CreditQualifyingParameters21.java
package org.drip.sample.simmsettings;
import java.util.List;
import java.util.Set;
import org.drip.measure.stochastic.LabelCorrelation;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.simm.credit.CRBucket;
import org.drip.simm.credit.CRQBucketCorrelation21;
import org.drip.simm.credit.CRQSettingsContainer21;
import org.drip.simm.credit.CRQSystemics21;
/*
* -*- 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.
*/
/**
* CreditQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross
* Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations. 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 CreditQualifyingParameters21
{
private static final void RiskWeights()
{
Set<Integer> bucketIndexSet = CRQSettingsContainer21.BucketSet();
System.out.println
("\t||-------------------------------------------------------------------------------------------------------------||");
System.out.println
("\t|| 2.1 CREDIT QUALIFYING BUCKETS RISK WEIGHT ||");
System.out.println
("\t||-------------------------------------------------------------------------------------------------------------||");
System.out.println
("\t|| ||");
System.out.println
("\t|| L -> R: ||");
System.out.println
("\t|| - Bucket Number ||");
System.out.println
("\t|| - Bucket Quality ||");
System.out.println
("\t|| - Bucket Risk Weight ||");
System.out.println
("\t|| - Bucket Sector ||");
System.out.println
("\t||-------------------------------------------------------------------------------------------------------------");
for (int bucketIndex : bucketIndexSet)
{
CRBucket creditQualifyingBucket = CRQSettingsContainer21.Bucket (bucketIndex);
String sectorArrayDump = "";
String[] sectorArray = creditQualifyingBucket.sectorArray();
for (String sector : sectorArray)
{
sectorArrayDump = sectorArrayDump + sector + " ,";
}
System.out.println (
"\t||" + FormatUtil.FormatDouble (creditQualifyingBucket.number(), 2, 0, 1.) + " | " +
creditQualifyingBucket.quality() + " | " +
FormatUtil.FormatDouble (creditQualifyingBucket.riskWeight(), 3, 0, 1.) + " | {" +
sectorArrayDump + "}"
);
}
System.out.println
("\t||-------------------------------------------------------------------------------------------------------------||");
System.out.println();
}
private static final void Systemics()
{
System.out.println ("\t||----------------------------------------------------------------||");
System.out.println ("\t|| CREDIT QUALIFYING SYSTEMICS ||");
System.out.println ("\t||----------------------------------------------------------------||");
System.out.println (
"\t|| Residual Bucket Risk Weight => " +
FormatUtil.FormatDouble (
CRQSystemics21.RESIDUAL_BUCKET_RISK_WEIGHT, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Vega Risk Wight => " +
FormatUtil.FormatDouble (
CRQSystemics21.VEGA_RISK_WEIGHT, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Base Correlation Risk Weight => " +
FormatUtil.FormatDouble (
CRQSystemics21.BASE_CORRELATION_RISK_WEIGHT, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Cross Base Correlation Index Correlation => " +
FormatUtil.FormatDouble (
CRQSystemics21.BASE_CORRELATION_CORRELATION, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Non-Residual Same Issuer/Seniority Correlation => " +
FormatUtil.FormatDouble (
CRQBucketCorrelation21.SAME_ISSUER_SENIORITY_NON_RESIDUAL, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Non-Residual Different Issuer/Seniority Correlation => " +
FormatUtil.FormatDouble (
CRQBucketCorrelation21.DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Residual Same Issuer/Seniority Correlation => " +
FormatUtil.FormatDouble (
CRQBucketCorrelation21.SAME_ISSUER_SENIORITY_RESIDUAL, 3, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Residual Different Issuer/Seniority Correlation => " +
FormatUtil.FormatDouble (
CRQBucketCorrelation21.DIFFERENT_ISSUER_SENIORITY_RESIDUAL, 3, 2, 1.
) + " ||"
);
System.out.println ("\t||----------------------------------------------------------------||");
System.out.println();
}
private static final void CrossBucketCorrelation()
throws Exception
{
LabelCorrelation crossBucketCorrelation = CRQSettingsContainer21.CrossBucketCorrelation();
List<String> bucketList = crossBucketCorrelation.labelList();
System.out.println
("\t||------------------------------------------------------------------------------------------||");
System.out.println
("\t|| CROSS BUCKET TENOR CORRELATION ||");
System.out.println
("\t||------------------------------------------------------------------------------------------||");
String rowDump = "\t|| ";
for (String tenor : bucketList)
{
rowDump = rowDump + " " + tenor + " ";
}
System.out.println (rowDump + " ||");
System.out.println
("\t||------------------------------------------------------------------------------------------||");
for (String innerBucket : bucketList)
{
rowDump = "\t|| " + innerBucket + " ";
for (String outerBucket : bucketList)
{
rowDump = rowDump + " " +
FormatUtil.FormatDouble (
crossBucketCorrelation.entry (
innerBucket,
outerBucket
), 3, 0, 100.
) + "% ";
}
System.out.println (rowDump + " ||");
}
System.out.println
("\t||------------------------------------------------------------------------------------------||");
System.out.println();
}
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
RiskWeights();
Systemics();
CrossBucketCorrelation();
EnvManager.TerminateEnv();
}
}