InterestRateConcentrationThreshold21.java

package org.drip.sample.simmsettings;

import java.util.Set;

import org.drip.service.env.EnvManager;
import org.drip.simm.rates.CurrencyRiskGroup;
import org.drip.simm.rates.IRThreshold;
import org.drip.simm.rates.IRThresholdContainer21;

/*
 * -*- 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.
 */

/**
 * InterestRateConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Interest
 *  Rate Concentration Thresholds. 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 InterestRateConcentrationThreshold21
{

	private static final void DisplayBuckets()
		throws Exception
	{
		Set<Integer> bucketSet = IRThresholdContainer21.IndexSet();

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

		System.out.println ("\t||                           2.1 INTEREST RATE CONCENTRATION THRESHOLD                             ||");

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

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

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

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

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

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

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

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

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

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

		for (int bucketNumber : bucketSet)
		{
			IRThreshold interestRateThreshold = IRThresholdContainer21.Threshold (bucketNumber);

			CurrencyRiskGroup currencyRiskGroup = interestRateThreshold.currencyRiskGroup();

			String[] componentArray = currencyRiskGroup.componentArray();

			String componentSet = "";

			for (String component : componentArray)
			{
				componentSet = componentSet + component + ",";
			}

			System.out.println (
				"\t|| " + bucketNumber + " => " +
				currencyRiskGroup.volatilityType() + " | " +
				currencyRiskGroup.tradeFrequencyType() + " | " +
				interestRateThreshold.deltaVega().delta() + " | " +
				interestRateThreshold.deltaVega().vega() + " | " +
				componentSet
			);
		}

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

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

		DisplayBuckets();

		EnvManager.TerminateEnv();
	}
}