BucketCurvatureSettingsCR.java

  1. package org.drip.simm.parameters;

  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>BucketCurvatureSettingsCR</i> holds the Curvature Risk Weights, Concentration Thresholds, and
  80.  * Cross-Tenor Correlations for each Currency Curve and its Tenor. 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/parameters/README.md">ISDA SIMM Risk Factor Parameters</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class BucketCurvatureSettingsCR extends org.drip.simm.parameters.BucketVegaSettingsCR
  121. {
  122.     private java.util.Map<java.lang.String, java.lang.Double> _tenorScalingFactorMap = null;

  124.     private static final java.util.Map<java.lang.String, java.lang.Double> TenorScalingFactorMap()
  125.     {
  126.         java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap = new
  127.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  129.         org.drip.function.definition.R1ToR1 r1ToR1CurvatureTenorScaler =
  130.             org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler.Standard();

  132.         try
  133.         {
  134.             tenorScalingFactorMap.put (
  135.                 "1Y",
  136.                 r1ToR1CurvatureTenorScaler.evaluate (365.)
  137.             );

  139.             tenorScalingFactorMap.put (
  140.                 "2Y",
  141.                 r1ToR1CurvatureTenorScaler.evaluate (731.)
  142.             );

  144.             tenorScalingFactorMap.put (
  145.                 "3Y",
  146.                 r1ToR1CurvatureTenorScaler.evaluate (1096.)
  147.             );

  149.             tenorScalingFactorMap.put (
  150.                 "5Y",
  151.                 r1ToR1CurvatureTenorScaler.evaluate (1826.)
  152.             );

  154.             tenorScalingFactorMap.put (
  155.                 "10Y",
  156.                 r1ToR1CurvatureTenorScaler.evaluate (3652.)
  157.             );

  159.             return tenorScalingFactorMap;
  160.         }
  161.         catch (java.lang.Exception e)
  162.         {
  163.             e.printStackTrace();
  164.         }

  166.         return null;
  167.     }

  169.     /**
  170.      * Retrieve the ISDA 2.0 Credit Qualifying Bucket Curvature Settings
  171.      * 
  172.      * @param bucketNumber The Bucket Number
  173.      * 
  174.      * @return The ISDA 2.0 Credit Qualifying Bucket Curvature Settings
  175.      */

  177.     public static BucketCurvatureSettingsCR ISDA_CRQ_20 (
  178.         final int bucketNumber)
  179.     {
  180.         org.drip.simm.parameters.BucketVegaSettingsCR bucketVegaSettingsCR =
  181.             org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRQ_20 (bucketNumber);

  183.         if (null == bucketVegaSettingsCR)
  184.         {
  185.             return null;
  186.         }
  187.         try
  188.         {
  189.             return new BucketCurvatureSettingsCR (
  190.                 bucketVegaSettingsCR.tenorVegaRiskWeight(),
  191.                 bucketVegaSettingsCR.intraFamilyCrossTenorCorrelation(),
  192.                 bucketVegaSettingsCR.extraFamilyCrossTenorCorrelation(),
  193.                 bucketVegaSettingsCR.concentrationThreshold(),
  194.                 bucketVegaSettingsCR.vegaScaler(),
  195.                 bucketVegaSettingsCR.historicalVolatilityRatio(),
  196.                 bucketVegaSettingsCR.tenorDeltaRiskWeight(),
  197.                 TenorScalingFactorMap()
  198.             );
  199.         }
  200.         catch (java.lang.Exception e)
  201.         {
  202.             e.printStackTrace();
  203.         }

  205.         return null;
  206.     }

  208.     /**
  209.      * Retrieve the ISDA 2.1 Credit Qualifying Bucket Curvature Settings
  210.      * 
  211.      * @param bucketNumber The Bucket Number
  212.      * 
  213.      * @return The ISDA 2.1 Credit Qualifying Bucket Curvature Settings
  214.      */

  216.     public static BucketCurvatureSettingsCR ISDA_CRQ_21 (
  217.         final int bucketNumber)
  218.     {
  219.         org.drip.simm.parameters.BucketVegaSettingsCR bucketVegaSettingsCR =
  220.             org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRQ_21 (bucketNumber);

  222.         if (null == bucketVegaSettingsCR)
  223.         {
  224.             return null;
  225.         }
  226.         try
  227.         {
  228.             return new BucketCurvatureSettingsCR (
  229.                 bucketVegaSettingsCR.tenorVegaRiskWeight(),
  230.                 bucketVegaSettingsCR.intraFamilyCrossTenorCorrelation(),
  231.                 bucketVegaSettingsCR.extraFamilyCrossTenorCorrelation(),
  232.                 bucketVegaSettingsCR.concentrationThreshold(),
  233.                 bucketVegaSettingsCR.vegaScaler(),
  234.                 bucketVegaSettingsCR.historicalVolatilityRatio(),
  235.                 bucketVegaSettingsCR.tenorDeltaRiskWeight(),
  236.                 TenorScalingFactorMap()
  237.             );
  238.         }
  239.         catch (java.lang.Exception e)
  240.         {
  241.             e.printStackTrace();
  242.         }

  244.         return null;
  245.     }

  247.     /**
  248.      * Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Curvature Settings
  249.      * 
  250.      * @param bucketNumber The Bucket Number
  251.      * 
  252.      * @return The ISDA 2.0 Credit Non-Qualifying Bucket Curvature Settings
  253.      */

  255.     public static BucketCurvatureSettingsCR ISDA_CRNQ_20 (
  256.         final int bucketNumber)
  257.     {
  258.         org.drip.simm.parameters.BucketVegaSettingsCR bucketVegaSettingsCR =
  259.             org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRNQ_20 (bucketNumber);

  261.         if (null == bucketVegaSettingsCR)
  262.         {
  263.             return null;
  264.         }
  265.         try
  266.         {
  267.             return new BucketCurvatureSettingsCR (
  268.                 bucketVegaSettingsCR.tenorVegaRiskWeight(),
  269.                 bucketVegaSettingsCR.intraFamilyCrossTenorCorrelation(),
  270.                 bucketVegaSettingsCR.extraFamilyCrossTenorCorrelation(),
  271.                 bucketVegaSettingsCR.concentrationThreshold(),
  272.                 bucketVegaSettingsCR.vegaScaler(),
  273.                 bucketVegaSettingsCR.historicalVolatilityRatio(),
  274.                 bucketVegaSettingsCR.tenorDeltaRiskWeight(),
  275.                 TenorScalingFactorMap()
  276.             );
  277.         }
  278.         catch (java.lang.Exception e)
  279.         {
  280.             e.printStackTrace();
  281.         }

  283.         return null;
  284.     }

  286.     /**
  287.      * Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Curvature Settings
  288.      * 
  289.      * @param bucketNumber The Bucket Number
  290.      * 
  291.      * @return The ISDA 2.1 Credit Non-Qualifying Bucket Curvature Settings
  292.      */

  294.     public static BucketCurvatureSettingsCR ISDA_CRNQ_21 (
  295.         final int bucketNumber)
  296.     {
  297.         org.drip.simm.parameters.BucketVegaSettingsCR bucketVegaSettingsCR =
  298.             org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRNQ_21 (bucketNumber);

  300.         if (null == bucketVegaSettingsCR)
  301.         {
  302.             return null;
  303.         }
  304.         try
  305.         {
  306.             return new BucketCurvatureSettingsCR (
  307.                 bucketVegaSettingsCR.tenorVegaRiskWeight(),
  308.                 bucketVegaSettingsCR.intraFamilyCrossTenorCorrelation(),
  309.                 bucketVegaSettingsCR.extraFamilyCrossTenorCorrelation(),
  310.                 bucketVegaSettingsCR.concentrationThreshold(),
  311.                 bucketVegaSettingsCR.vegaScaler(),
  312.                 bucketVegaSettingsCR.historicalVolatilityRatio(),
  313.                 bucketVegaSettingsCR.tenorDeltaRiskWeight(),
  314.                 TenorScalingFactorMap()
  315.             );
  316.         }
  317.         catch (java.lang.Exception e)
  318.         {
  319.             e.printStackTrace();
  320.         }

  322.         return null;
  323.     }

  325.     /**
  326.      * BucketCurvatureSettingsCR Constructor
  327.      * 
  328.      * @param tenorVegaRiskWeight The Tenor Vega Risk Weight Map
  329.      * @param sameIssuerSeniorityCorrelation Same Issuer/Seniority Correlation
  330.      * @param differentIssuerSeniorityCorrelation Different Issuer/Seniority Correlation
  331.      * @param concentrationThreshold The Concentration Threshold
  332.      * @param vegaScaler The Vega Scaler
  333.      * @param historicalVolatilityRatio The Historical Volatility Ratio
  334.      * @param tenorDeltaRiskWeight The Credit Tenor Delta Risk Weight
  335.      * @param tenorScalingFactorMap The Tenor Scaling Factor Map
  336.      * 
  337.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  338.      */

  340.     public BucketCurvatureSettingsCR (
  341.         final java.util.Map<java.lang.String, java.lang.Double> tenorVegaRiskWeight,
  342.         final double sameIssuerSeniorityCorrelation,
  343.         final double differentIssuerSeniorityCorrelation,
  344.         final double concentrationThreshold,
  345.         final double vegaScaler,
  346.         final double historicalVolatilityRatio,
  347.         final java.util.Map<java.lang.String, java.lang.Double> tenorDeltaRiskWeight,
  348.         final java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap)
  349.         throws java.lang.Exception
  350.     {
  351.         super (
  352.             tenorVegaRiskWeight,
  353.             sameIssuerSeniorityCorrelation,
  354.             differentIssuerSeniorityCorrelation,
  355.             concentrationThreshold,
  356.             vegaScaler,
  357.             historicalVolatilityRatio,
  358.             tenorDeltaRiskWeight
  359.         );

  361.         if (null == (_tenorScalingFactorMap = tenorScalingFactorMap) || 0 == _tenorScalingFactorMap.size())
  362.         {
  363.             throw new java.lang.Exception ("BucketVegaSettingsIR Constructor => Invalid Inputs");
  364.         }
  365.     }

  367.     /**
  368.      * Retrieve the Tenor Scaling Factor Map
  369.      * 
  370.      * @return The Tenor Scaling Factor Map
  371.      */

  373.     public java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap()
  374.     {
  375.         return _tenorScalingFactorMap;
  376.     }

  378.     @Override public java.util.Map<java.lang.String, java.lang.Double> tenorRiskWeight()
  379.     {
  380.         java.util.Map<java.lang.String, java.lang.Double> tenorVegaRiskWeight = super.tenorRiskWeight();

  382.         java.util.Map<java.lang.String, java.lang.Double> tenorRiskWeight = new
  383.             java.util.HashMap<java.lang.String, java.lang.Double>();

  385.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> tenorVegaRiskWeightEntry :
  386.             tenorVegaRiskWeight.entrySet())
  387.         {
  388.             java.lang.String tenor = tenorVegaRiskWeightEntry.getKey();

  390.             if (!_tenorScalingFactorMap.containsKey (tenor))
  391.             {
  392.                 return null;
  393.             }

  395.             tenorRiskWeight.put (
  396.                 tenor,
  397.                 tenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  398.             );
  399.         }

  401.         return tenorRiskWeight;
  402.     }
  403. }
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