ProductClassSensitivity.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>ProductClassSensitivity</i> holds the multiple Risk Class Sensitivities for a single Product Class. The
  80.  * 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 ProductClassSensitivity
  121. {
  122.     private org.drip.simm.product.RiskClassSensitivity _fxRiskClassSensitivity = null;
  123.     private org.drip.simm.product.RiskClassSensitivityIR _irRiskClassSensitivity = null;
  124.     private org.drip.simm.product.RiskClassSensitivity _equityRiskClassSensitivity = null;
  125.     private org.drip.simm.product.RiskClassSensitivity _commodityRiskClassSensitivity = null;
  126.     private org.drip.simm.product.RiskClassSensitivityCR _creditQualifyingRiskClassSensitivity = null;
  127.     private org.drip.simm.product.RiskClassSensitivityCR _creditNonQualifyingRiskClassSensitivity = null;

  129.     /**
  130.      * ProductClassSensitivity Constructor
  131.      * 
  132.      * @param equityRiskClassSensitivity Equity Risk Class Sensitivity
  133.      * @param commodityRiskClassSensitivity Commodity Risk Class Sensitivity
  134.      * @param fxRiskClassSensitivity FX Risk Class Sensitivity
  135.      * @param irRiskClassSensitivity IR Risk Class Sensitivity
  136.      * @param creditQualifyingRiskClassSensitivity Credit Qualifying Risk Class Sensitivity
  137.      * @param creditNonQualifyingRiskClassSensitivity Credit Non-Qualifying Risk Class Sensitivity
  138.      * 
  139.      * @throws java.lang.Exception Thrownm if the Inputs are Invalid
  140.      */

  142.     public ProductClassSensitivity (
  143.         final org.drip.simm.product.RiskClassSensitivity equityRiskClassSensitivity,
  144.         final org.drip.simm.product.RiskClassSensitivity commodityRiskClassSensitivity,
  145.         final org.drip.simm.product.RiskClassSensitivity fxRiskClassSensitivity,
  146.         final org.drip.simm.product.RiskClassSensitivityIR irRiskClassSensitivity,
  147.         final org.drip.simm.product.RiskClassSensitivityCR creditQualifyingRiskClassSensitivity,
  148.         final org.drip.simm.product.RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity)
  149.         throws java.lang.Exception
  150.     {
  151.         _fxRiskClassSensitivity = fxRiskClassSensitivity;
  152.         _irRiskClassSensitivity = irRiskClassSensitivity;
  153.         _equityRiskClassSensitivity = equityRiskClassSensitivity;
  154.         _commodityRiskClassSensitivity = commodityRiskClassSensitivity;
  155.         _creditQualifyingRiskClassSensitivity = creditQualifyingRiskClassSensitivity;
  156.         _creditNonQualifyingRiskClassSensitivity = creditNonQualifyingRiskClassSensitivity;

  158.         if (null == _equityRiskClassSensitivity &&
  159.             null == _commodityRiskClassSensitivity &&
  160.             null == _fxRiskClassSensitivity &&
  161.             null == _irRiskClassSensitivity &&
  162.             null == _creditQualifyingRiskClassSensitivity &&
  163.             null == _creditNonQualifyingRiskClassSensitivity)
  164.         {
  165.             throw new java.lang.Exception ("ProductClassSensitivity Constructor => Invalid Inputs");
  166.         }
  167.     }

  169.     /**
  170.      * Retrieve the Equity Risk Class Sensitivity
  171.      * 
  172.      * @return The Equity Risk Class Sensitivity
  173.      */

  175.     public org.drip.simm.product.RiskClassSensitivity equityRiskClassSensitivity()
  176.     {
  177.         return _equityRiskClassSensitivity;
  178.     }

  180.     /**
  181.      * Retrieve the Commodity Risk Class Sensitivity
  182.      * 
  183.      * @return The Commodity Risk Class Sensitivity
  184.      */

  186.     public org.drip.simm.product.RiskClassSensitivity commodityRiskClassSensitivity()
  187.     {
  188.         return _commodityRiskClassSensitivity;
  189.     }

  191.     /**
  192.      * Retrieve the FX Risk Class Sensitivity
  193.      * 
  194.      * @return The FX Risk Class Sensitivity
  195.      */

  197.     public org.drip.simm.product.RiskClassSensitivity fxRiskClassSensitivity()
  198.     {
  199.         return _fxRiskClassSensitivity;
  200.     }

  202.     /**
  203.      * Retrieve the IR Risk Class Sensitivity
  204.      * 
  205.      * @return The IR Risk Class Sensitivity
  206.      */

  208.     public org.drip.simm.product.RiskClassSensitivityIR irRiskClassSensitivity()
  209.     {
  210.         return _irRiskClassSensitivity;
  211.     }

  213.     /**
  214.      * Retrieve the Credit Qualifying Risk Class Sensitivity
  215.      * 
  216.      * @return The Credit Qualifying Risk Class Sensitivity
  217.      */

  219.     public org.drip.simm.product.RiskClassSensitivityCR creditQualifyingRiskClassSensitivity()
  220.     {
  221.         return _creditQualifyingRiskClassSensitivity;
  222.     }

  224.     /**
  225.      * Retrieve the Credit Non-Qualifying Risk Class Sensitivity
  226.      * 
  227.      * @return The Credit Non-Qualifying Risk Class Sensitivity
  228.      */

  230.     public org.drip.simm.product.RiskClassSensitivityCR creditNonQualifyingRiskClassSensitivity()
  231.     {
  232.         return _creditNonQualifyingRiskClassSensitivity;
  233.     }

  235.     /**
  236.      * Generate the Margin for the Product Class
  237.      * 
  238.      * @param productClassSettings The Product Class Settings
  239.      * @param marginEstimationSettings Margin Estimation Settings
  240.      * 
  241.      * @return The Margin for the Product Class
  242.      */

  244.     public org.drip.simm.estimator.ProductClassMargin estimate (
  245.         final org.drip.simm.estimator.ProductClassSettings productClassSettings,
  246.         final org.drip.simm.foundation.MarginEstimationSettings marginEstimationSettings)
  247.     {
  248.         if (null == productClassSettings)
  249.         {
  250.             return null;
  251.         }

  253.         try
  254.         {
  255.             return new ProductClassMargin (
  256.                 null == _irRiskClassSensitivity ? null : _irRiskClassSensitivity.aggregate (
  257.                     productClassSettings.irRiskClassSensitivitySettings(),
  258.                     marginEstimationSettings
  259.                 ),
  260.                 null == _creditQualifyingRiskClassSensitivity ? null :
  261.                     _creditQualifyingRiskClassSensitivity.aggregate (
  262.                         productClassSettings.creditQualifyingRiskClassSensitivitySettings(),
  263.                         marginEstimationSettings
  264.                     ),
  265.                 null == _creditNonQualifyingRiskClassSensitivity ? null :
  266.                     _creditNonQualifyingRiskClassSensitivity.aggregate (
  267.                         productClassSettings.creditNonQualifyingRiskClassSensitivitySettings(),
  268.                         marginEstimationSettings
  269.                     ),
  270.                 null == _equityRiskClassSensitivity ? null : _equityRiskClassSensitivity.aggregate (
  271.                     productClassSettings.equityRiskClassSensitivitySettings(),
  272.                     marginEstimationSettings
  273.                 ),
  274.                 null == _fxRiskClassSensitivity ? null : _fxRiskClassSensitivity.aggregate (
  275.                     productClassSettings.fxRiskClassSensitivitySettings(),
  276.                     marginEstimationSettings
  277.                 ),
  278.                 null == _commodityRiskClassSensitivity ? null : _commodityRiskClassSensitivity.aggregate (
  279.                     productClassSettings.commodityRiskClassSensitivitySettings(),
  280.                     marginEstimationSettings
  281.                 )
  282.             );
  283.         }
  284.         catch (java.lang.Exception e)
  285.         {
  286.             e.printStackTrace();
  287.         }

  289.         return null;
  290.     }
  291. }
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