EQSettingsContainer20.java
package org.drip.simm.equity;
/*
* -*- 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>EQSettingsContainer20</i> holds the ISDA SIMM 2.0 Equity Buckets and their Correlations. 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/equity/README.md">Equity Risk Factor Calibration Settings</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class EQSettingsContainer20
{
private static org.drip.measure.stochastic.LabelCorrelation s_CrossBucketCorrelation = null;
private static final java.util.Map<java.lang.Integer, org.drip.simm.equity.EQBucket> s_BucketMap =
new java.util.TreeMap<java.lang.Integer, org.drip.simm.equity.EQBucket>();
private static final boolean SetUpCrossBucketCorrelation()
{
java.util.List<java.lang.String> bucketList = new java.util.ArrayList<java.lang.String>();
bucketList.add ("1");
bucketList.add ("2");
bucketList.add ("3");
bucketList.add ("4");
bucketList.add ("5");
bucketList.add ("6");
bucketList.add ("7");
bucketList.add ("8");
bucketList.add ("9");
bucketList.add ("10");
bucketList.add ("11");
bucketList.add ("12");
try
{
s_CrossBucketCorrelation = new org.drip.measure.stochastic.LabelCorrelation (
bucketList,
new double[][]
{
{1.00, 0.15, 0.14, 0.16, 0.10, 0.12, 0.10, 0.11, 0.13, 0.09, 0.17, 0.17}, // #01
{0.15, 1.00, 0.16, 0.17, 0.10, 0.11, 0.10, 0.11, 0.14, 0.09, 0.17, 0.17}, // #02
{0.14, 0.16, 1.00, 0.19, 0.14, 0.17, 0.18, 0.17, 0.16, 0.14, 0.25, 0.25}, // #03
{0.16, 0.17, 0.19, 1.00, 0.15, 0.18, 0.18, 0.18, 0.18, 0.14, 0.28, 0.28}, // #04
{0.10, 0.10, 0.14, 0.15, 1.00, 0.28, 0.23, 0.27, 0.13, 0.21, 0.35, 0.35}, // #05
{0.12, 0.11, 0.17, 0.18, 0.28, 1.00, 0.30, 0.34, 0.16, 0.26, 0.45, 0.45}, // #06
{0.10, 0.10, 0.18, 0.18, 0.23, 0.30, 1.00, 0.29, 0.15, 0.24, 0.41, 0.41}, // #07
{0.11, 0.11, 0.17, 0.18, 0.27, 0.34, 0.29, 1.00, 0.16, 0.26, 0.44, 0.44}, // #08
{0.13, 0.14, 0.16, 0.18, 0.13, 0.16, 0.15, 0.13, 1.00, 0.16, 0.24, 0.24}, // #09
{0.09, 0.09, 0.14, 0.14, 0.21, 0.26, 0.24, 0.26, 0.13, 1.00, 0.33, 0.33}, // #10
{0.17, 0.17, 0.25, 0.28, 0.35, 0.45, 0.41, 0.44, 0.24, 0.33, 1.00, 0.62}, // #11
{0.17, 0.17, 0.25, 0.28, 0.35, 0.45, 0.41, 0.44, 0.24, 0.33, 0.62, 1.00}, // #12
}
);
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
/**
* Initialize the Equity Settings Container
*
* @return TRUE - Equity Settings Container successfully initialized
*/
public static final boolean Init()
{
try
{
s_BucketMap.put (
-1,
new org.drip.simm.equity.EQBucket (
-1,
org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
org.drip.simm.equity.RegionSystemics.ALL,
org.drip.simm.credit.SectorSystemics.ALL,
32.,
0.00,
0.64
)
);
s_BucketMap.put (
1,
new org.drip.simm.equity.EQBucket (
1,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
org.drip.simm.credit.SectorSystemics.CONSUMER_SERVICES,
25.,
0.14,
0.28
)
);
s_BucketMap.put (
2,
new org.drip.simm.equity.EQBucket (
2,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
org.drip.simm.credit.SectorSystemics.TELECOMMUNICATIONS_INDUSTRIALS,
32.,
0.20,
0.28
)
);
s_BucketMap.put (
3,
new org.drip.simm.equity.EQBucket (
3,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
org.drip.simm.credit.SectorSystemics.HEAVY_INDUSTRIALS,
29.,
0.19,
0.28
)
);
s_BucketMap.put (
4,
new org.drip.simm.equity.EQBucket (
4,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
org.drip.simm.credit.SectorSystemics.INVESTMENT,
27.,
0.21,
0.28
)
);
s_BucketMap.put (
5,
new org.drip.simm.equity.EQBucket (
5,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
org.drip.simm.credit.SectorSystemics.CONSUMER_SERVICES,
18.,
0.24,
0.28
)
);
s_BucketMap.put (
6,
new org.drip.simm.equity.EQBucket (
6,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
org.drip.simm.credit.SectorSystemics.TELECOMMUNICATIONS_INDUSTRIALS,
21.,
0.35,
0.28
)
);
s_BucketMap.put (
7,
new org.drip.simm.equity.EQBucket (
7,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
org.drip.simm.credit.SectorSystemics.HEAVY_INDUSTRIALS,
25.,
0.34,
0.28
)
);
s_BucketMap.put (
8,
new org.drip.simm.equity.EQBucket (
8,
org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
org.drip.simm.credit.SectorSystemics.INVESTMENT,
22.,
0.34,
0.28
)
);
s_BucketMap.put (
9,
new org.drip.simm.equity.EQBucket (
9,
org.drip.simm.equity.MarketCapitalizationSystemics.SMALL,
org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
org.drip.simm.credit.SectorSystemics.ALL,
27.,
0.20,
0.28
)
);
s_BucketMap.put (
10,
new org.drip.simm.equity.EQBucket (
10,
org.drip.simm.equity.MarketCapitalizationSystemics.SMALL,
org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
org.drip.simm.credit.SectorSystemics.ALL,
29.,
0.24,
0.28
)
);
s_BucketMap.put (
11,
new org.drip.simm.equity.EQBucket (
11,
org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
org.drip.simm.equity.RegionSystemics.ALL,
org.drip.simm.credit.SectorSystemics.INDEX_FUND_ETF,
16.,
0.62,
0.28
)
);
s_BucketMap.put (
12,
new org.drip.simm.equity.EQBucket (
12,
org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
org.drip.simm.equity.RegionSystemics.ALL,
org.drip.simm.credit.SectorSystemics.VOLATILITY_INDEX,
16.,
0.62,
0.28
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return false;
}
return SetUpCrossBucketCorrelation();
}
/**
* Retrieve the Set of Bucket Indexes available
*
* @return The Set of Bucket Indexes available
*/
public static final java.util.Set<java.lang.Integer> BucketSet()
{
return s_BucketMap.keySet();
}
/**
* Indicate if the Bucket denoted by the Number is available
*
* @param bucketNumber The Bucket Number
*
* @return TRUE - The Bucket denoted by the Number is available
*/
public static final boolean ContainsBucket (
final int bucketNumber)
{
return s_BucketMap.containsKey (bucketNumber);
}
/**
* Retrieve the Bucket denoted by the Number
*
* @param bucketNumber The Bucket Number
*
* @return The Bucket denoted by the Number
*/
public static final org.drip.simm.equity.EQBucket Bucket (
final int bucketNumber)
{
return ContainsBucket (bucketNumber) ? s_BucketMap.get (bucketNumber) : null;
}
/**
* Retrieve the Cross Bucket Correlation
*
* @return The Cross Bucket Correlation
*/
public static final org.drip.measure.stochastic.LabelCorrelation CrossBucketCorrelation()
{
return s_CrossBucketCorrelation;
}
/**
* Retrieve the Bucket Map
*
* @return The Bucket Map
*/
public static final java.util.Map<java.lang.Integer, org.drip.simm.equity.EQBucket> BucketMap()
{
return s_BucketMap;
}
/**
* Retrieve the Cross Bucket Co-variance Matrix
*
* @return The Cross Bucket Co-variance Matrix
*/
public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CrossBucketPrincipalCovariance()
{
return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
s_CrossBucketCorrelation.matrix(),
1.
);
}
}