RiskClassSensitivitySettings.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>RiskClassSensitivitySettings</i> holds the Settings that govern the Generation of the ISDA SIMM Bucket
  80.  * Sensitivities across Individual Risk Class Buckets. 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 RiskClassSensitivitySettings
  121. {
  122.     private org.drip.simm.parameters.RiskMeasureSensitivitySettings _vega = null;
  123.     private org.drip.simm.parameters.RiskMeasureSensitivitySettings _delta = null;
  124.     private org.drip.simm.parameters.RiskMeasureSensitivitySettings _curvature = null;

  126.     /**
  127.      * Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
  128.      * 
  129.      * @param vegaDurationDays The Vega Duration Days
  130.      * 
  131.      * @return The ISDA 2.0 Standard Commodity Sensitivity Settings
  132.      */

  134.     public static final RiskClassSensitivitySettings ISDA_EQ_20 (
  135.         final int vegaDurationDays)
  136.     {
  137.         try
  138.         {
  139.             return new RiskClassSensitivitySettings (
  140.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_DELTA_20(),
  141.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_VEGA_20(),
  142.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_CURVATURE_20
  143.                     (vegaDurationDays)
  144.             );
  145.         }
  146.         catch (java.lang.Exception e)
  147.         {
  148.             e.printStackTrace();
  149.         }

  151.         return null;
  152.     }

  154.     /**
  155.      * Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
  156.      * 
  157.      * @param vegaDurationDays The Vega Duration Days
  158.      * 
  159.      * @return The ISDA 2.1 Standard Commodity Sensitivity Settings
  160.      */

  162.     public static final RiskClassSensitivitySettings ISDA_EQ_21 (
  163.         final int vegaDurationDays)
  164.     {
  165.         try
  166.         {
  167.             return new RiskClassSensitivitySettings (
  168.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_DELTA_21(),
  169.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_VEGA_21(),
  170.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_EQ_CURVATURE_21
  171.                     (vegaDurationDays)
  172.             );
  173.         }
  174.         catch (java.lang.Exception e)
  175.         {
  176.             e.printStackTrace();
  177.         }

  179.         return null;
  180.     }

  182.     /**
  183.      * Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
  184.      * 
  185.      * @param vegaDurationDays The Vega Duration Days
  186.      * 
  187.      * @return The ISDA 2.0 Standard Commodity Sensitivity Settings
  188.      */

  190.     public static final RiskClassSensitivitySettings ISDA_CT_20 (
  191.         final int vegaDurationDays)
  192.     {
  193.         try
  194.         {
  195.             return new RiskClassSensitivitySettings (
  196.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_DELTA_20(),
  197.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_VEGA_20(),
  198.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_CURVATURE_20
  199.                     (vegaDurationDays)
  200.             );
  201.         }
  202.         catch (java.lang.Exception e)
  203.         {
  204.             e.printStackTrace();
  205.         }

  207.         return null;
  208.     }

  210.     /**
  211.      * Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
  212.      * 
  213.      * @param vegaDurationDays The Vega Duration Days
  214.      * 
  215.      * @return The ISDA 2.1 Standard Commodity Sensitivity Settings
  216.      */

  218.     public static final RiskClassSensitivitySettings ISDA_CT_21 (
  219.         final int vegaDurationDays)
  220.     {
  221.         try
  222.         {
  223.             return new RiskClassSensitivitySettings (
  224.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_DELTA_21(),
  225.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_VEGA_21(),
  226.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_CT_CURVATURE_21
  227.                     (vegaDurationDays)
  228.             );
  229.         }
  230.         catch (java.lang.Exception e)
  231.         {
  232.             e.printStackTrace();
  233.         }

  235.         return null;
  236.     }

  238.     /**
  239.      * Generate the ISDA 2.0 Standard FX Sensitivity Settings
  240.      * 
  241.      * @param vegaDurationDays The Vega Duration Days
  242.      * 
  243.      * @return The ISDA 2.0 Standard FX Sensitivity Settings
  244.      */

  246.     public static final RiskClassSensitivitySettings ISDA_FX_20 (
  247.         final int vegaDurationDays)
  248.     {
  249.         try
  250.         {
  251.             return new RiskClassSensitivitySettings (
  252.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_DELTA_20(),
  253.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_VEGA_20(),
  254.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_CURVATURE_20
  255.                     (vegaDurationDays)
  256.             );
  257.         }
  258.         catch (java.lang.Exception e)
  259.         {
  260.             e.printStackTrace();
  261.         }

  263.         return null;
  264.     }

  266.     /**
  267.      * Generate the ISDA 2.1 Standard FX Sensitivity Settings
  268.      * 
  269.      * @param vegaDurationDays The Vega Duration Days
  270.      * 
  271.      * @return The ISDA 2.1 Standard FX Sensitivity Settings
  272.      */

  274.     public static final RiskClassSensitivitySettings ISDA_FX_21 (
  275.         final int vegaDurationDays)
  276.     {
  277.         try
  278.         {
  279.             return new RiskClassSensitivitySettings (
  280.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_DELTA_21(),
  281.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_VEGA_21(),
  282.                 org.drip.simm.parameters.RiskMeasureSensitivitySettings.ISDA_FX_CURVATURE_21
  283.                     (vegaDurationDays)
  284.             );
  285.         }
  286.         catch (java.lang.Exception e)
  287.         {
  288.             e.printStackTrace();
  289.         }

  291.         return null;
  292.     }

  294.     /**
  295.      * RiskClassSensitivitySettings Constructor
  296.      * 
  297.      * @param delta Delta Risk Measure Sensitivity Settings
  298.      * @param vega Vega Risk Measure Sensitivity Settings
  299.      * @param curvature Curvature Risk Measure Sensitivity Settings
  300.      * 
  301.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  302.      */

  304.     public RiskClassSensitivitySettings (
  305.         final org.drip.simm.parameters.RiskMeasureSensitivitySettings delta,
  306.         final org.drip.simm.parameters.RiskMeasureSensitivitySettings vega,
  307.         final org.drip.simm.parameters.RiskMeasureSensitivitySettings curvature)
  308.         throws java.lang.Exception
  309.     {
  310.         if (null == (_delta = delta) ||
  311.             null == (_vega = vega) ||
  312.             null == (_curvature = curvature))
  313.         {
  314.             throw new java.lang.Exception ("RiskClassSensitivitySettings Constructor => Invalid Inputs");
  315.         }
  316.     }

  318.     /**
  319.      * Delta Risk Measure Sensitivity Settings
  320.      * 
  321.      * @return Delta Risk Measure Sensitivity Settings
  322.      */

  324.     public org.drip.simm.parameters.RiskMeasureSensitivitySettings delta()
  325.     {
  326.         return _delta;
  327.     }

  329.     /**
  330.      * Vega Risk Measure Sensitivity Settings
  331.      * 
  332.      * @return Vega Risk Measure Sensitivity Settings
  333.      */

  335.     public org.drip.simm.parameters.RiskMeasureSensitivitySettings vega()
  336.     {
  337.         return _vega;
  338.     }

  340.     /**
  341.      * Curvature Risk Measure Sensitivity Settings
  342.      * 
  343.      * @return Curvature Risk Measure Sensitivity Settings
  344.      */

  346.     public org.drip.simm.parameters.RiskMeasureSensitivitySettings curvature()
  347.     {
  348.         return _curvature;
  349.     }
  350. }
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