ProductClassSettings.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>ProductClassSettings</i> holds the Settings that govern the Generation of the ISDA SIMM Bucket
- * Sensitivities across Individual Product Classes. 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 ProductClassSettings
- {
- private org.drip.measure.stochastic.LabelCorrelation _labelCorrelation = null;
- private org.drip.simm.parameters.RiskClassSensitivitySettings _fxRiskClassSensitivitySettings = null;
- private org.drip.simm.parameters.RiskClassSensitivitySettingsIR _irRiskClassSensitivitySettings = null;
- private org.drip.simm.parameters.RiskClassSensitivitySettings _equityRiskClassSensitivitySettings = null;
- private org.drip.simm.parameters.RiskClassSensitivitySettings _commodityRiskClassSensitivitySettings =
- null;
- private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- _creditQualifyingRiskClassSensitivitySettings = null;
- private org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- _creditNonQualifyingRiskClassSensitivitySettings = null;
- /**
- * Construct an ISDA SIMM 2.0 Version of ProductClassSettings
- *
- * @param currencyList Currency List
- * @param vegaDurationDays The Volatility Duration in Days
- *
- * @return ISDA SIMM 2.0 Version of ProductClassSettings
- */
- public static final ProductClassSettings ISDA_20 (
- final java.util.List<java.lang.String> currencyList,
- final int vegaDurationDays)
- {
- try
- {
- return new ProductClassSettings (
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_20 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_20 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_20 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_20 (currencyList),
- org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_20(),
- org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_20(),
- org.drip.simm.common.CrossRiskClassCorrelation20.Matrix()
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct an ISDA SIMM 2.1 Version of ProductClassSettings
- *
- * @param currencyList Currency List
- * @param vegaDurationDays The Volatility Duration in Days
- *
- * @return ISDA SIMM 2.1 Version of ProductClassSettings
- */
- public static final ProductClassSettings ISDA_21 (
- final java.util.List<java.lang.String> currencyList,
- final int vegaDurationDays)
- {
- try
- {
- return new ProductClassSettings (
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_EQ_21 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_CT_21 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettings.ISDA_FX_21 (vegaDurationDays),
- org.drip.simm.parameters.RiskClassSensitivitySettingsIR.ISDA_21 (currencyList),
- org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRQ_21(),
- org.drip.simm.parameters.RiskClassSensitivitySettingsCR.ISDA_CRNQ_21(),
- org.drip.simm.common.CrossRiskClassCorrelation21.Matrix()
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * ProductClassSettings Constructor
- *
- * @param equityRiskClassSensitivitySettings Equity Risk Class Sensitivity Settings
- * @param commodityRiskClassSensitivitySettings Commodity Risk Class Sensitivity Settings
- * @param fxRiskClassSensitivitySettings FX Risk Class Sensitivity Settings
- * @param irRiskClassSensitivitySettings IR Risk Class Sensitivity Settings
- * @param creditQualifyingRiskClassSensitivitySettings Credit Qualifying Risk Class Sensitivity Settings
- * @param creditNonQualifyingRiskClassSensitivitySettings Credit Non-Qualifying Risk Class Sensitivity
- * Settings
- * @param labelCorrelation Cross Risk Class Label Correlation
- *
- * @throws java.lang.Exception Throw if the Inputs are Invalid
- */
- public ProductClassSettings (
- final org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings,
- final org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings,
- final org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings,
- final org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings,
- final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- creditQualifyingRiskClassSensitivitySettings,
- final org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- creditNonQualifyingRiskClassSensitivitySettings,
- final org.drip.measure.stochastic.LabelCorrelation labelCorrelation)
- throws java.lang.Exception
- {
- _fxRiskClassSensitivitySettings = fxRiskClassSensitivitySettings;
- _irRiskClassSensitivitySettings = irRiskClassSensitivitySettings;
- _equityRiskClassSensitivitySettings = equityRiskClassSensitivitySettings;
- _commodityRiskClassSensitivitySettings = commodityRiskClassSensitivitySettings;
- _creditQualifyingRiskClassSensitivitySettings = creditQualifyingRiskClassSensitivitySettings;
- _creditNonQualifyingRiskClassSensitivitySettings = creditNonQualifyingRiskClassSensitivitySettings;
- if ((null == _equityRiskClassSensitivitySettings &&
- null == _commodityRiskClassSensitivitySettings &&
- null == _fxRiskClassSensitivitySettings &&
- null == _irRiskClassSensitivitySettings &&
- null == _creditQualifyingRiskClassSensitivitySettings &&
- null == _creditNonQualifyingRiskClassSensitivitySettings) ||
- null == (_labelCorrelation = labelCorrelation))
- {
- throw new java.lang.Exception ("ProductClassSettings Constructor => Invalid Inputs");
- }
- }
- /**
- * Retrieve the Equity Risk Class Sensitivity Settings
- *
- * @return The Equity Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettings equityRiskClassSensitivitySettings()
- {
- return _equityRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the Commodity Risk Class Sensitivity Settings
- *
- * @return The Commodity Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettings commodityRiskClassSensitivitySettings()
- {
- return _commodityRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the FX Risk Class Sensitivity Settings
- *
- * @return The FX Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettings fxRiskClassSensitivitySettings()
- {
- return _fxRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the IR Risk Class Sensitivity Settings
- *
- * @return The IR Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettingsIR irRiskClassSensitivitySettings()
- {
- return _irRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the Credit Qualifying Risk Class Sensitivity Settings
- *
- * @return The Credit Qualifying Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- creditQualifyingRiskClassSensitivitySettings()
- {
- return _creditQualifyingRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
- *
- * @return The Credit Non-Qualifying Risk Class Sensitivity Settings
- */
- public org.drip.simm.parameters.RiskClassSensitivitySettingsCR
- creditNonQualifyingRiskClassSensitivitySettings()
- {
- return _creditNonQualifyingRiskClassSensitivitySettings;
- }
- /**
- * Retrieve the Cross Risk Class Label Correlation
- *
- * @return The Cross Risk Class Label Correlation
- */
- public org.drip.measure.stochastic.LabelCorrelation labelCorrelation()
- {
- return _labelCorrelation;
- }
- }