CrossRiskClassCorrelation20.java
package org.drip.simm.common;
/*
* -*- 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>CrossRiskClassCorrelation20</i> contains the SIMM 2.0 Correlation between the Different Risk Classes.
* 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/common/README.md">Common Cross Risk Factor Utilities</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CrossRiskClassCorrelation20
{
/**
* Correlation between Interest Rate and Credit Qualifying Risk Classes
*/
public static final double IR_CRQ = 0.28;
/**
* Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
*/
public static final double IR_CRNQ = 0.18;
/**
* Correlation between Interest Rate and Equity Risk Classes
*/
public static final double IR_EQ = 0.18;
/**
* Correlation between Interest Rate and Commodity Risk Classes
*/
public static final double IR_CT = 0.30;
/**
* Correlation between Interest Rate and FX Risk Classes
*/
public static final double IR_FX = 0.22;
/**
* Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
*/
public static final double CRQ_CRNQ = 0.30;
/**
* Correlation between Credit Qualifying and Equity Risk Classes
*/
public static final double CRQ_EQ = 0.66;
/**
* Correlation between Credit Qualifying and Commodity Risk Classes
*/
public static final double CRQ_CT = 0.46;
/**
* Correlation between Credit Qualifying and FX Risk Classes
*/
public static final double CRQ_FX = 0.27;
/**
* Correlation between Credit Non Qualifying and Equity Risk Classes
*/
public static final double CRNQ_EQ = 0.23;
/**
* Correlation between Credit Non Qualifying and Commodity Risk Classes
*/
public static final double CRNQ_CT = 0.25;
/**
* Correlation between Credit Non Qualifying and FX Risk Classes
*/
public static final double CRNQ_FX = 0.18;
/**
* Correlation between Equity and Commodity Risk Classes
*/
public static final double EQ_CT = 0.39;
/**
* Correlation between Equity and FX Risk Classes
*/
public static final double EQ_FX = 0.24;
/**
* Correlation between Commodity and FX Risk Classes
*/
public static final double CT_FX = 0.32;
/**
* Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
*
* @return Correlation between Interest Rate and Credit Qualifying Risk Classes
*/
public static final double IR_CRQ()
{
return IR_CRQ;
}
/**
* Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
*
* @return Correlation between Interest Rate and Credit Qualifying Risk Classes
*/
public static final double CRQ_IR()
{
return IR_CRQ;
}
/**
* Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
*
* @return Correlation between Interest Rate and Credit Non Qualifying Risk Classes
*/
public static final double IR_CRNQ()
{
return IR_CRNQ;
}
/**
* Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
*
* @return Correlation between Interest Rate and Credit Non Qualifying Risk Classes
*/
public static final double CRNQ_IR()
{
return IR_CRNQ;
}
/**
* Retrieve the Correlation between Interest Rate and Equity Risk Classes
*
* @return Correlation between Interest Rate and Equity Risk Classes
*/
public static final double IR_EQ()
{
return IR_EQ;
}
/**
* Retrieve the Correlation between Interest Rate and Equity Risk Classes
*
* @return Correlation between Interest Rate and Equity Risk Classes
*/
public static final double EQ_IR()
{
return IR_EQ;
}
/**
* Retrieve the Correlation between Interest Rate and Commodity Risk Classes
*
* @return Correlation between Interest Rate and Commodity Risk Classes
*/
public static final double IR_CT()
{
return IR_CT;
}
/**
* Retrieve the Correlation between Interest Rate and Commodity Risk Classes
*
* @return Correlation between Interest Rate and Commodity Risk Classes
*/
public static final double CT_IR()
{
return IR_CT;
}
/**
* Retrieve the Correlation between Interest Rate and FX Risk Classes
*
* @return Correlation between Interest Rate and FX Risk Classes
*/
public static final double IR_FX()
{
return IR_FX;
}
/**
* Retrieve the Correlation between Interest Rate and FX Risk Classes
*
* @return Correlation between Interest Rate and FX Risk Classes
*/
public static final double FX_IR()
{
return IR_FX;
}
/**
* Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
*
* @return Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
*/
public static final double CRQ_CRNQ()
{
return CRQ_CRNQ;
}
/**
* Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
*
* @return Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
*/
public static final double CNRQ_CNQ()
{
return CRQ_CRNQ;
}
/**
* Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
*
* @return Correlation between Credit Qualifying and Equity Risk Classes
*/
public static final double CRQ_EQ()
{
return CRQ_EQ;
}
/**
* Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
*
* @return Correlation between Credit Qualifying and Equity Risk Classes
*/
public static final double EQ_CRQ()
{
return CRQ_EQ;
}
/**
* Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
*
* @return Correlation between Credit Qualifying and Commodity Risk Classes
*/
public static final double CRQ_CT()
{
return CRQ_CT;
}
/**
* Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
*
* @return Correlation between Credit Qualifying and Commodity Risk Classes
*/
public static final double CT_CRQ()
{
return CRQ_CT;
}
/**
* Retrieve the Correlation between Credit Qualifying and FX Risk Classes
*
* @return Correlation between Credit Qualifying and FX Risk Classes
*/
public static final double CRQ_FX()
{
return CRQ_FX;
}
/**
* Retrieve the Correlation between Credit Qualifying and FX Risk Classes
*
* @return Correlation between Credit Qualifying and FX Risk Classes
*/
public static final double FX_CRQ()
{
return CRQ_FX;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
*
* @return Correlation between Credit Non Qualifying and Equity Risk Classes
*/
public static final double CNRQ_EQ()
{
return CRNQ_EQ;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
*
* @return Correlation between Credit Non Qualifying and Equity Risk Classes
*/
public static final double EQ_CNRQ()
{
return CRNQ_EQ;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
*
* @return Correlation between Credit Non Qualifying and Commodity Risk Classes
*/
public static final double CNRQ_CT()
{
return CRNQ_CT;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
*
* @return Correlation between Credit Non Qualifying and Commodity Risk Classes
*/
public static final double CT_CNRQ()
{
return CRNQ_CT;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
*
* @return Correlation between Credit Non Qualifying and FX Risk Classes
*/
public static final double CreditNonQualifying_FX()
{
return CRNQ_FX;
}
/**
* Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
*
* @return Correlation between Credit Non Qualifying and FX Risk Classes
*/
public static final double FX_CNRQ()
{
return CRNQ_FX;
}
/**
* Retrieve the Correlation between Equity and Commodity Risk Classes
*
* @return Correlation between Equity and Commodity Risk Classes
*/
public static final double EQ_CT()
{
return EQ_CT;
}
/**
* Retrieve the Correlation between Equity and Commodity Risk Classes
*
* @return Correlation between Equity and Commodity Risk Classes
*/
public static final double CT_EQ()
{
return EQ_CT;
}
/**
* Retrieve the Correlation between Equity and FX Risk Classes
*
* @return Correlation between Equity and FX Risk Classes
*/
public static final double EQ_FX()
{
return EQ_FX;
}
/**
* Retrieve the Correlation between Equity and FX Risk Classes
*
* @return Correlation between Equity and FX Risk Classes
*/
public static final double FX_EQ()
{
return EQ_FX;
}
/**
* Retrieve the Correlation between Commodity and FX Risk Classes
*
* @return Correlation between Commodity and FX Risk Classes
*/
public static final double CT_FX()
{
return CT_FX;
}
/**
* Retrieve the Correlation between Commodity and FX Risk Classes
*
* @return Correlation between Commodity and FX Risk Classes
*/
public static final double FX_CT()
{
return CT_FX;
}
/**
* Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
*
* @return The Risk Class Correlation Matrix
*/
public static final org.drip.measure.stochastic.LabelCorrelation Matrix()
{
double[][] riskClassCorrelationMatrix = new double[6][6];
for (int i = 0 ; i < 6; ++i)
{
riskClassCorrelationMatrix[i][i] = 1.;
}
riskClassCorrelationMatrix[0][1] = IR_CRQ;
riskClassCorrelationMatrix[1][0] = IR_CRQ;
riskClassCorrelationMatrix[0][2] = IR_CRNQ;
riskClassCorrelationMatrix[2][0] = IR_CRNQ;
riskClassCorrelationMatrix[0][3] = IR_EQ;
riskClassCorrelationMatrix[3][0] = IR_EQ;
riskClassCorrelationMatrix[0][4] = IR_CT;
riskClassCorrelationMatrix[4][0] = IR_CT;
riskClassCorrelationMatrix[0][5] = IR_FX;
riskClassCorrelationMatrix[5][0] = IR_FX;
riskClassCorrelationMatrix[1][2] = CRQ_CRNQ;
riskClassCorrelationMatrix[2][1] = CRQ_CRNQ;
riskClassCorrelationMatrix[1][3] = CRQ_EQ;
riskClassCorrelationMatrix[3][1] = CRQ_EQ;
riskClassCorrelationMatrix[1][4] = CRQ_CT;
riskClassCorrelationMatrix[4][1] = CRQ_CT;
riskClassCorrelationMatrix[1][5] = CRQ_FX;
riskClassCorrelationMatrix[5][1] = CRQ_FX;
riskClassCorrelationMatrix[2][3] = CRNQ_EQ;
riskClassCorrelationMatrix[3][2] = CRNQ_EQ;
riskClassCorrelationMatrix[2][4] = CRNQ_CT;
riskClassCorrelationMatrix[4][2] = CRNQ_CT;
riskClassCorrelationMatrix[2][5] = CRNQ_FX;
riskClassCorrelationMatrix[5][2] = CRNQ_FX;
riskClassCorrelationMatrix[3][4] = EQ_CT;
riskClassCorrelationMatrix[4][3] = EQ_CT;
riskClassCorrelationMatrix[3][5] = EQ_FX;
riskClassCorrelationMatrix[5][3] = EQ_FX;
riskClassCorrelationMatrix[4][5] = CT_FX;
riskClassCorrelationMatrix[5][4] = CT_FX;
java.util.List<java.lang.String> chargramList = new java.util.ArrayList<java.lang.String>();
chargramList.add (org.drip.simm.common.Chargram.IR);
chargramList.add (org.drip.simm.common.Chargram.CRQ);
chargramList.add (org.drip.simm.common.Chargram.CRNQ);
chargramList.add (org.drip.simm.common.Chargram.EQ);
chargramList.add (org.drip.simm.common.Chargram.CT);
chargramList.add (org.drip.simm.common.Chargram.FX);
try
{
return new org.drip.measure.stochastic.LabelCorrelation (
chargramList,
riskClassCorrelationMatrix
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}