EQRiskThresholdContainer21.java

  1. package org.drip.simm.equity;

  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>EQRiskThresholdContainer21</i> holds the ISDA SIMM 2.1 Equity Risk Thresholds - the Equity Buckets and
  80.  * the Delta/Vega Limits defined for the Concentration Thresholds. The References are:
  81.  * 
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li>
  85.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  86.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  87.  *      </li>
  88.  *      <li>
  89.  *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
  90.  *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
  91.  *      </li>
  92.  *      <li>
  93.  *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
  94.  *              Framework for Forecasting Initial Margin Requirements
  95.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  96.  *      </li>
  97.  *      <li>
  98.  *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
  99.  *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
  100.  *                  <b>eSSRN</b>
  101.  *      </li>
  102.  *      <li>
  103.  *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
  104.  *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  105.  *      </li>
  106.  *  </ul>
  107.  * 
  108.  * <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
  112.  *      <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>
  113.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/equity/README.md">Equity Risk Factor Calibration Settings</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class EQRiskThresholdContainer21
  121. {
  122.     private static final java.util.Map<java.lang.Integer, org.drip.simm.common.DeltaVegaThreshold>
  123.         s_DeltaVegaThresholdMap = new java.util.TreeMap<java.lang.Integer,
  124.             org.drip.simm.common.DeltaVegaThreshold>();

  126.     /**
  127.      * Initialize the Equity Risk Threshold Container
  128.      * 
  129.      * @return TRUE - The Equity Risk Threshold Container successfully initialized
  130.      */

  132.     public static final boolean Init()
  133.     {
  134.         try
  135.         {
  136.             s_DeltaVegaThresholdMap.put (
  137.                 -1,
  138.                 new org.drip.simm.common.DeltaVegaThreshold (
  139.                     1.8,
  140.                     43.
  141.                 )
  142.             );

  144.             s_DeltaVegaThresholdMap.put (
  145.                 1,
  146.                 new org.drip.simm.common.DeltaVegaThreshold (
  147.                     8.4,
  148.                     220.
  149.                 )
  150.             );

  152.             s_DeltaVegaThresholdMap.put (
  153.                 2,
  154.                 new org.drip.simm.common.DeltaVegaThreshold (
  155.                     8.4,
  156.                     220.
  157.                 )
  158.             );

  160.             s_DeltaVegaThresholdMap.put (
  161.                 3,
  162.                 new org.drip.simm.common.DeltaVegaThreshold (
  163.                     8.4,
  164.                     220.
  165.                 )
  166.             );

  168.             s_DeltaVegaThresholdMap.put (
  169.                 4,
  170.                 new org.drip.simm.common.DeltaVegaThreshold (
  171.                     8.4,
  172.                     220.
  173.                 )
  174.             );

  176.             s_DeltaVegaThresholdMap.put (
  177.                 5,
  178.                 new org.drip.simm.common.DeltaVegaThreshold (
  179.                     26.,
  180.                     2300.
  181.                 )
  182.             );

  184.             s_DeltaVegaThresholdMap.put (
  185.                 6,
  186.                 new org.drip.simm.common.DeltaVegaThreshold (
  187.                     26.,
  188.                     2300.
  189.                 )
  190.             );

  192.             s_DeltaVegaThresholdMap.put (
  193.                 7,
  194.                 new org.drip.simm.common.DeltaVegaThreshold (
  195.                     26.,
  196.                     2300.
  197.                 )
  198.             );

  200.             s_DeltaVegaThresholdMap.put (
  201.                 8,
  202.                 new org.drip.simm.common.DeltaVegaThreshold (
  203.                     26.,
  204.                     2300.
  205.                 )
  206.             );

  208.             s_DeltaVegaThresholdMap.put (
  209.                 9,
  210.                 new org.drip.simm.common.DeltaVegaThreshold (
  211.                     1.8,
  212.                     43.
  213.                 )
  214.             );

  216.             s_DeltaVegaThresholdMap.put (
  217.                 10,
  218.                 new org.drip.simm.common.DeltaVegaThreshold (
  219.                     1.9,
  220.                     250.
  221.                 )
  222.             );

  224.             s_DeltaVegaThresholdMap.put (
  225.                 11,
  226.                 new org.drip.simm.common.DeltaVegaThreshold (
  227.                     540.,
  228.                     8100.
  229.                 )
  230.             );

  232.             s_DeltaVegaThresholdMap.put (
  233.                 12,
  234.                 new org.drip.simm.common.DeltaVegaThreshold (
  235.                     540.,
  236.                     8100.
  237.                 )
  238.             );
  239.         }
  240.         catch (java.lang.Exception e)
  241.         {
  242.             e.printStackTrace();

  244.             return false;
  245.         }

  247.         return true;
  248.     }

  250.     /**
  251.      * Retrieve the Bucket Number Set
  252.      * 
  253.      * @return The Bucket Number Set
  254.      */

  256.     public static final java.util.Set<java.lang.Integer> BucketSet()
  257.     {
  258.         return s_DeltaVegaThresholdMap.keySet();
  259.     }

  261.     /**
  262.      * Indicate if the Bucket is contained the Threshold Container
  263.      * 
  264.      * @param bucketNumber The Bucket Number
  265.      * 
  266.      * @return TRUE - The Bucket is contained the Threshold Container
  267.      */

  269.     public static final boolean ContainsBucket (
  270.         final int bucketNumber)
  271.     {
  272.         return s_DeltaVegaThresholdMap.containsKey (bucketNumber);
  273.     }

  275.     /**
  276.      * Retrieve the Equity Threshold specified by the Bucket Number
  277.      * 
  278.      * @param bucketNumber The Bucket Number
  279.      * 
  280.      * @return The Equity Threshold specified by the Bucket Number
  281.      */

  283.     public static final org.drip.simm.common.DeltaVegaThreshold Threshold (
  284.         final int bucketNumber)
  285.     {
  286.         return ContainsBucket (bucketNumber) ? s_DeltaVegaThresholdMap.get (bucketNumber) : null;
  287.     }

  289.     /**
  290.      * Retrieve the Delta Vega Threshold Map
  291.      * 
  292.      * @return The Delta Vega Threshold Map
  293.      */

  295.     public static final java.util.Map<java.lang.Integer, org.drip.simm.common.DeltaVegaThreshold>
  296.         DeltaVegaThresholdMap()
  297.     {
  298.         return s_DeltaVegaThresholdMap;
  299.     }
  300. }
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