ProductClassSettings.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>ProductClassSettings</i> holds the Settings that govern the Generation of the ISDA SIMM Bucket
  80.  *  Sensitivities across Individual Product Classes. 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 ProductClassSettings
  121. {
  122.     private org.drip.measure.stochastic.LabelCorrelation _labelCorrelation = null;
  123.     private org.drip.simm.parameters.RiskClassSensitivitySettings _fxRiskClassSensitivitySettings = null;
  124.     private org.drip.simm.parameters.RiskClassSensitivitySettingsIR _irRiskClassSensitivitySettings = null;
  125.     private org.drip.simm.parameters.RiskClassSensitivitySettings _equityRiskClassSensitivitySettings = null;
  126.     private org.drip.simm.parameters.RiskClassSensitivitySettings _commodityRiskClassSensitivitySettings =
  127.         null;
  128.     private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  129.         _creditQualifyingRiskClassSensitivitySettings = null;
  130.     private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  131.         _creditNonQualifyingRiskClassSensitivitySettings = null;

  133.     /**
  134.      * Construct an ISDA SIMM 2.0 Version of ProductClassSettings
  135.      * 
  136.      * @param currencyList Currency List
  137.      * @param vegaDurationDays The Volatility Duration in Days
  138.      * 
  139.      * @return ISDA SIMM 2.0 Version of ProductClassSettings
  140.      */

  142.     public static final ProductClassSettings ISDA_20 (
  143.         final java.util.List<java.lang.String> currencyList,
  144.         final int vegaDurationDays)
  145.     {
  146.         try
  147.         {
  148.             return new ProductClassSettings (
  149.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_20 (vegaDurationDays),
  150.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_20 (vegaDurationDays),
  151.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_20 (vegaDurationDays),
  152.                 org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_20 (currencyList),
  153.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_20(),
  154.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_20(),
  155.                 org.drip.simm.common.CrossRiskClassCorrelation20.Matrix()
  156.             );
  157.         }
  158.         catch (java.lang.Exception e)
  159.         {
  160.             e.printStackTrace();
  161.         }

  163.         return null;
  164.     }

  166.     /**
  167.      * Construct an ISDA SIMM 2.1 Version of ProductClassSettings
  168.      * 
  169.      * @param currencyList Currency List
  170.      * @param vegaDurationDays The Volatility Duration in Days
  171.      * 
  172.      * @return ISDA SIMM 2.1 Version of ProductClassSettings
  173.      */

  175.     public static final ProductClassSettings ISDA_21 (
  176.         final java.util.List<java.lang.String> currencyList,
  177.         final int vegaDurationDays)
  178.     {
  179.         try
  180.         {
  181.             return new ProductClassSettings (
  182.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_21 (vegaDurationDays),
  183.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_21 (vegaDurationDays),
  184.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_21 (vegaDurationDays),
  185.                 org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_21 (currencyList),
  186.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_21(),
  187.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_21(),
  188.                 org.drip.simm.common.CrossRiskClassCorrelation21.Matrix()
  189.             );
  190.         }
  191.         catch (java.lang.Exception e)
  192.         {
  193.             e.printStackTrace();
  194.         }

  196.         return null;
  197.     }

  199.     /**
  200.      * ProductClassSettings Constructor
  201.      * 
  202.      * @param equityRiskClassSensitivitySettings Equity Risk Class Sensitivity Settings
  203.      * @param commodityRiskClassSensitivitySettings Commodity Risk Class Sensitivity Settings
  204.      * @param fxRiskClassSensitivitySettings FX Risk Class Sensitivity Settings
  205.      * @param irRiskClassSensitivitySettings IR Risk Class Sensitivity Settings
  206.      * @param creditQualifyingRiskClassSensitivitySettings Credit Qualifying Risk Class Sensitivity Settings
  207.      * @param creditNonQualifyingRiskClassSensitivitySettings Credit Non-Qualifying Risk Class Sensitivity
  208.      *  Settings
  209.      * @param labelCorrelation Cross Risk Class Label Correlation
  210.      * 
  211.      * @throws java.lang.Exception Throw if the Inputs are Invalid
  212.      */

  214.     public ProductClassSettings (
  215.         final org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings,
  216.         final org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings,
  217.         final org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings,
  218.         final org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings,
  219.         final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  220.             creditQualifyingRiskClassSensitivitySettings,
  221.         final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  222.             creditNonQualifyingRiskClassSensitivitySettings,
  223.         final org.drip.measure.stochastic.LabelCorrelation labelCorrelation)
  224.         throws java.lang.Exception
  225.     {
  226.         _fxRiskClassSensitivitySettings = fxRiskClassSensitivitySettings;
  227.         _irRiskClassSensitivitySettings = irRiskClassSensitivitySettings;
  228.         _equityRiskClassSensitivitySettings = equityRiskClassSensitivitySettings;
  229.         _commodityRiskClassSensitivitySettings = commodityRiskClassSensitivitySettings;
  230.         _creditQualifyingRiskClassSensitivitySettings = creditQualifyingRiskClassSensitivitySettings;
  231.         _creditNonQualifyingRiskClassSensitivitySettings = creditNonQualifyingRiskClassSensitivitySettings;

  233.         if ((null == _equityRiskClassSensitivitySettings &&
  234.             null == _commodityRiskClassSensitivitySettings &&
  235.             null == _fxRiskClassSensitivitySettings &&
  236.             null == _irRiskClassSensitivitySettings &&
  237.             null == _creditQualifyingRiskClassSensitivitySettings &&
  238.             null == _creditNonQualifyingRiskClassSensitivitySettings) ||
  239.             null == (_labelCorrelation = labelCorrelation))
  240.         {
  241.             throw new java.lang.Exception ("ProductClassSettings Constructor => Invalid Inputs");
  242.         }
  243.     }

  245.     /**
  246.      * Retrieve the Equity Risk Class Sensitivity Settings
  247.      * 
  248.      * @return The Equity Risk Class Sensitivity Settings
  249.      */

  251.     public org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings()
  252.     {
  253.         return _equityRiskClassSensitivitySettings;
  254.     }

  256.     /**
  257.      * Retrieve the Commodity Risk Class Sensitivity Settings
  258.      * 
  259.      * @return The Commodity Risk Class Sensitivity Settings
  260.      */

  262.     public org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings()
  263.     {
  264.         return _commodityRiskClassSensitivitySettings;
  265.     }

  267.     /**
  268.      * Retrieve the FX Risk Class Sensitivity Settings
  269.      * 
  270.      * @return The FX Risk Class Sensitivity Settings
  271.      */

  273.     public org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings()
  274.     {
  275.         return _fxRiskClassSensitivitySettings;
  276.     }

  278.     /**
  279.      * Retrieve the IR Risk Class Sensitivity Settings
  280.      * 
  281.      * @return The IR Risk Class Sensitivity Settings
  282.      */

  284.     public org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings()
  285.     {
  286.         return _irRiskClassSensitivitySettings;
  287.     }

  289.     /**
  290.      * Retrieve the Credit Qualifying Risk Class Sensitivity Settings
  291.      * 
  292.      * @return The Credit Qualifying Risk Class Sensitivity Settings
  293.      */

  295.     public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  296.         creditQualifyingRiskClassSensitivitySettings()
  297.     {
  298.         return _creditQualifyingRiskClassSensitivitySettings;
  299.     }

  301.     /**
  302.      * Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
  303.      * 
  304.      * @return The Credit Non-Qualifying Risk Class Sensitivity Settings
  305.      */

  307.     public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  308.         creditNonQualifyingRiskClassSensitivitySettings()
  309.     {
  310.         return _creditNonQualifyingRiskClassSensitivitySettings;
  311.     }

  313.     /**
  314.      * Retrieve the Cross Risk Class Label Correlation
  315.      * 
  316.      * @return The Cross Risk Class Label Correlation
  317.      */

  319.     public org.drip.measure.stochastic.LabelCorrelation labelCorrelation()
  320.     {
  321.         return _labelCorrelation;
  322.     }
  323. }
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