
- "BAYER ",
- "BILLERTN",
- "DE BEER ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 8,
- notional,
- new String[]
- {
- "NOKIA ",
- "NOMURA ",
- "QATARSOV",
- "SOTHEBY ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 9,
- notional,
- new String[]
- {
- "AUTODESK",
- "CALYPSO ",
- "NUMERIX ",
- "WEBLOGIC",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 10,
- notional,
- new String[]
- {
- "COGNIZAN",
- "TATAMOTO",
- "TOBLERON",
- "TVS ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 11,
- notional,
- new String[]
- {
- "DJIA ",
- "LEHMAN ",
- "RUSSELL ",
- "SANDP ",
- }
- );
- AddBucketRiskFactorSensitivity (
- bucketRiskFactorSensitivityMap,
- 12,
- notional,
- new String[]
- {
- "CBOE ",
- "CITI ",
- "RUSSELL ",
- "VIX ",
- }
- );
- return bucketRiskFactorSensitivityMap;
- }
- private static final void DisplayBucketRiskFactorSensitivity (
- final Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap)
- throws Exception
- {
- System.out.println ("\t|--------------------------||");
- System.out.println ("\t| RISK FACTOR DELTA ||");
- System.out.println ("\t|--------------------------||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| - Ticker ||");
- System.out.println ("\t| - Bucket ||");
- System.out.println ("\t| - Delta ||");
- System.out.println ("\t|--------------------------||");
- for (Map.Entry<String, Map<String, Double>> bucketSensitivityMapEntry :
- bucketRiskFactorSensitivityMap.entrySet())
- {
- String bucketIndex = bucketSensitivityMapEntry.getKey();
- Map<String, Double> riskFactorSensitivityMap = bucketSensitivityMapEntry.getValue();
- for (Map.Entry<String, Double> riskFactorSensitivityMapEntry :
- riskFactorSensitivityMap.entrySet())
- {
- String currency = riskFactorSensitivityMapEntry.getKey();
- double riskFactorSensitivity = riskFactorSensitivityMapEntry.getValue();
- System.out.println (
- "\t| " +
- currency + " => " +
- FormatUtil.FormatDouble (Integer.parseInt (bucketIndex), 2, 0, 1.) + " | " +
- FormatUtil.FormatDouble (riskFactorSensitivity, 2, 2, 1.) + " ||"
- );
- }
- }
- System.out.println ("\t|--------------------------||");
- System.out.println();
- }
- public static final void main (
- final String[] inputs)
- throws Exception
- {
- EnvManager.InitEnv ("");
- double notional = 100.;
- MarginEstimationSettings marginEstimationSettings = MarginEstimationSettings.CornishFischer
- (MarginEstimationSettings.POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA);
- RiskMeasureSensitivitySettings riskMeasureSensitivitySettings =
- RiskMeasureSensitivitySettings.ISDA_EQ_DELTA_20();
- Map<String, Map<String, Double>> bucketRiskFactorSensitivityMap = BucketRiskFactorSensitivityMap
- (notional);
- DisplayBucketRiskFactorSensitivity (bucketRiskFactorSensitivityMap);
- Map<String, BucketSensitivity> bucketSensitivityMap = new TreeMap<String, BucketSensitivity>();
- System.out.println ("\t|------------------------||");
- System.out.println ("\t| BUCKET AGGREGATE ||");
- System.out.println ("\t|------------------------||");
- System.out.println ("\t| L -> R: ||");
- System.out.println ("\t| - Bucket Index ||");
- System.out.println ("\t| - Bucket Margin ||");
- System.out.println ("\t| - Bucket Delta ||");
- System.out.println ("\t|------------------------||");
- for (Map.Entry<String, Map<String, Double>> bucketSensitivityMapEntry :
- bucketRiskFactorSensitivityMap.entrySet())
- {
- String bucketIndex = bucketSensitivityMapEntry.getKey();
- BucketSensitivity bucketSensitivity = new BucketSensitivity
- (bucketSensitivityMapEntry.getValue());
- bucketSensitivityMap.put (
- "" + bucketIndex,
- bucketSensitivity
- );
- BucketAggregate bucketAggregate = bucketSensitivity.aggregate
- (riskMeasureSensitivitySettings.bucketSettingsMap().get (bucketIndex));
- System.out.println ("\t| " +
- FormatUtil.FormatDouble (Integer.parseInt (bucketIndex), 2, 0, 1.) + " => " +
- FormatUtil.FormatDouble (Math.sqrt (bucketAggregate.sensitivityMarginVariance()), 5, 0, 1.) + " | " +
- FormatUtil.FormatDouble (bucketAggregate.cumulativeSensitivityMargin(), 5, 0, 1.) + " ||"
- );
- }
- System.out.println ("\t|------------------------||");
- System.out.println();
- RiskMeasureAggregate riskMeasureAggregate = new RiskMeasureSensitivity
- (bucketSensitivityMap).linearAggregate (
- riskMeasureSensitivitySettings,
- marginEstimationSettings
- );
- 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 (riskMeasureAggregate.coreSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (Math.sqrt (riskMeasureAggregate.residualSBAVariance()), 5, 0, 1.) +
- " | " +
- FormatUtil.FormatDouble (riskMeasureAggregate.sba(), 5, 0, 1.) + " ||"
- );
- System.out.println ("\t|-----------------------------------------------------||");
- EnvManager.TerminateEnv();
- }
- }