BucketSensitivitySettingsCR.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>BucketSensitivitySettingsCR</i> holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor
  80.  * Correlations for each Credit 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 BucketSensitivitySettingsCR extends org.drip.simm.parameters.LiquiditySettings
  121. {
  122.     private double _extraFamilyCrossTenorCorrelation = java.lang.Double.NaN;
  123.     private double _intraFamilyCrossTenorCorrelation = java.lang.Double.NaN;
  124.     private java.util.Map<java.lang.String, java.lang.Double> _tenorRiskWeight = null;

  126.     protected static final java.util.Map<java.lang.String, java.lang.Double> TenorRiskWeightMap (
  127.         final double riskWeight)
  128.     {
  129.         java.util.Map<java.lang.String, java.lang.Double> tenorRiskWeight = new
  130.             org.drip.analytics.support.CaseInsensitiveHashMap<java.lang.Double>();

  132.         tenorRiskWeight.put (
  133.             "1Y",
  134.             riskWeight
  135.         );

  137.         tenorRiskWeight.put (
  138.             "2Y",
  139.             riskWeight
  140.         );

  142.         tenorRiskWeight.put (
  143.             "3Y",
  144.             riskWeight
  145.         );

  147.         tenorRiskWeight.put (
  148.             "5Y",
  149.             riskWeight
  150.         );

  152.         tenorRiskWeight.put (
  153.             "10Y",
  154.             riskWeight
  155.         );

  157.         return tenorRiskWeight;
  158.     }

  160.     /**
  161.      * Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings
  162.      * 
  163.      * @param bucketNumber The Bucket Number
  164.      * 
  165.      * @return The ISDA 2.0 Credit Qualifying Bucket Delta Settings
  166.      */

  168.     public static BucketSensitivitySettingsCR ISDA_CRQ_DELTA_20 (
  169.         final int bucketNumber)
  170.     {
  171.         org.drip.simm.credit.CRBucket creditBucket = org.drip.simm.credit.CRQSettingsContainer20.Bucket
  172.             (bucketNumber);

  174.         if (null == creditBucket)
  175.         {
  176.             return null;
  177.         }

  179.         try
  180.         {
  181.             return -1 == bucketNumber ? new BucketSensitivitySettingsCR (
  182.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  183.                 org.drip.simm.credit.CRQBucketCorrelation20.SAME_ISSUER_SENIORITY_RESIDUAL,
  184.                 org.drip.simm.credit.CRQBucketCorrelation20.DIFFERENT_ISSUER_SENIORITY_RESIDUAL,
  185.                 org.drip.simm.credit.CRThresholdContainer20.QualifyingThreshold (bucketNumber).delta()
  186.             ) : new BucketSensitivitySettingsCR (
  187.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  188.                 org.drip.simm.credit.CRQBucketCorrelation20.SAME_ISSUER_SENIORITY_NON_RESIDUAL,
  189.                 org.drip.simm.credit.CRQBucketCorrelation20.DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL,
  190.                 org.drip.simm.credit.CRThresholdContainer20.QualifyingThreshold (bucketNumber).delta()
  191.             );
  192.         }
  193.         catch (java.lang.Exception e)
  194.         {
  195.             e.printStackTrace();
  196.         }

  198.         return null;
  199.     }

  201.     /**
  202.      * Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
  203.      * 
  204.      * @param bucketNumber The Bucket Number
  205.      * 
  206.      * @return The ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
  207.      */

  209.     public static BucketSensitivitySettingsCR ISDA_CRNQ_DELTA_20 (
  210.         final int bucketNumber)
  211.     {
  212.         org.drip.simm.credit.CRBucket creditBucket = org.drip.simm.credit.CRNQSettingsContainer20.Bucket
  213.             (bucketNumber);

  215.         if (null == creditBucket)
  216.         {
  217.             return null;
  218.         }

  220.         try
  221.         {
  222.             return -1 == bucketNumber ? new BucketSensitivitySettingsCR (
  223.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  224.                 org.drip.simm.credit.CRNQBucketCorrelation20.GT_80PC_OVERLAP_RESIDUAL,
  225.                 org.drip.simm.credit.CRNQBucketCorrelation20.LT_80PC_OVERLAP_RESIDUAL,
  226.                 org.drip.simm.credit.CRThresholdContainer20.NonQualifyingThreshold (bucketNumber).delta()
  227.             ) : new BucketSensitivitySettingsCR (
  228.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  229.                 org.drip.simm.credit.CRNQBucketCorrelation20.GT_80PC_OVERLAP_NON_RESIDUAL,
  230.                 org.drip.simm.credit.CRNQBucketCorrelation20.LT_80PC_OVERLAP_NON_RESIDUAL,
  231.                 org.drip.simm.credit.CRThresholdContainer20.NonQualifyingThreshold (bucketNumber).delta()
  232.             );
  233.         }
  234.         catch (java.lang.Exception e)
  235.         {
  236.             e.printStackTrace();
  237.         }

  239.         return null;
  240.     }

  242.     /**
  243.      * Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings
  244.      * 
  245.      * @param bucketNumber The Bucket Number
  246.      * 
  247.      * @return The ISDA 2.1 Credit Qualifying Bucket Delta Settings
  248.      */

  250.     public static BucketSensitivitySettingsCR ISDA_CRQ_DELTA_21 (
  251.         final int bucketNumber)
  252.     {
  253.         org.drip.simm.credit.CRBucket creditBucket = org.drip.simm.credit.CRQSettingsContainer21.Bucket
  254.             (bucketNumber);

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

  261.         try
  262.         {
  263.             return -1 == bucketNumber ? new BucketSensitivitySettingsCR (
  264.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  265.                 org.drip.simm.credit.CRQBucketCorrelation21.SAME_ISSUER_SENIORITY_RESIDUAL,
  266.                 org.drip.simm.credit.CRQBucketCorrelation21.DIFFERENT_ISSUER_SENIORITY_RESIDUAL,
  267.                 org.drip.simm.credit.CRThresholdContainer21.QualifyingThreshold (bucketNumber).delta()
  268.             ) : new BucketSensitivitySettingsCR (
  269.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  270.                 org.drip.simm.credit.CRQBucketCorrelation21.SAME_ISSUER_SENIORITY_NON_RESIDUAL,
  271.                 org.drip.simm.credit.CRQBucketCorrelation21.DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL,
  272.                 org.drip.simm.credit.CRThresholdContainer21.QualifyingThreshold (bucketNumber).delta()
  273.             );
  274.         }
  275.         catch (java.lang.Exception e)
  276.         {
  277.             e.printStackTrace();
  278.         }

  280.         return null;
  281.     }

  283.     /**
  284.      * Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
  285.      * 
  286.      * @param bucketNumber The Bucket Number
  287.      * 
  288.      * @return The ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
  289.      */

  291.     public static BucketSensitivitySettingsCR ISDA_CRNQ_DELTA_21 (
  292.         final int bucketNumber)
  293.     {
  294.         org.drip.simm.credit.CRBucket creditBucket = org.drip.simm.credit.CRNQSettingsContainer21.Bucket
  295.             (bucketNumber);

  297.         if (null == creditBucket)
  298.         {
  299.             return null;
  300.         }

  302.         try
  303.         {
  304.             return -1 == bucketNumber ? new BucketSensitivitySettingsCR (
  305.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  306.                 org.drip.simm.credit.CRNQBucketCorrelation21.GT_80PC_OVERLAP_RESIDUAL,
  307.                 org.drip.simm.credit.CRNQBucketCorrelation21.LT_80PC_OVERLAP_RESIDUAL,
  308.                 org.drip.simm.credit.CRThresholdContainer21.NonQualifyingThreshold (bucketNumber).delta()
  309.             ) : new BucketSensitivitySettingsCR (
  310.                 TenorRiskWeightMap (creditBucket.riskWeight()),
  311.                 org.drip.simm.credit.CRNQBucketCorrelation21.GT_80PC_OVERLAP_NON_RESIDUAL,
  312.                 org.drip.simm.credit.CRNQBucketCorrelation21.LT_80PC_OVERLAP_NON_RESIDUAL,
  313.                 org.drip.simm.credit.CRThresholdContainer21.NonQualifyingThreshold (bucketNumber).delta()
  314.             );
  315.         }
  316.         catch (java.lang.Exception e)
  317.         {
  318.             e.printStackTrace();
  319.         }

  321.         return null;
  322.     }

  324.     /**
  325.      * BucketSensitivitySettingsCR Constructor
  326.      * 
  327.      * @param tenorRiskWeight The Tenor Risk Weight Map
  328.      * @param intraFamilyCrossTenorCorrelation Intra-Family Cross Tenor Correlation 
  329.      * @param extraFamilyCrossTenorCorrelation Extra-Family Cross Tenor Correlation
  330.      * @param concentrationThreshold The Concentration Threshold
  331.      * 
  332.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  333.      */

  335.     public BucketSensitivitySettingsCR (
  336.         final java.util.Map<java.lang.String, java.lang.Double> tenorRiskWeight,
  337.         final double intraFamilyCrossTenorCorrelation,
  338.         final double extraFamilyCrossTenorCorrelation,
  339.         final double concentrationThreshold)
  340.         throws java.lang.Exception
  341.     {
  342.         super (concentrationThreshold);

  344.         if (null == (_tenorRiskWeight = tenorRiskWeight) || 0 == _tenorRiskWeight.size() ||
  345.             !org.drip.numerical.common.NumberUtil.IsValid (_intraFamilyCrossTenorCorrelation =
  346.                 intraFamilyCrossTenorCorrelation) ||
  347.                 1. <= _intraFamilyCrossTenorCorrelation || -1. >= _intraFamilyCrossTenorCorrelation ||
  348.             !org.drip.numerical.common.NumberUtil.IsValid (_extraFamilyCrossTenorCorrelation =
  349.                 extraFamilyCrossTenorCorrelation) ||
  350.                 1. <= _extraFamilyCrossTenorCorrelation || -1. >= _extraFamilyCrossTenorCorrelation)
  351.         {
  352.             throw new java.lang.Exception ("BucketSensitivitySettingsCR Constructor => Invalid Inputs");
  353.         }
  354.     }

  356.     /**
  357.      * Retrieve the Tenor Risk Weight Map
  358.      * 
  359.      * @return The Tenor Risk Weight Map
  360.      */

  362.     public java.util.Map<java.lang.String, java.lang.Double> tenorRiskWeight()
  363.     {
  364.         return _tenorRiskWeight;
  365.     }

  367.     /**
  368.      * Retrieve the Intra-Family Cross Tenor Correlation
  369.      * 
  370.      * @return The Intra-Family Cross Tenor Correlation
  371.      */

  373.     public double intraFamilyCrossTenorCorrelation()
  374.     {
  375.         return _intraFamilyCrossTenorCorrelation;
  376.     }

  378.     /**
  379.      * Retrieve the Extra-Family Cross Tenor Correlation
  380.      * 
  381.      * @return The Extra-Family Cross Tenor Correlation
  382.      */

  384.     public double extraFamilyCrossTenorCorrelation()
  385.     {
  386.         return _extraFamilyCrossTenorCorrelation;
  387.     }
  388. }
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