BucketCurvatureSettingsIR.java
package org.drip.simm.parameters;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>BucketCurvatureSettingsIR</i> holds the Curvature Risk Weights, Concentration Thresholds, and
* Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor. The References are:
*
* <br><br>
* <ul>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
* Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
* </li>
* <li>
* Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
* Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
* </li>
* <li>
* Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
* Framework for Forecasting Initial Margin Requirements
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
* </li>
* <li>
* Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
* Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
* <b>eSSRN</b>
* </li>
* <li>
* International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
* https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/README.md">Initial Margin Analytics based on ISDA SIMM and its Variants</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/parameters/README.md">ISDA SIMM Risk Factor Parameters</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BucketCurvatureSettingsIR extends org.drip.simm.parameters.BucketVegaSettingsIR
{
private java.util.Map<java.lang.String, java.lang.Double> _tenorScalingFactorMap = null;
/**
* Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR
*
* @param currency Currency
*
* @return The ISDA 2.0 Standard BucketCurvatureSettingsIR
*/
public static BucketCurvatureSettingsIR ISDA_20 (
final java.lang.String currency)
{
org.drip.simm.parameters.BucketVegaSettingsIR bucketVegaSettingsIR =
org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_20 (currency);
if (null == bucketVegaSettingsIR)
{
return null;
}
org.drip.function.definition.R1ToR1 r1ToR1CurvatureTenorScaler =
org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler.Standard();
java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
try
{
tenorScalingFactorMap.put (
"2W",
r1ToR1CurvatureTenorScaler.evaluate (14.)
);
tenorScalingFactorMap.put (
"1M",
r1ToR1CurvatureTenorScaler.evaluate (30.)
);
tenorScalingFactorMap.put (
"3M",
r1ToR1CurvatureTenorScaler.evaluate (91.)
);
tenorScalingFactorMap.put (
"6M",
r1ToR1CurvatureTenorScaler.evaluate (183.)
);
tenorScalingFactorMap.put (
"1Y",
r1ToR1CurvatureTenorScaler.evaluate (365.)
);
tenorScalingFactorMap.put (
"2Y",
r1ToR1CurvatureTenorScaler.evaluate (731.)
);
tenorScalingFactorMap.put (
"3Y",
r1ToR1CurvatureTenorScaler.evaluate (1096.)
);
tenorScalingFactorMap.put (
"5Y",
r1ToR1CurvatureTenorScaler.evaluate (1826.)
);
tenorScalingFactorMap.put (
"10Y",
r1ToR1CurvatureTenorScaler.evaluate (3652.)
);
tenorScalingFactorMap.put (
"15Y",
r1ToR1CurvatureTenorScaler.evaluate (5479.)
);
tenorScalingFactorMap.put (
"20Y",
r1ToR1CurvatureTenorScaler.evaluate (7305.)
);
tenorScalingFactorMap.put (
"30Y",
r1ToR1CurvatureTenorScaler.evaluate (10957.)
);
return new BucketCurvatureSettingsIR (
bucketVegaSettingsIR.oisTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor1MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor3MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor6MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor12MTenorVegaRiskWeight(),
bucketVegaSettingsIR.primeTenorVegaRiskWeight(),
bucketVegaSettingsIR.municipalTenorVegaRiskWeight(),
bucketVegaSettingsIR.crossTenorCorrelation(),
bucketVegaSettingsIR.crossCurveCorrelation(),
bucketVegaSettingsIR.concentrationThreshold(),
bucketVegaSettingsIR.vegaScaler(),
bucketVegaSettingsIR.historicalVolatilityRatio(),
bucketVegaSettingsIR.oisTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor1MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor3MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor6MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor12MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.primeTenorDeltaRiskWeight(),
bucketVegaSettingsIR.municipalTenorDeltaRiskWeight(),
tenorScalingFactorMap
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR
*
* @param currency Currency
*
* @return The ISDA 2.1 Standard BucketCurvatureSettingsIR
*/
public static BucketCurvatureSettingsIR ISDA_21 (
final java.lang.String currency)
{
org.drip.simm.parameters.BucketVegaSettingsIR bucketVegaSettingsIR =
org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_21 (currency);
if (null == bucketVegaSettingsIR)
{
return null;
}
org.drip.function.definition.R1ToR1 r1ToR1CurvatureTenorScaler =
org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler.Standard();
java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap = new
org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();
try
{
tenorScalingFactorMap.put (
"2W",
r1ToR1CurvatureTenorScaler.evaluate (14.)
);
tenorScalingFactorMap.put (
"1M",
r1ToR1CurvatureTenorScaler.evaluate (30.)
);
tenorScalingFactorMap.put (
"3M",
r1ToR1CurvatureTenorScaler.evaluate (91.)
);
tenorScalingFactorMap.put (
"6M",
r1ToR1CurvatureTenorScaler.evaluate (183.)
);
tenorScalingFactorMap.put (
"1Y",
r1ToR1CurvatureTenorScaler.evaluate (365.)
);
tenorScalingFactorMap.put (
"2Y",
r1ToR1CurvatureTenorScaler.evaluate (731.)
);
tenorScalingFactorMap.put (
"3Y",
r1ToR1CurvatureTenorScaler.evaluate (1096.)
);
tenorScalingFactorMap.put (
"5Y",
r1ToR1CurvatureTenorScaler.evaluate (1826.)
);
tenorScalingFactorMap.put (
"10Y",
r1ToR1CurvatureTenorScaler.evaluate (3652.)
);
tenorScalingFactorMap.put (
"15Y",
r1ToR1CurvatureTenorScaler.evaluate (5479.)
);
tenorScalingFactorMap.put (
"20Y",
r1ToR1CurvatureTenorScaler.evaluate (7305.)
);
tenorScalingFactorMap.put (
"30Y",
r1ToR1CurvatureTenorScaler.evaluate (10957.)
);
return new BucketCurvatureSettingsIR (
bucketVegaSettingsIR.oisTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor1MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor3MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor6MTenorVegaRiskWeight(),
bucketVegaSettingsIR.libor12MTenorVegaRiskWeight(),
bucketVegaSettingsIR.primeTenorVegaRiskWeight(),
bucketVegaSettingsIR.municipalTenorVegaRiskWeight(),
bucketVegaSettingsIR.crossTenorCorrelation(),
bucketVegaSettingsIR.crossCurveCorrelation(),
bucketVegaSettingsIR.concentrationThreshold(),
bucketVegaSettingsIR.vegaScaler(),
bucketVegaSettingsIR.historicalVolatilityRatio(),
bucketVegaSettingsIR.oisTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor1MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor3MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor6MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.libor12MTenorDeltaRiskWeight(),
bucketVegaSettingsIR.primeTenorDeltaRiskWeight(),
bucketVegaSettingsIR.municipalTenorDeltaRiskWeight(),
tenorScalingFactorMap
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* BucketCurvatureSettingsIR Constructor
*
* @param oisTenorVegaRiskWeight The OIS Tenor Vega Risk Weight
* @param libor1MTenorVegaRiskWeight The LIBOR 1M Tenor Vega Risk Weight
* @param libor3MTenorVegaRiskWeight The LIBOR 3M Tenor Vega Risk Weight
* @param libor6MTenorVegaRiskWeight The LIBOR 6M Tenor Vega Risk Weight
* @param libor12MTenorVegaRiskWeight The LIBOR 12M Tenor Vega Risk Weight
* @param primeTenorVegaRiskWeight The PRIME Tenor Vega Risk Weight
* @param municipalTenorVegaRiskWeight The MUNICIPAL Tenor Vega Risk Weight
* @param crossTenorCorrelation Single Curve Cross-Tenor Correlation
* @param crossCurveCorrelation Cross Curve Correlation
* @param concentrationThreshold The Concentration Threshold
* @param vegaScaler The Vega Scaler
* @param historicalVolatilityRatio The Historical Volatility Ratio
* @param oisTenorDeltaRiskWeight The OIS Tenor Delta Risk Weight
* @param libor1MTenorDeltaRiskWeight The LIBOR 1M Tenor Delta Risk Weight
* @param libor3MTenorDeltaRiskWeight The LIBOR 3M Tenor Delta Risk Weight
* @param libor6MTenorDeltaRiskWeight The LIBOR 6M Tenor Delta Risk Weight
* @param libor12MTenorDeltaRiskWeight The LIBOR 12M Tenor Delta Risk Weight
* @param primeTenorDeltaRiskWeight The PRIME Tenor Delta Risk Weight
* @param municipalTenorDeltaRiskWeight The MUNICIPAL Tenor Delta Risk Weight
* @param tenorScalingFactorMap The Tenor Scaling Factor Map
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public BucketCurvatureSettingsIR (
final java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeight,
final org.drip.measure.stochastic.LabelCorrelation crossTenorCorrelation,
final double crossCurveCorrelation,
final double concentrationThreshold,
final double vegaScaler,
final double historicalVolatilityRatio,
final java.util.Map<java.lang.String, java.lang.Double> oisTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> primeTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> municipalTenorDeltaRiskWeight,
final java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap)
throws java.lang.Exception
{
super (
oisTenorVegaRiskWeight,
libor1MTenorVegaRiskWeight,
libor3MTenorVegaRiskWeight,
libor6MTenorVegaRiskWeight,
libor12MTenorVegaRiskWeight,
primeTenorVegaRiskWeight,
municipalTenorVegaRiskWeight,
crossTenorCorrelation,
crossCurveCorrelation,
concentrationThreshold,
vegaScaler,
historicalVolatilityRatio,
oisTenorDeltaRiskWeight,
libor1MTenorDeltaRiskWeight,
libor3MTenorDeltaRiskWeight,
libor6MTenorDeltaRiskWeight,
libor12MTenorDeltaRiskWeight,
primeTenorDeltaRiskWeight,
municipalTenorDeltaRiskWeight
);
if (null == (_tenorScalingFactorMap = tenorScalingFactorMap) || 0 == _tenorScalingFactorMap.size())
{
throw new java.lang.Exception ("BucketVegaSettingsIR Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Tenor Scaling Factor Map
*
* @return The Tenor Scaling Factor Map
*/
public java.util.Map<java.lang.String, java.lang.Double> tenorScalingFactorMap()
{
return _tenorScalingFactorMap;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight =
super.oisTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisTenorVegaRiskWeightEntry :
oisTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = oisTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
oisTenorRiskWeight.put (
tenor,
oisTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return oisTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight =
super.libor1MTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeightEntry :
libor1MTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = libor1MTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
libor1MTenorRiskWeight.put (
tenor,
libor1MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return libor1MTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight =
super.libor3MTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeightEntry :
libor3MTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = libor3MTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
libor3MTenorRiskWeight.put (
tenor,
libor3MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return libor3MTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight =
super.libor6MTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeightEntry :
libor6MTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = libor6MTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
libor6MTenorRiskWeight.put (
tenor,
libor6MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return libor6MTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight =
super.libor12MTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeightEntry :
libor12MTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = libor12MTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
libor12MTenorRiskWeight.put (
tenor,
libor12MTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return libor12MTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight =
super.primeTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeTenorVegaRiskWeightEntry :
primeTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = primeTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
primeTenorRiskWeight.put (
tenor,
primeTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return primeTenorRiskWeight;
}
@Override public java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight()
{
java.util.Map<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeight =
super.municipalTenorRiskWeight();
java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight = new
java.util.HashMap<java.lang.String, java.lang.Double>();
for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeightEntry :
municipalTenorVegaRiskWeight.entrySet())
{
java.lang.String tenor = municipalTenorVegaRiskWeightEntry.getKey();
if (!_tenorScalingFactorMap.containsKey (tenor))
{
return null;
}
municipalTenorRiskWeight.put (
tenor,
municipalTenorVegaRiskWeightEntry.getValue() * _tenorScalingFactorMap.get (tenor)
);
}
return municipalTenorRiskWeight;
}
}