BucketVegaSettingsIR.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>BucketVegaSettingsIR</i> holds the Vega 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 BucketVegaSettingsIR extends org.drip.simm.parameters.BucketSensitivitySettingsIR
- {
- private double _vegaScaler = java.lang.Double.NaN;
- private double _historicalVolatilityRatio = java.lang.Double.NaN;
- private java.util.Map<java.lang.String, java.lang.Double> _oisTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _primeTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _libor1MTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _libor3MTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _libor6MTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _libor12MTenorDeltaRiskWeight = null;
- private java.util.Map<java.lang.String, java.lang.Double> _municipalTenorDeltaRiskWeight = null;
- /**
- * Construct the ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
- *
- * @param currency Currency
- *
- * @return The ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
- */
- public static BucketVegaSettingsIR ISDA_20 (
- final java.lang.String currency)
- {
- org.drip.simm.rates.IRThreshold irThreshold = org.drip.simm.rates.IRThresholdContainer20.Threshold
- (currency);
- org.drip.simm.rates.IRWeight oisRiskWeight = org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_OIS
- );
- org.drip.simm.rates.IRWeight libor1MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_1M
- );
- org.drip.simm.rates.IRWeight libor3MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_3M
- );
- org.drip.simm.rates.IRWeight libor6MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_6M
- );
- org.drip.simm.rates.IRWeight libor12MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_12M
- );
- org.drip.simm.rates.IRWeight primeRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_PRIME
- );
- org.drip.simm.rates.IRWeight municipalRiskWeight =
- org.drip.simm.rates.IRSettingsContainer20.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_MUNICIPAL
- );
- BucketSensitivitySettingsIR bucketSensitivitySettingsIR =
- org.drip.simm.parameters.BucketSensitivitySettingsIR.ISDA_DELTA_20 (currency);
- try
- {
- return null == irThreshold ||
- null == libor1MRiskWeight ||
- null == libor1MRiskWeight ||
- null == libor3MRiskWeight ||
- null == libor6MRiskWeight ||
- null == libor12MRiskWeight ||
- null == primeRiskWeight ||
- null == municipalRiskWeight ||
- null == bucketSensitivitySettingsIR ? null : new BucketVegaSettingsIR (
- oisRiskWeight.tenorVega(),
- libor1MRiskWeight.tenorVega(),
- libor3MRiskWeight.tenorVega(),
- libor6MRiskWeight.tenorVega(),
- libor12MRiskWeight.tenorVega(),
- primeRiskWeight.tenorVega(),
- municipalRiskWeight.tenorVega(),
- org.drip.simm.rates.IRSettingsContainer20.SingleCurveTenorCorrelation(),
- org.drip.simm.rates.IRSystemics20.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION,
- irThreshold.deltaVega().vega(),
- java.lang.Math.sqrt (365. / 14.) /
- org.drip.measure.gaussian.NormalQuadrature.InverseCDF (0.99),
- 1.,
- bucketSensitivitySettingsIR.oisTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor1MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor3MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor6MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor12MTenorRiskWeight(),
- bucketSensitivitySettingsIR.primeTenorRiskWeight(),
- bucketSensitivitySettingsIR.municipalTenorRiskWeight()
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
- *
- * @param currency Currency
- *
- * @return The ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
- */
- public static BucketVegaSettingsIR ISDA_21 (
- final java.lang.String currency)
- {
- org.drip.simm.rates.IRThreshold irThreshold = org.drip.simm.rates.IRThresholdContainer21.Threshold
- (currency);
- org.drip.simm.rates.IRWeight oisRiskWeight = org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_OIS
- );
- org.drip.simm.rates.IRWeight libor1MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_1M
- );
- org.drip.simm.rates.IRWeight libor3MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_3M
- );
- org.drip.simm.rates.IRWeight libor6MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_6M
- );
- org.drip.simm.rates.IRWeight libor12MRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_12M
- );
- org.drip.simm.rates.IRWeight primeRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_PRIME
- );
- org.drip.simm.rates.IRWeight municipalRiskWeight =
- org.drip.simm.rates.IRSettingsContainer21.RiskWeight (
- currency,
- org.drip.simm.rates.IRSystemics.SUB_CURVE_MUNICIPAL
- );
- BucketSensitivitySettingsIR bucketSensitivitySettingsIR =
- org.drip.simm.parameters.BucketSensitivitySettingsIR.ISDA_DELTA_21 (currency);
- try
- {
- return null == irThreshold ||
- null == libor1MRiskWeight ||
- null == libor1MRiskWeight ||
- null == libor3MRiskWeight ||
- null == libor6MRiskWeight ||
- null == libor12MRiskWeight ||
- null == primeRiskWeight ||
- null == municipalRiskWeight ||
- null == bucketSensitivitySettingsIR ? null : new BucketVegaSettingsIR (
- oisRiskWeight.tenorVega(),
- libor1MRiskWeight.tenorVega(),
- libor3MRiskWeight.tenorVega(),
- libor6MRiskWeight.tenorVega(),
- libor12MRiskWeight.tenorVega(),
- primeRiskWeight.tenorVega(),
- municipalRiskWeight.tenorVega(),
- org.drip.simm.rates.IRSettingsContainer20.SingleCurveTenorCorrelation(),
- org.drip.simm.rates.IRSystemics21.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION,
- irThreshold.deltaVega().vega(),
- java.lang.Math.sqrt (365. / 14.) /
- org.drip.measure.gaussian.NormalQuadrature.InverseCDF (0.99),
- 1.,
- bucketSensitivitySettingsIR.oisTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor1MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor3MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor6MTenorRiskWeight(),
- bucketSensitivitySettingsIR.libor12MTenorRiskWeight(),
- bucketSensitivitySettingsIR.primeTenorRiskWeight(),
- bucketSensitivitySettingsIR.municipalTenorRiskWeight()
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * BucketVegaSettingsIR 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
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public BucketVegaSettingsIR (
- 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)
- throws java.lang.Exception
- {
- super (
- oisTenorVegaRiskWeight,
- libor1MTenorVegaRiskWeight,
- libor3MTenorVegaRiskWeight,
- libor6MTenorVegaRiskWeight,
- libor12MTenorVegaRiskWeight,
- primeTenorVegaRiskWeight,
- municipalTenorVegaRiskWeight,
- crossTenorCorrelation,
- crossCurveCorrelation,
- concentrationThreshold
- );
- if (!org.drip.numerical.common.NumberUtil.IsValid (_vegaScaler = vegaScaler) ||
- !org.drip.numerical.common.NumberUtil.IsValid (_historicalVolatilityRatio =
- historicalVolatilityRatio) ||
- null == (_oisTenorDeltaRiskWeight = oisTenorDeltaRiskWeight) ||
- null == (_libor1MTenorDeltaRiskWeight = libor1MTenorDeltaRiskWeight) ||
- null == (_libor3MTenorDeltaRiskWeight = libor3MTenorDeltaRiskWeight) ||
- null == (_libor6MTenorDeltaRiskWeight = libor6MTenorDeltaRiskWeight) ||
- null == (_libor12MTenorDeltaRiskWeight = libor12MTenorDeltaRiskWeight) ||
- null == (_primeTenorDeltaRiskWeight = primeTenorDeltaRiskWeight) ||
- null == (_municipalTenorDeltaRiskWeight = municipalTenorDeltaRiskWeight))
- {
- throw new java.lang.Exception ("BucketVegaSettingsIR Constructor => Invalid Inputs");
- }
- }
- /**
- * Retrieve the Vega Scaler
- *
- * @return The Vega Scaler
- */
- public double vegaScaler()
- {
- return _vegaScaler;
- }
- /**
- * Retrieve the Historical Volatility Ratio
- *
- * @return The Historical Volatility Ratio
- */
- public double historicalVolatilityRatio()
- {
- return _historicalVolatilityRatio;
- }
- /**
- * Retrieve the OIS Tenor Delta Risk Weight
- *
- * @return The OIS Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> oisTenorDeltaRiskWeight()
- {
- return _oisTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the OIS Tenor Vega Risk Weight
- *
- * @return The OIS Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight()
- {
- return super.oisTenorRiskWeight();
- }
- /**
- * Retrieve the LIBOR 1M Tenor Delta Risk Weight
- *
- * @return The LIBOR 1M Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorDeltaRiskWeight()
- {
- return _libor1MTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the LIBOR1M Tenor Vega Risk Weight
- *
- * @return The LIBOR1M Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight()
- {
- return super.libor1MTenorRiskWeight();
- }
- /**
- * Retrieve the LIBOR 3M Tenor Delta Risk Weight
- *
- * @return The LIBOR 3M Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorDeltaRiskWeight()
- {
- return _libor3MTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the LIBOR3M Tenor Vega Risk Weight
- *
- * @return The LIBOR3M Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight()
- {
- return super.libor3MTenorRiskWeight();
- }
- /**
- * Retrieve the LIBOR 6M Tenor Delta Risk Weight
- *
- * @return The LIBOR 6M Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorDeltaRiskWeight()
- {
- return _libor6MTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the LIBOR6M Tenor Vega Risk Weight
- *
- * @return The LIBOR6M Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight()
- {
- return super.libor6MTenorRiskWeight();
- }
- /**
- * Retrieve the LIBOR 12M Tenor Delta Risk Weight
- *
- * @return The LIBOR 12M Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorDeltaRiskWeight()
- {
- return _libor12MTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the LIBOR 12M Tenor Vega Risk Weight
- *
- * @return The LIBOR 12M Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight()
- {
- return super.libor12MTenorRiskWeight();
- }
- /**
- * Retrieve the PRIME Tenor Delta Risk Weight
- *
- * @return The PRIME Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> primeTenorDeltaRiskWeight()
- {
- return _primeTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the PRIME Tenor Vega Risk Weight
- *
- * @return The PRIME Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight()
- {
- return super.primeTenorRiskWeight();
- }
- /**
- * Retrieve the MUNICIPAL Tenor Delta Risk Weight
- *
- * @return The MUNICIPAL Tenor Delta Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> municipalTenorDeltaRiskWeight()
- {
- return _municipalTenorDeltaRiskWeight;
- }
- /**
- * Retrieve the MUNICIPAL Tenor Vega Risk Weight
- *
- * @return The MUNICIPAL Tenor Vega Risk Weight
- */
- public java.util.Map<java.lang.String, java.lang.Double> municipalTenorVegaRiskWeight()
- {
- return super.municipalTenorRiskWeight();
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> oisTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> oisTenorVegaRiskWeight = oisTenorVegaRiskWeight();
- 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 (!_oisTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- oisTenorRiskWeight.put (
- tenor,
- oisTenorVegaRiskWeightEntry.getValue() * _oisTenorDeltaRiskWeight.get (tenor) * _vegaScaler *
- _historicalVolatilityRatio
- );
- }
- return oisTenorRiskWeight;
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> libor1MTenorVegaRiskWeight =
- libor1MTenorVegaRiskWeight();
- 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 (!_libor1MTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- libor1MTenorRiskWeight.put (
- tenor,
- libor1MTenorVegaRiskWeightEntry.getValue() * _libor1MTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler * _historicalVolatilityRatio
- );
- }
- return libor1MTenorRiskWeight;
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> libor3MTenorVegaRiskWeight =
- libor3MTenorVegaRiskWeight();
- 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 (!_libor3MTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- libor3MTenorRiskWeight.put (
- tenor,
- libor3MTenorVegaRiskWeightEntry.getValue() * _libor3MTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler * _historicalVolatilityRatio
- );
- }
- return libor3MTenorRiskWeight;
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> libor6MTenorVegaRiskWeight =
- libor6MTenorVegaRiskWeight();
- 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 (!_libor6MTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- libor6MTenorRiskWeight.put (
- tenor,
- libor6MTenorVegaRiskWeightEntry.getValue() * _libor6MTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler *_historicalVolatilityRatio
- );
- }
- return libor6MTenorRiskWeight;
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> libor12MTenorVegaRiskWeight =
- libor12MTenorVegaRiskWeight();
- 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 (!_libor12MTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- libor12MTenorRiskWeight.put (
- tenor,
- libor12MTenorVegaRiskWeightEntry.getValue() * _libor12MTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler *_historicalVolatilityRatio
- );
- }
- return libor12MTenorRiskWeight;
- }
- @Override public java.util.Map<java.lang.String, java.lang.Double> primeTenorRiskWeight()
- {
- java.util.Map<java.lang.String, java.lang.Double> primeTenorVegaRiskWeight =
- primeTenorVegaRiskWeight();
- 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 (!_primeTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- primeTenorRiskWeight.put (
- tenor,
- primeTenorVegaRiskWeightEntry.getValue() * _primeTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler *_historicalVolatilityRatio
- );
- }
- 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 (!_municipalTenorDeltaRiskWeight.containsKey (tenor))
- {
- return null;
- }
- municipalTenorRiskWeight.put (
- tenor,
- municipalTenorVegaRiskWeightEntry.getValue() * _municipalTenorDeltaRiskWeight.get (tenor) *
- _vegaScaler *_historicalVolatilityRatio
- );
- }
- return municipalTenorRiskWeight;
- }
- }