BucketSensitivitySettings.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>BucketSensitivitySettings</i> holds the Settings that govern the Generation of the ISDA SIMM Single
  80.  * Bucket Sensitivities. 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 BucketSensitivitySettings extends org.drip.simm.parameters.LiquiditySettings
  121. {
  122.     private double _riskWeight = java.lang.Double.NaN;
  123.     private double _memberCorrelation = java.lang.Double.NaN;

  125.     /**
  126.      * Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index
  127.      * 
  128.      * @param bucketIndex The Bucket Index
  129.      * 
  130.      * @return The BucketSensitivitySettings 2.0 Instance
  131.      */

  133.     public static BucketSensitivitySettings ISDA_EQ_20 (
  134.         final int bucketIndex)
  135.     {
  136.         org.drip.simm.equity.EQBucket equityBucket =
  137.             org.drip.simm.equity.EQSettingsContainer20.BucketMap().get (bucketIndex);

  139.         if (null == equityBucket)
  140.         {
  141.             return null;
  142.         }

  144.         try
  145.         {
  146.             return new BucketSensitivitySettings (
  147.                 equityBucket.deltaRiskWeight(),
  148.                 org.drip.simm.equity.EQRiskThresholdContainer20.DeltaVegaThresholdMap().get
  149.                     (bucketIndex).delta(),
  150.                 equityBucket.memberCorrelation()
  151.             );
  152.         }
  153.         catch (java.lang.Exception e)
  154.         {
  155.             e.printStackTrace();
  156.         }

  158.         return null;
  159.     }

  161.     /**
  162.      * Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index
  163.      * 
  164.      * @param bucketIndex The Bucket Index
  165.      * 
  166.      * @return The BucketSensitivitySettings 2.1 Instance
  167.      */

  169.     public static BucketSensitivitySettings ISDA_EQ_21 (
  170.         final int bucketIndex)
  171.     {
  172.         org.drip.simm.equity.EQBucket equityBucket =
  173.             org.drip.simm.equity.EQSettingsContainer21.BucketMap().get (bucketIndex);

  175.         if (null == equityBucket)
  176.         {
  177.             return null;
  178.         }

  180.         try
  181.         {
  182.             return new BucketSensitivitySettings (
  183.                 equityBucket.deltaRiskWeight(),
  184.                 org.drip.simm.equity.EQRiskThresholdContainer20.DeltaVegaThresholdMap().get
  185.                     (bucketIndex).delta(),
  186.                 equityBucket.memberCorrelation()
  187.             );
  188.         }
  189.         catch (java.lang.Exception e)
  190.         {
  191.             e.printStackTrace();
  192.         }

  194.         return null;
  195.     }

  197.     /**
  198.      * Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
  199.      * 
  200.      * @param bucketIndex The Bucket Index
  201.      * 
  202.      * @return The ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
  203.      */

  205.     public static BucketSensitivitySettings ISDA_CT_20 (
  206.         final int bucketIndex)
  207.     {
  208.         org.drip.simm.commodity.CTBucket commodityBucket =
  209.             org.drip.simm.commodity.CTSettingsContainer20.BucketMap().get (bucketIndex);

  211.         if (null == commodityBucket)
  212.         {
  213.             return null;
  214.         }

  216.         try
  217.         {
  218.             return new BucketSensitivitySettings (
  219.                 commodityBucket.deltaRiskWeight(),
  220.                 org.drip.simm.commodity.CTRiskThresholdContainer20.DeltaVegaThresholdMap().get
  221.                     (bucketIndex).delta(),
  222.                 commodityBucket.memberCorrelation()
  223.             );
  224.         }
  225.         catch (java.lang.Exception e)
  226.         {
  227.             e.printStackTrace();
  228.         }

  230.         return null;
  231.     }

  233.     /**
  234.      * Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
  235.      * 
  236.      * @param bucketIndex The Bucket Index
  237.      * 
  238.      * @return The ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
  239.      */

  241.     public static BucketSensitivitySettings ISDA_CT_21 (
  242.         final int bucketIndex)
  243.     {
  244.         org.drip.simm.commodity.CTBucket commodityBucket =
  245.             org.drip.simm.commodity.CTSettingsContainer21.BucketMap().get (bucketIndex);

  247.         if (null == commodityBucket)
  248.         {
  249.             return null;
  250.         }

  252.         try
  253.         {
  254.             return new BucketSensitivitySettings (
  255.                 commodityBucket.deltaRiskWeight(),
  256.                 org.drip.simm.commodity.CTRiskThresholdContainer21.DeltaVegaThresholdMap().get
  257.                     (bucketIndex).delta(),
  258.                 commodityBucket.memberCorrelation()
  259.             );
  260.         }
  261.         catch (java.lang.Exception e)
  262.         {
  263.             e.printStackTrace();
  264.         }

  266.         return null;
  267.     }

  269.     /**
  270.      * Construct the Standard ISDA 2.0 Instance of FX Delta Settings
  271.      * 
  272.      * @param categoryIndex The Category Index
  273.      * 
  274.      * @return The Standard ISDA 2.0 Instance of FX Delta Settings
  275.      */

  277.     public static BucketSensitivitySettings ISDA_FX_20 (
  278.         final int categoryIndex)
  279.     {
  280.         java.util.Map<java.lang.Integer, java.lang.Double> fxConcentrationCategoryDeltaMap =
  281.             org.drip.simm.fx.FXRiskThresholdContainer20.CategoryDeltaMap();

  283.         if (!fxConcentrationCategoryDeltaMap.containsKey(categoryIndex))
  284.         {
  285.             return null;
  286.         }

  288.         try
  289.         {
  290.             return new org.drip.simm.parameters.BucketSensitivitySettings (
  291.                 org.drip.simm.fx.FXSystemics20.DELTA_RISK_WEIGHT,
  292.                 fxConcentrationCategoryDeltaMap.get (categoryIndex),
  293.                 org.drip.simm.fx.FXSystemics20.CORRELATION
  294.             );
  295.         }
  296.         catch (java.lang.Exception e)
  297.         {
  298.             e.printStackTrace();
  299.         }

  301.         return null;
  302.     }

  304.     /**
  305.      * Construct the Standard ISDA 2.1 Instance of FX Delta Settings
  306.      * 
  307.      * @param categoryIndex The Category Index
  308.      * 
  309.      * @return The Standard ISDA 2.1 Instance of FX Delta Settings
  310.      */

  312.     public static BucketSensitivitySettings ISDA_FX_21 (
  313.         final int categoryIndex)
  314.     {
  315.         java.util.Map<java.lang.Integer, java.lang.Double> fxConcentrationCategoryDeltaMap =
  316.             org.drip.simm.fx.FXRiskThresholdContainer21.CategoryDeltaMap();

  318.         if (!fxConcentrationCategoryDeltaMap.containsKey(categoryIndex))
  319.         {
  320.             return null;
  321.         }

  323.         try
  324.         {
  325.             return new org.drip.simm.parameters.BucketSensitivitySettings (
  326.                 org.drip.simm.fx.FXSystemics21.DELTA_RISK_WEIGHT,
  327.                 fxConcentrationCategoryDeltaMap.get (categoryIndex),
  328.                 org.drip.simm.fx.FXSystemics21.CORRELATION
  329.             );
  330.         }
  331.         catch (java.lang.Exception e)
  332.         {
  333.             e.printStackTrace();
  334.         }

  336.         return null;
  337.     }

  339.     /**
  340.      * BucketSensitivitySettings Constructor
  341.      * 
  342.      * @param riskWeight The Risk Factor Weight
  343.      * @param concentrationFactor The Concentration Factor
  344.      * @param memberCorrelation The Bucket Member Correlation
  345.      * 
  346.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  347.      */

  349.     public BucketSensitivitySettings (
  350.         final double riskWeight,
  351.         final double concentrationFactor,
  352.         final double memberCorrelation)
  353.         throws java.lang.Exception
  354.     {
  355.         super (concentrationFactor);

  357.         if (!org.drip.numerical.common.NumberUtil.IsValid (_riskWeight = riskWeight) ||
  358.             !org.drip.numerical.common.NumberUtil.IsValid (_memberCorrelation = memberCorrelation) ||
  359.                 1. < _memberCorrelation || -1. > _memberCorrelation)
  360.         {
  361.             throw new java.lang.Exception ("BucketSensitivitySettings Constructor => Invalid Inputs");
  362.         }
  363.     }

  365.     /**
  366.      * Retrieve the Bucket Risk Factor Weight
  367.      * 
  368.      * @return The Bucket Risk Factor Weight
  369.      */

  371.     public double riskWeight()
  372.     {
  373.         return _riskWeight;
  374.     }

  376.     /**
  377.      * Retrieve the Correlation between the Basket Members
  378.      * 
  379.      * @return The Correlation between the Basket Members
  380.      */

  382.     public double memberCorrelation()
  383.     {
  384.         return _memberCorrelation;
  385.     }
  386. }
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