RiskFactorAggregateCR.java

  1. package org.drip.simm.margin;

  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>RiskFactorAggregateCR</i> holds the Sensitivity Margin Aggregates for each of the CR Risk Factors -
  80.  * both Qualifying and Non-qualifying. 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/margin/README.md">ISDA SIMM Risk Factor Margin Metrics</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class RiskFactorAggregateCR
  121. {
  122.     private double _concentrationRiskFactor = java.lang.Double.NaN;
  123.     private java.util.Map<java.lang.String, java.util.Map<java.lang.String, java.lang.Double>>
  124.         _componentSensitivityMarginMap = null;

  126.     /**
  127.      * RiskFactorAggregateCR Constructor
  128.      * 
  129.      * @param componentSensitivityMarginMap The Component Sensitivity Margin Map
  130.      * @param concentrationRiskFactor The Bucket Concentration Risk Factor
  131.      * 
  132.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  133.      */

  135.     public RiskFactorAggregateCR (
  136.         final java.util.Map<java.lang.String, java.util.Map<java.lang.String, java.lang.Double>>
  137.             componentSensitivityMarginMap,
  138.         final double concentrationRiskFactor)
  139.         throws java.lang.Exception
  140.     {
  141.         if (null == (_componentSensitivityMarginMap = componentSensitivityMarginMap) ||
  142.             0 == _componentSensitivityMarginMap.size() ||
  143.             !org.drip.numerical.common.NumberUtil.IsValid (_concentrationRiskFactor = concentrationRiskFactor))
  144.          {
  145.              throw new java.lang.Exception ("RiskFactorAggregateCR Constructor => Invalid Inputs");
  146.          }
  147.     }

  149.     /**
  150.      * Retrieve the Bucket Concentration Risk Factor
  151.      * 
  152.      * @return The Bucket Concentration Risk Factor
  153.      */

  155.     public double concentrationRiskFactor()
  156.     {
  157.         return _concentrationRiskFactor;
  158.     }

  160.     /**
  161.      * Retrieve the Component Tenor Sensitivity Margin Map
  162.      * 
  163.      * @return The Component Tenor Sensitivity Margin Map
  164.      */

  166.     public java.util.Map<java.lang.String, java.util.Map<java.lang.String, java.lang.Double>>
  167.         componentSensitivityMarginMap()
  168.     {
  169.         return _componentSensitivityMarginMap;
  170.     }

  172.     /**
  173.      * Retrieve the Component Tenor Sensitivity Margin
  174.      * 
  175.      * @param componentName The Component Name
  176.      * 
  177.      * @return The Component Tenor Sensitivity Margin
  178.      */

  180.     public java.util.Map<java.lang.String, java.lang.Double> componentSensitivityMargin (
  181.         final java.lang.String componentName)
  182.     {
  183.         return null != componentName || _componentSensitivityMarginMap.containsKey (componentName) ?
  184.             _componentSensitivityMarginMap.get (componentName) : null;
  185.     }

  187.     /**
  188.      * Compute the Cumulative Sensitivity Margin for the specified Component
  189.      * 
  190.      * @param componentName The Component Name
  191.      * 
  192.      * @return The Cumulative Sensitivity Margin for the specified Component
  193.      * 
  194.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  195.      */

  197.     public double cumulativeComponentSensitivityMargin (
  198.         final java.lang.String componentName)
  199.         throws java.lang.Exception
  200.     {
  201.         if (null == componentName || !_componentSensitivityMarginMap.containsKey (componentName))
  202.         {
  203.             throw new java.lang.Exception
  204.                 ("RiskFactorAggregateCR::cumulativeComponentSensitivityMargin => Invalid Inputs");
  205.         }

  207.         double cumulativeComponentSensitivityMargin = 0.;

  209.         java.util.Map<java.lang.String, java.lang.Double> componentTenorSensitivityMargin =
  210.             _componentSensitivityMarginMap.get (componentName);

  212.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> componentTenorSensitivityMarginEntry :
  213.             componentTenorSensitivityMargin.entrySet())
  214.         {
  215.             cumulativeComponentSensitivityMargin = cumulativeComponentSensitivityMargin +
  216.                 componentTenorSensitivityMarginEntry.getValue();
  217.         }

  219.         return cumulativeComponentSensitivityMargin;
  220.     }

  222.     /**
  223.      * Compute the Cumulative Sensitivity Margin
  224.      * 
  225.      * @return The Cumulative Sensitivity Margin
  226.      */

  228.     public double cumulativeSensitivityMargin()
  229.     {
  230.         double cumulativeSensitivityMargin = 0.;

  232.         for (java.util.Map.Entry<java.lang.String, java.util.Map<java.lang.String, java.lang.Double>>
  233.             componentSensitivityMarginMapEntry : _componentSensitivityMarginMap.entrySet())
  234.         {
  235.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> componentTenorSensitivityMapEntry :
  236.                 componentSensitivityMarginMapEntry.getValue().entrySet())
  237.             {
  238.                 cumulativeSensitivityMargin = cumulativeSensitivityMargin +
  239.                     componentTenorSensitivityMapEntry.getValue();
  240.             }
  241.         }

  243.         return cumulativeSensitivityMargin;
  244.     }

  246.     /**
  247.      * Compute the Component Pair Linear Margin Covariance
  248.      * 
  249.      * @param bucketSensitivitySettingsCR The CR Bucket Sensitivity Settings
  250.      * @param componentName1 Component #1 Name
  251.      * @param componentName2 Component #2 Name
  252.      * 
  253.      * @return The Component Pair Linear Margin Covariance
  254.      * 
  255.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  256.      */

  258.     public double componentLinearMarginCovariance (
  259.         final org.drip.simm.parameters.BucketSensitivitySettingsCR bucketSensitivitySettingsCR,
  260.         final java.lang.String componentName1,
  261.         final java.lang.String componentName2)
  262.         throws java.lang.Exception
  263.     {
  264.         if (null == bucketSensitivitySettingsCR ||
  265.             !_componentSensitivityMarginMap.containsKey (componentName1) ||
  266.             !_componentSensitivityMarginMap.containsKey (componentName2))
  267.         {
  268.             throw new java.lang.Exception
  269.                 ("RiskFactorAggregateCR::componentLinearMarginCovariance => Invalid Inputs");
  270.         }

  272.         double crossTenorCorrelation = bucketSensitivitySettingsCR.extraFamilyCrossTenorCorrelation();

  274.         double componentLinearMarginCovariance = 0.;

  276.         java.util.Map<java.lang.String, java.lang.Double> componentTenorSensitivityMargin1 =
  277.             _componentSensitivityMarginMap.get (componentName1);

  279.         java.util.Map<java.lang.String, java.lang.Double> componentTenorSensitivityMargin2 =
  280.             _componentSensitivityMarginMap.get (componentName2);

  282.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> componentTenorSensitivityMargin1Entry :
  283.             componentTenorSensitivityMargin1.entrySet())
  284.         {
  285.             java.lang.String component1Tenor = componentTenorSensitivityMargin1Entry.getKey();

  287.             double component1SensitivityMargin = componentTenorSensitivityMargin1Entry.getValue();

  289.             for (java.util.Map.Entry<java.lang.String, java.lang.Double>
  290.                 componentTenorSensitivityMargin2Entry : componentTenorSensitivityMargin2.entrySet())
  291.             {
  292.                 componentLinearMarginCovariance = componentLinearMarginCovariance +
  293.                     component1SensitivityMargin * componentTenorSensitivityMargin2Entry.getValue() * (
  294.                         component1Tenor.equalsIgnoreCase (componentTenorSensitivityMargin2Entry.getKey()) ?
  295.                             1. : crossTenorCorrelation
  296.                     );
  297.             }
  298.         }

  300.         return componentLinearMarginCovariance;
  301.     }

  303.     /**
  304.      * Compute the Component Pair Curvature Margin Covariance
  305.      * 
  306.      * @param bucketSensitivitySettingsCR The CR Bucket Sensitivity Settings
  307.      * @param componentName1 Component #1 Name
  308.      * @param componentName2 Component #2 Name
  309.      * 
  310.      * @return The Component Pair Curvature Margin Covariance
  311.      * 
  312.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  313.      */

  315.     public double componentCurvatureMarginCovariance (
  316.         final org.drip.simm.parameters.BucketSensitivitySettingsCR bucketSensitivitySettingsCR,
  317.         final java.lang.String componentName1,
  318.         final java.lang.String componentName2)
  319.         throws java.lang.Exception
  320.     {
  321.         if (null == bucketSensitivitySettingsCR ||
  322.             !_componentSensitivityMarginMap.containsKey (componentName1) ||
  323.             !_componentSensitivityMarginMap.containsKey (componentName2))
  324.         {
  325.             throw new java.lang.Exception
  326.                 ("RiskFactorAggregateCR::componentCurvatureMarginCovariance => Invalid Inputs");
  327.         }

  329.         double crossTenorCorrelation = bucketSensitivitySettingsCR.extraFamilyCrossTenorCorrelation();

  331.         double componentCurvatureMarginCovariance = 0.;

  333.         java.util.Map<java.lang.String, java.lang.Double> componentTenorSensitivityMargin1 =
  334.             _componentSensitivityMarginMap.get (componentName1);

  336.         java.util.Map<java.lang.String, java.lang.Double> componentTenorSensitivityMargin2 =
  337.             _componentSensitivityMarginMap.get (componentName2);

  339.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> componentTenorSensitivityMargin1Entry :
  340.             componentTenorSensitivityMargin1.entrySet())
  341.         {
  342.             java.lang.String component1Tenor = componentTenorSensitivityMargin1Entry.getKey();

  344.             double component1SensitivityMargin = componentTenorSensitivityMargin1Entry.getValue();

  346.             for (java.util.Map.Entry<java.lang.String, java.lang.Double>
  347.                 componentTenorSensitivityMargin2Entry : componentTenorSensitivityMargin2.entrySet())
  348.             {
  349.                 componentCurvatureMarginCovariance = componentCurvatureMarginCovariance +
  350.                     component1SensitivityMargin * componentTenorSensitivityMargin2Entry.getValue() * (
  351.                         component1Tenor.equalsIgnoreCase (componentTenorSensitivityMargin2Entry.getKey()) ?
  352.                             1. : crossTenorCorrelation * crossTenorCorrelation
  353.                     );
  354.             }
  355.         }

  357.         return componentCurvatureMarginCovariance;
  358.     }

  360.     /**
  361.      * Compute the Linear Margin Co-variance
  362.      * 
  363.      * @param bucketSensitivitySettingsCR The CR Bucket Curve Tenor Sensitivity Settings
  364.      * 
  365.      * @return The Linear Margin Co-variance
  366.      */

  368.     public org.drip.simm.margin.SensitivityAggregateCR linearMargin (
  369.         final org.drip.simm.parameters.BucketSensitivitySettingsCR bucketSensitivitySettingsCR)
  370.     {
  371.         java.util.Set<java.lang.String> componentNameSet = _componentSensitivityMarginMap.keySet();

  373.         java.util.Map<java.lang.String, java.lang.Double> componentMarginCovarianceMap = new
  374.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  376.         double cumulativeMarginSensitivity = 0.;

  378.         try
  379.         {
  380.             for (java.lang.String componentName1 : componentNameSet)
  381.             {
  382.                 for (java.lang.String componentName2 : componentNameSet)
  383.                 {
  384.                     double componentLinearMarginCovariance = componentLinearMarginCovariance (
  385.                         bucketSensitivitySettingsCR,
  386.                         componentName1,
  387.                         componentName2
  388.                     );

  390.                     cumulativeMarginSensitivity = cumulativeMarginSensitivity +
  391.                         componentLinearMarginCovariance;

  393.                     componentMarginCovarianceMap.put (
  394.                         componentName1 + "_" + componentName2,
  395.                         componentLinearMarginCovariance
  396.                     );
  397.                 }
  398.             }

  400.             return new SensitivityAggregateCR (
  401.                 componentMarginCovarianceMap,
  402.                 cumulativeMarginSensitivity
  403.             );
  404.         }
  405.         catch (java.lang.Exception e)
  406.         {
  407.             e.printStackTrace();
  408.         }

  410.         return null;
  411.     }

  413.     /**
  414.      * Compute the Curvature Margin Co-variance
  415.      * 
  416.      * @param bucketSensitivitySettingsCR The CR Bucket Curve Tenor Sensitivity Settings
  417.      * 
  418.      * @return The Curvature Margin Co-variance
  419.      */

  421.     public org.drip.simm.margin.SensitivityAggregateCR curvatureMargin (
  422.         final org.drip.simm.parameters.BucketSensitivitySettingsCR bucketSensitivitySettingsCR)
  423.     {
  424.         java.util.Set<java.lang.String> componentNameSet = _componentSensitivityMarginMap.keySet();

  426.         java.util.Map<java.lang.String, java.lang.Double> componentMarginCovarianceMap = new
  427.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  429.         double cumulativeMarginSensitivity = 0.;

  431.         try
  432.         {
  433.             for (java.lang.String componentName1 : componentNameSet)
  434.             {
  435.                 for (java.lang.String componentName2 : componentNameSet)
  436.                 {
  437.                     double componentCurvatureMarginCovariance = componentCurvatureMarginCovariance (
  438.                         bucketSensitivitySettingsCR,
  439.                         componentName1,
  440.                         componentName2
  441.                     );

  443.                     cumulativeMarginSensitivity = cumulativeMarginSensitivity +
  444.                         componentCurvatureMarginCovariance;

  446.                     componentMarginCovarianceMap.put (
  447.                         componentName1 + "_" + componentName2,
  448.                         componentCurvatureMarginCovariance
  449.                     );
  450.                 }
  451.             }

  453.             return new SensitivityAggregateCR (
  454.                 componentMarginCovarianceMap,
  455.                 cumulativeMarginSensitivity
  456.             );
  457.         }
  458.         catch (java.lang.Exception e)
  459.         {
  460.             e.printStackTrace();
  461.         }

  463.         return null;
  464.     }
  465. }
Created with JaCoCo 0.7.9.201702052155