BucketSensitivitySettingsIR.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>BucketSensitivitySettingsIR</i> holds the Delta 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 BucketSensitivitySettingsIR extends org.drip.simm.parameters.LiquiditySettings
  121. {
  122.     private double _crossCurveCorrelation = java.lang.Double.NaN;
  123.     private org.drip.measure.stochastic.LabelCorrelation _crossTenorCorrelation = null;
  124.     private java.util.Map<java.lang.String, java.lang.Double> _oisTenorRiskWeight = null;
  125.     private java.util.Map<java.lang.String, java.lang.Double> _primeTenorRiskWeight = null;
  126.     private java.util.Map<java.lang.String, java.lang.Double> _libor1MTenorRiskWeight = null;
  127.     private java.util.Map<java.lang.String, java.lang.Double> _libor3MTenorRiskWeight = null;
  128.     private java.util.Map<java.lang.String, java.lang.Double> _libor6MTenorRiskWeight = null;
  129.     private java.util.Map<java.lang.String, java.lang.Double> _libor12MTenorRiskWeight = null;
  130.     private java.util.Map<java.lang.String, java.lang.Double> _municipalTenorRiskWeight = null;

  132.     /**
  133.      * Construct the ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
  134.      * 
  135.      * @param currency Currency
  136.      * 
  137.      * @return The ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
  138.      */

  140.     public static final BucketSensitivitySettingsIR ISDA_DELTA_20 (
  141.         final java.lang.String currency)
  142.     {
  143.         org.drip.simm.rates.IRThreshold irThreshold = org.drip.simm.rates.IRThresholdContainer20.Threshold
  144.             (currency);

  146.         org.drip.simm.rates.IRWeight oisRiskWeight = org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  147.             currency,
  148.             org.drip.simm.rates.IRSystemics.SUB_CURVE_OIS
  149.         );

  151.         org.drip.simm.rates.IRWeight libor1MRiskWeight =
  152.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  153.                 currency,
  154.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_1M
  155.             );

  157.         org.drip.simm.rates.IRWeight libor3MRiskWeight =
  158.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  159.                 currency,
  160.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_3M
  161.             );

  163.         org.drip.simm.rates.IRWeight libor6MRiskWeight =
  164.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  165.                 currency,
  166.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_6M
  167.             );

  169.         org.drip.simm.rates.IRWeight libor12MRiskWeight =
  170.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  171.                 currency,
  172.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_12M
  173.             );

  175.         org.drip.simm.rates.IRWeight primeRiskWeight =
  176.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  177.                 currency,
  178.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_PRIME
  179.             );

  181.         org.drip.simm.rates.IRWeight municipalRiskWeight =
  182.             org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
  183.                 currency,
  184.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_MUNICIPAL
  185.             );

  187.         try
  188.         {
  189.             return null == irThreshold ||
  190.                 null == libor1MRiskWeight ||
  191.                 null == libor1MRiskWeight ||
  192.                 null == libor3MRiskWeight ||
  193.                 null == libor6MRiskWeight ||
  194.                 null == libor12MRiskWeight ||
  195.                 null == primeRiskWeight ||
  196.                 null == municipalRiskWeight ? null : new BucketSensitivitySettingsIR (
  197.                     oisRiskWeight.tenorDelta(),
  198.                     libor1MRiskWeight.tenorDelta(),
  199.                     libor3MRiskWeight.tenorDelta(),
  200.                     libor6MRiskWeight.tenorDelta(),
  201.                     libor12MRiskWeight.tenorDelta(),
  202.                     primeRiskWeight.tenorDelta(),
  203.                     municipalRiskWeight.tenorDelta(),
  204.                     org.drip.simm.rates.IRSettingsContainer20.SingleCurveTenorCorrelation(),
  205.                     org.drip.simm.rates.IRSystemics20.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION,
  206.                     irThreshold.deltaVega().delta()
  207.                 );
  208.         }
  209.         catch (java.lang.Exception e)
  210.         {
  211.             e.printStackTrace();
  212.         }

  214.         return null;
  215.     }

  217.     /**
  218.      * Construct the ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
  219.      * 
  220.      * @param currency Currency
  221.      * 
  222.      * @return The ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
  223.      */

  225.     public static final BucketSensitivitySettingsIR ISDA_DELTA_21 (
  226.         final java.lang.String currency)
  227.     {
  228.         org.drip.simm.rates.IRThreshold irThreshold = org.drip.simm.rates.IRThresholdContainer21.Threshold
  229.             (currency);

  231.         org.drip.simm.rates.IRWeight oisRiskWeight = org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  232.             currency,
  233.             org.drip.simm.rates.IRSystemics.SUB_CURVE_OIS
  234.         );

  236.         org.drip.simm.rates.IRWeight libor1MRiskWeight =
  237.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  238.                 currency,
  239.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_1M
  240.             );

  242.         org.drip.simm.rates.IRWeight libor3MRiskWeight =
  243.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  244.                 currency,
  245.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_3M
  246.             );

  248.         org.drip.simm.rates.IRWeight libor6MRiskWeight =
  249.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  250.                 currency,
  251.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_6M
  252.             );

  254.         org.drip.simm.rates.IRWeight libor12MRiskWeight =
  255.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  256.                 currency,
  257.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_12M
  258.             );

  260.         org.drip.simm.rates.IRWeight primeRiskWeight =
  261.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  262.                 currency,
  263.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_PRIME
  264.             );

  266.         org.drip.simm.rates.IRWeight municipalRiskWeight =
  267.             org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
  268.                 currency,
  269.                 org.drip.simm.rates.IRSystemics.SUB_CURVE_MUNICIPAL
  270.             );

  272.         try
  273.         {
  274.             return null == irThreshold ||
  275.                 null == libor1MRiskWeight ||
  276.                 null == libor1MRiskWeight ||
  277.                 null == libor3MRiskWeight ||
  278.                 null == libor6MRiskWeight ||
  279.                 null == libor12MRiskWeight ||
  280.                 null == primeRiskWeight ||
  281.                 null == municipalRiskWeight ? null : new BucketSensitivitySettingsIR (
  282.                     oisRiskWeight.tenorDelta(),
  283.                     libor1MRiskWeight.tenorDelta(),
  284.                     libor3MRiskWeight.tenorDelta(),
  285.                     libor6MRiskWeight.tenorDelta(),
  286.                     libor12MRiskWeight.tenorDelta(),
  287.                     primeRiskWeight.tenorDelta(),
  288.                     municipalRiskWeight.tenorDelta(),
  289.                     org.drip.simm.rates.IRSettingsContainer21.SingleCurveTenorCorrelation(),
  290.                     org.drip.simm.rates.IRSystemics21.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION,
  291.                     irThreshold.deltaVega().delta()
  292.                 );
  293.         }
  294.         catch (java.lang.Exception e)
  295.         {
  296.             e.printStackTrace();
  297.         }

  299.         return null;
  300.     }

  302.     /**
  303.      * BucketSensitivitySettingsIR Constructor
  304.      * 
  305.      * @param oisTenorRiskWeight The OIS Tenor Risk Weight
  306.      * @param libor1MTenorRiskWeight The LIBOR 1M Tenor Risk Weight
  307.      * @param libor3MTenorRiskWeight The LIBOR 3M Tenor Risk Weight
  308.      * @param libor6MTenorRiskWeight The LIBOR 6M Tenor Risk Weight
  309.      * @param libor12MTenorRiskWeight The LIBOR 12M Tenor Risk Weight
  310.      * @param primeTenorRiskWeight The PRIME Tenor Risk Weight
  311.      * @param municipalTenorRiskWeight The MUNICIPAL Tenor Risk Weight
  312.      * @param crossTenorCorrelation Single Curve Cross-Tenor Correlation
  313.      * @param crossCurveCorrelation Cross Curve Correlation
  314.      * @param concentrationThreshold The Concentration Threshold
  315.      * 
  316.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  317.      */

  319.     public BucketSensitivitySettingsIR (
  320.         final java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight,
  321.         final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight,
  322.         final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight,
  323.         final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight,
  324.         final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight,
  325.         final java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight,
  326.         final java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight,
  327.         final org.drip.measure.stochastic.LabelCorrelation crossTenorCorrelation,
  328.         final double crossCurveCorrelation,
  329.         final double concentrationThreshold)
  330.         throws java.lang.Exception
  331.     {
  332.         super (concentrationThreshold);

  334.         if (null == (_oisTenorRiskWeight = oisTenorRiskWeight) ||
  335.             null == (_libor1MTenorRiskWeight = libor1MTenorRiskWeight) ||
  336.             null == (_libor3MTenorRiskWeight = libor3MTenorRiskWeight) ||
  337.             null == (_libor6MTenorRiskWeight = libor6MTenorRiskWeight) ||
  338.             null == (_libor12MTenorRiskWeight = libor12MTenorRiskWeight) ||
  339.             null == (_primeTenorRiskWeight = primeTenorRiskWeight) ||
  340.             null == (_municipalTenorRiskWeight = municipalTenorRiskWeight) ||
  341.             null == (_crossTenorCorrelation = crossTenorCorrelation) ||
  342.             !org.drip.numerical.common.NumberUtil.IsValid (_crossCurveCorrelation = crossCurveCorrelation) ||
  343.                 -1. > _crossCurveCorrelation || 1. < _crossCurveCorrelation)
  344.         {
  345.             throw new java.lang.Exception ("BucketSensitivitySettingsIR Constructor => Invalid Inputs");
  346.         }
  347.     }

  349.     /**
  350.      * Retrieve the OIS Tenor Risk Weight
  351.      * 
  352.      * @return The OIS Tenor Risk Weight
  353.      */

  355.     public java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight()
  356.     {
  357.         return _oisTenorRiskWeight;
  358.     }

  360.     /**
  361.      * Retrieve the LIBOR 1M Tenor Risk Weight
  362.      * 
  363.      * @return The LIBOR 1M Tenor Risk Weight
  364.      */

  366.     public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight()
  367.     {
  368.         return _libor1MTenorRiskWeight;
  369.     }

  371.     /**
  372.      * Retrieve the LIBOR 3M Tenor Risk Weight
  373.      * 
  374.      * @return The LIBOR 3M Tenor Risk Weight
  375.      */

  377.     public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight()
  378.     {
  379.         return _libor3MTenorRiskWeight;
  380.     }

  382.     /**
  383.      * Retrieve the LIBOR 6M Tenor Risk Weight
  384.      * 
  385.      * @return The LIBOR 6M Tenor Risk Weight
  386.      */

  388.     public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight()
  389.     {
  390.         return _libor6MTenorRiskWeight;
  391.     }

  393.     /**
  394.      * Retrieve the LIBOR 12M Tenor Risk Weight
  395.      * 
  396.      * @return The LIBOR 12M Tenor Risk Weight
  397.      */

  399.     public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight()
  400.     {
  401.         return _libor12MTenorRiskWeight;
  402.     }

  404.     /**
  405.      * Retrieve the PRIME Tenor Risk Weight
  406.      * 
  407.      * @return The PRIME Tenor Risk Weight
  408.      */

  410.     public java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight()
  411.     {
  412.         return _primeTenorRiskWeight;
  413.     }

  415.     /**
  416.      * Retrieve the MUNICIPAL Curve Tenor Risk Weight
  417.      * 
  418.      * @return The MUNICIPAL Curve Tenor Risk Weight
  419.      */

  421.     public java.util.Map<java.lang.String, java.lang.Double> municipalTenorRiskWeight()
  422.     {
  423.         return _municipalTenorRiskWeight;
  424.     }

  426.     /**
  427.      * Retrieve the Cross Curve Correlation
  428.      * 
  429.      * @return The Cross Curve Correlation
  430.      */

  432.     public double crossCurveCorrelation()
  433.     {
  434.         return _crossCurveCorrelation;
  435.     }

  437.     /**
  438.      * Retrieve the Single Curve Cross Tenor Correlation
  439.      * 
  440.      * @return The Single Curve Cross Tenor Correlation
  441.      */

  443.     public org.drip.measure.stochastic.LabelCorrelation crossTenorCorrelation()
  444.     {
  445.         return _crossTenorCorrelation;
  446.     }
  447. }
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