CrossRiskClassCorrelation21.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
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 *  - 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
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 *      distributed under the License is distributed on an "AS IS" BASIS,
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 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>CrossRiskClassCorrelation21</i> contains the SIMM 2.1 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 CrossRiskClassCorrelation21
{

    /**
     * Correlation between Interest Rate and Credit Qualifying Risk Classes
     */

    public static final double IR_CRQ = 0.25;

    /**
     * Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
     */

    public static final double IR_CRNQ = 0.15;

    /**
     * Correlation between Interest Rate and Equity Risk Classes
     */

    public static final double IR_EQ = 0.19;

    /**
     * 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 = 0.26;

    /**
     * Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
     */

    public static final double CRQ_CRNQ = 0.26;

    /**
     * Correlation between Credit Qualifying and Equity Risk Classes
     */

    public static final double CRQ_EQ = 0.65;

    /**
     * Correlation between Credit Qualifying and Commodity Risk Classes
     */

    public static final double CRQ_CT = 0.45;

    /**
     * Correlation between Credit Qualifying and FX Risk Classes
     */

    public static final double CRQ_FX = 0.24;

    /**
     * Correlation between Credit Non Qualifying and Equity Risk Classes
     */

    public static final double CRNQ_EQ = 0.17;

    /**
     * Correlation between Credit Non Qualifying and Commodity Risk Classes
     */

    public static final double CRNQ_CT = 0.22;

    /**
     * Correlation between Credit Non Qualifying and FX Risk Classes
     */

    public static final double CRNQ_FX = 0.11;

    /**
     * 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 = 0.23;

    /**
     * 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;
    }
}