ProductClassSettings.java

  1. package org.drip.simm.estimator;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  *
  10.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  11.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  12.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  13.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  14.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  15.  *      and computational support.
  16.  *  
  17.  *      https://lakshmidrip.github.io/DROP/
  18.  *  
  19.  *  DROP is composed of three modules:
  20.  *  
  21.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  22.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  23.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  24.  *
  25.  *  DROP Product Core implements libraries for the following:
  26.  *  - Fixed Income Analytics
  27.  *  - Loan Analytics
  28.  *  - Transaction Cost Analytics
  29.  *
  30.  *  DROP Portfolio Core implements libraries for the following:
  31.  *  - Asset Allocation Analytics
  32.  *  - Asset Liability Management Analytics
  33.  *  - Capital Estimation Analytics
  34.  *  - Exposure Analytics
  35.  *  - Margin Analytics
  36.  *  - XVA Analytics
  37.  *
  38.  *  DROP Computational Core implements libraries for the following:
  39.  *  - Algorithm Support
  40.  *  - Computation Support
  41.  *  - Function Analysis
  42.  *  - Model Validation
  43.  *  - Numerical Analysis
  44.  *  - Numerical Optimizer
  45.  *  - Spline Builder
  46.  *  - Statistical Learning
  47.  *
  48.  *  Documentation for DROP is Spread Over:
  49.  *
  50.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  51.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  52.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  53.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  54.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  55.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  56.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  57.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  58.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  59.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  60.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  61.  *
  62.  *  Licensed under the Apache License, Version 2.0 (the "License");
  63.  *      you may not use this file except in compliance with the License.
  64.  *  
  65.  *  You may obtain a copy of the License at
  66.  *      http://www.apache.org/licenses/LICENSE-2.0
  67.  *  
  68.  *  Unless required by applicable law or agreed to in writing, software
  69.  *      distributed under the License is distributed on an "AS IS" BASIS,
  70.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  71.  *  
  72.  *  See the License for the specific language governing permissions and
  73.  *      limitations under the License.
  74.  */

  75. /**
  76.  * <i>ProductClassSettings</i> holds the Settings that govern the Generation of the ISDA SIMM Bucket
  77.  *  Sensitivities across Individual Product Classes. The References are:
  78.  *
  79.  * <br><br>
  80.  *  <ul>
  81.  *      <li>
  82.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  83.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  84.  *      </li>
  85.  *      <li>
  86.  *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
  87.  *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
  91.  *              Framework for Forecasting Initial Margin Requirements
  92.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  93.  *      </li>
  94.  *      <li>
  95.  *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
  96.  *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
  97.  *                  <b>eSSRN</b>
  98.  *      </li>
  99.  *      <li>
  100.  *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
  101.  *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  * <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  * <br><br>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  116. public class ProductClassSettings
  117. {
  118.     private org.drip.measure.stochastic.LabelCorrelation _labelCorrelation = null;
  119.     private org.drip.simm.parameters.RiskClassSensitivitySettings _fxRiskClassSensitivitySettings = null;
  120.     private org.drip.simm.parameters.RiskClassSensitivitySettingsIR _irRiskClassSensitivitySettings = null;
  121.     private org.drip.simm.parameters.RiskClassSensitivitySettings _equityRiskClassSensitivitySettings = null;
  122.     private org.drip.simm.parameters.RiskClassSensitivitySettings _commodityRiskClassSensitivitySettings =
  123.         null;
  124.     private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  125.         _creditQualifyingRiskClassSensitivitySettings = null;
  126.     private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  127.         _creditNonQualifyingRiskClassSensitivitySettings = null;

  128.     /**
  129.      * Construct an ISDA SIMM 2.0 Version of ProductClassSettings
  130.      *
  131.      * @param currencyList Currency List
  132.      * @param vegaDurationDays The Volatility Duration in Days
  133.      *
  134.      * @return ISDA SIMM 2.0 Version of ProductClassSettings
  135.      */

  136.     public static final ProductClassSettings ISDA_20 (
  137.         final java.util.List<java.lang.String> currencyList,
  138.         final int vegaDurationDays)
  139.     {
  140.         try
  141.         {
  142.             return new ProductClassSettings (
  143.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_20 (vegaDurationDays),
  144.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_20 (vegaDurationDays),
  145.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_20 (vegaDurationDays),
  146.                 org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_20 (currencyList),
  147.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_20(),
  148.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_20(),
  149.                 org.drip.simm.common.CrossRiskClassCorrelation20.Matrix()
  150.             );
  151.         }
  152.         catch (java.lang.Exception e)
  153.         {
  154.             e.printStackTrace();
  155.         }

  156.         return null;
  157.     }

  158.     /**
  159.      * Construct an ISDA SIMM 2.1 Version of ProductClassSettings
  160.      *
  161.      * @param currencyList Currency List
  162.      * @param vegaDurationDays The Volatility Duration in Days
  163.      *
  164.      * @return ISDA SIMM 2.1 Version of ProductClassSettings
  165.      */

  166.     public static final ProductClassSettings ISDA_21 (
  167.         final java.util.List<java.lang.String> currencyList,
  168.         final int vegaDurationDays)
  169.     {
  170.         try
  171.         {
  172.             return new ProductClassSettings (
  173.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_21 (vegaDurationDays),
  174.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_21 (vegaDurationDays),
  175.                 org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_21 (vegaDurationDays),
  176.                 org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_21 (currencyList),
  177.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_21(),
  178.                 org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_21(),
  179.                 org.drip.simm.common.CrossRiskClassCorrelation21.Matrix()
  180.             );
  181.         }
  182.         catch (java.lang.Exception e)
  183.         {
  184.             e.printStackTrace();
  185.         }

  186.         return null;
  187.     }

  188.     /**
  189.      * ProductClassSettings Constructor
  190.      *
  191.      * @param equityRiskClassSensitivitySettings Equity Risk Class Sensitivity Settings
  192.      * @param commodityRiskClassSensitivitySettings Commodity Risk Class Sensitivity Settings
  193.      * @param fxRiskClassSensitivitySettings FX Risk Class Sensitivity Settings
  194.      * @param irRiskClassSensitivitySettings IR Risk Class Sensitivity Settings
  195.      * @param creditQualifyingRiskClassSensitivitySettings Credit Qualifying Risk Class Sensitivity Settings
  196.      * @param creditNonQualifyingRiskClassSensitivitySettings Credit Non-Qualifying Risk Class Sensitivity
  197.      *  Settings
  198.      * @param labelCorrelation Cross Risk Class Label Correlation
  199.      *
  200.      * @throws java.lang.Exception Throw if the Inputs are Invalid
  201.      */

  202.     public ProductClassSettings (
  203.         final org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings,
  204.         final org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings,
  205.         final org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings,
  206.         final org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings,
  207.         final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  208.             creditQualifyingRiskClassSensitivitySettings,
  209.         final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  210.             creditNonQualifyingRiskClassSensitivitySettings,
  211.         final org.drip.measure.stochastic.LabelCorrelation labelCorrelation)
  212.         throws java.lang.Exception
  213.     {
  214.         _fxRiskClassSensitivitySettings = fxRiskClassSensitivitySettings;
  215.         _irRiskClassSensitivitySettings = irRiskClassSensitivitySettings;
  216.         _equityRiskClassSensitivitySettings = equityRiskClassSensitivitySettings;
  217.         _commodityRiskClassSensitivitySettings = commodityRiskClassSensitivitySettings;
  218.         _creditQualifyingRiskClassSensitivitySettings = creditQualifyingRiskClassSensitivitySettings;
  219.         _creditNonQualifyingRiskClassSensitivitySettings = creditNonQualifyingRiskClassSensitivitySettings;

  220.         if ((null == _equityRiskClassSensitivitySettings &&
  221.             null == _commodityRiskClassSensitivitySettings &&
  222.             null == _fxRiskClassSensitivitySettings &&
  223.             null == _irRiskClassSensitivitySettings &&
  224.             null == _creditQualifyingRiskClassSensitivitySettings &&
  225.             null == _creditNonQualifyingRiskClassSensitivitySettings) ||
  226.             null == (_labelCorrelation = labelCorrelation))
  227.         {
  228.             throw new java.lang.Exception ("ProductClassSettings Constructor => Invalid Inputs");
  229.         }
  230.     }

  231.     /**
  232.      * Retrieve the Equity Risk Class Sensitivity Settings
  233.      *
  234.      * @return The Equity Risk Class Sensitivity Settings
  235.      */

  236.     public org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings()
  237.     {
  238.         return _equityRiskClassSensitivitySettings;
  239.     }

  240.     /**
  241.      * Retrieve the Commodity Risk Class Sensitivity Settings
  242.      *
  243.      * @return The Commodity Risk Class Sensitivity Settings
  244.      */

  245.     public org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings()
  246.     {
  247.         return _commodityRiskClassSensitivitySettings;
  248.     }

  249.     /**
  250.      * Retrieve the FX Risk Class Sensitivity Settings
  251.      *
  252.      * @return The FX Risk Class Sensitivity Settings
  253.      */

  254.     public org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings()
  255.     {
  256.         return _fxRiskClassSensitivitySettings;
  257.     }

  258.     /**
  259.      * Retrieve the IR Risk Class Sensitivity Settings
  260.      *
  261.      * @return The IR Risk Class Sensitivity Settings
  262.      */

  263.     public org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings()
  264.     {
  265.         return _irRiskClassSensitivitySettings;
  266.     }

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

  272.     public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  273.         creditQualifyingRiskClassSensitivitySettings()
  274.     {
  275.         return _creditQualifyingRiskClassSensitivitySettings;
  276.     }

  277.     /**
  278.      * Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
  279.      *
  280.      * @return The Credit Non-Qualifying Risk Class Sensitivity Settings
  281.      */

  282.     public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
  283.         creditNonQualifyingRiskClassSensitivitySettings()
  284.     {
  285.         return _creditNonQualifyingRiskClassSensitivitySettings;
  286.     }

  287.     /**
  288.      * Retrieve the Cross Risk Class Label Correlation
  289.      *
  290.      * @return The Cross Risk Class Label Correlation
  291.      */

  292.     public org.drip.measure.stochastic.LabelCorrelation labelCorrelation()
  293.     {
  294.         return _labelCorrelation;
  295.     }
  296. }