EQSettingsContainer21.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>EQSettingsContainer21</i> holds the ISDA SIMM 2.1 Equity Buckets and their Correlations. The References
  80.  * 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 EQSettingsContainer21
  121. {
  122.     private static org.drip.measure.stochastic.LabelCorrelation s_CrossBucketCorrelation = null;

  124.     private static final java.util.Map<java.lang.Integer, org.drip.simm.equity.EQBucket> s_BucketMap =
  125.         new java.util.TreeMap<java.lang.Integer, org.drip.simm.equity.EQBucket>();

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

  131.         bucketList.add ("1");

  133.         bucketList.add ("2");

  135.         bucketList.add ("3");

  137.         bucketList.add ("4");

  139.         bucketList.add ("5");

  141.         bucketList.add ("6");

  143.         bucketList.add ("7");

  145.         bucketList.add ("8");

  147.         bucketList.add ("9");

  149.         bucketList.add ("10");

  151.         bucketList.add ("11");

  153.         bucketList.add ("12");

  155.         try
  156.         {
  157.             s_CrossBucketCorrelation = new org.drip.measure.stochastic.LabelCorrelation (
  158.                 bucketList,
  159.                 new double[][]
  160.                 {
  161.                     {1.00, 0.16, 0.16, 0.17, 0.13, 0.15, 0.15, 0.15, 0.13, 0.11, 0.19, 0.19}, // #01
  162.                     {0.16, 1.00, 0.20, 0.20, 0.14, 0.16, 0.16, 0.16, 0.15, 0.13, 0.20, 0.20}, // #02
  163.                     {0.16, 0.20, 1.00, 0.22, 0.15, 0.19, 0.22, 0.19, 0.16, 0.15, 0.25, 0.25}, // #03
  164.                     {0.17, 0.20, 0.22, 1.00, 0.17, 0.21, 0.21, 0.21, 0.17, 0.15, 0.27, 0.27}, // #04
  165.                     {0.13, 0.14, 0.15, 0.17, 1.00, 0.25, 0.23, 0.26, 0.14, 0.17, 0.32, 0.32}, // #05
  166.                     {0.15, 0.16, 0.19, 0.21, 0.25, 1.00, 0.30, 0.31, 0.16, 0.21, 0.38, 0.38}, // #06
  167.                     {0.15, 0.16, 0.22, 0.21, 0.23, 0.30, 1.00, 0.29, 0.16, 0.21, 0.38, 0.38}, // #07
  168.                     {0.15, 0.16, 0.19, 0.21, 0.26, 0.31, 0.29, 1.00, 0.17, 0.21, 0.39, 0.39}, // #08
  169.                     {0.13, 0.15, 0.16, 0.17, 0.14, 0.16, 0.16, 0.17, 1.00, 0.13, 0.21, 0.21}, // #09
  170.                     {0.11, 0.13, 0.15, 0.15, 0.17, 0.21, 0.21, 0.21, 0.13, 1.00, 0.25, 0.25}, // #10
  171.                     {0.19, 0.20, 0.25, 0.27, 0.32, 0.38, 0.38, 0.39, 0.21, 0.25, 1.00, 0.51}, // #11
  172.                     {0.19, 0.20, 0.25, 0.27, 0.32, 0.38, 0.38, 0.39, 0.21, 0.25, 0.51, 1.00}, // #12
  173.                 }
  174.             );

  176.             return true;
  177.         }
  178.         catch (java.lang.Exception e)
  179.         {
  180.             e.printStackTrace();
  181.         }

  183.         return false;
  184.     }

  186.     /**
  187.      * Initialize the Equity Settings Container
  188.      * 
  189.      * @return TRUE - Equity Settings Container successfully initialized
  190.      */

  192.     public static final boolean Init()
  193.     {
  194.         try
  195.         {
  196.             s_BucketMap.put (
  197.                 -1,
  198.                 new org.drip.simm.equity.EQBucket (
  199.                     -1,
  200.                     org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
  201.                     org.drip.simm.equity.RegionSystemics.ALL,
  202.                     org.drip.simm.credit.SectorSystemics.ALL,
  203.                     34.,
  204.                     0.00,
  205.                     0.63
  206.                 )
  207.             );

  209.             s_BucketMap.put (
  210.                 1,
  211.                 new org.drip.simm.equity.EQBucket (
  212.                     1,
  213.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  214.                     org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
  215.                     org.drip.simm.credit.SectorSystemics.CONSUMER_SERVICES,
  216.                     24.,
  217.                     0.14,
  218.                     0.28
  219.                 )
  220.             );

  222.             s_BucketMap.put (
  223.                 2,
  224.                 new org.drip.simm.equity.EQBucket (
  225.                     2,
  226.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  227.                     org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
  228.                     org.drip.simm.credit.SectorSystemics.TELECOMMUNICATIONS_INDUSTRIALS,
  229.                     30.,
  230.                     0.20,
  231.                     0.28
  232.                 )
  233.             );

  235.             s_BucketMap.put (
  236.                 3,
  237.                 new org.drip.simm.equity.EQBucket (
  238.                     3,
  239.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  240.                     org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
  241.                     org.drip.simm.credit.SectorSystemics.HEAVY_INDUSTRIALS,
  242.                     31.,
  243.                     0.25,
  244.                     0.28
  245.                 )
  246.             );

  248.             s_BucketMap.put (
  249.                 4,
  250.                 new org.drip.simm.equity.EQBucket (
  251.                     4,
  252.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  253.                     org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
  254.                     org.drip.simm.credit.SectorSystemics.INVESTMENT,
  255.                     25.,
  256.                     0.23,
  257.                     0.28
  258.                 )
  259.             );

  261.             s_BucketMap.put (
  262.                 5,
  263.                 new org.drip.simm.equity.EQBucket (
  264.                     5,
  265.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  266.                     org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
  267.                     org.drip.simm.credit.SectorSystemics.CONSUMER_SERVICES,
  268.                     21.,
  269.                     0.23,
  270.                     0.28
  271.                 )
  272.             );

  274.             s_BucketMap.put (
  275.                 6,
  276.                 new org.drip.simm.equity.EQBucket (
  277.                     6,
  278.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  279.                     org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
  280.                     org.drip.simm.credit.SectorSystemics.TELECOMMUNICATIONS_INDUSTRIALS,
  281.                     22.,
  282.                     0.32,
  283.                     0.28
  284.                 )
  285.             );

  287.             s_BucketMap.put (
  288.                 7,
  289.                 new org.drip.simm.equity.EQBucket (
  290.                     7,
  291.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  292.                     org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
  293.                     org.drip.simm.credit.SectorSystemics.HEAVY_INDUSTRIALS,
  294.                     27.,
  295.                     0.35,
  296.                     0.28
  297.                 )
  298.             );

  300.             s_BucketMap.put (
  301.                 8,
  302.                 new org.drip.simm.equity.EQBucket (
  303.                     8,
  304.                     org.drip.simm.equity.MarketCapitalizationSystemics.LARGE,
  305.                     org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
  306.                     org.drip.simm.credit.SectorSystemics.INVESTMENT,
  307.                     24.,
  308.                     0.32,
  309.                     0.28
  310.                 )
  311.             );

  313.             s_BucketMap.put (
  314.                 9,
  315.                 new org.drip.simm.equity.EQBucket (
  316.                     9,
  317.                     org.drip.simm.equity.MarketCapitalizationSystemics.SMALL,
  318.                     org.drip.simm.equity.RegionSystemics.EMERGING_MARKETS,
  319.                     org.drip.simm.credit.SectorSystemics.ALL,
  320.                     33.,
  321.                     0.17,
  322.                     0.28
  323.                 )
  324.             );

  326.             s_BucketMap.put (
  327.                 10,
  328.                 new org.drip.simm.equity.EQBucket (
  329.                     10,
  330.                     org.drip.simm.equity.MarketCapitalizationSystemics.SMALL,
  331.                     org.drip.simm.equity.RegionSystemics.DEVELOPED_MARKETS,
  332.                     org.drip.simm.credit.SectorSystemics.ALL,
  333.                     34.,
  334.                     0.16,
  335.                     0.28
  336.                 )
  337.             );

  339.             s_BucketMap.put (
  340.                 11,
  341.                 new org.drip.simm.equity.EQBucket (
  342.                     11,
  343.                     org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
  344.                     org.drip.simm.equity.RegionSystemics.ALL,
  345.                     org.drip.simm.credit.SectorSystemics.INDEX_FUND_ETF,
  346.                     17.,
  347.                     0.51,
  348.                     0.28
  349.                 )
  350.             );

  352.             s_BucketMap.put (
  353.                 12,
  354.                 new org.drip.simm.equity.EQBucket (
  355.                     12,
  356.                     org.drip.simm.equity.MarketCapitalizationSystemics.ALL,
  357.                     org.drip.simm.equity.RegionSystemics.ALL,
  358.                     org.drip.simm.credit.SectorSystemics.VOLATILITY_INDEX,
  359.                     17.,
  360.                     0.51,
  361.                     0.28
  362.                 )
  363.             );
  364.         }
  365.         catch (java.lang.Exception e)
  366.         {
  367.             e.printStackTrace();

  369.             return false;
  370.         }

  372.         return SetUpCrossBucketCorrelation();
  373.     }

  375.     /**
  376.      * Retrieve the Set of Bucket Indexes available
  377.      * 
  378.      * @return The Set of Bucket Indexes available
  379.      */

  381.     public static final java.util.Set<java.lang.Integer> BucketSet()
  382.     {
  383.         return s_BucketMap.keySet();
  384.     }

  386.     /**
  387.      * Indicate if the Bucket denoted by the Number is available
  388.      * 
  389.      * @param bucketNumber The Bucket Number
  390.      * 
  391.      * @return TRUE - The Bucket denoted by the Number is available
  392.      */

  394.     public static final boolean ContainsBucket (
  395.         final int bucketNumber)
  396.     {
  397.         return s_BucketMap.containsKey (bucketNumber);
  398.     }

  400.     /**
  401.      * Retrieve the Bucket denoted by the Number
  402.      * 
  403.      * @param bucketNumber The Bucket Number
  404.      * 
  405.      * @return The Bucket denoted by the Number
  406.      */

  408.     public static final org.drip.simm.equity.EQBucket Bucket (
  409.         final int bucketNumber)
  410.     {
  411.         return ContainsBucket (bucketNumber) ? s_BucketMap.get (bucketNumber) : null;
  412.     }

  414.     /**
  415.      * Retrieve the Cross Bucket Correlation
  416.      * 
  417.      * @return The Cross Bucket Correlation
  418.      */

  420.     public static final org.drip.measure.stochastic.LabelCorrelation CrossBucketCorrelation()
  421.     {
  422.         return s_CrossBucketCorrelation;
  423.     }

  425.     /**
  426.      * Retrieve the Bucket Map
  427.      * 
  428.      * @return The Bucket Map
  429.      */

  431.     public static final java.util.Map<java.lang.Integer, org.drip.simm.equity.EQBucket> BucketMap()
  432.     {
  433.         return s_BucketMap;
  434.     }

  436.     /**
  437.      * Retrieve the Cross Bucket Co-variance Matrix
  438.      * 
  439.      * @return The Cross Bucket Co-variance Matrix
  440.      */

  442.     public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CrossBucketPrincipalCovariance()
  443.     {
  444.         return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
  445.             s_CrossBucketCorrelation.matrix(),
  446.             1.
  447.         );
  448.     }
  449. }
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