CRQSettingsContainer20.java

  1. package org.drip.simm.credit;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>CRQSettingsContainer20</i> holds the ISDA SIMM 2.0 Credit Qualifying Buckets. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  85.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
  89.  *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
  93.  *              Framework for Forecasting Initial Margin Requirements
  94.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  95.  *      </li>
  96.  *      <li>
  97.  *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
  98.  *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
  99.  *                  <b>eSSRN</b>
  100.  *      </li>
  101.  *      <li>
  102.  *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
  103.  *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  104.  *      </li>
  105.  *  </ul>
  106.  * 
  107.  * <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
  111.  *      <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>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/credit/README.md">Credit Qualifying/Non-Qualifying Risk Factor Settings</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class CRQSettingsContainer20
  120. {
  121.     private static org.drip.measure.stochastic.LabelCorrelation s_CrossBucketCorrelation = null;

  123.     private static final java.util.Map<java.lang.Integer, org.drip.simm.credit.CRBucket> s_BucketMap = new
  124.         java.util.TreeMap<java.lang.Integer, org.drip.simm.credit.CRBucket>();

  126.     private static final boolean SetUpCrossBucketCorrelation()
  127.     {
  128.         java.util.List<java.lang.String> bucketList = new java.util.ArrayList<java.lang.String>();

  130.         bucketList.add ("1");

  132.         bucketList.add ("2");

  134.         bucketList.add ("3");

  136.         bucketList.add ("4");

  138.         bucketList.add ("5");

  140.         bucketList.add ("6");

  142.         bucketList.add ("7");

  144.         bucketList.add ("8");

  146.         bucketList.add ("9");

  148.         bucketList.add ("10");

  150.         bucketList.add ("11");

  152.         bucketList.add ("12");

  154.         try
  155.         {
  156.             s_CrossBucketCorrelation = new org.drip.measure.stochastic.LabelCorrelation (
  157.                 bucketList,
  158.                 new double[][]
  159.                 {
  160.                     {1.00, 0.42, 0.39, 0.39, 0.40, 0.38, 0.39, 0.34, 0.37, 0.39, 0.37, 0.31},
  161.                     {0.42, 1.00, 0.44, 0.45, 0.47, 0.45, 0.33, 0.40, 0.41, 0.44, 0.43, 0.47},
  162.                     {0.39, 0.44, 1.00, 0.43, 0.45, 0.43, 0.32, 0.35, 0.41, 0.42, 0.40, 0.36},
  163.                     {0.39, 0.45, 0.43, 1.00, 0.47, 0.44, 0.30, 0.34, 0.39, 0.43, 0.39, 0.36},
  164.                     {0.40, 0.47, 0.45, 0.47, 1.00, 0.47, 0.31, 0.35, 0.40, 0.44, 0.42, 0.37},
  165.                     {0.38, 0.45, 0.43, 0.44, 0.47, 1.00, 0.30, 0.34, 0.38, 0.40, 0.39, 0.38},
  166.                     {0.39, 0.33, 0.32, 0.30, 0.31, 0.30, 1.00, 0.28, 0.31, 0.31, 0.30, 0.26},
  167.                     {0.34, 0.40, 0.35, 0.34, 0.35, 0.34, 0.28, 1.00, 0.34, 0.35, 0.33, 0.30},
  168.                     {0.37, 0.41, 0.41, 0.39, 0.40, 0.38, 0.31, 0.34, 1.00, 0.40, 0.37, 0.32},
  169.                     {0.39, 0.44, 0.42, 0.43, 0.44, 0.40, 0.31, 0.35, 0.40, 1.00, 0.40, 0.35},
  170.                     {0.37, 0.43, 0.40, 0.39, 0.42, 0.39, 0.30, 0.33, 0.37, 0.40, 1.00, 0.34},
  171.                     {0.31, 0.37, 0.36, 0.36, 0.37, 0.38, 0.26, 0.30, 0.32, 0.35, 0.34, 1.00}
  172.                 }
  173.             );

  175.             return true;
  176.         }
  177.         catch (java.lang.Exception e)
  178.         {
  179.             e.printStackTrace();
  180.         }

  182.         return false;
  183.     }

  185.     /**
  186.      * Initial the Credit Qualifying Settings
  187.      * 
  188.      * @return TRUE - The Credit Qualifying Settings successfully initialized
  189.      */

  191.     public static final boolean Init()
  192.     {
  193.         try
  194.         {
  195.             s_BucketMap.put (
  196.                 -1,
  197.                 new org.drip.simm.credit.CRBucket (
  198.                     -1,
  199.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_UNSPECIFIED,
  200.                     org.drip.simm.credit.SectorSystemics.RESIDUAL,
  201.                     238.
  202.                 )
  203.             );

  205.             s_BucketMap.put (
  206.                 1,
  207.                 new org.drip.simm.credit.CRBucket (
  208.                     1,
  209.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  210.                     org.drip.simm.credit.SectorSystemics.SOVEREIGNS,
  211.                     85.
  212.                 )
  213.             );

  215.             s_BucketMap.put (
  216.                 2,
  217.                 new org.drip.simm.credit.CRBucket (
  218.                     2,
  219.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  220.                     org.drip.simm.credit.SectorSystemics.FINANCIALS,
  221.                     85.
  222.                 )
  223.             );

  225.             s_BucketMap.put (
  226.                 3,
  227.                 new org.drip.simm.credit.CRBucket (
  228.                     3,
  229.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  230.                     org.drip.simm.credit.SectorSystemics.BASIC_MATERIALS,
  231.                     73.
  232.                 )
  233.             );

  235.             s_BucketMap.put (
  236.                 4,
  237.                 new org.drip.simm.credit.CRBucket (
  238.                     4,
  239.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  240.                     org.drip.simm.credit.SectorSystemics.CONSUMER,
  241.                     49.
  242.                 )
  243.             );

  245.             s_BucketMap.put (
  246.                 5,
  247.                 new org.drip.simm.credit.CRBucket (
  248.                     5,
  249.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  250.                     org.drip.simm.credit.SectorSystemics.TMT,
  251.                     48.
  252.                 )
  253.             );

  255.             s_BucketMap.put (
  256.                 6,
  257.                 new org.drip.simm.credit.CRBucket (
  258.                     6,
  259.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_INVESTMENT_GRADE,
  260.                     org.drip.simm.credit.SectorSystemics.LOCAL_SERVICES,
  261.                     43.
  262.                 )
  263.             );

  265.             s_BucketMap.put (
  266.                 7,
  267.                 new org.drip.simm.credit.CRBucket (
  268.                     7,
  269.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  270.                     org.drip.simm.credit.SectorSystemics.BASIC_MATERIALS,
  271.                     161.
  272.                 )
  273.             );

  275.             s_BucketMap.put (
  276.                 8,
  277.                 new org.drip.simm.credit.CRBucket (
  278.                     8,
  279.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  280.                     org.drip.simm.credit.SectorSystemics.FINANCIALS,
  281.                     238.
  282.                 )
  283.             );

  285.             s_BucketMap.put (
  286.                 9,
  287.                 new org.drip.simm.credit.CRBucket (
  288.                     9,
  289.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  290.                     org.drip.simm.credit.SectorSystemics.BASIC_MATERIALS,
  291.                     151.
  292.                 )
  293.             );

  295.             s_BucketMap.put (
  296.                 10,
  297.                 new org.drip.simm.credit.CRBucket (
  298.                     10,
  299.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  300.                     org.drip.simm.credit.SectorSystemics.CONSUMER,
  301.                     210.
  302.                 )
  303.             );

  305.             s_BucketMap.put (
  306.                 11,
  307.                 new org.drip.simm.credit.CRBucket (
  308.                     11,
  309.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  310.                     org.drip.simm.credit.SectorSystemics.TMT,
  311.                     141.
  312.                 )
  313.             );

  315.             s_BucketMap.put (
  316.                 12,
  317.                 new org.drip.simm.credit.CRBucket (
  318.                     12,
  319.                     org.drip.simm.credit.CRSystemics.CREDIT_QUALITY_HIGH_YIELD,
  320.                     org.drip.simm.credit.SectorSystemics.LOCAL_SERVICES,
  321.                     102.
  322.                 )
  323.             );
  324.         }
  325.         catch (java.lang.Exception e)
  326.         {
  327.             e.printStackTrace();

  329.             return false;
  330.         }

  332.         return SetUpCrossBucketCorrelation();
  333.     }

  335.     /**
  336.      * Retrieve the Standard ISDA Credit Tenor Set
  337.      * 
  338.      * @return The Standard ISDA Credit Tenor Set
  339.      */

  341.     public static final java.util.Set<java.lang.String> TenorSet()
  342.     {
  343.         java.util.Set<java.lang.String> tenorSet = new java.util.HashSet<java.lang.String>();

  345.         tenorSet.add ("1Y");

  347.         tenorSet.add ("2Y");

  349.         tenorSet.add ("3Y");

  351.         tenorSet.add ("5Y");

  353.         tenorSet.add ("10Y");

  355.         return tenorSet;
  356.     }

  358.     /**
  359.      * Retrieve the Set of Bucket Indexes available
  360.      * 
  361.      * @return The Set of Bucket Indexes available
  362.      */

  364.     public static final java.util.Set<java.lang.Integer> BucketSet()
  365.     {
  366.         return s_BucketMap.keySet();
  367.     }

  369.     /**
  370.      * Indicate if the Bucket denoted by the Number is available
  371.      * 
  372.      * @param bucketNumber The Bucket Number
  373.      * 
  374.      * @return TRUE - The Bucket denoted by the Number is available
  375.      */

  377.     public static final boolean ContainsBucket (
  378.         final int bucketNumber)
  379.     {
  380.         return s_BucketMap.containsKey (bucketNumber);
  381.     }

  383.     /**
  384.      * Retrieve the Bucket denoted by the Number
  385.      * 
  386.      * @param bucketNumber The Bucket Number
  387.      * 
  388.      * @return The Bucket denoted by the Number
  389.      */

  391.     public static final org.drip.simm.credit.CRBucket Bucket (
  392.         final int bucketNumber)
  393.     {
  394.         return ContainsBucket (bucketNumber) ? s_BucketMap.get (bucketNumber) : null;
  395.     }

  397.     /**
  398.      * Retrieve the Cross Bucket Correlation
  399.      * 
  400.      * @return The Cross Bucket Correlation
  401.      */

  403.     public static final org.drip.measure.stochastic.LabelCorrelation CrossBucketCorrelation()
  404.     {
  405.         return s_CrossBucketCorrelation;
  406.     }

  408.     /**
  409.      * Retrieve the Bucket Map
  410.      * 
  411.      * @return The Bucket Map
  412.      */

  414.     public static final java.util.Map<java.lang.Integer, org.drip.simm.credit.CRBucket> BucketMap()
  415.     {
  416.         return s_BucketMap;
  417.     }
  418. }
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