FXRiskThresholdContainer21.java

  1. package org.drip.simm.fx;

  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>FXRiskThresholdContainer21</i> holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the
  80.  * Delta/Vega Limits defined for the Concentration Thresholds. 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/fx/README.md">FX Risk Factor Calibration Settings</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class FXRiskThresholdContainer21
  121. {
  122.     private static final java.util.Map<java.lang.Integer, org.drip.simm.fx.FXRiskGroup> s_FXRiskGroupMap =
  123.         new java.util.TreeMap<java.lang.Integer, org.drip.simm.fx.FXRiskGroup>();

  125.     private static final java.util.Map<java.lang.Integer, java.lang.Double> s_CategoryDelta = new
  126.         java.util.TreeMap<java.lang.Integer, java.lang.Double>();

  128.     private static final java.util.Map<java.lang.String, java.lang.Double> s_CategoryVega = new
  129.         java.util.HashMap<java.lang.String, java.lang.Double>();

  131.     /**
  132.      * Initialize the FX Risk Threshold Container
  133.      * 
  134.      * @return TRUE - The FX Risk Threshold Container
  135.      */

  137.     public static final boolean Init()
  138.     {
  139.         try
  140.         {
  141.             s_FXRiskGroupMap.put (
  142.                 1,
  143.                 new org.drip.simm.fx.FXRiskGroup (
  144.                     1,
  145.                     "Significantly Material",
  146.                     new java.lang.String[]
  147.                     {
  148.                         "USD",
  149.                         "EUR",
  150.                         "JPY",
  151.                         "GBP",
  152.                         "AUD",
  153.                         "CHF",
  154.                         "CAD"
  155.                     }
  156.                 )
  157.             );

  159.             s_FXRiskGroupMap.put (
  160.                 2,
  161.                 new org.drip.simm.fx.FXRiskGroup (
  162.                     2,
  163.                     "Frequently Traded",
  164.                     new java.lang.String[]
  165.                     {
  166.                         "BRL",
  167.                         "CNY",
  168.                         "HKD",
  169.                         "INR",
  170.                         "KRW",
  171.                         "MXN",
  172.                         "NOK",
  173.                         "NZD",
  174.                         "RUB",
  175.                         "SEK",
  176.                         "SGD",
  177.                         "TRY",
  178.                         "ZAR"
  179.                     }
  180.                 )
  181.             );

  183.             s_FXRiskGroupMap.put (
  184.                 3,
  185.                 new org.drip.simm.fx.FXRiskGroup (
  186.                     3,
  187.                     "Others",
  188.                     new java.lang.String[]
  189.                     {
  190.                         "Other"
  191.                     }
  192.                 )
  193.             );

  195.             s_CategoryDelta.put (
  196.                 1,
  197.                 9700.
  198.             );

  200.             s_CategoryDelta.put (
  201.                 2,
  202.                 2900.
  203.             );

  205.             s_CategoryDelta.put (
  206.                 3,
  207.                 450.
  208.             );

  210.             s_CategoryVega.put (
  211.                 "1__1",
  212.                 2000.
  213.             );

  215.             s_CategoryVega.put (
  216.                 "1__2",
  217.                 1000.
  218.             );

  220.             s_CategoryVega.put (
  221.                 "1__3",
  222.                 320.
  223.             );

  225.             s_CategoryVega.put (
  226.                 "2__1",
  227.                 1000.
  228.             );

  230.             s_CategoryVega.put (
  231.                 "2__2",
  232.                 410.
  233.             );

  235.             s_CategoryVega.put (
  236.                 "2__3",
  237.                 210.
  238.             );

  240.             s_CategoryVega.put (
  241.                 "3__1",
  242.                 320.
  243.             );

  245.             s_CategoryVega.put (
  246.                 "3__2",
  247.                 210.
  248.             );

  250.             s_CategoryVega.put (
  251.                 "3__3",
  252.                 150.
  253.             );
  254.         }
  255.         catch (java.lang.Exception e)
  256.         {
  257.             e.printStackTrace();

  259.             return false;
  260.         }

  262.         return true;
  263.     }

  265.     /**
  266.      * Retrieve the Category for the specified Currency
  267.      * 
  268.      * @param currency Currency
  269.      * 
  270.      * @return The Category
  271.      * 
  272.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  273.      */

  275.     public static final int CurrencyCategory (
  276.         final java.lang.String currency)
  277.         throws java.lang.Exception
  278.     {
  279.         if (null == currency || currency.isEmpty())
  280.         {
  281.             throw new java.lang.Exception ("FXRiskThresholdContainer::CurrencyCategory => Invalid Input");
  282.         }

  284.         for (java.util.Map.Entry<java.lang.Integer, org.drip.simm.fx.FXRiskGroup> fxRiskGroupEntry :
  285.             s_FXRiskGroupMap.entrySet())
  286.         {
  287.             java.lang.String[] currencyArray = fxRiskGroupEntry.getValue().currencyArray();

  289.             for (java.lang.String currencyEntry : currencyArray)
  290.             {
  291.                 if (currencyEntry.equalsIgnoreCase (currency))
  292.                 {
  293.                     return fxRiskGroupEntry.getKey();
  294.                 }
  295.             }
  296.         }

  298.         return s_FXRiskGroupMap.get (3).category();
  299.     }

  301.     /**
  302.      * Retrieve the Category Set
  303.      * 
  304.      * @return The Category Set
  305.      */

  307.     public static final java.util.Set<java.lang.Integer> CategorySet()
  308.     {
  309.         return s_FXRiskGroupMap.keySet();
  310.     }

  312.     /**
  313.      * Indicate if the Category identified by the Number is available in the Map
  314.      * 
  315.      * @param categoryNumber The Category Number
  316.      * 
  317.      * @return TRUE - The Category identified by the Number is available in the Map
  318.      */

  320.     public static final boolean ContainsCategory (
  321.         final int categoryNumber)
  322.     {
  323.         return s_FXRiskGroupMap.containsKey (categoryNumber);
  324.     }

  326.     /**
  327.      * Retrieve the Risk Group identified by the Category Number
  328.      * 
  329.      * @param categoryNumber The Category Number
  330.      * 
  331.      * @return The Risk Group identified by the Category Number
  332.      */

  334.     public static final org.drip.simm.fx.FXRiskGroup FXRiskGroup (
  335.         final int categoryNumber)
  336.     {
  337.         return ContainsCategory (categoryNumber) ? s_FXRiskGroupMap.get (categoryNumber) : null;
  338.     }

  340.     /**
  341.      * Retrieve the Delta Threshold for the Category specified
  342.      * 
  343.      * @param categoryNumber The specified Category
  344.      * 
  345.      * @return Delta Threshold for the Category specified
  346.      * 
  347.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  348.      */

  350.     public static final double CategoryDeltaThreshold (
  351.         final int categoryNumber)
  352.         throws java.lang.Exception
  353.     {
  354.         if (!s_CategoryDelta.containsKey (categoryNumber))
  355.         {
  356.             throw new java.lang.Exception
  357.                 ("FXRiskThresholdContainer::CategoryDeltaThreshold => Invalid Category");
  358.         }

  360.         return s_CategoryDelta.get (categoryNumber);
  361.     }

  363.     /**
  364.      * Retrieve the Vega Threshold for the Category Pair specified
  365.      * 
  366.      * @param categoryNumber1 The specified Category #1
  367.      * @param categoryNumber2 The specified Category #2
  368.      * 
  369.      * @return Vega Threshold for the Category Pair specified
  370.      * 
  371.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  372.      */

  374.     public static final double CategoryVegaThreshold (
  375.         final int categoryNumber1,
  376.         final int categoryNumber2)
  377.         throws java.lang.Exception
  378.     {
  379.         java.lang.String categoryVegaThresholdKey = categoryNumber1 + "__" + categoryNumber2;

  381.         if (!s_CategoryVega.containsKey (categoryVegaThresholdKey))
  382.         {
  383.             throw new java.lang.Exception
  384.                 ("FXRiskThresholdContainer::CategoryVegaThreshold => Invalid Category");
  385.         }

  387.         return s_CategoryVega.get (categoryVegaThresholdKey);
  388.     }

  390.     /**
  391.      * Retrieve the FX Risk Group Map
  392.      * 
  393.      * @return The FX Risk Group Map
  394.      */

  396.     public static final java.util.Map<java.lang.Integer, org.drip.simm.fx.FXRiskGroup>
  397.         FXRiskGroupMap()
  398.     {
  399.         return s_FXRiskGroupMap;
  400.     }

  402.     /**
  403.      * Retrieve the Category Delta Concentration Threshold Map
  404.      * 
  405.      * @return The Category Delta Concentration Threshold Map
  406.      */

  408.     public static final java.util.Map<java.lang.Integer, java.lang.Double> CategoryDeltaMap()
  409.     {
  410.         return s_CategoryDelta;
  411.     }

  413.     /**
  414.      * Retrieve the Category Vega Concentration Threshold Map
  415.      * 
  416.      * @return The Category Vega Concentration Threshold Map
  417.      */

  419.     public static final java.util.Map<java.lang.String, java.lang.Double> CategoryVegaMap()
  420.     {
  421.         return s_CategoryVega;
  422.     }

  424.     /**
  425.      * Retrieve the Cross Risk Group Co-variance Matrix
  426.      * 
  427.      * @return The Cross Risk Group Co-variance Matrix
  428.      */

  430.     public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CrossGroupPrincipalCovariance()
  431.     {
  432.         java.util.Set<java.lang.Integer> fxBucketSet = s_FXRiskGroupMap.keySet();

  434.         int fxRiskGroupCount = fxBucketSet.size();

  436.         double[][] crossGroupCorrelation = new double[fxRiskGroupCount][fxRiskGroupCount];

  438.         for (int fxRiskGroupIndexI = 0; fxRiskGroupIndexI < fxRiskGroupCount; ++fxRiskGroupIndexI)
  439.         {
  440.             for (int fxRiskGroupIndexJ = 0; fxRiskGroupIndexJ < fxRiskGroupCount; ++fxRiskGroupIndexJ)
  441.             {
  442.                 crossGroupCorrelation[fxRiskGroupIndexI][fxRiskGroupIndexJ] =
  443.                     fxRiskGroupIndexI == fxRiskGroupIndexJ ? 1. :
  444.                     org.drip.simm.fx.FXSystemics21.CORRELATION;
  445.             }
  446.         }

  448.         return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
  449.             crossGroupCorrelation,
  450.             1.
  451.         );
  452.     }
  453. }
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