InterestRate21.java
package org.drip.sample.simmsettings;
import java.util.List;
import java.util.Map;
import org.drip.measure.stochastic.LabelCorrelation;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.simm.rates.IRSettingsContainer21;
import org.drip.simm.rates.IRSystemics21;
import org.drip.simm.rates.IRWeight;
/*
* -*- 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.
*/
/**
* InterestRate21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Interest
* Rate Tenor 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 InterestRate21
{
private static final void RegularVolatility()
throws Exception
{
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println ("\t|| 2.1 REGULAR VOLATILITY CURRENCY SET and RISK WEIGHTS ||");
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println (
"\t|| Currency Set => " +
IRSettingsContainer21.RegularVolatilityCurrencySet() + " ||"
);
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println
("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
IRWeight usdRiskWeight = IRSettingsContainer21.RiskWeight ("USD");
String tenorWeightSequence = "\t|| ";
for (Map.Entry<String, Double> tenorWeightEntry : usdRiskWeight.tenorDelta().entrySet())
{
tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
}
System.out.println (tenorWeightSequence + "|");
System.out.println
("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println();
}
private static final void LowVolatility()
throws Exception
{
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println ("\t|| 2.1 LOW VOLATILITY CURRENCY SET and RISK WEIGHTS ||");
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println (
"\t|| Currency Set => " +
IRSettingsContainer21.LowVolatilityCurrencySet()
);
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println
("\t||----------------------------------------------------------------------------------------------------------------------------------------------------||");
IRWeight jpyRiskWeight = IRSettingsContainer21.RiskWeight ("JPY");
String tenorWeightSequence = "\t|| ";
for (Map.Entry<String, Double> tenorWeightEntry : jpyRiskWeight.tenorDelta().entrySet())
{
tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
}
System.out.println (tenorWeightSequence + "|");
System.out.println
("\t||----------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println();
}
private static final void HighVolatility()
throws Exception
{
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println ("\t|| 2.1 HIGH VOLATILITY CURRENCY SET and RISK WEIGHTS ||");
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println (
"\t|| Currency Set => " +
IRSettingsContainer21.HighVolatilityCurrencySet()
);
System.out.println ("\t||-----------------------------------------------------------------------------------||");
System.out.println
("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");
IRWeight inrRiskWeight = IRSettingsContainer21.RiskWeight ("INR");
String tenorWeightSequence = "\t|| ";
for (Map.Entry<String, Double> tenorWeightEntry : inrRiskWeight.tenorDelta().entrySet())
{
tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
}
System.out.println (tenorWeightSequence + "|");
System.out.println
("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");
System.out.println();
}
private static final void SingleCurrencyTenorCorrelation()
throws Exception
{
LabelCorrelation singleCurveTenorCorrelation = IRSettingsContainer21.SingleCurveTenorCorrelation();
List<String> tenorList = singleCurveTenorCorrelation.labelList();
System.out.println
("\t||------------------------------------------------------------------------------------------||");
System.out.println
("\t|| INTEREST RATE CROSS TENOR CORRELATION ||");
System.out.println
("\t||------------------------------------------------------------------------------------------||");
String rowDump = "\t|| ";
for (String tenor : tenorList)
{
rowDump = rowDump + " " + tenor + " ";
}
System.out.println (rowDump + "||");
System.out.println
("\t||------------------------------------------------------------------------------------------||");
for (String innerTenor : tenorList)
{
rowDump = "\t|| " + innerTenor + " ";
for (String outerTenor : tenorList)
{
rowDump = rowDump + " " +
FormatUtil.FormatDouble (
singleCurveTenorCorrelation.entry (
innerTenor,
outerTenor
),
3, 0, 100.) + "% ";
}
System.out.println (rowDump + " ||");
}
System.out.println
("\t||------------------------------------------------------------------------------------------||");
System.out.println();
}
private static final void StaticParametersDump()
throws Exception
{
System.out.println ("\t||-------------------------------------------------------------------------------||");
System.out.println ("\t|| SYSTEMATIC FACTOR RISK WEIGHTS AND CORRELATIONS ||");
System.out.println ("\t||-------------------------------------------------------------------------------||");
System.out.println (
"\t|| Single Currency Inflation Risk Weight => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Basis Swap Spread Risk Weight => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Vega Risk Weight => " +
FormatUtil.FormatDouble (
IRSystemics21.VEGA_RISK_WEIGHT, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Cross Curve Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Curve Inflation Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Curve Volatility Inflation Volatility Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Curve Basis Swap Spread Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Single Currency Basis Swap Spread Inflation Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println (
"\t|| Cross Currency Correlation => " +
FormatUtil.FormatDouble (
IRSystemics21.CROSS_CURRENCY_CORRELATION, 2, 2, 1.
) + " ||"
);
System.out.println ("\t||-------------------------------------------------------------------------------||");
}
public final static void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
RegularVolatility();
LowVolatility();
HighVolatility();
SingleCurrencyTenorCorrelation();
StaticParametersDump();
EnvManager.TerminateEnv();
}
}