AdditionalInitialMargin.java
package org.drip.simm.estimator;
/*
* -*- 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>AdditionalInitialMargin</i> holds the Additional Initial Margin along with the Product Specific Add-On
* Components. 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/estimator/README.md">ISDA SIMM Core + Add-On Estimator</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AdditionalInitialMargin
{
private double _addOnFixed = java.lang.Double.NaN;
private double _creditMultiplicativeScale = java.lang.Double.NaN;
private double _equityMultiplicativeScale = java.lang.Double.NaN;
private double _ratesFXMultiplicativeScale = java.lang.Double.NaN;
private double _commodityMultiplicativeScale = java.lang.Double.NaN;
private java.util.Map<java.lang.String, java.lang.Double> _productAddOnFactorMap = null;
/**
* Construct a Standard Instance of AdditionalInitialMargin
*
* @param addOnFixed The Fixed Add-On
* @param productAddOnFactorMap The Product Add-On Factor Map
*
* @return The Standard AdditionalInitialMargin Instance
*/
public static final AdditionalInitialMargin Standard (
final double addOnFixed,
final java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap)
{
try
{
return new AdditionalInitialMargin (
org.drip.simm.common.ProductClassMultiplicativeScale.MS_RATESFX_DEFAULT,
org.drip.simm.common.ProductClassMultiplicativeScale.MS_CREDIT_QUALIFYING_DEFAULT,
org.drip.simm.common.ProductClassMultiplicativeScale.MS_EQUITY_DEFAULT,
org.drip.simm.common.ProductClassMultiplicativeScale.MS_COMMODITY_DEFAULT,
addOnFixed,
productAddOnFactorMap
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* AdditionalInitialMargin Constructor
*
* @param ratesFXMultiplicativeScale The RatesFX Multiplicative Scale
* @param creditMultiplicativeScale The Credit Multiplicative Scale
* @param equityMultiplicativeScale The Equity Multiplicative Scale
* @param commodityMultiplicativeScale The Commodity Multiplicative Scale
* @param addOnFixed The Fixed Add-On
* @param productAddOnFactorMap The Product Add-On Factor Map
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AdditionalInitialMargin (
final double ratesFXMultiplicativeScale,
final double creditMultiplicativeScale,
final double equityMultiplicativeScale,
final double commodityMultiplicativeScale,
final double addOnFixed,
final java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_ratesFXMultiplicativeScale =
ratesFXMultiplicativeScale) || 1. > _ratesFXMultiplicativeScale ||
!org.drip.numerical.common.NumberUtil.IsValid (_creditMultiplicativeScale =
creditMultiplicativeScale) || 1. > _creditMultiplicativeScale ||
!org.drip.numerical.common.NumberUtil.IsValid (_equityMultiplicativeScale =
equityMultiplicativeScale) || 1. > _equityMultiplicativeScale ||
!org.drip.numerical.common.NumberUtil.IsValid (_commodityMultiplicativeScale =
commodityMultiplicativeScale) || 1. > _commodityMultiplicativeScale ||
!org.drip.numerical.common.NumberUtil.IsValid (_addOnFixed = addOnFixed) || 0. > _addOnFixed)
{
throw new java.lang.Exception ("AdditionalInitialMargin Constructor => Invalid Inputs");
}
_productAddOnFactorMap = productAddOnFactorMap;
}
/**
* Retrieve the RatesFX Multiplicative Scale
*
* @return The RatesFX Multiplicative Scale
*/
public double ratesFXMultiplicativeScale()
{
return _ratesFXMultiplicativeScale;
}
/**
* Retrieve the Credit Multiplicative Scale
*
* @return The Credit Multiplicative Scale
*/
public double creditMultiplicativeScale()
{
return _creditMultiplicativeScale;
}
/**
* Retrieve the Equity Multiplicative Scale
*
* @return The Equity Multiplicative Scale
*/
public double equityMultiplicativeScale()
{
return _equityMultiplicativeScale;
}
/**
* Retrieve the Commodity Multiplicative Scale
*
* @return The Commodity Multiplicative Scale
*/
public double commodityMultiplicativeScale()
{
return _commodityMultiplicativeScale;
}
/**
* Retrieve the Fixed Add-On
*
* @return The Fixed Add-On
*/
public double addOnFixed()
{
return _addOnFixed;
}
/**
* Retrieve the Product Add-On Factor Map
*
* @return The Product Add-On Factor Map
*/
public java.util.Map<java.lang.String, java.lang.Double> productAddOnFactorMap()
{
return _productAddOnFactorMap;
}
/**
* Compute the Product Add On Estimate
*
* @param productNotionalMap The Product Notional Map
*
* @return The Product Add On Estimate
*/
public double productAddOn (
final java.util.Map<java.lang.String, java.lang.Double> productNotionalMap)
{
if (null == productNotionalMap || 0 == productNotionalMap.size() ||
null == _productAddOnFactorMap || 0 == _productAddOnFactorMap.size())
{
return 0.;
}
double productAddOn = 0.;
for (java.util.Map.Entry<java.lang.String, java.lang.Double> productAddOnFactorEntry :
_productAddOnFactorMap.entrySet())
{
java.lang.String productID = productAddOnFactorEntry.getKey();
if (productNotionalMap.containsKey (productID))
{
productAddOn = productAddOn + productAddOnFactorEntry.getValue() * productNotionalMap.get
(productID);
}
}
return productAddOn;
}
/**
* Compute the Total IM Add On
*
* @param productNotionalMap The Product Notional Map
*
* @return The Total IM Add On
*/
public double total (
final java.util.Map<java.lang.String, java.lang.Double> productNotionalMap)
{
return _addOnFixed + productAddOn (productNotionalMap);
}
}