CTRiskThresholdContainer20.java
package org.drip.simm.commodity;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* 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.
*/
/**
* <i>CTRiskThresholdContainer20</i> holds the ISDA SIMM 2.0 Commodity Risk Thresholds - the Commodity
* Buckets and the Delta/Vega Limits defined for the Concentration Thresholds. The References are:
*
* <br><br>
* <ul>
* <li>
* 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 <b>eSSRN</b>
* </li>
* <li>
* Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
* Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
* </li>
* <li>
* 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 <b>eSSRN</b>
* </li>
* <li>
* 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
* <b>eSSRN</b>
* </li>
* <li>
* International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
* https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/README.md">Initial Margin Analytics based on ISDA SIMM and its Variants</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/commodity/README.md">Commodity Risk Factor Calibration Settings</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CTRiskThresholdContainer20
{
private static final java.util.Map<java.lang.Integer, org.drip.simm.common.DeltaVegaThreshold>
s_DeltaVegaThresholdMap = new java.util.TreeMap<java.lang.Integer,
org.drip.simm.common.DeltaVegaThreshold>();
/**
* Initialize the Commodity Risk Threshold Container
*
* @return TRUE - The Commodity Risk Threshold Container successfully initialized
*/
public static final boolean Init()
{
try
{
s_DeltaVegaThresholdMap.put (
1,
new org.drip.simm.common.DeltaVegaThreshold (
1400.,
250.
)
);
s_DeltaVegaThresholdMap.put (
2,
new org.drip.simm.common.DeltaVegaThreshold (
20000.,
2000.
)
);
s_DeltaVegaThresholdMap.put (
3,
new org.drip.simm.common.DeltaVegaThreshold (
3500.,
510.
)
);
s_DeltaVegaThresholdMap.put (
4,
new org.drip.simm.common.DeltaVegaThreshold (
3500.,
510.
)
);
s_DeltaVegaThresholdMap.put (
5,
new org.drip.simm.common.DeltaVegaThreshold (
3500.,
510.
)
);
s_DeltaVegaThresholdMap.put (
6,
new org.drip.simm.common.DeltaVegaThreshold (
6400.,
1900.
)
);
s_DeltaVegaThresholdMap.put (
7,
new org.drip.simm.common.DeltaVegaThreshold (
6400.,
1900.
)
);
s_DeltaVegaThresholdMap.put (
8,
new org.drip.simm.common.DeltaVegaThreshold (
2500.,
870.
)
);
s_DeltaVegaThresholdMap.put (
9,
new org.drip.simm.common.DeltaVegaThreshold (
2500.,
870.
)
);
s_DeltaVegaThresholdMap.put (
10,
new org.drip.simm.common.DeltaVegaThreshold (
300.,
220.
)
);
s_DeltaVegaThresholdMap.put (
11,
new org.drip.simm.common.DeltaVegaThreshold (
2900.,
450.
)
);
s_DeltaVegaThresholdMap.put (
12,
new org.drip.simm.common.DeltaVegaThreshold (
7600.,
740.
)
);
s_DeltaVegaThresholdMap.put (
13,
new org.drip.simm.common.DeltaVegaThreshold (
3900.,
370.
)
);
s_DeltaVegaThresholdMap.put (
14,
new org.drip.simm.common.DeltaVegaThreshold (
3900.,
370.
)
);
s_DeltaVegaThresholdMap.put (
15,
new org.drip.simm.common.DeltaVegaThreshold (
3900.,
370.
)
);
s_DeltaVegaThresholdMap.put (
16,
new org.drip.simm.common.DeltaVegaThreshold (
300.,
220.
)
);
s_DeltaVegaThresholdMap.put (
17,
new org.drip.simm.common.DeltaVegaThreshold (
12000.,
430.
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the Commodity Risk Threshold Bucket Set
*
* @return The Commodity Risk Threshold Bucket Set
*/
public static final java.util.Set<java.lang.Integer> BucketSet()
{
return s_DeltaVegaThresholdMap.keySet();
}
/**
* Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
*
* @param bucketNumber The Bucket Number
*
* @return TRUE - The Bucket Number is available in the Commodity Risk Threshold Container
*/
public static final boolean ContainsBucket (
final int bucketNumber)
{
return s_DeltaVegaThresholdMap.containsKey (bucketNumber);
}
/**
* Retrieve the Threshold indicated by the Bucket Number
*
* @param bucketNumber The Bucket Number
*
* @return The Threshold indicated by the Bucket Number
*/
public static final org.drip.simm.common.DeltaVegaThreshold Threshold (
final int bucketNumber)
{
return ContainsBucket (bucketNumber) ? s_DeltaVegaThresholdMap.get (bucketNumber) : null;
}
/**
* Retrieve the Delta Vega Threshold Map
*
* @return The Delta Vega Threshold Map
*/
public static final java.util.Map<java.lang.Integer, org.drip.simm.common.DeltaVegaThreshold>
DeltaVegaThresholdMap()
{
return s_DeltaVegaThresholdMap;
}
}