CTRiskThresholdContainer21.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>CTRiskThresholdContainer21</i> holds the ISDA SIMM 2.1 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 CTRiskThresholdContainer21
{
    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 (
                    700.,
                    250.
                )
            );

            s_DeltaVegaThresholdMap.put (
                2,
                new org.drip.simm.common.DeltaVegaThreshold (
                    3600.,
                    1800.
                )
            );

            s_DeltaVegaThresholdMap.put (
                3,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2700.,
                    320.
                )
            );

            s_DeltaVegaThresholdMap.put (
                4,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2700.,
                    320.
                )
            );

            s_DeltaVegaThresholdMap.put (
                5,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2700.,
                    320.
                )
            );

            s_DeltaVegaThresholdMap.put (
                6,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2600.,
                    2200.
                )
            );

            s_DeltaVegaThresholdMap.put (
                7,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2600.,
                    2200.
                )
            );

            s_DeltaVegaThresholdMap.put (
                8,
                new org.drip.simm.common.DeltaVegaThreshold (
                    1900.,
                    780.
                )
            );

            s_DeltaVegaThresholdMap.put (
                9,
                new org.drip.simm.common.DeltaVegaThreshold (
                    1900.,
                    780.
                )
            );

            s_DeltaVegaThresholdMap.put (
                10,
                new org.drip.simm.common.DeltaVegaThreshold (
                    52.,
                    99.
                )
            );

            s_DeltaVegaThresholdMap.put (
                11,
                new org.drip.simm.common.DeltaVegaThreshold (
                    2000.,
                    420.
                )
            );

            s_DeltaVegaThresholdMap.put (
                12,
                new org.drip.simm.common.DeltaVegaThreshold (
                    3200.,
                    650.
                )
            );

            s_DeltaVegaThresholdMap.put (
                13,
                new org.drip.simm.common.DeltaVegaThreshold (
                    100.,
                    570.
                )
            );

            s_DeltaVegaThresholdMap.put (
                14,
                new org.drip.simm.common.DeltaVegaThreshold (
                    1100.,
                    570.
                )
            );

            s_DeltaVegaThresholdMap.put (
                15,
                new org.drip.simm.common.DeltaVegaThreshold (
                    1100.,
                    570.
                )
            );

            s_DeltaVegaThresholdMap.put (
                16,
                new org.drip.simm.common.DeltaVegaThreshold (
                    52.,
                    99.
                )
            );

            s_DeltaVegaThresholdMap.put (
                17,
                new org.drip.simm.common.DeltaVegaThreshold (
                    5200.,
                    330.
                )
            );
        }
        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;
    }
}