AdditionalInitialMargin.java

  1. package org.drip.simm.estimator;

  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>AdditionalInitialMargin</i> holds the Additional Initial Margin along with the Product Specific Add-On
  80.  * Components. 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/estimator/README.md">ISDA SIMM Core + Add-On Estimator</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class AdditionalInitialMargin
  121. {
  122.     private double _addOnFixed = java.lang.Double.NaN;
  123.     private double _creditMultiplicativeScale = java.lang.Double.NaN;
  124.     private double _equityMultiplicativeScale = java.lang.Double.NaN;
  125.     private double _ratesFXMultiplicativeScale = java.lang.Double.NaN;
  126.     private double _commodityMultiplicativeScale = java.lang.Double.NaN;
  127.     private java.util.Map<java.lang.String, java.lang.Double> _productAddOnFactorMap = null;

  129.     /**
  130.      * Construct a Standard Instance of AdditionalInitialMargin
  131.      * 
  132.      * @param addOnFixed The Fixed Add-On
  133.      * @param productAddOnFactorMap The Product Add-On Factor Map
  134.      * 
  135.      * @return The Standard AdditionalInitialMargin Instance
  136.      */

  138.     public static final AdditionalInitialMargin Standard (
  139.         final double addOnFixed,
  140.         final java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap)
  141.     {
  142.         try
  143.         {
  144.             return new AdditionalInitialMargin (
  145.                 org.drip.simm.common.ProductClassMultiplicativeScale.MS_RATESFX_DEFAULT,
  146.                 org.drip.simm.common.ProductClassMultiplicativeScale.MS_CREDIT_QUALIFYING_DEFAULT,
  147.                 org.drip.simm.common.ProductClassMultiplicativeScale.MS_EQUITY_DEFAULT,
  148.                 org.drip.simm.common.ProductClassMultiplicativeScale.MS_COMMODITY_DEFAULT,
  149.                 addOnFixed,
  150.                 productAddOnFactorMap
  151.             );
  152.         }
  153.         catch (java.lang.Exception e)
  154.         {
  155.             e.printStackTrace();
  156.         }

  158.         return null;
  159.     }

  161.     /**
  162.      * AdditionalInitialMargin Constructor
  163.      * 
  164.      * @param ratesFXMultiplicativeScale The RatesFX Multiplicative Scale
  165.      * @param creditMultiplicativeScale The Credit Multiplicative Scale
  166.      * @param equityMultiplicativeScale The Equity Multiplicative Scale
  167.      * @param commodityMultiplicativeScale The Commodity Multiplicative Scale
  168.      * @param addOnFixed The Fixed Add-On
  169.      * @param productAddOnFactorMap The Product Add-On Factor Map
  170.      * 
  171.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  172.      */

  174.     public AdditionalInitialMargin (
  175.         final double ratesFXMultiplicativeScale,
  176.         final double creditMultiplicativeScale,
  177.         final double equityMultiplicativeScale,
  178.         final double commodityMultiplicativeScale,
  179.         final double addOnFixed,
  180.         final java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap)
  181.         throws java.lang.Exception
  182.     {
  183.         if (!org.drip.numerical.common.NumberUtil.IsValid (_ratesFXMultiplicativeScale =
  184.                 ratesFXMultiplicativeScale) || 1. > _ratesFXMultiplicativeScale ||
  185.             !org.drip.numerical.common.NumberUtil.IsValid (_creditMultiplicativeScale =
  186.                 creditMultiplicativeScale) || 1. > _creditMultiplicativeScale ||
  187.             !org.drip.numerical.common.NumberUtil.IsValid (_equityMultiplicativeScale =
  188.                 equityMultiplicativeScale) || 1. > _equityMultiplicativeScale ||
  189.             !org.drip.numerical.common.NumberUtil.IsValid (_commodityMultiplicativeScale =
  190.                 commodityMultiplicativeScale) || 1. > _commodityMultiplicativeScale ||
  191.             !org.drip.numerical.common.NumberUtil.IsValid (_addOnFixed = addOnFixed) || 0. > _addOnFixed)
  192.         {
  193.             throw new java.lang.Exception ("AdditionalInitialMargin Constructor => Invalid Inputs");
  194.         }

  196.         _productAddOnFactorMap = productAddOnFactorMap;
  197.     }

  199.     /**
  200.      * Retrieve the RatesFX Multiplicative Scale
  201.      * 
  202.      * @return The RatesFX Multiplicative Scale
  203.      */

  205.     public double ratesFXMultiplicativeScale()
  206.     {
  207.         return _ratesFXMultiplicativeScale;
  208.     }

  210.     /**
  211.      * Retrieve the Credit Multiplicative Scale
  212.      * 
  213.      * @return The Credit Multiplicative Scale
  214.      */

  216.     public double creditMultiplicativeScale()
  217.     {
  218.         return _creditMultiplicativeScale;
  219.     }

  221.     /**
  222.      * Retrieve the Equity Multiplicative Scale
  223.      * 
  224.      * @return The Equity Multiplicative Scale
  225.      */

  227.     public double equityMultiplicativeScale()
  228.     {
  229.         return _equityMultiplicativeScale;
  230.     }

  232.     /**
  233.      * Retrieve the Commodity Multiplicative Scale
  234.      * 
  235.      * @return The Commodity Multiplicative Scale
  236.      */

  238.     public double commodityMultiplicativeScale()
  239.     {
  240.         return _commodityMultiplicativeScale;
  241.     }

  243.     /**
  244.      * Retrieve the Fixed Add-On
  245.      * 
  246.      * @return The Fixed Add-On
  247.      */

  249.     public double addOnFixed()
  250.     {
  251.         return _addOnFixed;
  252.     }

  254.     /**
  255.      * Retrieve the Product Add-On Factor Map
  256.      * 
  257.      * @return The Product Add-On Factor Map
  258.      */

  260.     public java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap()
  261.     {
  262.         return _productAddOnFactorMap;
  263.     }

  265.     /**
  266.      * Compute the Product Add On Estimate
  267.      * 
  268.      * @param productNotionalMap The Product Notional Map
  269.      * 
  270.      * @return The Product Add On Estimate
  271.      */

  273.     public double productAddOn (
  274.         final java.util.Map<java.lang.String, java.lang.Double> productNotionalMap)
  275.     {
  276.         if (null == productNotionalMap || 0 == productNotionalMap.size() ||
  277.             null == _productAddOnFactorMap || 0 == _productAddOnFactorMap.size())
  278.         {
  279.             return 0.;
  280.         }

  282.         double productAddOn = 0.;

  284.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> productAddOnFactorEntry :
  285.             _productAddOnFactorMap.entrySet())
  286.         {
  287.             java.lang.String productID = productAddOnFactorEntry.getKey();

  289.             if (productNotionalMap.containsKey (productID))
  290.             {
  291.                 productAddOn = productAddOn + productAddOnFactorEntry.getValue() * productNotionalMap.get
  292.                     (productID);
  293.             }
  294.         }

  296.         return productAddOn;
  297.     }

  299.     /**
  300.      * Compute the Total IM Add On
  301.      * 
  302.      * @param productNotionalMap The Product Notional Map
  303.      * 
  304.      * @return The Total IM Add On
  305.      */

  307.     public double total (
  308.         final java.util.Map<java.lang.String, java.lang.Double> productNotionalMap)
  309.     {
  310.         return _addOnFixed + productAddOn (productNotionalMap);
  311.     }
  312. }
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