RiskFactorAggregateIR.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>RiskFactorAggregateIR</i> holds the Sensitivity Margin Aggregates for each of the IR Risk Factors -
  80.  * OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL. 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 RiskFactorAggregateIR
  121. {
  122.     private double _concentrationRiskFactor = java.lang.Double.NaN;
  123.     private java.util.Map<java.lang.String, java.lang.Double> _oisSensitivityMargin = null;
  124.     private java.util.Map<java.lang.String, java.lang.Double> _primeSensitivityMargin = null;
  125.     private java.util.Map<java.lang.String, java.lang.Double> _libor1MSensitivityMargin = null;
  126.     private java.util.Map<java.lang.String, java.lang.Double> _libor3MSensitivityMargin = null;
  127.     private java.util.Map<java.lang.String, java.lang.Double> _libor6MSensitivityMargin = null;
  128.     private java.util.Map<java.lang.String, java.lang.Double> _libor12MSensitivityMargin = null;
  129.     private java.util.Map<java.lang.String, java.lang.Double> _municipalSensitivityMargin = null;

  131.     /**
  132.      * RiskFactorAggregateIR Constructor
  133.      * 
  134.      * @param oisSensitivityMargin The OIS Sensitivity Margin
  135.      * @param libor1MSensitivityMargin The LIBOR 1M Sensitivity Margin
  136.      * @param libor3MSensitivityMargin The LIBOR 3M Sensitivity Margin
  137.      * @param libor6MSensitivityMargin The LIBOR 6M Sensitivity Margin
  138.      * @param libor12MSensitivityMargin The LIBOR 12M Sensitivity Margin
  139.      * @param primeSensitivityMargin The PRIME Sensitivity Margin
  140.      * @param municipalSensitivityMargin The Municipal Sensitivity Margin
  141.      // * @param sensitivityMargin The Bucket Sensitivity Margin
  142.      * @param concentrationRiskFactor The Currency's Concentration Risk Factor
  143.      * 
  144.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  145.      */

  147.     public RiskFactorAggregateIR (
  148.         final java.util.Map<java.lang.String, java.lang.Double> oisSensitivityMargin,
  149.         final java.util.Map<java.lang.String, java.lang.Double> libor1MSensitivityMargin,
  150.         final java.util.Map<java.lang.String, java.lang.Double> libor3MSensitivityMargin,
  151.         final java.util.Map<java.lang.String, java.lang.Double> libor6MSensitivityMargin,
  152.         final java.util.Map<java.lang.String, java.lang.Double> libor12MSensitivityMargin,
  153.         final java.util.Map<java.lang.String, java.lang.Double> primeSensitivityMargin,
  154.         final java.util.Map<java.lang.String, java.lang.Double> municipalSensitivityMargin,
  155.         final double concentrationRiskFactor)
  156.         throws java.lang.Exception
  157.     {
  158.         if (null == (_oisSensitivityMargin = oisSensitivityMargin) || 0 == _oisSensitivityMargin.size() ||
  159.             null == (_libor1MSensitivityMargin = libor1MSensitivityMargin) ||
  160.                 0 == _libor1MSensitivityMargin.size() ||
  161.             null == (_libor3MSensitivityMargin = libor3MSensitivityMargin) ||
  162.                 0 == _libor3MSensitivityMargin.size() ||
  163.             null == (_libor6MSensitivityMargin = libor6MSensitivityMargin) ||
  164.                 0 == _libor6MSensitivityMargin.size() ||
  165.             null == (_libor12MSensitivityMargin = libor12MSensitivityMargin) ||
  166.                 0 == _libor12MSensitivityMargin.size() ||
  167.             null == (_municipalSensitivityMargin = municipalSensitivityMargin) ||
  168.                 0 == _municipalSensitivityMargin.size() ||
  169.             null == (_primeSensitivityMargin = primeSensitivityMargin) ||
  170.                 0 == _primeSensitivityMargin.size() ||
  171.             !org.drip.numerical.common.NumberUtil.IsValid (_concentrationRiskFactor = concentrationRiskFactor))
  172.          {
  173.              throw new java.lang.Exception ("RiskFactorAggregateIR Constructor => Invalid Inputs");
  174.          }
  175.     }

  177.     /**
  178.      * Retrieve the OIS Sensitivity Margin Map
  179.      * 
  180.      * @return The OIS Sensitivity Margin Map
  181.      */

  183.     public java.util.Map<java.lang.String, java.lang.Double> oisSensitivityMargin()
  184.     {
  185.         return _oisSensitivityMargin;
  186.     }

  188.     /**
  189.      * Retrieve the LIBOR 1M Sensitivity Margin Map
  190.      * 
  191.      * @return The LIBOR 1M Sensitivity Margin Map
  192.      */

  194.     public java.util.Map<java.lang.String, java.lang.Double> libor1MSensitivityMargin()
  195.     {
  196.         return _libor1MSensitivityMargin;
  197.     }

  199.     /**
  200.      * Retrieve the LIBOR 3M Sensitivity Margin Map
  201.      * 
  202.      * @return The LIBOR 3M Sensitivity Margin Map
  203.      */

  205.     public java.util.Map<java.lang.String, java.lang.Double> libor3MSensitivityMargin()
  206.     {
  207.         return _libor3MSensitivityMargin;
  208.     }

  210.     /**
  211.      * Retrieve the LIBOR 6M Sensitivity Margin Map
  212.      * 
  213.      * @return The LIBOR 6M Sensitivity Margin Map
  214.      */

  216.     public java.util.Map<java.lang.String, java.lang.Double> libor6MSensitivityMargin()
  217.     {
  218.         return _libor6MSensitivityMargin;
  219.     }

  221.     /**
  222.      * Retrieve the LIBOR 12M Sensitivity Margin Map
  223.      * 
  224.      * @return The LIBOR 12M Sensitivity Margin Map
  225.      */

  227.     public java.util.Map<java.lang.String, java.lang.Double> libor12MSensitivityMargin()
  228.     {
  229.         return _libor12MSensitivityMargin;
  230.     }

  232.     /**
  233.      * Retrieve the PRIME Sensitivity Margin Map
  234.      * 
  235.      * @return The PRIME Sensitivity Margin Map
  236.      */

  238.     public java.util.Map<java.lang.String, java.lang.Double> primeSensitivityMargin()
  239.     {
  240.         return _primeSensitivityMargin;
  241.     }

  243.     /**
  244.      * Retrieve the MUNICIPAL Sensitivity Margin Map
  245.      * 
  246.      * @return The MUNICIPAL Sensitivity Margin Map
  247.      */

  249.     public java.util.Map<java.lang.String, java.lang.Double> municipalSensitivityMargin()
  250.     {
  251.         return _municipalSensitivityMargin;
  252.     }

  254.     /**
  255.      * Retrieve the Bucket Concentration Risk Factor
  256.      * 
  257.      * @return The Bucket Concentration Risk Factor
  258.      */

  260.     public double concentrationRiskFactor()
  261.     {
  262.         return _concentrationRiskFactor;
  263.     }

  265.     /**
  266.      * Compute the Cumulative OIS Sensitivity Margin
  267.      * 
  268.      * @return The Cumulative OIS Sensitivity Margin
  269.      */

  271.     public double cumulativeOISSensitivityMargin()
  272.     {
  273.         double cumulativeOISSensitivityMargin = 0.;

  275.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  276.             _oisSensitivityMargin.entrySet())
  277.         {
  278.             cumulativeOISSensitivityMargin = cumulativeOISSensitivityMargin +
  279.                 oisSensitivityMarginEntry.getValue();
  280.         }

  282.         return cumulativeOISSensitivityMargin;
  283.     }

  285.     /**
  286.      * Compute the Cumulative LIBOR1M Sensitivity Margin
  287.      * 
  288.      * @return The Cumulative LIBOR1M Sensitivity Margin
  289.      */

  291.     public double cumulativeLIBOR1MSensitivityMargin()
  292.     {
  293.         double cumulativeLIBOR1MSensitivityMargin = 0.;

  295.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  296.             _libor1MSensitivityMargin.entrySet())
  297.         {
  298.             cumulativeLIBOR1MSensitivityMargin = cumulativeLIBOR1MSensitivityMargin +
  299.                 libor1MSensitivityMarginEntry.getValue();
  300.         }

  302.         return cumulativeLIBOR1MSensitivityMargin;
  303.     }

  305.     /**
  306.      * Compute the Cumulative LIBOR3M Sensitivity Margin
  307.      * 
  308.      * @return The Cumulative LIBOR3M Sensitivity Margin
  309.      */

  311.     public double cumulativeLIBOR3MSensitivityMargin()
  312.     {
  313.         double cumulativeLIBOR3MSensitivityMargin = 0.;

  315.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  316.             _libor3MSensitivityMargin.entrySet())
  317.         {
  318.             cumulativeLIBOR3MSensitivityMargin = cumulativeLIBOR3MSensitivityMargin +
  319.                 libor3MSensitivityMarginEntry.getValue();
  320.         }

  322.         return cumulativeLIBOR3MSensitivityMargin;
  323.     }

  325.     /**
  326.      * Compute the Cumulative LIBOR6M Sensitivity Margin
  327.      * 
  328.      * @return The Cumulative LIBOR6M Sensitivity Margin
  329.      */

  331.     public double cumulativeLIBOR6MSensitivityMargin()
  332.     {
  333.         double cumulativeLIBOR6MSensitivityMargin = 0.;

  335.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  336.             _libor6MSensitivityMargin.entrySet())
  337.         {
  338.             cumulativeLIBOR6MSensitivityMargin = cumulativeLIBOR6MSensitivityMargin +
  339.                 libor6MSensitivityMarginEntry.getValue();
  340.         }

  342.         return cumulativeLIBOR6MSensitivityMargin;
  343.     }

  345.     /**
  346.      * Compute the Cumulative LIBOR12M Sensitivity Margin
  347.      * 
  348.      * @return The Cumulative LIBOR12M Sensitivity Margin
  349.      */

  351.     public double cumulativeLIBOR12MSensitivityMargin()
  352.     {
  353.         double cumulativeLIBOR12MSensitivityMargin = 0.;

  355.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  356.             _libor12MSensitivityMargin.entrySet())
  357.         {
  358.             cumulativeLIBOR12MSensitivityMargin = cumulativeLIBOR12MSensitivityMargin +
  359.                 libor12MSensitivityMarginEntry.getValue();
  360.         }

  362.         return cumulativeLIBOR12MSensitivityMargin;
  363.     }

  365.     /**
  366.      * Compute the Cumulative PRIME Sensitivity Margin
  367.      * 
  368.      * @return The Cumulative PRIME Sensitivity Margin
  369.      */

  371.     public double cumulativePRIMESensitivityMargin()
  372.     {
  373.         double cumulativePRIMESensitivityMargin = 0.;

  375.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  376.             _primeSensitivityMargin.entrySet())
  377.         {
  378.             cumulativePRIMESensitivityMargin = cumulativePRIMESensitivityMargin +
  379.                 primeSensitivityMarginEntry.getValue();
  380.         }

  382.         return cumulativePRIMESensitivityMargin;
  383.     }

  385.     /**
  386.      * Compute the Cumulative MUNICIPAL Sensitivity Margin
  387.      * 
  388.      * @return The Cumulative MUNICIPAL Sensitivity Margin
  389.      */

  391.     public double cumulativeMUNICIPALSensitivityMargin()
  392.     {
  393.         double cumulativeMUNICIPALSensitivityMargin = 0.;

  395.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  396.             _municipalSensitivityMargin.entrySet())
  397.         {
  398.             cumulativeMUNICIPALSensitivityMargin = cumulativeMUNICIPALSensitivityMargin +
  399.                 municipalSensitivityMarginEntry.getValue();
  400.         }

  402.         return cumulativeMUNICIPALSensitivityMargin;
  403.     }

  405.     /**
  406.      * Compute the Cumulative Sensitivity Margin
  407.      * 
  408.      * @return The Cumulative Sensitivity Margin
  409.      */

  411.     public double cumulativeSensitivityMargin()
  412.     {
  413.         return cumulativeOISSensitivityMargin() +
  414.             cumulativeLIBOR1MSensitivityMargin() +
  415.             cumulativeLIBOR3MSensitivityMargin() +
  416.             cumulativeLIBOR6MSensitivityMargin() +
  417.             cumulativeLIBOR12MSensitivityMargin() +
  418.             cumulativePRIMESensitivityMargin() +
  419.             cumulativeMUNICIPALSensitivityMargin();
  420.     }

  422.     /**
  423.      * Compute the Linear OIS-OIS Sensitivity Margin Co-variance
  424.      * 
  425.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  426.      * 
  427.      * @return The Linear OIS-OIS Sensitivity Margin Co-variance
  428.      * 
  429.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  430.      */

  432.     public double linearMarginCovariance_OIS_OIS (
  433.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  434.         throws java.lang.Exception
  435.     {
  436.         if (null == bucketSensitivitySettingsIR)
  437.         {
  438.             throw new java.lang.Exception
  439.                 ("RiskFactorAggregateIR::linearMarginCovariance_OIS_OIS => Invalid Inputs");
  440.         }

  442.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  443.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  445.         double linearMarginCovariance_OIS_OIS = 0.;

  447.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginOuterEntry :
  448.             _oisSensitivityMargin.entrySet())
  449.         {
  450.             java.lang.String outerTenor = oisSensitivityMarginOuterEntry.getKey();

  452.             double outerSensitivityMargin = oisSensitivityMarginOuterEntry.getValue();

  454.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginInnerEntry :
  455.                 _oisSensitivityMargin.entrySet())
  456.             {
  457.                 java.lang.String innerTenor = oisSensitivityMarginInnerEntry.getKey();

  459.                 linearMarginCovariance_OIS_OIS = linearMarginCovariance_OIS_OIS + outerSensitivityMargin *
  460.                     oisSensitivityMarginInnerEntry.getValue() * (
  461.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  462.                             outerTenor,
  463.                             innerTenor
  464.                         )
  465.                     );
  466.             }
  467.         }

  469.         return linearMarginCovariance_OIS_OIS;
  470.     }

  472.     /**
  473.      * Compute the Curvature OIS-OIS Sensitivity Margin Co-variance
  474.      * 
  475.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  476.      * 
  477.      * @return The Curvature OIS-OIS Sensitivity Margin Co-variance
  478.      * 
  479.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  480.      */

  482.     public double curvatureMarginCovariance_OIS_OIS (
  483.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  484.         throws java.lang.Exception
  485.     {
  486.         if (null == bucketSensitivitySettingsIR)
  487.         {
  488.             throw new java.lang.Exception
  489.                 ("RiskFactorAggregateIR::curvatureMarginCovariance_OIS_OIS => Invalid Inputs");
  490.         }

  492.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  493.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  495.         double curvatureMarginCovariance_OIS_OIS = 0.;

  497.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginOuterEntry :
  498.             _oisSensitivityMargin.entrySet())
  499.         {
  500.             java.lang.String outerTenor = oisSensitivityMarginOuterEntry.getKey();

  502.             double outerSensitivityMargin = oisSensitivityMarginOuterEntry.getValue();

  504.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginInnerEntry :
  505.                 _oisSensitivityMargin.entrySet())
  506.             {
  507.                 java.lang.String innerTenor = oisSensitivityMarginInnerEntry.getKey();

  509.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  510.                     tenorCorrelation.entry (
  511.                         outerTenor,
  512.                         innerTenor
  513.                     );

  515.                 curvatureMarginCovariance_OIS_OIS = curvatureMarginCovariance_OIS_OIS +
  516.                     outerSensitivityMargin * oisSensitivityMarginInnerEntry.getValue() *
  517.                         crossTenorCorrelation * crossTenorCorrelation;
  518.             }
  519.         }

  521.         return curvatureMarginCovariance_OIS_OIS;
  522.     }

  524.     /**
  525.      * Compute the Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  526.      * 
  527.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  528.      * 
  529.      * @return The Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  530.      * 
  531.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  532.      */

  534.     public double linearMarginCovariance_LIBOR1M_LIBOR1M (
  535.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  536.         throws java.lang.Exception
  537.     {
  538.         if (null == bucketSensitivitySettingsIR)
  539.         {
  540.             throw new java.lang.Exception
  541.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_LIBOR1M => Invalid Inputs");
  542.         }

  544.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  545.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  547.         double linearMarginCovariance_LIBOR1M_LIBOR1M = 0.;

  549.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginOuterEntry :
  550.             _libor1MSensitivityMargin.entrySet())
  551.         {
  552.             double outerSensitivityMargin = libor1MSensitivityMarginOuterEntry.getValue();

  554.             java.lang.String outerTenor = libor1MSensitivityMarginOuterEntry.getKey();

  556.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginInnerEntry :
  557.                 _libor1MSensitivityMargin.entrySet())
  558.             {
  559.                 java.lang.String innerTenor = libor1MSensitivityMarginInnerEntry.getKey();

  561.                 linearMarginCovariance_LIBOR1M_LIBOR1M = linearMarginCovariance_LIBOR1M_LIBOR1M +
  562.                     outerSensitivityMargin * libor1MSensitivityMarginInnerEntry.getValue() * (
  563.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  564.                             outerTenor,
  565.                             innerTenor
  566.                         )
  567.                     );
  568.             }
  569.         }

  571.         return linearMarginCovariance_LIBOR1M_LIBOR1M;
  572.     }

  574.     /**
  575.      * Compute the Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  576.      * 
  577.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  578.      * 
  579.      * @return The Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
  580.      * 
  581.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  582.      */

  584.     public double curvatureMarginCovariance_LIBOR1M_LIBOR1M (
  585.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  586.         throws java.lang.Exception
  587.     {
  588.         if (null == bucketSensitivitySettingsIR)
  589.         {
  590.             throw new java.lang.Exception
  591.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_LIBOR1M => Invalid Inputs");
  592.         }

  594.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  595.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  597.         double linearMarginCovariance_LIBOR1M_LIBOR1M = 0.;

  599.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginOuterEntry :
  600.             _libor1MSensitivityMargin.entrySet())
  601.         {
  602.             double outerSensitivityMargin = libor1MSensitivityMarginOuterEntry.getValue();

  604.             java.lang.String outerTenor = libor1MSensitivityMarginOuterEntry.getKey();

  606.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginInnerEntry :
  607.                 _libor1MSensitivityMargin.entrySet())
  608.             {
  609.                 java.lang.String innerTenor = libor1MSensitivityMarginInnerEntry.getKey();

  611.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  612.                     tenorCorrelation.entry (
  613.                         outerTenor,
  614.                         innerTenor
  615.                     );

  617.                 linearMarginCovariance_LIBOR1M_LIBOR1M = linearMarginCovariance_LIBOR1M_LIBOR1M +
  618.                     outerSensitivityMargin * libor1MSensitivityMarginInnerEntry.getValue() *
  619.                         crossTenorCorrelation * crossTenorCorrelation;
  620.             }
  621.         }

  623.         return linearMarginCovariance_LIBOR1M_LIBOR1M;
  624.     }

  626.     /**
  627.      * Compute the Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  628.      * 
  629.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  630.      * 
  631.      * @return The Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  632.      * 
  633.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  634.      */

  636.     public double linearMarginCovariance_LIBOR3M_LIBOR3M (
  637.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  638.         throws java.lang.Exception
  639.     {
  640.         if (null == bucketSensitivitySettingsIR)
  641.         {
  642.             throw new java.lang.Exception
  643.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR3M_LIBOR3M => Invalid Inputs");
  644.         }

  646.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  647.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  649.         double linearMarginCovariance_LIBOR3M_LIBOR3M = 0.;

  651.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginOuterEntry :
  652.             _libor3MSensitivityMargin.entrySet())
  653.         {
  654.             double outerSensitivityMargin = libor3MSensitivityMarginOuterEntry.getValue();

  656.             java.lang.String outerTenor = libor3MSensitivityMarginOuterEntry.getKey();

  658.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginInnerEntry :
  659.                 _libor3MSensitivityMargin.entrySet())
  660.             {
  661.                 java.lang.String innerTenor = libor3MSensitivityMarginInnerEntry.getKey();

  663.                 linearMarginCovariance_LIBOR3M_LIBOR3M = linearMarginCovariance_LIBOR3M_LIBOR3M +
  664.                     outerSensitivityMargin * libor3MSensitivityMarginInnerEntry.getValue() * (
  665.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  666.                             outerTenor,
  667.                             innerTenor
  668.                         )
  669.                     );
  670.             }
  671.         }

  673.         return linearMarginCovariance_LIBOR3M_LIBOR3M;
  674.     }

  676.     /**
  677.      * Compute the Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  678.      * 
  679.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  680.      * 
  681.      * @return The Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
  682.      * 
  683.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  684.      */

  686.     public double curvatureMarginCovariance_LIBOR3M_LIBOR3M (
  687.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  688.         throws java.lang.Exception
  689.     {
  690.         if (null == bucketSensitivitySettingsIR)
  691.         {
  692.             throw new java.lang.Exception
  693.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR3M_LIBOR3M => Invalid Inputs");
  694.         }

  696.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  697.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  699.         double curvatureMarginCovariance_LIBOR3M_LIBOR3M = 0.;

  701.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginOuterEntry :
  702.             _libor3MSensitivityMargin.entrySet())
  703.         {
  704.             double outerSensitivityMargin = libor3MSensitivityMarginOuterEntry.getValue();

  706.             java.lang.String outerTenor = libor3MSensitivityMarginOuterEntry.getKey();

  708.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginInnerEntry :
  709.                 _libor3MSensitivityMargin.entrySet())
  710.             {
  711.                 java.lang.String innerTenor = libor3MSensitivityMarginInnerEntry.getKey();

  713.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  714.                     tenorCorrelation.entry (
  715.                         outerTenor,
  716.                         innerTenor
  717.                     );

  719.                 curvatureMarginCovariance_LIBOR3M_LIBOR3M = curvatureMarginCovariance_LIBOR3M_LIBOR3M +
  720.                     outerSensitivityMargin * libor3MSensitivityMarginInnerEntry.getValue() *
  721.                         crossTenorCorrelation * crossTenorCorrelation;
  722.             }
  723.         }

  725.         return curvatureMarginCovariance_LIBOR3M_LIBOR3M;
  726.     }

  728.     /**
  729.      * Compute the Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  730.      * 
  731.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  732.      * 
  733.      * @return The Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  734.      * 
  735.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  736.      */

  738.     public double linearMarginCovariance_LIBOR6M_LIBOR6M (
  739.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  740.         throws java.lang.Exception
  741.     {
  742.         if (null == bucketSensitivitySettingsIR)
  743.         {
  744.             throw new java.lang.Exception
  745.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR6M_LIBOR6M => Invalid Inputs");
  746.         }

  748.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  749.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  751.         double linearMarginCovariance_LIBOR6M_LIBOR6M = 0.;

  753.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginOuterEntry :
  754.             _libor6MSensitivityMargin.entrySet())
  755.         {
  756.             double outerSensitivityMargin = libor6MSensitivityMarginOuterEntry.getValue();

  758.             java.lang.String outerTenor = libor6MSensitivityMarginOuterEntry.getKey();

  760.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginInnerEntry :
  761.                 _libor6MSensitivityMargin.entrySet())
  762.             {
  763.                 java.lang.String innerTenor = libor6MSensitivityMarginInnerEntry.getKey();

  765.                 linearMarginCovariance_LIBOR6M_LIBOR6M = linearMarginCovariance_LIBOR6M_LIBOR6M +
  766.                     outerSensitivityMargin * libor6MSensitivityMarginInnerEntry.getValue() * (
  767.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  768.                             outerTenor,
  769.                             innerTenor
  770.                         )
  771.                     );
  772.             }
  773.         }

  775.         return linearMarginCovariance_LIBOR6M_LIBOR6M;
  776.     }

  778.     /**
  779.      * Compute the Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  780.      * 
  781.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  782.      * 
  783.      * @return The Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
  784.      * 
  785.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  786.      */

  788.     public double curvatureMarginCovariance_LIBOR6M_LIBOR6M (
  789.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  790.         throws java.lang.Exception
  791.     {
  792.         if (null == bucketSensitivitySettingsIR)
  793.         {
  794.             throw new java.lang.Exception
  795.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR6M_LIBOR6M => Invalid Inputs");
  796.         }

  798.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  799.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  801.         double curvatureMarginCovariance_LIBOR6M_LIBOR6M = 0.;

  803.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginOuterEntry :
  804.             _libor6MSensitivityMargin.entrySet())
  805.         {
  806.             double outerSensitivityMargin = libor6MSensitivityMarginOuterEntry.getValue();

  808.             java.lang.String outerTenor = libor6MSensitivityMarginOuterEntry.getKey();

  810.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginInnerEntry :
  811.                 _libor6MSensitivityMargin.entrySet())
  812.             {
  813.                 java.lang.String innerTenor = libor6MSensitivityMarginInnerEntry.getKey();

  815.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  816.                     tenorCorrelation.entry (
  817.                         outerTenor,
  818.                         innerTenor
  819.                     );

  821.                 curvatureMarginCovariance_LIBOR6M_LIBOR6M = curvatureMarginCovariance_LIBOR6M_LIBOR6M +
  822.                     outerSensitivityMargin * libor6MSensitivityMarginInnerEntry.getValue() *
  823.                         crossTenorCorrelation * crossTenorCorrelation;
  824.             }
  825.         }

  827.         return curvatureMarginCovariance_LIBOR6M_LIBOR6M;
  828.     }

  830.     /**
  831.      * Compute the Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  832.      * 
  833.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  834.      * 
  835.      * @return The Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  836.      * 
  837.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  838.      */

  840.     public double linearMarginCovariance_LIBOR12M_LIBOR12M (
  841.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  842.         throws java.lang.Exception
  843.     {
  844.         if (null == bucketSensitivitySettingsIR)
  845.         {
  846.             throw new java.lang.Exception
  847.                 ("IRFactorAggregate::marginCovariance_LIBOR12M_LIBOR12M => Invalid Inputs");
  848.         }

  850.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  851.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  853.         double linearMarginCovariance_LIBOR12M_LIBOR12M = 0.;

  855.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginOuterEntry :
  856.             _libor12MSensitivityMargin.entrySet())
  857.         {
  858.             double outerSensitivityMargin = libor12MSensitivityMarginOuterEntry.getValue();

  860.             java.lang.String outerTenor = libor12MSensitivityMarginOuterEntry.getKey();

  862.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginInnerEntry
  863.                 : _libor12MSensitivityMargin.entrySet())
  864.             {
  865.                 java.lang.String innerTenor = libor12MSensitivityMarginInnerEntry.getKey();

  867.                 linearMarginCovariance_LIBOR12M_LIBOR12M = linearMarginCovariance_LIBOR12M_LIBOR12M +
  868.                     outerSensitivityMargin * libor12MSensitivityMarginInnerEntry.getValue() * (
  869.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  870.                             outerTenor,
  871.                             innerTenor
  872.                         )
  873.                     );
  874.             }
  875.         }

  877.         return linearMarginCovariance_LIBOR12M_LIBOR12M;
  878.     }

  880.     /**
  881.      * Compute the Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  882.      * 
  883.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  884.      * 
  885.      * @return The Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
  886.      * 
  887.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  888.      */

  890.     public double curvatureMarginCovariance_LIBOR12M_LIBOR12M (
  891.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  892.         throws java.lang.Exception
  893.     {
  894.         if (null == bucketSensitivitySettingsIR)
  895.         {
  896.             throw new java.lang.Exception
  897.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR12M_LIBOR12M => Invalid Inputs");
  898.         }

  900.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  901.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  903.         double curvatureMarginCovariance_LIBOR12M_LIBOR12M = 0.;

  905.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginOuterEntry :
  906.             _libor12MSensitivityMargin.entrySet())
  907.         {
  908.             double outerSensitivityMargin = libor12MSensitivityMarginOuterEntry.getValue();

  910.             java.lang.String outerTenor = libor12MSensitivityMarginOuterEntry.getKey();

  912.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginInnerEntry
  913.                 : _libor12MSensitivityMargin.entrySet())
  914.             {
  915.                 java.lang.String innerTenor = libor12MSensitivityMarginInnerEntry.getKey();

  917.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  918.                     tenorCorrelation.entry (
  919.                         outerTenor,
  920.                         innerTenor
  921.                     );

  923.                 curvatureMarginCovariance_LIBOR12M_LIBOR12M = curvatureMarginCovariance_LIBOR12M_LIBOR12M +
  924.                     outerSensitivityMargin * libor12MSensitivityMarginInnerEntry.getValue() *
  925.                         crossTenorCorrelation * crossTenorCorrelation;
  926.             }
  927.         }

  929.         return curvatureMarginCovariance_LIBOR12M_LIBOR12M;
  930.     }

  932.     /**
  933.      * Compute the Linear PRIME-PRIME Sensitivity Margin Co-variance
  934.      * 
  935.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  936.      * 
  937.      * @return The Linear PRIME-PRIME Sensitivity Margin Co-variance
  938.      * 
  939.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  940.      */

  942.     public double linearMarginCovariance_PRIME_PRIME (
  943.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  944.         throws java.lang.Exception
  945.     {
  946.         if (null == bucketSensitivitySettingsIR)
  947.         {
  948.             throw new java.lang.Exception
  949.                 ("IRFactorAggregate::linearMarginCovariance_PRIME_PRIME => Invalid Inputs");
  950.         }

  952.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  953.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  955.         double linearMarginCovariance_PRIME_PRIME = 0.;

  957.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginOuterEntry :
  958.             _primeSensitivityMargin.entrySet())
  959.         {
  960.             double outerSensitivityMargin = primeSensitivityMarginOuterEntry.getValue();

  962.             java.lang.String outerTenor = primeSensitivityMarginOuterEntry.getKey();

  964.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginInnerEntry :
  965.                 _primeSensitivityMargin.entrySet())
  966.             {
  967.                 java.lang.String innerTenor = primeSensitivityMarginInnerEntry.getKey();

  969.                 linearMarginCovariance_PRIME_PRIME = linearMarginCovariance_PRIME_PRIME +
  970.                     outerSensitivityMargin * primeSensitivityMarginInnerEntry.getValue() * (
  971.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  972.                             outerTenor,
  973.                             innerTenor
  974.                         )
  975.                     );
  976.             }
  977.         }

  979.         return linearMarginCovariance_PRIME_PRIME;
  980.     }

  982.     /**
  983.      * Compute the Curvature PRIME-PRIME Sensitivity Margin Co-variance
  984.      * 
  985.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  986.      * 
  987.      * @return The Curvature PRIME-PRIME Sensitivity Margin Co-variance
  988.      * 
  989.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  990.      */

  992.     public double curvatureMarginCovariance_PRIME_PRIME (
  993.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  994.         throws java.lang.Exception
  995.     {
  996.         if (null == bucketSensitivitySettingsIR)
  997.         {
  998.             throw new java.lang.Exception
  999.                 ("IRFactorAggregate::curvatureMarginCovariance_PRIME_PRIME => Invalid Inputs");
  1000.         }

  1002.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1003.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1005.         double curvatureMarginCovariance_PRIME_PRIME = 0.;

  1007.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginOuterEntry :
  1008.             _primeSensitivityMargin.entrySet())
  1009.         {
  1010.             double outerSensitivityMargin = primeSensitivityMarginOuterEntry.getValue();

  1012.             java.lang.String outerTenor = primeSensitivityMarginOuterEntry.getKey();

  1014.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginInnerEntry :
  1015.                 _primeSensitivityMargin.entrySet())
  1016.             {
  1017.                 java.lang.String innerTenor = primeSensitivityMarginInnerEntry.getKey();

  1019.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  1020.                     tenorCorrelation.entry (
  1021.                         outerTenor,
  1022.                         innerTenor
  1023.                     );

  1025.                 curvatureMarginCovariance_PRIME_PRIME = curvatureMarginCovariance_PRIME_PRIME +
  1026.                     outerSensitivityMargin * primeSensitivityMarginInnerEntry.getValue() *
  1027.                         crossTenorCorrelation * crossTenorCorrelation;
  1028.             }
  1029.         }

  1031.         return curvatureMarginCovariance_PRIME_PRIME;
  1032.     }

  1034.     /**
  1035.      * Compute the Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  1036.      * 
  1037.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1038.      * 
  1039.      * @return The Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  1040.      * 
  1041.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1042.      */

  1044.     public double linearMarginCovariance_MUNICIPAL_MUNICIPAL (
  1045.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1046.         throws java.lang.Exception
  1047.     {
  1048.         if (null == bucketSensitivitySettingsIR)
  1049.         {
  1050.             throw new java.lang.Exception
  1051.                 ("IRFactorAggregate::linearMarginCovariance_MUNICIPAL_MUNICIPAL => Invalid Inputs");
  1052.         }

  1054.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1055.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1057.         double linearMarginCovariance_MUNICIPAL_MUNICIPAL = 0.;

  1059.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginOuterEntry :
  1060.             _municipalSensitivityMargin.entrySet())
  1061.         {
  1062.             double outerSensitivityMargin = municipalSensitivityMarginOuterEntry.getValue();

  1064.             java.lang.String outerTenor = municipalSensitivityMarginOuterEntry.getKey();

  1066.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginInnerEntry
  1067.                 : _municipalSensitivityMargin.entrySet())
  1068.             {
  1069.                 java.lang.String innerTenor = municipalSensitivityMarginInnerEntry.getKey();

  1071.                 linearMarginCovariance_MUNICIPAL_MUNICIPAL = linearMarginCovariance_MUNICIPAL_MUNICIPAL +
  1072.                     outerSensitivityMargin * municipalSensitivityMarginInnerEntry.getValue() * (
  1073.                         outerTenor.equalsIgnoreCase (innerTenor) ? 1. : tenorCorrelation.entry (
  1074.                             outerTenor,
  1075.                             innerTenor
  1076.                         )
  1077.                     );
  1078.             }
  1079.         }

  1081.         return linearMarginCovariance_MUNICIPAL_MUNICIPAL;
  1082.     }

  1084.     /**
  1085.      * Compute the Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  1086.      * 
  1087.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1088.      * 
  1089.      * @return The Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
  1090.      * 
  1091.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1092.      */

  1094.     public double curvatureMarginCovariance_MUNICIPAL_MUNICIPAL (
  1095.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1096.         throws java.lang.Exception
  1097.     {
  1098.         if (null == bucketSensitivitySettingsIR)
  1099.         {
  1100.             throw new java.lang.Exception
  1101.                 ("IRFactorAggregate::curvatureMarginCovariance_MUNICIPAL_MUNICIPAL => Invalid Inputs");
  1102.         }

  1104.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1105.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1107.         double curvatureMarginCovariance_MUNICIPAL_MUNICIPAL = 0.;

  1109.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginOuterEntry :
  1110.             _municipalSensitivityMargin.entrySet())
  1111.         {
  1112.             double outerSensitivityMargin = municipalSensitivityMarginOuterEntry.getValue();

  1114.             java.lang.String outerTenor = municipalSensitivityMarginOuterEntry.getKey();

  1116.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginInnerEntry
  1117.                 : _municipalSensitivityMargin.entrySet())
  1118.             {
  1119.                 java.lang.String innerTenor = municipalSensitivityMarginInnerEntry.getKey();

  1121.                 double crossTenorCorrelation = outerTenor.equalsIgnoreCase (innerTenor) ? 1. :
  1122.                     tenorCorrelation.entry (
  1123.                         outerTenor,
  1124.                         innerTenor
  1125.                     );

  1127.                 curvatureMarginCovariance_MUNICIPAL_MUNICIPAL = curvatureMarginCovariance_MUNICIPAL_MUNICIPAL
  1128.                     + outerSensitivityMargin * municipalSensitivityMarginInnerEntry.getValue() *
  1129.                         crossTenorCorrelation * crossTenorCorrelation;
  1130.             }
  1131.         }

  1133.         return curvatureMarginCovariance_MUNICIPAL_MUNICIPAL;
  1134.     }

  1136.     /**
  1137.      * Compute the Linear OIS-LIBOR1M Sensitivity Margin Co-variance
  1138.      * 
  1139.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1140.      * 
  1141.      * @return The Linear OIS-LIBOR1M Sensitivity Margin Co-variance
  1142.      * 
  1143.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1144.      */

  1146.     public double linearMarginCovariance_OIS_LIBOR1M (
  1147.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1148.         throws java.lang.Exception
  1149.     {
  1150.         if (null == bucketSensitivitySettingsIR)
  1151.         {
  1152.             throw new java.lang.Exception
  1153.                 ("IRFactorAggregate::linearMarginCovariance_OIS_LIBOR1M => Invalid Inputs");
  1154.         }

  1156.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1157.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1159.         double linearMarginCovariance_OIS_LIBOR1M = 0.;

  1161.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1162.             _oisSensitivityMargin.entrySet())
  1163.         {
  1164.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1166.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1168.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1169.                 _libor1MSensitivityMargin.entrySet())
  1170.             {
  1171.                 java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1173.                 linearMarginCovariance_OIS_LIBOR1M = linearMarginCovariance_OIS_LIBOR1M +
  1174.                     oisSensitivityMargin * libor1MSensitivityMarginEntry.getValue() * (
  1175.                         oisTenor.equalsIgnoreCase (libor1MTenor) ? 1. : tenorCorrelation.entry (
  1176.                             oisTenor,
  1177.                             libor1MTenor
  1178.                         )
  1179.                     );
  1180.             }
  1181.         }

  1183.         return linearMarginCovariance_OIS_LIBOR1M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1184.     }

  1186.     /**
  1187.      * Compute the Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
  1188.      * 
  1189.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1190.      * 
  1191.      * @return The Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
  1192.      * 
  1193.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1194.      */

  1196.     public double curvatureMarginCovariance_OIS_LIBOR1M (
  1197.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1198.         throws java.lang.Exception
  1199.     {
  1200.         if (null == bucketSensitivitySettingsIR)
  1201.         {
  1202.             throw new java.lang.Exception
  1203.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_LIBOR1M => Invalid Inputs");
  1204.         }

  1206.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1207.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1209.         double curvatureMarginCovariance_OIS_LIBOR1M = 0.;

  1211.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1212.             _oisSensitivityMargin.entrySet())
  1213.         {
  1214.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1216.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1218.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1219.                 _libor1MSensitivityMargin.entrySet())
  1220.             {
  1221.                 java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1223.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (libor1MTenor) ? 1. :
  1224.                     tenorCorrelation.entry (
  1225.                         oisTenor,
  1226.                         libor1MTenor
  1227.                     );

  1229.                 curvatureMarginCovariance_OIS_LIBOR1M = curvatureMarginCovariance_OIS_LIBOR1M +
  1230.                     oisSensitivityMargin * libor1MSensitivityMarginEntry.getValue() * crossTenorCorrelation *
  1231.                         crossTenorCorrelation;
  1232.             }
  1233.         }

  1235.         return curvatureMarginCovariance_OIS_LIBOR1M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1236.     }

  1238.     /**
  1239.      * Compute the Linear OIS-LIBOR3M Sensitivity Margin Co-variance
  1240.      * 
  1241.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1242.      * 
  1243.      * @return The Linear OIS-LIBOR3M Sensitivity Margin Co-variance
  1244.      * 
  1245.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1246.      */

  1248.     public double linearMarginCovariance_OIS_LIBOR3M (
  1249.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1250.         throws java.lang.Exception
  1251.     {
  1252.         if (null == bucketSensitivitySettingsIR)
  1253.         {
  1254.             throw new java.lang.Exception
  1255.                 ("IRFactorAggregate::linearMarginCovariance_OIS_LIBOR3M => Invalid Inputs");
  1256.         }

  1258.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1259.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1261.         double linearMarginCovariance_OIS_LIBOR3M = 0.;

  1263.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1264.             _oisSensitivityMargin.entrySet())
  1265.         {
  1266.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1268.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1270.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  1271.                 _libor3MSensitivityMargin.entrySet())
  1272.             {
  1273.                 java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  1275.                 linearMarginCovariance_OIS_LIBOR3M = linearMarginCovariance_OIS_LIBOR3M +
  1276.                     oisSensitivityMargin * libor3MSensitivityMarginEntry.getValue() * (
  1277.                         oisTenor.equalsIgnoreCase (libor3MTenor) ? 1. : tenorCorrelation.entry (
  1278.                             oisTenor,
  1279.                             libor3MTenor
  1280.                         )
  1281.                     );
  1282.             }
  1283.         }

  1285.         return linearMarginCovariance_OIS_LIBOR3M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1286.     }

  1288.     /**
  1289.      * Compute the Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
  1290.      * 
  1291.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1292.      * 
  1293.      * @return The Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
  1294.      * 
  1295.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1296.      */

  1298.     public double curvatureMarginCovariance_OIS_LIBOR3M (
  1299.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1300.         throws java.lang.Exception
  1301.     {
  1302.         if (null == bucketSensitivitySettingsIR)
  1303.         {
  1304.             throw new java.lang.Exception
  1305.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_LIBOR3M => Invalid Inputs");
  1306.         }

  1308.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1309.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1311.         double curvatureMarginCovariance_OIS_LIBOR3M = 0.;

  1313.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1314.             _oisSensitivityMargin.entrySet())
  1315.         {
  1316.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1318.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1320.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  1321.                 _libor3MSensitivityMargin.entrySet())
  1322.             {
  1323.                 java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  1325.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (libor3MTenor) ? 1. :
  1326.                     tenorCorrelation.entry (
  1327.                         oisTenor,
  1328.                         libor3MTenor
  1329.                     );

  1331.                 curvatureMarginCovariance_OIS_LIBOR3M = curvatureMarginCovariance_OIS_LIBOR3M +
  1332.                     oisSensitivityMargin * libor3MSensitivityMarginEntry.getValue() * crossTenorCorrelation *
  1333.                         crossTenorCorrelation;
  1334.             }
  1335.         }

  1337.         return curvatureMarginCovariance_OIS_LIBOR3M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1338.     }

  1340.     /**
  1341.      * Compute the Linear OIS-LIBOR6M Sensitivity Margin Co-variance
  1342.      * 
  1343.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1344.      * 
  1345.      * @return The Linear OIS-LIBOR6M Sensitivity Margin Co-variance
  1346.      * 
  1347.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1348.      */

  1350.     public double linearMarginCovariance_OIS_LIBOR6M (
  1351.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1352.         throws java.lang.Exception
  1353.     {
  1354.         if (null == bucketSensitivitySettingsIR)
  1355.         {
  1356.             throw new java.lang.Exception
  1357.                 ("IRFactorAggregate::linearMarginCovariance_OIS_LIBOR6M => Invalid Inputs");
  1358.         }

  1360.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1361.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1363.         double linearMarginCovariance_OIS_LIBOR6M = 0.;

  1365.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1366.             _oisSensitivityMargin.entrySet())
  1367.         {
  1368.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1370.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1372.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  1373.                 _libor6MSensitivityMargin.entrySet())
  1374.             {
  1375.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  1377.                 linearMarginCovariance_OIS_LIBOR6M = linearMarginCovariance_OIS_LIBOR6M +
  1378.                     oisSensitivityMargin * libor6MSensitivityMarginEntry.getValue() * (
  1379.                         oisTenor.equalsIgnoreCase (libor6MTenor) ? 1. : tenorCorrelation.entry (
  1380.                             oisTenor,
  1381.                             libor6MTenor
  1382.                         )
  1383.                     );
  1384.             }
  1385.         }

  1387.         return linearMarginCovariance_OIS_LIBOR6M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1388.     }

  1390.     /**
  1391.      * Compute the Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
  1392.      * 
  1393.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1394.      * 
  1395.      * @return The Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
  1396.      * 
  1397.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1398.      */

  1400.     public double curvatureMarginCovariance_OIS_LIBOR6M (
  1401.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1402.         throws java.lang.Exception
  1403.     {
  1404.         if (null == bucketSensitivitySettingsIR)
  1405.         {
  1406.             throw new java.lang.Exception
  1407.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_LIBOR6M => Invalid Inputs");
  1408.         }

  1410.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1411.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1413.         double curvatureMarginCovariance_OIS_LIBOR6M = 0.;

  1415.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1416.             _oisSensitivityMargin.entrySet())
  1417.         {
  1418.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1420.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1422.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  1423.                 _libor6MSensitivityMargin.entrySet())
  1424.             {
  1425.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  1427.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (libor6MTenor) ? 1. :
  1428.                     tenorCorrelation.entry (
  1429.                         oisTenor,
  1430.                         libor6MTenor
  1431.                     );

  1433.                 curvatureMarginCovariance_OIS_LIBOR6M = curvatureMarginCovariance_OIS_LIBOR6M +
  1434.                     oisSensitivityMargin * libor6MSensitivityMarginEntry.getValue() * crossTenorCorrelation *
  1435.                         crossTenorCorrelation;
  1436.             }
  1437.         }

  1439.         return curvatureMarginCovariance_OIS_LIBOR6M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1440.     }

  1442.     /**
  1443.      * Compute the Linear OIS-LIBOR12M Sensitivity Margin Co-variance
  1444.      * 
  1445.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1446.      * 
  1447.      * @return The Linear OIS-LIBOR12M Sensitivity Margin Co-variance
  1448.      * 
  1449.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1450.      */

  1452.     public double linearMarginCovariance_OIS_LIBOR12M (
  1453.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1454.         throws java.lang.Exception
  1455.     {
  1456.         if (null == bucketSensitivitySettingsIR)
  1457.         {
  1458.             throw new java.lang.Exception
  1459.                 ("IRFactorAggregate::linearMarginCovariance_OIS_LIBOR12M => Invalid Inputs");
  1460.         }

  1462.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1463.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1465.         double linearMarginCovariance_OIS_LIBOR12M = 0.;

  1467.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1468.             _oisSensitivityMargin.entrySet())
  1469.         {
  1470.             double oisSensitivity = oisSensitivityMarginEntry.getValue();

  1472.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1474.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  1475.                 _libor12MSensitivityMargin.entrySet())
  1476.             {
  1477.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  1479.                 linearMarginCovariance_OIS_LIBOR12M = linearMarginCovariance_OIS_LIBOR12M +
  1480.                     oisSensitivity * libor12MSensitivityMarginEntry.getValue() * (
  1481.                         oisTenor.equalsIgnoreCase (libor12MTenor) ? 1. : tenorCorrelation.entry (
  1482.                             oisTenor,
  1483.                             libor12MTenor
  1484.                         )
  1485.                     );
  1486.             }
  1487.         }

  1489.         return linearMarginCovariance_OIS_LIBOR12M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1490.     }

  1492.     /**
  1493.      * Compute the Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
  1494.      * 
  1495.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1496.      * 
  1497.      * @return The Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
  1498.      * 
  1499.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1500.      */

  1502.     public double curvatureMarginCovariance_OIS_LIBOR12M (
  1503.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1504.         throws java.lang.Exception
  1505.     {
  1506.         if (null == bucketSensitivitySettingsIR)
  1507.         {
  1508.             throw new java.lang.Exception
  1509.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_LIBOR12M => Invalid Inputs");
  1510.         }

  1512.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1513.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1515.         double curvatureMarginCovariance_OIS_LIBOR12M = 0.;

  1517.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1518.             _oisSensitivityMargin.entrySet())
  1519.         {
  1520.             double oisSensitivity = oisSensitivityMarginEntry.getValue();

  1522.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1524.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  1525.                 _libor12MSensitivityMargin.entrySet())
  1526.             {
  1527.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  1529.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (libor12MTenor) ? 1. :
  1530.                     tenorCorrelation.entry (
  1531.                         oisTenor,
  1532.                         libor12MTenor
  1533.                     );

  1535.                 curvatureMarginCovariance_OIS_LIBOR12M = curvatureMarginCovariance_OIS_LIBOR12M +
  1536.                     oisSensitivity * libor12MSensitivityMarginEntry.getValue() * crossTenorCorrelation *
  1537.                         crossTenorCorrelation;
  1538.             }
  1539.         }

  1541.         return curvatureMarginCovariance_OIS_LIBOR12M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1542.     }

  1544.     /**
  1545.      * Compute the Linear OIS-PRIME Sensitivity Margin Co-variance
  1546.      * 
  1547.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1548.      * 
  1549.      * @return The Linear OIS-PRIME Sensitivity Margin Co-variance
  1550.      * 
  1551.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1552.      */

  1554.     public double linearMarginCovariance_OIS_PRIME (
  1555.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1556.         throws java.lang.Exception
  1557.     {
  1558.         if (null == bucketSensitivitySettingsIR)
  1559.         {
  1560.             throw new java.lang.Exception
  1561.                 ("IRFactorAggregate::linearMarginCovariance_OIS_PRIME => Invalid Inputs");
  1562.         }

  1564.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1565.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1567.         double linearMarginCovariance_OIS_PRIME = 0.;

  1569.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1570.             _oisSensitivityMargin.entrySet())
  1571.         {
  1572.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1574.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1576.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  1577.                 _primeSensitivityMargin.entrySet())
  1578.             {
  1579.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  1581.                 linearMarginCovariance_OIS_PRIME = linearMarginCovariance_OIS_PRIME + oisSensitivityMargin *
  1582.                     primeSensitivityMarginEntry.getValue() * (
  1583.                         oisTenor.equalsIgnoreCase (primeTenor) ? 1. : tenorCorrelation.entry (
  1584.                             oisTenor,
  1585.                             primeTenor
  1586.                         )
  1587.                     );
  1588.             }
  1589.         }

  1591.         return linearMarginCovariance_OIS_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1592.     }

  1594.     /**
  1595.      * Compute the Curvature OIS-PRIME Sensitivity Margin Co-variance
  1596.      * 
  1597.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1598.      * 
  1599.      * @return The Curvature OIS-PRIME Sensitivity Margin Co-variance
  1600.      * 
  1601.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1602.      */

  1604.     public double curvatureMarginCovariance_OIS_PRIME (
  1605.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1606.         throws java.lang.Exception
  1607.     {
  1608.         if (null == bucketSensitivitySettingsIR)
  1609.         {
  1610.             throw new java.lang.Exception
  1611.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_PRIME => Invalid Inputs");
  1612.         }

  1614.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1615.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1617.         double curvatureMarginCovariance_OIS_PRIME = 0.;

  1619.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1620.             _oisSensitivityMargin.entrySet())
  1621.         {
  1622.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1624.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1626.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  1627.                 _primeSensitivityMargin.entrySet())
  1628.             {
  1629.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  1631.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (primeTenor) ? 1. :
  1632.                     tenorCorrelation.entry (
  1633.                         oisTenor,
  1634.                         primeTenor
  1635.                     );

  1637.                 curvatureMarginCovariance_OIS_PRIME = curvatureMarginCovariance_OIS_PRIME +
  1638.                     oisSensitivityMargin * primeSensitivityMarginEntry.getValue() * crossTenorCorrelation *
  1639.                         crossTenorCorrelation;
  1640.             }
  1641.         }

  1643.         return curvatureMarginCovariance_OIS_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1644.     }

  1646.     /**
  1647.      * Compute the Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
  1648.      * 
  1649.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1650.      * 
  1651.      * @return The Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
  1652.      * 
  1653.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1654.      */

  1656.     public double linearMarginCovariance_OIS_MUNICIPAL (
  1657.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1658.         throws java.lang.Exception
  1659.     {
  1660.         if (null == bucketSensitivitySettingsIR)
  1661.         {
  1662.             throw new java.lang.Exception
  1663.                 ("IRFactorAggregate::linearMarginCovariance_OIS_MUNICIPAL => Invalid Inputs");
  1664.         }

  1666.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1667.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1669.         double linearMarginCovariance_OIS_MUNICIPAL = 0.;

  1671.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1672.             _oisSensitivityMargin.entrySet())
  1673.         {
  1674.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1676.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1678.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  1679.                 _municipalSensitivityMargin.entrySet())
  1680.             {
  1681.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  1683.                 linearMarginCovariance_OIS_MUNICIPAL = linearMarginCovariance_OIS_MUNICIPAL +
  1684.                     oisSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  1685.                         oisTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  1686.                             oisTenor,
  1687.                             municipalTenor
  1688.                         )
  1689.                     );
  1690.             }
  1691.         }

  1693.         return linearMarginCovariance_OIS_MUNICIPAL * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1694.     }

  1696.     /**
  1697.      * Compute the Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
  1698.      * 
  1699.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1700.      * 
  1701.      * @return The Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
  1702.      * 
  1703.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1704.      */

  1706.     public double curvatureMarginCovariance_OIS_MUNICIPAL (
  1707.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1708.         throws java.lang.Exception
  1709.     {
  1710.         if (null == bucketSensitivitySettingsIR)
  1711.         {
  1712.             throw new java.lang.Exception
  1713.                 ("IRFactorAggregate::curvatureMarginCovariance_OIS_MUNICIPAL => Invalid Inputs");
  1714.         }

  1716.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1717.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1719.         double curvatureMarginCovariance_OIS_MUNICIPAL = 0.;

  1721.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisSensitivityMarginEntry :
  1722.             _oisSensitivityMargin.entrySet())
  1723.         {
  1724.             double oisSensitivityMargin = oisSensitivityMarginEntry.getValue();

  1726.             java.lang.String oisTenor = oisSensitivityMarginEntry.getKey();

  1728.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  1729.                 _municipalSensitivityMargin.entrySet())
  1730.             {
  1731.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  1733.                 double crossTenorCorrelation = oisTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  1734.                     tenorCorrelation.entry (
  1735.                         oisTenor,
  1736.                         municipalTenor
  1737.                     );

  1739.                 curvatureMarginCovariance_OIS_MUNICIPAL = curvatureMarginCovariance_OIS_MUNICIPAL +
  1740.                     oisSensitivityMargin * municipalSensitivityMarginEntry.getValue() * crossTenorCorrelation
  1741.                         * crossTenorCorrelation;
  1742.             }
  1743.         }

  1745.         return curvatureMarginCovariance_OIS_MUNICIPAL * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1746.     }

  1748.     /**
  1749.      * Compute the Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  1750.      * 
  1751.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1752.      * 
  1753.      * @return The Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  1754.      * 
  1755.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1756.      */

  1758.     public double linearMarginCovariance_LIBOR1M_LIBOR3M (
  1759.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1760.         throws java.lang.Exception
  1761.     {
  1762.         if (null == bucketSensitivitySettingsIR)
  1763.         {
  1764.             throw new java.lang.Exception
  1765.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_LIBOR3M => Invalid Inputs");
  1766.         }

  1768.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1769.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1771.         double linearMarginCovariance_LIBOR1M_LIBOR3M = 0.;

  1773.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1774.             _libor1MSensitivityMargin.entrySet())
  1775.         {
  1776.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  1778.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1780.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  1781.                 _libor3MSensitivityMargin.entrySet())
  1782.             {
  1783.                 java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  1785.                 linearMarginCovariance_LIBOR1M_LIBOR3M = linearMarginCovariance_LIBOR1M_LIBOR3M +
  1786.                     libor1MSensitivityMargin * libor3MSensitivityMarginEntry.getValue() * (
  1787.                         libor1MTenor.equalsIgnoreCase (libor3MTenor) ? 1. : tenorCorrelation.entry (
  1788.                             libor1MTenor,
  1789.                             libor3MTenor
  1790.                         )
  1791.                     );
  1792.             }
  1793.         }

  1795.         return linearMarginCovariance_LIBOR1M_LIBOR3M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1796.     }

  1798.     /**
  1799.      * Compute the Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  1800.      * 
  1801.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1802.      * 
  1803.      * @return The Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
  1804.      * 
  1805.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1806.      */

  1808.     public double curvatureMarginCovariance_LIBOR1M_LIBOR3M (
  1809.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1810.         throws java.lang.Exception
  1811.     {
  1812.         if (null == bucketSensitivitySettingsIR)
  1813.         {
  1814.             throw new java.lang.Exception
  1815.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_LIBOR3M => Invalid Inputs");
  1816.         }

  1818.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1819.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1821.         double curvatureMarginCovariance_LIBOR1M_LIBOR3M = 0.;

  1823.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1824.             _libor1MSensitivityMargin.entrySet())
  1825.         {
  1826.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  1828.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1830.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  1831.                 _libor3MSensitivityMargin.entrySet())
  1832.             {
  1833.                 java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  1835.                 double crossTenorCorrelation = libor1MTenor.equalsIgnoreCase (libor3MTenor) ? 1. :
  1836.                     tenorCorrelation.entry (
  1837.                         libor1MTenor,
  1838.                         libor3MTenor
  1839.                     );

  1841.                 curvatureMarginCovariance_LIBOR1M_LIBOR3M = curvatureMarginCovariance_LIBOR1M_LIBOR3M +
  1842.                     libor1MSensitivityMargin * libor3MSensitivityMarginEntry.getValue() * 
  1843.                         crossTenorCorrelation * crossTenorCorrelation;
  1844.             }
  1845.         }

  1847.         return curvatureMarginCovariance_LIBOR1M_LIBOR3M *
  1848.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  1849.     }

  1851.     /**
  1852.      * Compute the Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  1853.      * 
  1854.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1855.      * 
  1856.      * @return The Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  1857.      * 
  1858.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1859.      */

  1861.     public double linearMarginCovariance_LIBOR1M_LIBOR6M (
  1862.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1863.         throws java.lang.Exception
  1864.     {
  1865.         if (null == bucketSensitivitySettingsIR)
  1866.         {
  1867.             throw new java.lang.Exception
  1868.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_LIBOR6M => Invalid Inputs");
  1869.         }

  1871.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1872.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1874.         double linearMarginCovariance_LIBOR1M_LIBOR6M = 0.;

  1876.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1877.             _libor1MSensitivityMargin.entrySet())
  1878.         {
  1879.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  1881.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1883.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  1884.                 _libor6MSensitivityMargin.entrySet())
  1885.             {
  1886.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  1888.                 linearMarginCovariance_LIBOR1M_LIBOR6M = linearMarginCovariance_LIBOR1M_LIBOR6M +
  1889.                     libor1MSensitivityMargin * libor6MSensitivityMarginEntry.getValue() * (
  1890.                         libor1MTenor.equalsIgnoreCase (libor6MTenor) ? 1. : tenorCorrelation.entry (
  1891.                             libor1MTenor,
  1892.                             libor6MTenor
  1893.                         )
  1894.                     );
  1895.             }
  1896.         }

  1898.         return linearMarginCovariance_LIBOR1M_LIBOR6M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  1899.     }

  1901.     /**
  1902.      * Compute the Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  1903.      * 
  1904.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1905.      * 
  1906.      * @return The Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
  1907.      * 
  1908.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1909.      */

  1911.     public double curvatureMarginCovariance_LIBOR1M_LIBOR6M (
  1912.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1913.         throws java.lang.Exception
  1914.     {
  1915.         if (null == bucketSensitivitySettingsIR)
  1916.         {
  1917.             throw new java.lang.Exception
  1918.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_LIBOR6M => Invalid Inputs");
  1919.         }

  1921.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1922.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1924.         double curvatureMarginCovariance_LIBOR1M_LIBOR6M = 0.;

  1926.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1927.             _libor1MSensitivityMargin.entrySet())
  1928.         {
  1929.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  1931.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1933.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  1934.                 _libor6MSensitivityMargin.entrySet())
  1935.             {
  1936.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  1938.                 double crossTenorCorrelation = libor1MTenor.equalsIgnoreCase (libor6MTenor) ? 1. :
  1939.                     tenorCorrelation.entry (
  1940.                         libor1MTenor,
  1941.                         libor6MTenor
  1942.                     );

  1944.                 curvatureMarginCovariance_LIBOR1M_LIBOR6M = curvatureMarginCovariance_LIBOR1M_LIBOR6M +
  1945.                     libor1MSensitivityMargin * libor6MSensitivityMarginEntry.getValue() *
  1946.                         crossTenorCorrelation * crossTenorCorrelation;
  1947.             }
  1948.         }

  1950.         return curvatureMarginCovariance_LIBOR1M_LIBOR6M *
  1951.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  1952.     }

  1954.     /**
  1955.      * Compute the Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  1956.      * 
  1957.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  1958.      * 
  1959.      * @return The Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  1960.      * 
  1961.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1962.      */

  1964.     public double linearMarginCovariance_LIBOR1M_LIBOR12M (
  1965.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  1966.         throws java.lang.Exception
  1967.     {
  1968.         if (null == bucketSensitivitySettingsIR)
  1969.         {
  1970.             throw new java.lang.Exception
  1971.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_LIBOR12M => Invalid Inputs");
  1972.         }

  1974.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  1975.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  1977.         double linearMarginCovariance_LIBOR1M_LIBOR12M = 0.;

  1979.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  1980.             _libor1MSensitivityMargin.entrySet())
  1981.         {
  1982.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  1984.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  1986.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  1987.                 _libor12MSensitivityMargin.entrySet())
  1988.             {
  1989.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  1991.                 linearMarginCovariance_LIBOR1M_LIBOR12M = linearMarginCovariance_LIBOR1M_LIBOR12M +
  1992.                     libor1MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() * (
  1993.                         libor1MTenor.equalsIgnoreCase (libor12MTenor) ? 1. : tenorCorrelation.entry (
  1994.                             libor1MTenor,
  1995.                             libor12MTenor
  1996.                         )
  1997.                     );
  1998.             }
  1999.         }

  2001.         return linearMarginCovariance_LIBOR1M_LIBOR12M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2002.     }

  2004.     /**
  2005.      * Compute the Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  2006.      * 
  2007.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2008.      * 
  2009.      * @return The Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
  2010.      * 
  2011.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2012.      */

  2014.     public double curvatureMarginCovariance_LIBOR1M_LIBOR12M (
  2015.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2016.         throws java.lang.Exception
  2017.     {
  2018.         if (null == bucketSensitivitySettingsIR)
  2019.         {
  2020.             throw new java.lang.Exception
  2021.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_LIBOR12M => Invalid Inputs");
  2022.         }

  2024.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2025.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2027.         double curvatureMarginCovariance_LIBOR1M_LIBOR12M = 0.;

  2029.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  2030.             _libor1MSensitivityMargin.entrySet())
  2031.         {
  2032.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  2034.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  2036.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  2037.                 _libor12MSensitivityMargin.entrySet())
  2038.             {
  2039.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  2041.                 double crossTenorCorrelation = libor1MTenor.equalsIgnoreCase (libor12MTenor) ? 1. :
  2042.                     tenorCorrelation.entry (
  2043.                         libor1MTenor,
  2044.                         libor12MTenor
  2045.                     );

  2047.                 curvatureMarginCovariance_LIBOR1M_LIBOR12M = curvatureMarginCovariance_LIBOR1M_LIBOR12M +
  2048.                     libor1MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() *
  2049.                         crossTenorCorrelation * crossTenorCorrelation;
  2050.             }
  2051.         }

  2053.         return curvatureMarginCovariance_LIBOR1M_LIBOR12M *
  2054.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2055.     }

  2057.     /**
  2058.      * Compute the Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
  2059.      * 
  2060.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2061.      * 
  2062.      * @return The Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
  2063.      * 
  2064.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2065.      */

  2067.     public double linearMarginCovariance_LIBOR1M_PRIME (
  2068.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2069.         throws java.lang.Exception
  2070.     {
  2071.         if (null == bucketSensitivitySettingsIR)
  2072.         {
  2073.             throw new java.lang.Exception
  2074.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_PRIME => Invalid Inputs");
  2075.         }

  2077.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2078.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2080.         double linearMarginCovariance_LIBOR1M_PRIME = 0.;

  2082.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  2083.             _libor1MSensitivityMargin.entrySet())
  2084.         {
  2085.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  2087.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  2089.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2090.                 _primeSensitivityMargin.entrySet())
  2091.             {
  2092.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2094.                 linearMarginCovariance_LIBOR1M_PRIME = linearMarginCovariance_LIBOR1M_PRIME +
  2095.                     libor1MSensitivityMargin * primeSensitivityMarginEntry.getValue() * (
  2096.                         libor1MTenor.equalsIgnoreCase (primeTenor) ? 1. : tenorCorrelation.entry (
  2097.                             libor1MTenor,
  2098.                             primeTenor
  2099.                         )
  2100.                     );
  2101.             }
  2102.         }

  2104.         return linearMarginCovariance_LIBOR1M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2105.     }

  2107.     /**
  2108.      * Compute the Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
  2109.      * 
  2110.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2111.      * 
  2112.      * @return The Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
  2113.      * 
  2114.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2115.      */

  2117.     public double curvatureMarginCovariance_LIBOR1M_PRIME (
  2118.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2119.         throws java.lang.Exception
  2120.     {
  2121.         if (null == bucketSensitivitySettingsIR)
  2122.         {
  2123.             throw new java.lang.Exception
  2124.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_PRIME => Invalid Inputs");
  2125.         }

  2127.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2128.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2130.         double curvatureMarginCovariance_LIBOR1M_PRIME = 0.;

  2132.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  2133.             _libor1MSensitivityMargin.entrySet())
  2134.         {
  2135.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  2137.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  2139.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2140.                 _primeSensitivityMargin.entrySet())
  2141.             {
  2142.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2144.                 double crossTenorCorrelation = libor1MTenor.equalsIgnoreCase (primeTenor) ? 1. :
  2145.                     tenorCorrelation.entry (
  2146.                         libor1MTenor,
  2147.                         primeTenor
  2148.                     );

  2150.                 curvatureMarginCovariance_LIBOR1M_PRIME = curvatureMarginCovariance_LIBOR1M_PRIME +
  2151.                     libor1MSensitivityMargin * primeSensitivityMarginEntry.getValue() * crossTenorCorrelation
  2152.                         * crossTenorCorrelation;
  2153.             }
  2154.         }

  2156.         return curvatureMarginCovariance_LIBOR1M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2157.     }

  2159.     /**
  2160.      * Compute the Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  2161.      * 
  2162.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2163.      * 
  2164.      * @return The Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  2165.      * 
  2166.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2167.      */

  2169.     public double linearMarginCovariance_LIBOR1M_MUNICIPAL (
  2170.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2171.         throws java.lang.Exception
  2172.     {
  2173.         if (null == bucketSensitivitySettingsIR)
  2174.         {
  2175.             throw new java.lang.Exception
  2176.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR1M_MUNICIPAL => Invalid Inputs");
  2177.         }

  2179.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2180.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2182.         double linearMarginCovariance_LIBOR1M_MUNICIPAL = 0.;

  2184.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  2185.             _libor1MSensitivityMargin.entrySet())
  2186.         {
  2187.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  2189.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  2191.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2192.                 _municipalSensitivityMargin.entrySet())
  2193.             {
  2194.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2196.                 linearMarginCovariance_LIBOR1M_MUNICIPAL = linearMarginCovariance_LIBOR1M_MUNICIPAL +
  2197.                     libor1MSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  2198.                         libor1MTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  2199.                             libor1MTenor,
  2200.                             municipalTenor
  2201.                         )
  2202.                     );
  2203.             }
  2204.         }

  2206.         return linearMarginCovariance_LIBOR1M_MUNICIPAL *
  2207.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2208.     }

  2210.     /**
  2211.      * Compute the Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  2212.      * 
  2213.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2214.      * 
  2215.      * @return The Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
  2216.      * 
  2217.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2218.      */

  2220.     public double curvatureMarginCovariance_LIBOR1M_MUNICIPAL (
  2221.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2222.         throws java.lang.Exception
  2223.     {
  2224.         if (null == bucketSensitivitySettingsIR)
  2225.         {
  2226.             throw new java.lang.Exception
  2227.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR1M_MUNICIPAL => Invalid Inputs");
  2228.         }

  2230.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2231.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2233.         double curvatureMarginCovariance_LIBOR1M_MUNICIPAL = 0.;

  2235.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MSensitivityMarginEntry :
  2236.             _libor1MSensitivityMargin.entrySet())
  2237.         {
  2238.             double libor1MSensitivityMargin = libor1MSensitivityMarginEntry.getValue();

  2240.             java.lang.String libor1MTenor = libor1MSensitivityMarginEntry.getKey();

  2242.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2243.                 _municipalSensitivityMargin.entrySet())
  2244.             {
  2245.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2247.                 double crossTenorCorrelation = libor1MTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  2248.                     tenorCorrelation.entry (
  2249.                         libor1MTenor,
  2250.                         municipalTenor
  2251.                     );

  2253.                 curvatureMarginCovariance_LIBOR1M_MUNICIPAL = curvatureMarginCovariance_LIBOR1M_MUNICIPAL +
  2254.                     libor1MSensitivityMargin * municipalSensitivityMarginEntry.getValue() *
  2255.                         crossTenorCorrelation * crossTenorCorrelation;
  2256.             }
  2257.         }

  2259.         return curvatureMarginCovariance_LIBOR1M_MUNICIPAL *
  2260.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2261.     }

  2263.     /**
  2264.      * Compute the Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  2265.      * 
  2266.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2267.      * 
  2268.      * @return The Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  2269.      * 
  2270.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2271.      */

  2273.     public double linearMarginCovariance_LIBOR3M_LIBOR6M (
  2274.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2275.         throws java.lang.Exception
  2276.     {
  2277.         if (null == bucketSensitivitySettingsIR)
  2278.         {
  2279.             throw new java.lang.Exception
  2280.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR3M_LIBOR6M => Invalid Inputs");
  2281.         }

  2283.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2284.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2286.         double linearMarginCovariance_LIBOR3M_LIBOR6M = 0.;

  2288.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2289.             _libor3MSensitivityMargin.entrySet())
  2290.         {
  2291.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2293.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2295.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2296.                 _libor6MSensitivityMargin.entrySet())
  2297.             {
  2298.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2300.                 linearMarginCovariance_LIBOR3M_LIBOR6M = linearMarginCovariance_LIBOR3M_LIBOR6M +
  2301.                     libor3MSensitivityMargin * libor6MSensitivityMarginEntry.getValue() * (
  2302.                         libor3MTenor.equalsIgnoreCase (libor6MTenor) ? 1. : tenorCorrelation.entry (
  2303.                             libor3MTenor,
  2304.                             libor6MTenor
  2305.                         )
  2306.                     );
  2307.             }
  2308.         }

  2310.         return linearMarginCovariance_LIBOR3M_LIBOR6M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2311.     }

  2313.     /**
  2314.      * Compute the Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  2315.      * 
  2316.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2317.      * 
  2318.      * @return The Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
  2319.      * 
  2320.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2321.      */

  2323.     public double curvatureMarginCovariance_LIBOR3M_LIBOR6M (
  2324.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2325.         throws java.lang.Exception
  2326.     {
  2327.         if (null == bucketSensitivitySettingsIR)
  2328.         {
  2329.             throw new java.lang.Exception
  2330.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR3M_LIBOR6M => Invalid Inputs");
  2331.         }

  2333.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2334.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2336.         double curvatureMarginCovariance_LIBOR3M_LIBOR6M = 0.;

  2338.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2339.             _libor3MSensitivityMargin.entrySet())
  2340.         {
  2341.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2343.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2345.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2346.                 _libor6MSensitivityMargin.entrySet())
  2347.             {
  2348.                 java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2350.                 double crossTenorCorrelation = libor3MTenor.equalsIgnoreCase (libor6MTenor) ? 1. :
  2351.                     tenorCorrelation.entry (
  2352.                         libor3MTenor,
  2353.                         libor6MTenor
  2354.                     );

  2356.                 curvatureMarginCovariance_LIBOR3M_LIBOR6M = curvatureMarginCovariance_LIBOR3M_LIBOR6M +
  2357.                     libor3MSensitivityMargin * libor6MSensitivityMarginEntry.getValue() *
  2358.                         crossTenorCorrelation * crossTenorCorrelation;
  2359.             }
  2360.         }

  2362.         return curvatureMarginCovariance_LIBOR3M_LIBOR6M *
  2363.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2364.     }

  2366.     /**
  2367.      * Compute the Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  2368.      * 
  2369.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2370.      * 
  2371.      * @return The Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  2372.      * 
  2373.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2374.      */

  2376.     public double linearMarginCovariance_LIBOR3M_LIBOR12M (
  2377.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2378.         throws java.lang.Exception
  2379.     {
  2380.         if (null == bucketSensitivitySettingsIR)
  2381.         {
  2382.             throw new java.lang.Exception
  2383.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR3M_LIBOR12M => Invalid Inputs");
  2384.         }

  2386.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2387.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2389.         double linearMarginCovariance_LIBOR3M_LIBOR12M = 0.;

  2391.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2392.             _libor3MSensitivityMargin.entrySet())
  2393.         {
  2394.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2396.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2398.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  2399.                 _libor12MSensitivityMargin.entrySet())
  2400.             {
  2401.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  2403.                 linearMarginCovariance_LIBOR3M_LIBOR12M = linearMarginCovariance_LIBOR3M_LIBOR12M +
  2404.                     libor3MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() * (
  2405.                         libor3MTenor.equalsIgnoreCase (libor12MTenor) ? 1. : tenorCorrelation.entry (
  2406.                             libor3MTenor,
  2407.                             libor12MTenor
  2408.                         )
  2409.                     );
  2410.             }
  2411.         }

  2413.         return linearMarginCovariance_LIBOR3M_LIBOR12M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2414.     }

  2416.     /**
  2417.      * Compute the Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  2418.      * 
  2419.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2420.      * 
  2421.      * @return The Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
  2422.      * 
  2423.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2424.      */

  2426.     public double curvatureMarginCovariance_LIBOR3M_LIBOR12M (
  2427.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2428.         throws java.lang.Exception
  2429.     {
  2430.         if (null == bucketSensitivitySettingsIR)
  2431.         {
  2432.             throw new java.lang.Exception
  2433.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR3M_LIBOR12M => Invalid Inputs");
  2434.         }

  2436.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2437.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2439.         double curvatureMarginCovariance_LIBOR3M_LIBOR12M = 0.;

  2441.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2442.             _libor3MSensitivityMargin.entrySet())
  2443.         {
  2444.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2446.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2448.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  2449.                 _libor12MSensitivityMargin.entrySet())
  2450.             {
  2451.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  2453.                 double crossTenorCorrelation = libor3MTenor.equalsIgnoreCase (libor12MTenor) ? 1. :
  2454.                     tenorCorrelation.entry (
  2455.                         libor3MTenor,
  2456.                         libor12MTenor
  2457.                     );

  2459.                 curvatureMarginCovariance_LIBOR3M_LIBOR12M = curvatureMarginCovariance_LIBOR3M_LIBOR12M +
  2460.                     libor3MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() *
  2461.                         crossTenorCorrelation * crossTenorCorrelation;
  2462.             }
  2463.         }

  2465.         return curvatureMarginCovariance_LIBOR3M_LIBOR12M *
  2466.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2467.     }

  2469.     /**
  2470.      * Compute the Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
  2471.      * 
  2472.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2473.      * 
  2474.      * @return The Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
  2475.      * 
  2476.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2477.      */

  2479.     public double linearMarginCovariance_LIBOR3M_PRIME (
  2480.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2481.         throws java.lang.Exception
  2482.     {
  2483.         if (null == bucketSensitivitySettingsIR)
  2484.         {
  2485.             throw new java.lang.Exception
  2486.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR3M_PRIME => Invalid Inputs");
  2487.         }

  2489.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2490.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2492.         double linearMarginCovariance_LIBOR3M_PRIME = 0.;

  2494.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2495.             _libor3MSensitivityMargin.entrySet())
  2496.         {
  2497.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2499.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2501.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2502.                 _primeSensitivityMargin.entrySet())
  2503.             {
  2504.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2506.                 linearMarginCovariance_LIBOR3M_PRIME = linearMarginCovariance_LIBOR3M_PRIME +
  2507.                     libor3MSensitivityMargin * primeSensitivityMarginEntry.getValue() * (
  2508.                         libor3MTenor.equalsIgnoreCase (primeTenor) ? 1. : tenorCorrelation.entry (
  2509.                             libor3MTenor,
  2510.                             primeTenor
  2511.                         )
  2512.                     );
  2513.             }
  2514.         }

  2516.         return linearMarginCovariance_LIBOR3M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2517.     }

  2519.     /**
  2520.      * Compute the Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
  2521.      * 
  2522.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2523.      * 
  2524.      * @return The Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
  2525.      * 
  2526.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2527.      */

  2529.     public double curvatureMarginCovariance_LIBOR3M_PRIME (
  2530.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2531.         throws java.lang.Exception
  2532.     {
  2533.         if (null == bucketSensitivitySettingsIR)
  2534.         {
  2535.             throw new java.lang.Exception
  2536.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR3M_PRIME => Invalid Inputs");
  2537.         }

  2539.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2540.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2542.         double curvatureMarginCovariance_LIBOR3M_PRIME = 0.;

  2544.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2545.             _libor3MSensitivityMargin.entrySet())
  2546.         {
  2547.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2549.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2551.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2552.                 _primeSensitivityMargin.entrySet())
  2553.             {
  2554.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2556.                 double crossTenorCorrelation = libor3MTenor.equalsIgnoreCase (primeTenor) ? 1. :
  2557.                     tenorCorrelation.entry (
  2558.                         libor3MTenor,
  2559.                         primeTenor
  2560.                     );

  2562.                 curvatureMarginCovariance_LIBOR3M_PRIME = curvatureMarginCovariance_LIBOR3M_PRIME +
  2563.                     libor3MSensitivityMargin * primeSensitivityMarginEntry.getValue() * crossTenorCorrelation
  2564.                         * crossTenorCorrelation;
  2565.             }
  2566.         }

  2568.         return curvatureMarginCovariance_LIBOR3M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2569.     }

  2571.     /**
  2572.      * Compute the Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  2573.      * 
  2574.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2575.      * 
  2576.      * @return The Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  2577.      * 
  2578.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2579.      */

  2581.     public double linearMarginCovariance_LIBOR3M_MUNICIPAL (
  2582.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2583.         throws java.lang.Exception
  2584.     {
  2585.         if (null == bucketSensitivitySettingsIR)
  2586.         {
  2587.             throw new java.lang.Exception
  2588.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR3M_MUNICIPAL => Invalid Inputs");
  2589.         }

  2591.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2592.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2594.         double linearMarginCovariance_LIBOR3M_MUNICIPAL = 0.;

  2596.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2597.             _libor3MSensitivityMargin.entrySet())
  2598.         {
  2599.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2601.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2603.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2604.                 _municipalSensitivityMargin.entrySet())
  2605.             {
  2606.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2608.                 linearMarginCovariance_LIBOR3M_MUNICIPAL = linearMarginCovariance_LIBOR3M_MUNICIPAL +
  2609.                     libor3MSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  2610.                         libor3MTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  2611.                             libor3MTenor,
  2612.                             municipalTenor
  2613.                         )
  2614.                     );
  2615.             }
  2616.         }

  2618.         return linearMarginCovariance_LIBOR3M_MUNICIPAL *
  2619.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2620.     }

  2622.     /**
  2623.      * Compute the Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  2624.      * 
  2625.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2626.      * 
  2627.      * @return The Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
  2628.      * 
  2629.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2630.      */

  2632.     public double curvatureMarginCovariance_LIBOR3M_MUNICIPAL (
  2633.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2634.         throws java.lang.Exception
  2635.     {
  2636.         if (null == bucketSensitivitySettingsIR)
  2637.         {
  2638.             throw new java.lang.Exception
  2639.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR3M_MUNICIPAL => Invalid Inputs");
  2640.         }

  2642.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2643.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2645.         double curvatureMarginCovariance_LIBOR3M_MUNICIPAL = 0.;

  2647.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MSensitivityMarginEntry :
  2648.             _libor3MSensitivityMargin.entrySet())
  2649.         {
  2650.             double libor3MSensitivityMargin = libor3MSensitivityMarginEntry.getValue();

  2652.             java.lang.String libor3MTenor = libor3MSensitivityMarginEntry.getKey();

  2654.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2655.                 _municipalSensitivityMargin.entrySet())
  2656.             {
  2657.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2659.                 double crossTenorCorrelation = libor3MTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  2660.                     tenorCorrelation.entry (
  2661.                         libor3MTenor,
  2662.                         municipalTenor
  2663.                     );

  2665.                 curvatureMarginCovariance_LIBOR3M_MUNICIPAL = curvatureMarginCovariance_LIBOR3M_MUNICIPAL +
  2666.                     libor3MSensitivityMargin * municipalSensitivityMarginEntry.getValue() *
  2667.                         crossTenorCorrelation * crossTenorCorrelation;
  2668.             }
  2669.         }

  2671.         return curvatureMarginCovariance_LIBOR3M_MUNICIPAL *
  2672.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2673.     }

  2675.     /**
  2676.      * Compute the Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  2677.      * 
  2678.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2679.      * 
  2680.      * @return The Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  2681.      * 
  2682.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2683.      */

  2685.     public double linearMarginCovariance_LIBOR6M_LIBOR12M (
  2686.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2687.         throws java.lang.Exception
  2688.     {
  2689.         if (null == bucketSensitivitySettingsIR)
  2690.         {
  2691.             throw new java.lang.Exception
  2692.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR6M_LIBOR12M => Invalid Inputs");
  2693.         }

  2695.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2696.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2698.         double linearMarginCovariance_LIBOR6M_LIBOR12M = 0.;

  2700.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2701.             _libor6MSensitivityMargin.entrySet())
  2702.         {
  2703.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2705.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2707.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  2708.                 _libor12MSensitivityMargin.entrySet())
  2709.             {
  2710.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  2712.                 linearMarginCovariance_LIBOR6M_LIBOR12M = linearMarginCovariance_LIBOR6M_LIBOR12M +
  2713.                     libor6MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() * (
  2714.                         libor6MTenor.equalsIgnoreCase (libor12MTenor) ? 1. : tenorCorrelation.entry (
  2715.                             libor6MTenor,
  2716.                             libor12MTenor
  2717.                         )
  2718.                     );
  2719.             }
  2720.         }

  2722.         return linearMarginCovariance_LIBOR6M_LIBOR12M * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2723.     }

  2725.     /**
  2726.      * Compute the Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  2727.      * 
  2728.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2729.      * 
  2730.      * @return The Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
  2731.      * 
  2732.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2733.      */

  2735.     public double curvatureMarginCovariance_LIBOR6M_LIBOR12M (
  2736.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2737.         throws java.lang.Exception
  2738.     {
  2739.         if (null == bucketSensitivitySettingsIR)
  2740.         {
  2741.             throw new java.lang.Exception
  2742.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR6M_LIBOR12M => Invalid Inputs");
  2743.         }

  2745.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2746.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2748.         double curvatureMarginCovariance_LIBOR6M_LIBOR12M = 0.;

  2750.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2751.             _libor6MSensitivityMargin.entrySet())
  2752.         {
  2753.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2755.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2757.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  2758.                 _libor12MSensitivityMargin.entrySet())
  2759.             {
  2760.                 java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  2762.                 double crossTenorCorrelation = libor6MTenor.equalsIgnoreCase (libor12MTenor) ? 1. :
  2763.                     tenorCorrelation.entry (
  2764.                         libor6MTenor,
  2765.                         libor12MTenor
  2766.                     );

  2768.                 curvatureMarginCovariance_LIBOR6M_LIBOR12M = curvatureMarginCovariance_LIBOR6M_LIBOR12M +
  2769.                     libor6MSensitivityMargin * libor12MSensitivityMarginEntry.getValue() *
  2770.                         crossTenorCorrelation * crossTenorCorrelation;
  2771.             }
  2772.         }

  2774.         return curvatureMarginCovariance_LIBOR6M_LIBOR12M *
  2775.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2776.     }

  2778.     /**
  2779.      * Compute the Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
  2780.      * 
  2781.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2782.      * 
  2783.      * @return The Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
  2784.      * 
  2785.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2786.      */

  2788.     public double linearMarginCovariance_LIBOR6M_PRIME (
  2789.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2790.         throws java.lang.Exception
  2791.     {
  2792.         if (null == bucketSensitivitySettingsIR)
  2793.         {
  2794.             throw new java.lang.Exception
  2795.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR6M_PRIME => Invalid Inputs");
  2796.         }

  2798.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2799.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2801.         double linearMarginCovariance_LIBOR6M_PRIME = 0.;

  2803.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2804.             _libor6MSensitivityMargin.entrySet())
  2805.         {
  2806.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2808.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2810.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2811.                 _primeSensitivityMargin.entrySet())
  2812.             {
  2813.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2815.                 linearMarginCovariance_LIBOR6M_PRIME = linearMarginCovariance_LIBOR6M_PRIME +
  2816.                     libor6MSensitivityMargin * primeSensitivityMarginEntry.getValue() * (
  2817.                         libor6MTenor.equalsIgnoreCase (primeTenor) ? 1. : tenorCorrelation.entry (
  2818.                             libor6MTenor,
  2819.                             primeTenor
  2820.                         )
  2821.                     );
  2822.             }
  2823.         }

  2825.         return linearMarginCovariance_LIBOR6M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2826.     }

  2828.     /**
  2829.      * Compute the Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
  2830.      * 
  2831.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2832.      * 
  2833.      * @return The Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
  2834.      * 
  2835.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2836.      */

  2838.     public double curvatureMarginCovariance_LIBOR6M_PRIME (
  2839.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2840.         throws java.lang.Exception
  2841.     {
  2842.         if (null == bucketSensitivitySettingsIR)
  2843.         {
  2844.             throw new java.lang.Exception
  2845.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR6M_PRIME => Invalid Inputs");
  2846.         }

  2848.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2849.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2851.         double curvatureMarginCovariance_LIBOR6M_PRIME = 0.;

  2853.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2854.             _libor6MSensitivityMargin.entrySet())
  2855.         {
  2856.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2858.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2860.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  2861.                 _primeSensitivityMargin.entrySet())
  2862.             {
  2863.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  2865.                 double crossTenorCorrelation = libor6MTenor.equalsIgnoreCase (primeTenor) ? 1. :
  2866.                     tenorCorrelation.entry (
  2867.                         libor6MTenor,
  2868.                         primeTenor
  2869.                     );

  2871.                 curvatureMarginCovariance_LIBOR6M_PRIME = curvatureMarginCovariance_LIBOR6M_PRIME +
  2872.                     libor6MSensitivityMargin * primeSensitivityMarginEntry.getValue() * crossTenorCorrelation
  2873.                         * crossTenorCorrelation;
  2874.             }
  2875.         }

  2877.         return curvatureMarginCovariance_LIBOR6M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  2878.     }

  2880.     /**
  2881.      * Compute the Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  2882.      * 
  2883.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2884.      * 
  2885.      * @return The Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  2886.      * 
  2887.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2888.      */

  2890.     public double linearMarginCovariance_LIBOR6M_MUNICIPAL (
  2891.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2892.         throws java.lang.Exception
  2893.     {
  2894.         if (null == bucketSensitivitySettingsIR)
  2895.         {
  2896.             throw new java.lang.Exception
  2897.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR6M_MUNICIPAL => Invalid Inputs");
  2898.         }

  2900.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2901.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2903.         double linearMarginCovariance_LIBOR6M_MUNICIPAL = 0.;

  2905.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2906.             _libor6MSensitivityMargin.entrySet())
  2907.         {
  2908.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2910.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2912.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2913.                 _municipalSensitivityMargin.entrySet())
  2914.             {
  2915.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2917.                 linearMarginCovariance_LIBOR6M_MUNICIPAL = linearMarginCovariance_LIBOR6M_MUNICIPAL +
  2918.                     libor6MSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  2919.                         libor6MTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  2920.                             libor6MTenor,
  2921.                             municipalTenor
  2922.                         )
  2923.                     );
  2924.             }
  2925.         }

  2927.         return linearMarginCovariance_LIBOR6M_MUNICIPAL *
  2928.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2929.     }

  2931.     /**
  2932.      * Compute the Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  2933.      * 
  2934.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2935.      * 
  2936.      * @return The Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
  2937.      * 
  2938.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2939.      */

  2941.     public double curvatureMarginCovariance_LIBOR6M_MUNICIPAL (
  2942.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2943.         throws java.lang.Exception
  2944.     {
  2945.         if (null == bucketSensitivitySettingsIR)
  2946.         {
  2947.             throw new java.lang.Exception
  2948.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR6M_MUNICIPAL => Invalid Inputs");
  2949.         }

  2951.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  2952.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  2954.         double curvatureMarginCovariance_LIBOR6M_MUNICIPAL = 0.;

  2956.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MSensitivityMarginEntry :
  2957.             _libor6MSensitivityMargin.entrySet())
  2958.         {
  2959.             double libor6MSensitivityMargin = libor6MSensitivityMarginEntry.getValue();

  2961.             java.lang.String libor6MTenor = libor6MSensitivityMarginEntry.getKey();

  2963.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  2964.                 _municipalSensitivityMargin.entrySet())
  2965.             {
  2966.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  2968.                 double crossTenorCorrelation = libor6MTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  2969.                     tenorCorrelation.entry (
  2970.                         libor6MTenor,
  2971.                         municipalTenor
  2972.                     );

  2974.                 curvatureMarginCovariance_LIBOR6M_MUNICIPAL = curvatureMarginCovariance_LIBOR6M_MUNICIPAL +
  2975.                     libor6MSensitivityMargin * municipalSensitivityMarginEntry.getValue() *
  2976.                         crossTenorCorrelation * crossTenorCorrelation;
  2977.             }
  2978.         }

  2980.         return curvatureMarginCovariance_LIBOR6M_MUNICIPAL *
  2981.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  2982.     }

  2984.     /**
  2985.      * Compute the Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
  2986.      * 
  2987.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  2988.      * 
  2989.      * @return The Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
  2990.      * 
  2991.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  2992.      */

  2994.     public double linearMarginCovariance_LIBOR12M_PRIME (
  2995.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  2996.         throws java.lang.Exception
  2997.     {
  2998.         if (null == bucketSensitivitySettingsIR)
  2999.         {
  3000.             throw new java.lang.Exception
  3001.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR12M_PRIME => Invalid Inputs");
  3002.         }

  3004.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3005.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3007.         double linearMarginCovariance_LIBOR12M_PRIME = 0.;

  3009.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  3010.             _libor12MSensitivityMargin.entrySet())
  3011.         {
  3012.             double libor12MSensitivityMargin = libor12MSensitivityMarginEntry.getValue();

  3014.             java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  3016.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  3017.                 _primeSensitivityMargin.entrySet())
  3018.             {
  3019.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  3021.                 linearMarginCovariance_LIBOR12M_PRIME = linearMarginCovariance_LIBOR12M_PRIME +
  3022.                     libor12MSensitivityMargin * primeSensitivityMarginEntry.getValue() * (
  3023.                         libor12MTenor.equalsIgnoreCase (primeTenor) ? 1. : tenorCorrelation.entry (
  3024.                             libor12MTenor,
  3025.                             primeTenor
  3026.                         )
  3027.                     );
  3028.             }
  3029.         }

  3031.         return linearMarginCovariance_LIBOR12M_PRIME * bucketSensitivitySettingsIR.crossCurveCorrelation();
  3032.     }

  3034.     /**
  3035.      * Compute the Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
  3036.      * 
  3037.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3038.      * 
  3039.      * @return The Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
  3040.      * 
  3041.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  3042.      */

  3044.     public double curvatureMarginCovariance_LIBOR12M_PRIME (
  3045.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3046.         throws java.lang.Exception
  3047.     {
  3048.         if (null == bucketSensitivitySettingsIR)
  3049.         {
  3050.             throw new java.lang.Exception
  3051.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR12M_PRIME => Invalid Inputs");
  3052.         }

  3054.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3055.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3057.         double curvatureMarginCovariance_LIBOR12M_PRIME = 0.;

  3059.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  3060.             _libor12MSensitivityMargin.entrySet())
  3061.         {
  3062.             double libor12MSensitivityMargin = libor12MSensitivityMarginEntry.getValue();

  3064.             java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  3066.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  3067.                 _primeSensitivityMargin.entrySet())
  3068.             {
  3069.                 java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  3071.                 double crossTenorCorrelation = libor12MTenor.equalsIgnoreCase (primeTenor) ? 1. :
  3072.                     tenorCorrelation.entry (
  3073.                         libor12MTenor,
  3074.                         primeTenor
  3075.                     );

  3077.                 curvatureMarginCovariance_LIBOR12M_PRIME = curvatureMarginCovariance_LIBOR12M_PRIME +
  3078.                     libor12MSensitivityMargin * primeSensitivityMarginEntry.getValue() *
  3079.                         crossTenorCorrelation * crossTenorCorrelation;
  3080.             }
  3081.         }

  3083.         return curvatureMarginCovariance_LIBOR12M_PRIME *
  3084.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  3085.     }

  3087.     /**
  3088.      * Compute the Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  3089.      * 
  3090.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3091.      * 
  3092.      * @return The Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  3093.      * 
  3094.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  3095.      */

  3097.     public double linearMarginCovariance_LIBOR12M_MUNICIPAL (
  3098.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3099.         throws java.lang.Exception
  3100.     {
  3101.         if (null == bucketSensitivitySettingsIR)
  3102.         {
  3103.             throw new java.lang.Exception
  3104.                 ("IRFactorAggregate::linearMarginCovariance_LIBOR12M_MUNICIPAL => Invalid Inputs");
  3105.         }

  3107.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3108.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3110.         double linearMarginCovariance_LIBOR12M_MUNICIPAL = 0.;

  3112.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  3113.             _libor12MSensitivityMargin.entrySet())
  3114.         {
  3115.             double libor12MSensitivityMargin = libor12MSensitivityMarginEntry.getValue();

  3117.             java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  3119.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  3120.                 _municipalSensitivityMargin.entrySet())
  3121.             {
  3122.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  3124.                 linearMarginCovariance_LIBOR12M_MUNICIPAL = linearMarginCovariance_LIBOR12M_MUNICIPAL +
  3125.                     libor12MSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  3126.                         libor12MTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  3127.                             libor12MTenor,
  3128.                             municipalTenor
  3129.                         )
  3130.                     );
  3131.             }
  3132.         }

  3134.         return linearMarginCovariance_LIBOR12M_MUNICIPAL *
  3135.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  3136.     }

  3138.     /**
  3139.      * Compute the Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  3140.      * 
  3141.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3142.      * 
  3143.      * @return The Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
  3144.      * 
  3145.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  3146.      */

  3148.     public double curvatureMarginCovariance_LIBOR12M_MUNICIPAL (
  3149.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3150.         throws java.lang.Exception
  3151.     {
  3152.         if (null == bucketSensitivitySettingsIR)
  3153.         {
  3154.             throw new java.lang.Exception
  3155.                 ("IRFactorAggregate::curvatureMarginCovariance_LIBOR12M_MUNICIPAL => Invalid Inputs");
  3156.         }

  3158.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3159.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3161.         double curvatureMarginCovariance_LIBOR12M_MUNICIPAL = 0.;

  3163.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MSensitivityMarginEntry :
  3164.             _libor12MSensitivityMargin.entrySet())
  3165.         {
  3166.             double libor12MSensitivityMargin = libor12MSensitivityMarginEntry.getValue();

  3168.             java.lang.String libor12MTenor = libor12MSensitivityMarginEntry.getKey();

  3170.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  3171.                 _municipalSensitivityMargin.entrySet())
  3172.             {
  3173.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  3175.                 double crossTenorCorrelation = libor12MTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  3176.                     tenorCorrelation.entry (
  3177.                         libor12MTenor,
  3178.                         municipalTenor
  3179.                     );

  3181.                 curvatureMarginCovariance_LIBOR12M_MUNICIPAL = curvatureMarginCovariance_LIBOR12M_MUNICIPAL +
  3182.                     libor12MSensitivityMargin * municipalSensitivityMarginEntry.getValue() *
  3183.                         crossTenorCorrelation * crossTenorCorrelation;
  3184.             }
  3185.         }

  3187.         return curvatureMarginCovariance_LIBOR12M_MUNICIPAL *
  3188.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  3189.     }

  3191.     /**
  3192.      * Compute the Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
  3193.      * 
  3194.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3195.      * 
  3196.      * @return The Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
  3197.      * 
  3198.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  3199.      */

  3201.     public double linearMarginCovariance_PRIME_MUNICIPAL (
  3202.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3203.         throws java.lang.Exception
  3204.     {
  3205.         if (null == bucketSensitivitySettingsIR)
  3206.         {
  3207.             throw new java.lang.Exception
  3208.                 ("IRFactorAggregate::linearMarginCovariance_PRIME_MUNICIPAL => Invalid Inputs");
  3209.         }

  3211.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3212.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3214.         double linearMarginCovariance_PRIME_MUNICIPAL = 0.;

  3216.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  3217.             _primeSensitivityMargin.entrySet())
  3218.         {
  3219.             double primeSensitivityMargin = primeSensitivityMarginEntry.getValue();

  3221.             java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  3223.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  3224.                 _municipalSensitivityMargin.entrySet())
  3225.             {
  3226.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  3228.                 linearMarginCovariance_PRIME_MUNICIPAL = linearMarginCovariance_PRIME_MUNICIPAL +
  3229.                     primeSensitivityMargin * municipalSensitivityMarginEntry.getValue() * (
  3230.                         primeTenor.equalsIgnoreCase (municipalTenor) ? 1. : tenorCorrelation.entry (
  3231.                             primeTenor,
  3232.                             municipalTenor
  3233.                         )
  3234.                     );
  3235.             }
  3236.         }

  3238.         return linearMarginCovariance_PRIME_MUNICIPAL * bucketSensitivitySettingsIR.crossCurveCorrelation();
  3239.     }

  3241.     /**
  3242.      * Compute the Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
  3243.      * 
  3244.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3245.      * 
  3246.      * @return The Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
  3247.      * 
  3248.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  3249.      */

  3251.     public double curvatureMarginCovariance_PRIME_MUNICIPAL (
  3252.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3253.         throws java.lang.Exception
  3254.     {
  3255.         if (null == bucketSensitivitySettingsIR)
  3256.         {
  3257.             throw new java.lang.Exception
  3258.                 ("IRFactorAggregate::curvatureMarginCovariance_PRIME_MUNICIPAL => Invalid Inputs");
  3259.         }

  3261.         org.drip.measure.stochastic.LabelCorrelation tenorCorrelation =
  3262.             bucketSensitivitySettingsIR.crossTenorCorrelation();

  3264.         double curvatureMarginCovariance_PRIME_MUNICIPAL = 0.;

  3266.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeSensitivityMarginEntry :
  3267.             _primeSensitivityMargin.entrySet())
  3268.         {
  3269.             double primeSensitivityMargin = primeSensitivityMarginEntry.getValue();

  3271.             java.lang.String primeTenor = primeSensitivityMarginEntry.getKey();

  3273.             for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalSensitivityMarginEntry :
  3274.                 _municipalSensitivityMargin.entrySet())
  3275.             {
  3276.                 java.lang.String municipalTenor = municipalSensitivityMarginEntry.getKey();

  3278.                 double crossTenorCorrelation = primeTenor.equalsIgnoreCase (municipalTenor) ? 1. :
  3279.                     tenorCorrelation.entry (
  3280.                         primeTenor,
  3281.                         municipalTenor
  3282.                     );

  3284.                 curvatureMarginCovariance_PRIME_MUNICIPAL = curvatureMarginCovariance_PRIME_MUNICIPAL +
  3285.                     primeSensitivityMargin * municipalSensitivityMarginEntry.getValue() *
  3286.                         crossTenorCorrelation * crossTenorCorrelation;
  3287.             }
  3288.         }

  3290.         return curvatureMarginCovariance_PRIME_MUNICIPAL *
  3291.             bucketSensitivitySettingsIR.crossCurveCorrelation();
  3292.     }

  3294.     /**
  3295.      * Compute the Linear Margin Co-variance
  3296.      * 
  3297.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3298.      * 
  3299.      * @return The Linear Margin Co-variance
  3300.      */

  3302.     public org.drip.simm.margin.SensitivityAggregateIR linearMargin (
  3303.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3304.     {
  3305.         try
  3306.         {
  3307.             return new org.drip.simm.margin.SensitivityAggregateIR (
  3308.                 linearMarginCovariance_OIS_OIS (bucketSensitivitySettingsIR),
  3309.                 linearMarginCovariance_OIS_LIBOR1M (bucketSensitivitySettingsIR),
  3310.                 linearMarginCovariance_OIS_LIBOR3M (bucketSensitivitySettingsIR),
  3311.                 linearMarginCovariance_OIS_LIBOR6M (bucketSensitivitySettingsIR),
  3312.                 linearMarginCovariance_OIS_LIBOR12M (bucketSensitivitySettingsIR),
  3313.                 linearMarginCovariance_OIS_PRIME (bucketSensitivitySettingsIR),
  3314.                 linearMarginCovariance_OIS_MUNICIPAL (bucketSensitivitySettingsIR),
  3315.                 linearMarginCovariance_LIBOR1M_LIBOR1M (bucketSensitivitySettingsIR),
  3316.                 linearMarginCovariance_LIBOR1M_LIBOR3M (bucketSensitivitySettingsIR),
  3317.                 linearMarginCovariance_LIBOR1M_LIBOR6M (bucketSensitivitySettingsIR),
  3318.                 linearMarginCovariance_LIBOR1M_LIBOR12M (bucketSensitivitySettingsIR),
  3319.                 linearMarginCovariance_LIBOR1M_PRIME (bucketSensitivitySettingsIR),
  3320.                 linearMarginCovariance_LIBOR1M_MUNICIPAL (bucketSensitivitySettingsIR),
  3321.                 linearMarginCovariance_LIBOR3M_LIBOR3M (bucketSensitivitySettingsIR),
  3322.                 linearMarginCovariance_LIBOR3M_LIBOR6M (bucketSensitivitySettingsIR),
  3323.                 linearMarginCovariance_LIBOR3M_LIBOR12M (bucketSensitivitySettingsIR),
  3324.                 linearMarginCovariance_LIBOR3M_PRIME (bucketSensitivitySettingsIR),
  3325.                 linearMarginCovariance_LIBOR3M_MUNICIPAL (bucketSensitivitySettingsIR),
  3326.                 linearMarginCovariance_LIBOR6M_LIBOR6M (bucketSensitivitySettingsIR),
  3327.                 linearMarginCovariance_LIBOR6M_LIBOR12M (bucketSensitivitySettingsIR),
  3328.                 linearMarginCovariance_LIBOR6M_PRIME (bucketSensitivitySettingsIR),
  3329.                 linearMarginCovariance_LIBOR6M_MUNICIPAL (bucketSensitivitySettingsIR),
  3330.                 linearMarginCovariance_LIBOR12M_LIBOR12M (bucketSensitivitySettingsIR),
  3331.                 linearMarginCovariance_LIBOR12M_PRIME (bucketSensitivitySettingsIR),
  3332.                 linearMarginCovariance_LIBOR12M_MUNICIPAL (bucketSensitivitySettingsIR),
  3333.                 linearMarginCovariance_PRIME_PRIME (bucketSensitivitySettingsIR),
  3334.                 linearMarginCovariance_PRIME_MUNICIPAL (bucketSensitivitySettingsIR),
  3335.                 linearMarginCovariance_MUNICIPAL_MUNICIPAL (bucketSensitivitySettingsIR),
  3336.                 cumulativeSensitivityMargin()
  3337.             );
  3338.         }
  3339.         catch (java.lang.Exception e)
  3340.         {
  3341.             e.printStackTrace();
  3342.         }

  3344.         return null;
  3345.     }

  3347.     /**
  3348.      * Compute the Curvature Margin Co-variance
  3349.      * 
  3350.      * @param bucketSensitivitySettingsIR The IR Currency Bucket Curve Tenor Sensitivity Settings
  3351.      * 
  3352.      * @return The Curvature Margin Co-variance
  3353.      */

  3355.     public org.drip.simm.margin.SensitivityAggregateIR curvatureMargin (
  3356.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  3357.     {
  3358.         try
  3359.         {
  3360.             return new org.drip.simm.margin.SensitivityAggregateIR (
  3361.                 curvatureMarginCovariance_OIS_OIS (bucketSensitivitySettingsIR),
  3362.                 curvatureMarginCovariance_OIS_LIBOR1M (bucketSensitivitySettingsIR),
  3363.                 curvatureMarginCovariance_OIS_LIBOR3M (bucketSensitivitySettingsIR),
  3364.                 curvatureMarginCovariance_OIS_LIBOR6M (bucketSensitivitySettingsIR),
  3365.                 curvatureMarginCovariance_OIS_LIBOR12M (bucketSensitivitySettingsIR),
  3366.                 curvatureMarginCovariance_OIS_PRIME (bucketSensitivitySettingsIR),
  3367.                 curvatureMarginCovariance_OIS_MUNICIPAL (bucketSensitivitySettingsIR),
  3368.                 curvatureMarginCovariance_LIBOR1M_LIBOR1M (bucketSensitivitySettingsIR),
  3369.                 curvatureMarginCovariance_LIBOR1M_LIBOR3M (bucketSensitivitySettingsIR),
  3370.                 curvatureMarginCovariance_LIBOR1M_LIBOR6M (bucketSensitivitySettingsIR),
  3371.                 curvatureMarginCovariance_LIBOR1M_LIBOR12M (bucketSensitivitySettingsIR),
  3372.                 curvatureMarginCovariance_LIBOR1M_PRIME (bucketSensitivitySettingsIR),
  3373.                 curvatureMarginCovariance_LIBOR1M_MUNICIPAL (bucketSensitivitySettingsIR),
  3374.                 curvatureMarginCovariance_LIBOR3M_LIBOR3M (bucketSensitivitySettingsIR),
  3375.                 curvatureMarginCovariance_LIBOR3M_LIBOR6M (bucketSensitivitySettingsIR),
  3376.                 curvatureMarginCovariance_LIBOR3M_LIBOR12M (bucketSensitivitySettingsIR),
  3377.                 curvatureMarginCovariance_LIBOR3M_PRIME (bucketSensitivitySettingsIR),
  3378.                 curvatureMarginCovariance_LIBOR3M_MUNICIPAL (bucketSensitivitySettingsIR),
  3379.                 curvatureMarginCovariance_LIBOR6M_LIBOR6M (bucketSensitivitySettingsIR),
  3380.                 curvatureMarginCovariance_LIBOR6M_LIBOR12M (bucketSensitivitySettingsIR),
  3381.                 curvatureMarginCovariance_LIBOR6M_PRIME (bucketSensitivitySettingsIR),
  3382.                 curvatureMarginCovariance_LIBOR6M_MUNICIPAL (bucketSensitivitySettingsIR),
  3383.                 curvatureMarginCovariance_LIBOR12M_LIBOR12M (bucketSensitivitySettingsIR),
  3384.                 curvatureMarginCovariance_LIBOR12M_PRIME (bucketSensitivitySettingsIR),
  3385.                 curvatureMarginCovariance_LIBOR12M_MUNICIPAL (bucketSensitivitySettingsIR),
  3386.                 curvatureMarginCovariance_PRIME_PRIME (bucketSensitivitySettingsIR),
  3387.                 curvatureMarginCovariance_PRIME_MUNICIPAL (bucketSensitivitySettingsIR),
  3388.                 curvatureMarginCovariance_MUNICIPAL_MUNICIPAL (bucketSensitivitySettingsIR),
  3389.                 cumulativeSensitivityMargin()
  3390.             );
  3391.         }
  3392.         catch (java.lang.Exception e)
  3393.         {
  3394.             e.printStackTrace();
  3395.         }

  3397.         return null;
  3398.     }
  3399. }
Created with JaCoCo 0.7.9.201702052155