FXRiskThresholdContainer21.java
package org.drip.simm.fx;
/*
* -*- 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>FXRiskThresholdContainer21</i> holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the
* Delta/Vega Limits defined for the Concentration Thresholds. 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/fx/README.md">FX Risk Factor Calibration Settings</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class FXRiskThresholdContainer21
{
private static final java.util.Map<java.lang.Integer, org.drip.simm.fx.FXRiskGroup> s_FXRiskGroupMap =
new java.util.TreeMap<java.lang.Integer, org.drip.simm.fx.FXRiskGroup>();
private static final java.util.Map<java.lang.Integer, java.lang.Double> s_CategoryDelta = new
java.util.TreeMap<java.lang.Integer, java.lang.Double>();
private static final java.util.Map<java.lang.String, java.lang.Double> s_CategoryVega = new
java.util.HashMap<java.lang.String, java.lang.Double>();
/**
* Initialize the FX Risk Threshold Container
*
* @return TRUE - The FX Risk Threshold Container
*/
public static final boolean Init()
{
try
{
s_FXRiskGroupMap.put (
1,
new org.drip.simm.fx.FXRiskGroup (
1,
"Significantly Material",
new java.lang.String[]
{
"USD",
"EUR",
"JPY",
"GBP",
"AUD",
"CHF",
"CAD"
}
)
);
s_FXRiskGroupMap.put (
2,
new org.drip.simm.fx.FXRiskGroup (
2,
"Frequently Traded",
new java.lang.String[]
{
"BRL",
"CNY",
"HKD",
"INR",
"KRW",
"MXN",
"NOK",
"NZD",
"RUB",
"SEK",
"SGD",
"TRY",
"ZAR"
}
)
);
s_FXRiskGroupMap.put (
3,
new org.drip.simm.fx.FXRiskGroup (
3,
"Others",
new java.lang.String[]
{
"Other"
}
)
);
s_CategoryDelta.put (
1,
9700.
);
s_CategoryDelta.put (
2,
2900.
);
s_CategoryDelta.put (
3,
450.
);
s_CategoryVega.put (
"1__1",
2000.
);
s_CategoryVega.put (
"1__2",
1000.
);
s_CategoryVega.put (
"1__3",
320.
);
s_CategoryVega.put (
"2__1",
1000.
);
s_CategoryVega.put (
"2__2",
410.
);
s_CategoryVega.put (
"2__3",
210.
);
s_CategoryVega.put (
"3__1",
320.
);
s_CategoryVega.put (
"3__2",
210.
);
s_CategoryVega.put (
"3__3",
150.
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return false;
}
return true;
}
/**
* Retrieve the Category for the specified Currency
*
* @param currency Currency
*
* @return The Category
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public static final int CurrencyCategory (
final java.lang.String currency)
throws java.lang.Exception
{
if (null == currency || currency.isEmpty())
{
throw new java.lang.Exception ("FXRiskThresholdContainer::CurrencyCategory => Invalid Input");
}
for (java.util.Map.Entry<java.lang.Integer, org.drip.simm.fx.FXRiskGroup> fxRiskGroupEntry :
s_FXRiskGroupMap.entrySet())
{
java.lang.String[] currencyArray = fxRiskGroupEntry.getValue().currencyArray();
for (java.lang.String currencyEntry : currencyArray)
{
if (currencyEntry.equalsIgnoreCase (currency))
{
return fxRiskGroupEntry.getKey();
}
}
}
return s_FXRiskGroupMap.get (3).category();
}
/**
* Retrieve the Category Set
*
* @return The Category Set
*/
public static final java.util.Set<java.lang.Integer> CategorySet()
{
return s_FXRiskGroupMap.keySet();
}
/**
* Indicate if the Category identified by the Number is available in the Map
*
* @param categoryNumber The Category Number
*
* @return TRUE - The Category identified by the Number is available in the Map
*/
public static final boolean ContainsCategory (
final int categoryNumber)
{
return s_FXRiskGroupMap.containsKey (categoryNumber);
}
/**
* Retrieve the Risk Group identified by the Category Number
*
* @param categoryNumber The Category Number
*
* @return The Risk Group identified by the Category Number
*/
public static final org.drip.simm.fx.FXRiskGroup FXRiskGroup (
final int categoryNumber)
{
return ContainsCategory (categoryNumber) ? s_FXRiskGroupMap.get (categoryNumber) : null;
}
/**
* Retrieve the Delta Threshold for the Category specified
*
* @param categoryNumber The specified Category
*
* @return Delta Threshold for the Category specified
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public static final double CategoryDeltaThreshold (
final int categoryNumber)
throws java.lang.Exception
{
if (!s_CategoryDelta.containsKey (categoryNumber))
{
throw new java.lang.Exception
("FXRiskThresholdContainer::CategoryDeltaThreshold => Invalid Category");
}
return s_CategoryDelta.get (categoryNumber);
}
/**
* Retrieve the Vega Threshold for the Category Pair specified
*
* @param categoryNumber1 The specified Category #1
* @param categoryNumber2 The specified Category #2
*
* @return Vega Threshold for the Category Pair specified
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public static final double CategoryVegaThreshold (
final int categoryNumber1,
final int categoryNumber2)
throws java.lang.Exception
{
java.lang.String categoryVegaThresholdKey = categoryNumber1 + "__" + categoryNumber2;
if (!s_CategoryVega.containsKey (categoryVegaThresholdKey))
{
throw new java.lang.Exception
("FXRiskThresholdContainer::CategoryVegaThreshold => Invalid Category");
}
return s_CategoryVega.get (categoryVegaThresholdKey);
}
/**
* Retrieve the FX Risk Group Map
*
* @return The FX Risk Group Map
*/
public static final java.util.Map<java.lang.Integer, org.drip.simm.fx.FXRiskGroup>
FXRiskGroupMap()
{
return s_FXRiskGroupMap;
}
/**
* Retrieve the Category Delta Concentration Threshold Map
*
* @return The Category Delta Concentration Threshold Map
*/
public static final java.util.Map<java.lang.Integer, java.lang.Double> CategoryDeltaMap()
{
return s_CategoryDelta;
}
/**
* Retrieve the Category Vega Concentration Threshold Map
*
* @return The Category Vega Concentration Threshold Map
*/
public static final java.util.Map<java.lang.String, java.lang.Double> CategoryVegaMap()
{
return s_CategoryVega;
}
/**
* Retrieve the Cross Risk Group Co-variance Matrix
*
* @return The Cross Risk Group Co-variance Matrix
*/
public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CrossGroupPrincipalCovariance()
{
java.util.Set<java.lang.Integer> fxBucketSet = s_FXRiskGroupMap.keySet();
int fxRiskGroupCount = fxBucketSet.size();
double[][] crossGroupCorrelation = new double[fxRiskGroupCount][fxRiskGroupCount];
for (int fxRiskGroupIndexI = 0; fxRiskGroupIndexI < fxRiskGroupCount; ++fxRiskGroupIndexI)
{
for (int fxRiskGroupIndexJ = 0; fxRiskGroupIndexJ < fxRiskGroupCount; ++fxRiskGroupIndexJ)
{
crossGroupCorrelation[fxRiskGroupIndexI][fxRiskGroupIndexJ] =
fxRiskGroupIndexI == fxRiskGroupIndexJ ? 1. :
org.drip.simm.fx.FXSystemics21.CORRELATION;
}
}
return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
crossGroupCorrelation,
1.
);
}
}