BucketCurvatureSettingsIR.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>BucketCurvatureSettingsIR</i> holds the Curvature Risk Weights, Concentration Thresholds, and
  80.  * Cross-Tenor/Cross-Curve 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 BucketCurvatureSettingsIR extends org.drip.simm.parameters.BucketVegaSettingsIR
  121. {
  122.     private java.util.Map<java.lang.String, java.lang.Double> _tenorScalingFactorMap = null;

  124.     /**
  125.      * Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR
  126.      * 
  127.      * @param currency Currency
  128.      * 
  129.      * @return The ISDA 2.0 Standard BucketCurvatureSettingsIR
  130.      */

  132.     public static BucketCurvatureSettingsIR ISDA_20 (
  133.         final java.lang.String currency)
  134.     {
  135.         org.drip.simm.parameters.BucketVegaSettingsIR bucketVegaSettingsIR =
  136.             org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_20 (currency);

  138.         if (null == bucketVegaSettingsIR)
  139.         {
  140.             return null;
  141.         }

  143.         org.drip.function.definition.R1ToR1 r1ToR1CurvatureTenorScaler =
  144.             org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler.Standard();

  146.         java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap = new
  147.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  149.         try
  150.         {
  151.             tenorScalingFactorMap.put (
  152.                 "2W",
  153.                 r1ToR1CurvatureTenorScaler.evaluate (14.)
  154.             );

  156.             tenorScalingFactorMap.put (
  157.                 "1M",
  158.                 r1ToR1CurvatureTenorScaler.evaluate (30.)
  159.             );

  161.             tenorScalingFactorMap.put (
  162.                 "3M",
  163.                 r1ToR1CurvatureTenorScaler.evaluate (91.)
  164.             );

  166.             tenorScalingFactorMap.put (
  167.                 "6M",
  168.                 r1ToR1CurvatureTenorScaler.evaluate (183.)
  169.             );

  171.             tenorScalingFactorMap.put (
  172.                 "1Y",
  173.                 r1ToR1CurvatureTenorScaler.evaluate (365.)
  174.             );

  176.             tenorScalingFactorMap.put (
  177.                 "2Y",
  178.                 r1ToR1CurvatureTenorScaler.evaluate (731.)
  179.             );

  181.             tenorScalingFactorMap.put (
  182.                 "3Y",
  183.                 r1ToR1CurvatureTenorScaler.evaluate (1096.)
  184.             );

  186.             tenorScalingFactorMap.put (
  187.                 "5Y",
  188.                 r1ToR1CurvatureTenorScaler.evaluate (1826.)
  189.             );

  191.             tenorScalingFactorMap.put (
  192.                 "10Y",
  193.                 r1ToR1CurvatureTenorScaler.evaluate (3652.)
  194.             );

  196.             tenorScalingFactorMap.put (
  197.                 "15Y",
  198.                 r1ToR1CurvatureTenorScaler.evaluate (5479.)
  199.             );

  201.             tenorScalingFactorMap.put (
  202.                 "20Y",
  203.                 r1ToR1CurvatureTenorScaler.evaluate (7305.)
  204.             );

  206.             tenorScalingFactorMap.put (
  207.                 "30Y",
  208.                 r1ToR1CurvatureTenorScaler.evaluate (10957.)
  209.             );

  211.             return new BucketCurvatureSettingsIR (
  212.                 bucketVegaSettingsIR.oisTenorVegaRiskWeight(),
  213.                 bucketVegaSettingsIR.libor1MTenorVegaRiskWeight(),
  214.                 bucketVegaSettingsIR.libor3MTenorVegaRiskWeight(),
  215.                 bucketVegaSettingsIR.libor6MTenorVegaRiskWeight(),
  216.                 bucketVegaSettingsIR.libor12MTenorVegaRiskWeight(),
  217.                 bucketVegaSettingsIR.primeTenorVegaRiskWeight(),
  218.                 bucketVegaSettingsIR.municipalTenorVegaRiskWeight(),
  219.                 bucketVegaSettingsIR.crossTenorCorrelation(),
  220.                 bucketVegaSettingsIR.crossCurveCorrelation(),
  221.                 bucketVegaSettingsIR.concentrationThreshold(),
  222.                 bucketVegaSettingsIR.vegaScaler(),
  223.                 bucketVegaSettingsIR.historicalVolatilityRatio(),
  224.                 bucketVegaSettingsIR.oisTenorDeltaRiskWeight(),
  225.                 bucketVegaSettingsIR.libor1MTenorDeltaRiskWeight(),
  226.                 bucketVegaSettingsIR.libor3MTenorDeltaRiskWeight(),
  227.                 bucketVegaSettingsIR.libor6MTenorDeltaRiskWeight(),
  228.                 bucketVegaSettingsIR.libor12MTenorDeltaRiskWeight(),
  229.                 bucketVegaSettingsIR.primeTenorDeltaRiskWeight(),
  230.                 bucketVegaSettingsIR.municipalTenorDeltaRiskWeight(),
  231.                 tenorScalingFactorMap
  232.             );
  233.         }
  234.         catch (java.lang.Exception e)
  235.         {
  236.             e.printStackTrace();
  237.         }

  239.         return null;
  240.     }

  242.     /**
  243.      * Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR
  244.      * 
  245.      * @param currency Currency
  246.      * 
  247.      * @return The ISDA 2.1 Standard BucketCurvatureSettingsIR
  248.      */

  250.     public static BucketCurvatureSettingsIR ISDA_21 (
  251.         final java.lang.String currency)
  252.     {
  253.         org.drip.simm.parameters.BucketVegaSettingsIR bucketVegaSettingsIR =
  254.             org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_21 (currency);

  256.         if (null == bucketVegaSettingsIR)
  257.         {
  258.             return null;
  259.         }

  261.         org.drip.function.definition.R1ToR1 r1ToR1CurvatureTenorScaler =
  262.             org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler.Standard();

  264.         java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap = new
  265.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  267.         try
  268.         {
  269.             tenorScalingFactorMap.put (
  270.                 "2W",
  271.                 r1ToR1CurvatureTenorScaler.evaluate (14.)
  272.             );

  274.             tenorScalingFactorMap.put (
  275.                 "1M",
  276.                 r1ToR1CurvatureTenorScaler.evaluate (30.)
  277.             );

  279.             tenorScalingFactorMap.put (
  280.                 "3M",
  281.                 r1ToR1CurvatureTenorScaler.evaluate (91.)
  282.             );

  284.             tenorScalingFactorMap.put (
  285.                 "6M",
  286.                 r1ToR1CurvatureTenorScaler.evaluate (183.)
  287.             );

  289.             tenorScalingFactorMap.put (
  290.                 "1Y",
  291.                 r1ToR1CurvatureTenorScaler.evaluate (365.)
  292.             );

  294.             tenorScalingFactorMap.put (
  295.                 "2Y",
  296.                 r1ToR1CurvatureTenorScaler.evaluate (731.)
  297.             );

  299.             tenorScalingFactorMap.put (
  300.                 "3Y",
  301.                 r1ToR1CurvatureTenorScaler.evaluate (1096.)
  302.             );

  304.             tenorScalingFactorMap.put (
  305.                 "5Y",
  306.                 r1ToR1CurvatureTenorScaler.evaluate (1826.)
  307.             );

  309.             tenorScalingFactorMap.put (
  310.                 "10Y",
  311.                 r1ToR1CurvatureTenorScaler.evaluate (3652.)
  312.             );

  314.             tenorScalingFactorMap.put (
  315.                 "15Y",
  316.                 r1ToR1CurvatureTenorScaler.evaluate (5479.)
  317.             );

  319.             tenorScalingFactorMap.put (
  320.                 "20Y",
  321.                 r1ToR1CurvatureTenorScaler.evaluate (7305.)
  322.             );

  324.             tenorScalingFactorMap.put (
  325.                 "30Y",
  326.                 r1ToR1CurvatureTenorScaler.evaluate (10957.)
  327.             );

  329.             return new BucketCurvatureSettingsIR (
  330.                 bucketVegaSettingsIR.oisTenorVegaRiskWeight(),
  331.                 bucketVegaSettingsIR.libor1MTenorVegaRiskWeight(),
  332.                 bucketVegaSettingsIR.libor3MTenorVegaRiskWeight(),
  333.                 bucketVegaSettingsIR.libor6MTenorVegaRiskWeight(),
  334.                 bucketVegaSettingsIR.libor12MTenorVegaRiskWeight(),
  335.                 bucketVegaSettingsIR.primeTenorVegaRiskWeight(),
  336.                 bucketVegaSettingsIR.municipalTenorVegaRiskWeight(),
  337.                 bucketVegaSettingsIR.crossTenorCorrelation(),
  338.                 bucketVegaSettingsIR.crossCurveCorrelation(),
  339.                 bucketVegaSettingsIR.concentrationThreshold(),
  340.                 bucketVegaSettingsIR.vegaScaler(),
  341.                 bucketVegaSettingsIR.historicalVolatilityRatio(),
  342.                 bucketVegaSettingsIR.oisTenorDeltaRiskWeight(),
  343.                 bucketVegaSettingsIR.libor1MTenorDeltaRiskWeight(),
  344.                 bucketVegaSettingsIR.libor3MTenorDeltaRiskWeight(),
  345.                 bucketVegaSettingsIR.libor6MTenorDeltaRiskWeight(),
  346.                 bucketVegaSettingsIR.libor12MTenorDeltaRiskWeight(),
  347.                 bucketVegaSettingsIR.primeTenorDeltaRiskWeight(),
  348.                 bucketVegaSettingsIR.municipalTenorDeltaRiskWeight(),
  349.                 tenorScalingFactorMap
  350.             );
  351.         }
  352.         catch (java.lang.Exception e)
  353.         {
  354.             e.printStackTrace();
  355.         }

  357.         return null;
  358.     }

  360.     /**
  361.      * BucketCurvatureSettingsIR Constructor
  362.      * 
  363.      * @param oisTenorVegaRiskWeight The OIS Tenor Vega Risk Weight
  364.      * @param libor1MTenorVegaRiskWeight The LIBOR 1M Tenor Vega Risk Weight
  365.      * @param libor3MTenorVegaRiskWeight The LIBOR 3M Tenor Vega Risk Weight
  366.      * @param libor6MTenorVegaRiskWeight The LIBOR 6M Tenor Vega Risk Weight
  367.      * @param libor12MTenorVegaRiskWeight The LIBOR 12M Tenor Vega Risk Weight
  368.      * @param primeTenorVegaRiskWeight The PRIME Tenor Vega Risk Weight
  369.      * @param municipalTenorVegaRiskWeight The MUNICIPAL Tenor Vega Risk Weight
  370.      * @param crossTenorCorrelation Single Curve Cross-Tenor Correlation
  371.      * @param crossCurveCorrelation Cross Curve Correlation
  372.      * @param concentrationThreshold The Concentration Threshold
  373.      * @param vegaScaler The Vega Scaler
  374.      * @param historicalVolatilityRatio The Historical Volatility Ratio
  375.      * @param oisTenorDeltaRiskWeight The OIS Tenor Delta Risk Weight
  376.      * @param libor1MTenorDeltaRiskWeight The LIBOR 1M Tenor Delta Risk Weight
  377.      * @param libor3MTenorDeltaRiskWeight The LIBOR 3M Tenor Delta Risk Weight
  378.      * @param libor6MTenorDeltaRiskWeight The LIBOR 6M Tenor Delta Risk Weight
  379.      * @param libor12MTenorDeltaRiskWeight The LIBOR 12M Tenor Delta Risk Weight
  380.      * @param primeTenorDeltaRiskWeight The PRIME Tenor Delta Risk Weight
  381.      * @param municipalTenorDeltaRiskWeight The MUNICIPAL Tenor Delta Risk Weight
  382.      * @param tenorScalingFactorMap The Tenor Scaling Factor Map
  383.      * 
  384.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  385.      */

  387.     public BucketCurvatureSettingsIR (
  388.         final java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight,
  389.         final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight,
  390.         final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight,
  391.         final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight,
  392.         final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight,
  393.         final java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight,
  394.         final java.util.Map<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeight,
  395.         final org.drip.measure.stochastic.LabelCorrelation crossTenorCorrelation,
  396.         final double crossCurveCorrelation,
  397.         final double concentrationThreshold,
  398.         final double vegaScaler,
  399.         final double historicalVolatilityRatio,
  400.         final java.util.Map<java.lang.String, java.lang.Double> oisTenorDeltaRiskWeight,
  401.         final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorDeltaRiskWeight,
  402.         final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorDeltaRiskWeight,
  403.         final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorDeltaRiskWeight,
  404.         final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorDeltaRiskWeight,
  405.         final java.util.Map<java.lang.String, java.lang.Double> primeTenorDeltaRiskWeight,
  406.         final java.util.Map<java.lang.String, java.lang.Double> municipalTenorDeltaRiskWeight,
  407.         final java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap)
  408.         throws java.lang.Exception
  409.     {
  410.         super (
  411.             oisTenorVegaRiskWeight,
  412.             libor1MTenorVegaRiskWeight,
  413.             libor3MTenorVegaRiskWeight,
  414.             libor6MTenorVegaRiskWeight,
  415.             libor12MTenorVegaRiskWeight,
  416.             primeTenorVegaRiskWeight,
  417.             municipalTenorVegaRiskWeight,
  418.             crossTenorCorrelation,
  419.             crossCurveCorrelation,
  420.             concentrationThreshold,
  421.             vegaScaler,
  422.             historicalVolatilityRatio,
  423.             oisTenorDeltaRiskWeight,
  424.             libor1MTenorDeltaRiskWeight,
  425.             libor3MTenorDeltaRiskWeight,
  426.             libor6MTenorDeltaRiskWeight,
  427.             libor12MTenorDeltaRiskWeight,
  428.             primeTenorDeltaRiskWeight,
  429.             municipalTenorDeltaRiskWeight
  430.         );

  432.         if (null == (_tenorScalingFactorMap = tenorScalingFactorMap) || 0 == _tenorScalingFactorMap.size())
  433.         {
  434.             throw new java.lang.Exception ("BucketVegaSettingsIR Constructor => Invalid Inputs");
  435.         }
  436.     }

  438.     /**
  439.      * Retrieve the Tenor Scaling Factor Map
  440.      * 
  441.      * @return The Tenor Scaling Factor Map
  442.      */

  444.     public java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap()
  445.     {
  446.         return _tenorScalingFactorMap;
  447.     }

  449.     @Override public java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight()
  450.     {
  451.         java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight =
  452.             super.oisTenorRiskWeight();

  454.         java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight = new
  455.             java.util.HashMap<java.lang.String, java.lang.Double>();

  457.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisTenorVegaRiskWeightEntry :
  458.             oisTenorVegaRiskWeight.entrySet())
  459.         {
  460.             java.lang.String tenor = oisTenorVegaRiskWeightEntry.getKey();

  462.             if (!_tenorScalingFactorMap.containsKey (tenor))
  463.             {
  464.                 return null;
  465.             }

  467.             oisTenorRiskWeight.put (
  468.                 tenor,
  469.                 oisTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  470.             );
  471.         }

  473.         return oisTenorRiskWeight;
  474.     }

  476.     @Override public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight()
  477.     {
  478.         java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight =
  479.             super.libor1MTenorRiskWeight();

  481.         java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight = new
  482.             java.util.HashMap<java.lang.String, java.lang.Double>();

  484.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeightEntry :
  485.             libor1MTenorVegaRiskWeight.entrySet())
  486.         {
  487.             java.lang.String tenor = libor1MTenorVegaRiskWeightEntry.getKey();

  489.             if (!_tenorScalingFactorMap.containsKey (tenor))
  490.             {
  491.                 return null;
  492.             }

  494.             libor1MTenorRiskWeight.put (
  495.                 tenor,
  496.                 libor1MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  497.             );
  498.         }

  500.         return libor1MTenorRiskWeight;
  501.     }

  503.     @Override public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight()
  504.     {
  505.         java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight =
  506.             super.libor3MTenorRiskWeight();

  508.         java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight = new
  509.             java.util.HashMap<java.lang.String, java.lang.Double>();

  511.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeightEntry :
  512.             libor3MTenorVegaRiskWeight.entrySet())
  513.         {
  514.             java.lang.String tenor = libor3MTenorVegaRiskWeightEntry.getKey();

  516.             if (!_tenorScalingFactorMap.containsKey (tenor))
  517.             {
  518.                 return null;
  519.             }

  521.             libor3MTenorRiskWeight.put (
  522.                 tenor,
  523.                 libor3MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  524.             );
  525.         }

  527.         return libor3MTenorRiskWeight;
  528.     }

  530.     @Override public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight()
  531.     {
  532.         java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight =
  533.             super.libor6MTenorRiskWeight();

  535.         java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight = new
  536.             java.util.HashMap<java.lang.String, java.lang.Double>();

  538.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeightEntry :
  539.             libor6MTenorVegaRiskWeight.entrySet())
  540.         {
  541.             java.lang.String tenor = libor6MTenorVegaRiskWeightEntry.getKey();

  543.             if (!_tenorScalingFactorMap.containsKey (tenor))
  544.             {
  545.                 return null;
  546.             }

  548.             libor6MTenorRiskWeight.put (
  549.                 tenor,
  550.                 libor6MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  551.             );
  552.         }

  554.         return libor6MTenorRiskWeight;
  555.     }

  557.     @Override public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight()
  558.     {
  559.         java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight =
  560.             super.libor12MTenorRiskWeight();

  562.         java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight = new
  563.             java.util.HashMap<java.lang.String, java.lang.Double>();

  565.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeightEntry :
  566.             libor12MTenorVegaRiskWeight.entrySet())
  567.         {
  568.             java.lang.String tenor = libor12MTenorVegaRiskWeightEntry.getKey();

  570.             if (!_tenorScalingFactorMap.containsKey (tenor))
  571.             {
  572.                 return null;
  573.             }

  575.             libor12MTenorRiskWeight.put (
  576.                 tenor,
  577.                 libor12MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  578.             );
  579.         }

  581.         return libor12MTenorRiskWeight;
  582.     }

  584.     @Override public java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight()
  585.     {
  586.         java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight =
  587.             super.primeTenorRiskWeight();

  589.         java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight = new
  590.             java.util.HashMap<java.lang.String, java.lang.Double>();

  592.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeTenorVegaRiskWeightEntry :
  593.             primeTenorVegaRiskWeight.entrySet())
  594.         {
  595.             java.lang.String tenor = primeTenorVegaRiskWeightEntry.getKey();

  597.             if (!_tenorScalingFactorMap.containsKey (tenor))
  598.             {
  599.                 return null;
  600.             }

  602.             primeTenorRiskWeight.put (
  603.                 tenor,
  604.                 primeTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  605.             );
  606.         }

  608.         return primeTenorRiskWeight;
  609.     }

  611.     @Override public java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight()
  612.     {
  613.         java.util.Map<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeight =
  614.             super.municipalTenorRiskWeight();

  616.         java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight = new
  617.             java.util.HashMap<java.lang.String, java.lang.Double>();

  619.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeightEntry :
  620.             municipalTenorVegaRiskWeight.entrySet())
  621.         {
  622.             java.lang.String tenor = municipalTenorVegaRiskWeightEntry.getKey();

  624.             if (!_tenorScalingFactorMap.containsKey (tenor))
  625.             {
  626.                 return null;
  627.             }

  629.             municipalTenorRiskWeight.put (
  630.                 tenor,
  631.                 municipalTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
  632.             );
  633.         }

  635.         return municipalTenorRiskWeight;
  636.     }
  637. }
Created with JaCoCo 0.7.9.201702052155