ProductClassSensitivity.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>ProductClassSensitivity</i> holds the multiple Risk Class Sensitivities for a single Product Class. 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 ProductClassSensitivity
{
private org.drip.simm.product.RiskClassSensitivity _fxRiskClassSensitivity = null;
private org.drip.simm.product.RiskClassSensitivityIR _irRiskClassSensitivity = null;
private org.drip.simm.product.RiskClassSensitivity _equityRiskClassSensitivity = null;
private org.drip.simm.product.RiskClassSensitivity _commodityRiskClassSensitivity = null;
private org.drip.simm.product.RiskClassSensitivityCR _creditQualifyingRiskClassSensitivity = null;
private org.drip.simm.product.RiskClassSensitivityCR _creditNonQualifyingRiskClassSensitivity = null;
/**
* ProductClassSensitivity Constructor
*
* @param equityRiskClassSensitivity Equity Risk Class Sensitivity
* @param commodityRiskClassSensitivity Commodity Risk Class Sensitivity
* @param fxRiskClassSensitivity FX Risk Class Sensitivity
* @param irRiskClassSensitivity IR Risk Class Sensitivity
* @param creditQualifyingRiskClassSensitivity Credit Qualifying Risk Class Sensitivity
* @param creditNonQualifyingRiskClassSensitivity Credit Non-Qualifying Risk Class Sensitivity
*
* @throws java.lang.Exception Thrownm if the Inputs are Invalid
*/
public ProductClassSensitivity (
final org.drip.simm.product.RiskClassSensitivity equityRiskClassSensitivity,
final org.drip.simm.product.RiskClassSensitivity commodityRiskClassSensitivity,
final org.drip.simm.product.RiskClassSensitivity fxRiskClassSensitivity,
final org.drip.simm.product.RiskClassSensitivityIR irRiskClassSensitivity,
final org.drip.simm.product.RiskClassSensitivityCR creditQualifyingRiskClassSensitivity,
final org.drip.simm.product.RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity)
throws java.lang.Exception
{
_fxRiskClassSensitivity = fxRiskClassSensitivity;
_irRiskClassSensitivity = irRiskClassSensitivity;
_equityRiskClassSensitivity = equityRiskClassSensitivity;
_commodityRiskClassSensitivity = commodityRiskClassSensitivity;
_creditQualifyingRiskClassSensitivity = creditQualifyingRiskClassSensitivity;
_creditNonQualifyingRiskClassSensitivity = creditNonQualifyingRiskClassSensitivity;
if (null == _equityRiskClassSensitivity &&
null == _commodityRiskClassSensitivity &&
null == _fxRiskClassSensitivity &&
null == _irRiskClassSensitivity &&
null == _creditQualifyingRiskClassSensitivity &&
null == _creditNonQualifyingRiskClassSensitivity)
{
throw new java.lang.Exception ("ProductClassSensitivity Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Equity Risk Class Sensitivity
*
* @return The Equity Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivity equityRiskClassSensitivity()
{
return _equityRiskClassSensitivity;
}
/**
* Retrieve the Commodity Risk Class Sensitivity
*
* @return The Commodity Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivity commodityRiskClassSensitivity()
{
return _commodityRiskClassSensitivity;
}
/**
* Retrieve the FX Risk Class Sensitivity
*
* @return The FX Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivity fxRiskClassSensitivity()
{
return _fxRiskClassSensitivity;
}
/**
* Retrieve the IR Risk Class Sensitivity
*
* @return The IR Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivityIR irRiskClassSensitivity()
{
return _irRiskClassSensitivity;
}
/**
* Retrieve the Credit Qualifying Risk Class Sensitivity
*
* @return The Credit Qualifying Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivityCR creditQualifyingRiskClassSensitivity()
{
return _creditQualifyingRiskClassSensitivity;
}
/**
* Retrieve the Credit Non-Qualifying Risk Class Sensitivity
*
* @return The Credit Non-Qualifying Risk Class Sensitivity
*/
public org.drip.simm.product.RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity()
{
return _creditNonQualifyingRiskClassSensitivity;
}
/**
* Generate the Margin for the Product Class
*
* @param productClassSettings The Product Class Settings
* @param marginEstimationSettings Margin Estimation Settings
*
* @return The Margin for the Product Class
*/
public org.drip.simm.estimator.ProductClassMargin estimate (
final org.drip.simm.estimator.ProductClassSettings productClassSettings,
final org.drip.simm.foundation.MarginEstimationSettings marginEstimationSettings)
{
if (null == productClassSettings)
{
return null;
}
try
{
return new ProductClassMargin (
null == _irRiskClassSensitivity ? null : _irRiskClassSensitivity.aggregate (
productClassSettings.irRiskClassSensitivitySettings(),
marginEstimationSettings
),
null == _creditQualifyingRiskClassSensitivity ? null :
_creditQualifyingRiskClassSensitivity.aggregate (
productClassSettings.creditQualifyingRiskClassSensitivitySettings(),
marginEstimationSettings
),
null == _creditNonQualifyingRiskClassSensitivity ? null :
_creditNonQualifyingRiskClassSensitivity.aggregate (
productClassSettings.creditNonQualifyingRiskClassSensitivitySettings(),
marginEstimationSettings
),
null == _equityRiskClassSensitivity ? null : _equityRiskClassSensitivity.aggregate (
productClassSettings.equityRiskClassSensitivitySettings(),
marginEstimationSettings
),
null == _fxRiskClassSensitivity ? null : _fxRiskClassSensitivity.aggregate (
productClassSettings.fxRiskClassSensitivitySettings(),
marginEstimationSettings
),
null == _commodityRiskClassSensitivity ? null : _commodityRiskClassSensitivity.aggregate (
productClassSettings.commodityRiskClassSensitivitySettings(),
marginEstimationSettings
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}