RiskMeasureSensitivitySettings.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>RiskMeasureSensitivitySettings</i> holds the Settings that govern the Generation of the ISDA SIMM
  80.  * Bucket Sensitivities across Individual Risk Measure 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 RiskMeasureSensitivitySettings
  121. {
  122.     private org.drip.measure.stochastic.LabelCorrelation _crossBucketCorrelation = null;
  123.     private java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  124.         _bucketSettingsMap = null;

  126.     /**
  127.      * Construct an ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
  128.      * 
  129.      * @return ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
  130.      */

  132.     public static final RiskMeasureSensitivitySettings ISDA_EQ_DELTA_20()
  133.     {
  134.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  135.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  136.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  138.         java.util.Set<java.lang.Integer> bucketKeySet =
  139.             org.drip.simm.equity.EQSettingsContainer20.BucketMap().keySet();

  141.         try
  142.         {
  143.             for (int bucketIndex : bucketKeySet)
  144.             {
  145.                 bucketDeltaSettingsMap.put (
  146.                     "" + bucketIndex,
  147.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_EQ_20 (bucketIndex)
  148.                 );
  149.             }

  151.             return new RiskMeasureSensitivitySettings (
  152.                 bucketDeltaSettingsMap,
  153.                 org.drip.simm.equity.EQSettingsContainer20.CrossBucketCorrelation()
  154.             );
  155.         }
  156.         catch (java.lang.Exception e)
  157.         {
  158.             e.printStackTrace();
  159.         }

  161.         return null;
  162.     }

  164.     /**
  165.      * Construct an ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
  166.      * 
  167.      * @return ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
  168.      */

  170.     public static final RiskMeasureSensitivitySettings ISDA_EQ_DELTA_21()
  171.     {
  172.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  173.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  174.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  176.         java.util.Set<java.lang.Integer> bucketKeySet =
  177.             org.drip.simm.equity.EQSettingsContainer21.BucketMap().keySet();

  179.         try
  180.         {
  181.             for (int bucketIndex : bucketKeySet)
  182.             {
  183.                 bucketDeltaSettingsMap.put (
  184.                     "" + bucketIndex,
  185.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_EQ_21 (bucketIndex)
  186.                 );
  187.             }

  189.             return new RiskMeasureSensitivitySettings (
  190.                 bucketDeltaSettingsMap,
  191.                 org.drip.simm.equity.EQSettingsContainer21.CrossBucketCorrelation()
  192.             );
  193.         }
  194.         catch (java.lang.Exception e)
  195.         {
  196.             e.printStackTrace();
  197.         }

  199.         return null;
  200.     }

  202.     /**
  203.      * Construct an ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
  204.      * 
  205.      * @return ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
  206.      */

  208.     public static final RiskMeasureSensitivitySettings ISDA_EQ_VEGA_20()
  209.     {
  210.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  211.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  212.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  214.         java.util.Set<java.lang.Integer> bucketKeySet =
  215.             org.drip.simm.equity.EQSettingsContainer20.BucketMap().keySet();

  217.         try
  218.         {
  219.             for (int bucketIndex : bucketKeySet)
  220.             {
  221.                 bucketVegaSettingsMap.put (
  222.                     "" + bucketIndex,
  223.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_EQ_20 (bucketIndex)
  224.                 );
  225.             }

  227.             return new RiskMeasureSensitivitySettings (
  228.                 bucketVegaSettingsMap,
  229.                 org.drip.simm.equity.EQSettingsContainer20.CrossBucketCorrelation()
  230.             );
  231.         }
  232.         catch (java.lang.Exception e)
  233.         {
  234.             e.printStackTrace();
  235.         }

  237.         return null;
  238.     }

  240.     /**
  241.      * Construct an ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
  242.      * 
  243.      * @return ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
  244.      */

  246.     public static final RiskMeasureSensitivitySettings ISDA_EQ_VEGA_21()
  247.     {
  248.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  249.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  250.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  252.         java.util.Set<java.lang.Integer> bucketKeySet =
  253.             org.drip.simm.equity.EQSettingsContainer21.BucketMap().keySet();

  255.         try
  256.         {
  257.             for (int bucketIndex : bucketKeySet)
  258.             {
  259.                 bucketVegaSettingsMap.put (
  260.                     "" + bucketIndex,
  261.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_EQ_21 (bucketIndex)
  262.                 );
  263.             }

  265.             return new RiskMeasureSensitivitySettings (
  266.                 bucketVegaSettingsMap,
  267.                 org.drip.simm.equity.EQSettingsContainer21.CrossBucketCorrelation()
  268.             );
  269.         }
  270.         catch (java.lang.Exception e)
  271.         {
  272.             e.printStackTrace();
  273.         }

  275.         return null;
  276.     }

  278.     /**
  279.      * Construct an ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  280.      * 
  281.      * @param vegaDurationDays The Vega Duration Days
  282.      * 
  283.      * @return ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  284.      */

  286.     public static final RiskMeasureSensitivitySettings ISDA_EQ_CURVATURE_20 (
  287.         final int vegaDurationDays)
  288.     {
  289.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  290.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  291.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  293.         java.util.Set<java.lang.Integer> bucketKeySet =
  294.             org.drip.simm.equity.EQSettingsContainer20.BucketMap().keySet();

  296.         try
  297.         {
  298.             for (int bucketIndex : bucketKeySet)
  299.             {
  300.                 bucketCurvatureSettingsMap.put (
  301.                     "" + bucketIndex,
  302.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_EQ_20 (
  303.                         bucketIndex,
  304.                         vegaDurationDays
  305.                     )
  306.                 );
  307.             }

  309.             return new RiskMeasureSensitivitySettings (
  310.                 bucketCurvatureSettingsMap,
  311.                 org.drip.simm.equity.EQSettingsContainer20.CrossBucketCorrelation()
  312.             );
  313.         }
  314.         catch (java.lang.Exception e)
  315.         {
  316.             e.printStackTrace();
  317.         }

  319.         return null;
  320.     }

  322.     /**
  323.      * Construct an ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  324.      * 
  325.      * @param vegaDurationDays The Vega Duration Days
  326.      * 
  327.      * @return ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  328.      */

  330.     public static final RiskMeasureSensitivitySettings ISDA_EQ_CURVATURE_21 (
  331.         final int vegaDurationDays)
  332.     {
  333.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  334.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  335.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  337.         java.util.Set<java.lang.Integer> bucketKeySet =
  338.             org.drip.simm.equity.EQSettingsContainer21.BucketMap().keySet();

  340.         try
  341.         {
  342.             for (int bucketIndex : bucketKeySet)
  343.             {
  344.                 bucketCurvatureSettingsMap.put (
  345.                     "" + bucketIndex,
  346.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_EQ_21 (
  347.                         bucketIndex,
  348.                         vegaDurationDays
  349.                     )
  350.                 );
  351.             }

  353.             return new RiskMeasureSensitivitySettings (
  354.                 bucketCurvatureSettingsMap,
  355.                 org.drip.simm.equity.EQSettingsContainer21.CrossBucketCorrelation()
  356.             );
  357.         }
  358.         catch (java.lang.Exception e)
  359.         {
  360.             e.printStackTrace();
  361.         }

  363.         return null;
  364.     }

  366.     /**
  367.      * Construct an ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
  368.      * 
  369.      * @return ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
  370.      */

  372.     public static final RiskMeasureSensitivitySettings ISDA_CT_DELTA_20()
  373.     {
  374.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  375.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  376.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  378.         java.util.Set<java.lang.Integer> bucketKeySet =
  379.             org.drip.simm.commodity.CTSettingsContainer20.BucketMap().keySet();

  381.         try
  382.         {
  383.             for (int bucketIndex : bucketKeySet)
  384.             {
  385.                 bucketDeltaSettingsMap.put (
  386.                     "" + bucketIndex,
  387.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_CT_20 (bucketIndex)
  388.                 );
  389.             }

  391.             return new RiskMeasureSensitivitySettings (
  392.                 bucketDeltaSettingsMap,
  393.                 org.drip.simm.commodity.CTSettingsContainer20.CrossBucketCorrelation()
  394.             );
  395.         }
  396.         catch (java.lang.Exception e)
  397.         {
  398.             e.printStackTrace();
  399.         }

  401.         return null;
  402.     }

  404.     /**
  405.      * Construct an ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
  406.      * 
  407.      * @return ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
  408.      */

  410.     public static final RiskMeasureSensitivitySettings ISDA_CT_DELTA_21()
  411.     {
  412.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  413.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  414.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  416.         java.util.Set<java.lang.Integer> bucketKeySet =
  417.             org.drip.simm.commodity.CTSettingsContainer20.BucketMap().keySet();

  419.         try
  420.         {
  421.             for (int bucketIndex : bucketKeySet)
  422.             {
  423.                 bucketDeltaSettingsMap.put (
  424.                     "" + bucketIndex,
  425.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_CT_21 (bucketIndex)
  426.                 );
  427.             }

  429.             return new RiskMeasureSensitivitySettings (
  430.                 bucketDeltaSettingsMap,
  431.                 org.drip.simm.commodity.CTSettingsContainer21.CrossBucketCorrelation()
  432.             );
  433.         }
  434.         catch (java.lang.Exception e)
  435.         {
  436.             e.printStackTrace();
  437.         }

  439.         return null;
  440.     }

  442.     /**
  443.      * Construct an ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
  444.      * 
  445.      * @return ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
  446.      */

  448.     public static final RiskMeasureSensitivitySettings ISDA_CT_VEGA_20()
  449.     {
  450.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  451.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  452.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  454.         java.util.Map<java.lang.Integer, org.drip.simm.commodity.CTBucket> bucketMap =
  455.             org.drip.simm.commodity.CTSettingsContainer20.BucketMap();

  457.         java.util.Set<java.lang.Integer> bucketKeySet = bucketMap.keySet();

  459.         try
  460.         {
  461.             for (int bucketIndex : bucketKeySet)
  462.             {
  463.                 bucketVegaSettingsMap.put (
  464.                     "" + bucketIndex,
  465.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_CT_20 (bucketIndex)
  466.                 );
  467.             }

  469.             return new RiskMeasureSensitivitySettings (
  470.                 bucketVegaSettingsMap,
  471.                 org.drip.simm.commodity.CTSettingsContainer20.CrossBucketCorrelation()
  472.             );
  473.         }
  474.         catch (java.lang.Exception e)
  475.         {
  476.             e.printStackTrace();
  477.         }

  479.         return null;
  480.     }

  482.     /**
  483.      * Construct an ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
  484.      * 
  485.      * @return ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
  486.      */

  488.     public static final RiskMeasureSensitivitySettings ISDA_CT_VEGA_21()
  489.     {
  490.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  491.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  492.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  494.         java.util.Map<java.lang.Integer, org.drip.simm.commodity.CTBucket> bucketMap =
  495.             org.drip.simm.commodity.CTSettingsContainer21.BucketMap();

  497.         java.util.Set<java.lang.Integer> bucketKeySet = bucketMap.keySet();

  499.         try
  500.         {
  501.             for (int bucketIndex : bucketKeySet)
  502.             {
  503.                 bucketVegaSettingsMap.put (
  504.                     "" + bucketIndex,
  505.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_CT_21 (bucketIndex)
  506.                 );
  507.             }

  509.             return new RiskMeasureSensitivitySettings (
  510.                 bucketVegaSettingsMap,
  511.                 org.drip.simm.commodity.CTSettingsContainer21.CrossBucketCorrelation()
  512.             );
  513.         }
  514.         catch (java.lang.Exception e)
  515.         {
  516.             e.printStackTrace();
  517.         }

  519.         return null;
  520.     }

  522.     /**
  523.      * Construct an ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  524.      * 
  525.      * @param vegaDurationDays The Vega Duration Days
  526.      * 
  527.      * @return ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  528.      */

  530.     public static final RiskMeasureSensitivitySettings ISDA_CT_CURVATURE_20 (
  531.         final int vegaDurationDays)
  532.     {
  533.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  534.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  535.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  537.         java.util.Set<java.lang.Integer> bucketKeySet =
  538.             org.drip.simm.commodity.CTSettingsContainer20.BucketMap().keySet();

  540.         try
  541.         {
  542.             for (int bucketIndex : bucketKeySet)
  543.             {
  544.                 bucketCurvatureSettingsMap.put (
  545.                     "" + bucketIndex,
  546.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_CT_20 (
  547.                         bucketIndex,
  548.                         vegaDurationDays
  549.                     )
  550.                 );
  551.             }

  553.             return new RiskMeasureSensitivitySettings (
  554.                 bucketCurvatureSettingsMap,
  555.                 org.drip.simm.commodity.CTSettingsContainer20.CrossBucketCorrelation()
  556.             );
  557.         }
  558.         catch (java.lang.Exception e)
  559.         {
  560.             e.printStackTrace();
  561.         }

  563.         return null;
  564.     }

  566.     /**
  567.      * Construct an ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  568.      * 
  569.      * @param vegaDurationDays The Vega Duration Days
  570.      * 
  571.      * @return ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
  572.      */

  574.     public static final RiskMeasureSensitivitySettings ISDA_CT_CURVATURE_21 (
  575.         final int vegaDurationDays)
  576.     {
  577.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  578.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  579.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  581.         java.util.Set<java.lang.Integer> bucketKeySet =
  582.             org.drip.simm.commodity.CTSettingsContainer21.BucketMap().keySet();

  584.         try
  585.         {
  586.             for (int bucketIndex : bucketKeySet)
  587.             {
  588.                 bucketCurvatureSettingsMap.put (
  589.                     "" + bucketIndex,
  590.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_CT_21 (
  591.                         bucketIndex,
  592.                         vegaDurationDays
  593.                     )
  594.                 );
  595.             }

  597.             return new RiskMeasureSensitivitySettings (
  598.                 bucketCurvatureSettingsMap,
  599.                 org.drip.simm.commodity.CTSettingsContainer21.CrossBucketCorrelation()
  600.             );
  601.         }
  602.         catch (java.lang.Exception e)
  603.         {
  604.             e.printStackTrace();
  605.         }

  607.         return null;
  608.     }

  610.     /**
  611.      * Construct an ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
  612.      * 
  613.      * @return ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
  614.      */

  616.     public static final RiskMeasureSensitivitySettings ISDA_FX_DELTA_20()
  617.     {
  618.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  619.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  620.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  622.         java.util.Map<java.lang.Integer, java.lang.Double> fxConcentrationCategoryDeltaMap =
  623.             org.drip.simm.fx.FXRiskThresholdContainer20.CategoryDeltaMap();

  625.         java.util.Set<java.lang.Integer> fxConcentrationCategoryDeltaKey =
  626.             fxConcentrationCategoryDeltaMap.keySet();

  628.         java.util.List<java.lang.String> deltaCategoryList = new java.util.ArrayList<java.lang.String>();

  630.         int fxConcentrationCategoryDeltaCount = fxConcentrationCategoryDeltaKey.size();

  632.         double[][] crossBucketCorrelationMatrix = new
  633.             double[fxConcentrationCategoryDeltaCount][fxConcentrationCategoryDeltaCount];

  635.         try
  636.         {
  637.             for (int deltaCategoryIndex : fxConcentrationCategoryDeltaKey)
  638.             {
  639.                 deltaCategoryList.add ("" + deltaCategoryIndex);

  641.                 bucketDeltaSettingsMap.put (
  642.                     "" + deltaCategoryIndex,
  643.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_FX_20 (deltaCategoryIndex)
  644.                 );

  646.                 for (int categoryIndexInner : fxConcentrationCategoryDeltaKey)
  647.                 {
  648.                     crossBucketCorrelationMatrix[deltaCategoryIndex - 1][categoryIndexInner - 1] =
  649.                         deltaCategoryIndex == categoryIndexInner ? 1. :
  650.                         org.drip.simm.fx.FXSystemics20.CORRELATION;
  651.                 }
  652.             }

  654.             return new RiskMeasureSensitivitySettings (
  655.                 bucketDeltaSettingsMap,
  656.                 new org.drip.measure.stochastic.LabelCorrelation (
  657.                     deltaCategoryList,
  658.                     crossBucketCorrelationMatrix
  659.                 )
  660.             );
  661.         }
  662.         catch (java.lang.Exception e)
  663.         {
  664.             e.printStackTrace();
  665.         }

  667.         return null;
  668.     }

  670.     /**
  671.      * Construct an ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
  672.      * 
  673.      * @return ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
  674.      */

  676.     public static final RiskMeasureSensitivitySettings ISDA_FX_DELTA_21()
  677.     {
  678.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  679.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  680.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  682.         java.util.Map<java.lang.Integer, java.lang.Double> fxConcentrationCategoryDeltaMap =
  683.             org.drip.simm.fx.FXRiskThresholdContainer21.CategoryDeltaMap();

  685.         java.util.Set<java.lang.Integer> fxConcentrationCategoryDeltaKey =
  686.             fxConcentrationCategoryDeltaMap.keySet();

  688.         java.util.List<java.lang.String> deltaCategoryList = new java.util.ArrayList<java.lang.String>();

  690.         int fxConcentrationCategoryDeltaCount = fxConcentrationCategoryDeltaKey.size();

  692.         double[][] crossBucketCorrelationMatrix = new
  693.             double[fxConcentrationCategoryDeltaCount][fxConcentrationCategoryDeltaCount];

  695.         try
  696.         {
  697.             for (int deltaCategoryIndex : fxConcentrationCategoryDeltaKey)
  698.             {
  699.                 deltaCategoryList.add ("" + deltaCategoryIndex);

  701.                 bucketDeltaSettingsMap.put (
  702.                     "" + deltaCategoryIndex,
  703.                     org.drip.simm.parameters.BucketSensitivitySettings.ISDA_FX_21 (deltaCategoryIndex)
  704.                 );

  706.                 for (int categoryIndexInner : fxConcentrationCategoryDeltaKey)
  707.                 {
  708.                     crossBucketCorrelationMatrix[deltaCategoryIndex - 1][categoryIndexInner - 1] =
  709.                         deltaCategoryIndex == categoryIndexInner ? 1. :
  710.                         org.drip.simm.fx.FXSystemics21.CORRELATION;
  711.                 }
  712.             }

  714.             return new RiskMeasureSensitivitySettings (
  715.                 bucketDeltaSettingsMap,
  716.                 new org.drip.measure.stochastic.LabelCorrelation (
  717.                     deltaCategoryList,
  718.                     crossBucketCorrelationMatrix
  719.                 )
  720.             );
  721.         }
  722.         catch (java.lang.Exception e)
  723.         {
  724.             e.printStackTrace();
  725.         }

  727.         return null;
  728.     }

  730.     /**
  731.      * Construct an ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
  732.      * 
  733.      * @return ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
  734.      */

  736.     public static final RiskMeasureSensitivitySettings ISDA_FX_VEGA_20()
  737.     {
  738.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  739.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  740.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  742.         java.util.Map<java.lang.String, java.lang.Double> fxConcentrationCategoryVegaMap =
  743.             org.drip.simm.fx.FXRiskThresholdContainer20.CategoryVegaMap();

  745.         java.util.Set<java.lang.String> fxConcentrationCategoryVegaKey =
  746.             fxConcentrationCategoryVegaMap.keySet();

  748.         java.util.List<java.lang.String> vegaCategoryList = new java.util.ArrayList<java.lang.String>();

  750.         int fxConcentrationCategoryVegaCount = fxConcentrationCategoryVegaKey.size();

  752.         int vegaCategoryIndexOuter = 0;
  753.         double[][] crossBucketCorrelationMatrix = new
  754.             double[fxConcentrationCategoryVegaCount][fxConcentrationCategoryVegaCount];

  756.         try
  757.         {
  758.             for (java.lang.String vegaCategoryOuter : fxConcentrationCategoryVegaKey)
  759.             {
  760.                 vegaCategoryList.add (vegaCategoryOuter);

  762.                 bucketVegaSettingsMap.put (
  763.                     vegaCategoryOuter,
  764.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_FX_20 (vegaCategoryOuter)
  765.                 );

  767.                 for (int vegaCategoryIndexInner = 0;
  768.                     vegaCategoryIndexInner < fxConcentrationCategoryVegaCount;
  769.                     ++vegaCategoryIndexInner)
  770.                 {
  771.                     crossBucketCorrelationMatrix[vegaCategoryIndexOuter][vegaCategoryIndexInner] =
  772.                         vegaCategoryIndexOuter == vegaCategoryIndexInner ? 1. :
  773.                         org.drip.simm.fx.FXSystemics20.CORRELATION;
  774.                 }

  776.                 ++vegaCategoryIndexOuter;
  777.             }

  779.             return new RiskMeasureSensitivitySettings (
  780.                 bucketVegaSettingsMap,
  781.                 new org.drip.measure.stochastic.LabelCorrelation (
  782.                     vegaCategoryList,
  783.                     crossBucketCorrelationMatrix
  784.                 )
  785.             );
  786.         }
  787.         catch (java.lang.Exception e)
  788.         {
  789.             e.printStackTrace();
  790.         }

  792.         return null;
  793.     }

  795.     /**
  796.      * Construct an ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
  797.      * 
  798.      * @return ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
  799.      */

  801.     public static final RiskMeasureSensitivitySettings ISDA_FX_VEGA_21()
  802.     {
  803.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  804.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  805.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  807.         java.util.Map<java.lang.String, java.lang.Double> fxConcentrationCategoryVegaMap =
  808.             org.drip.simm.fx.FXRiskThresholdContainer21.CategoryVegaMap();

  810.         java.util.Set<java.lang.String> fxConcentrationCategoryVegaKey =
  811.             fxConcentrationCategoryVegaMap.keySet();

  813.         java.util.List<java.lang.String> vegaCategoryList = new java.util.ArrayList<java.lang.String>();

  815.         int fxConcentrationCategoryVegaCount = fxConcentrationCategoryVegaKey.size();

  817.         int vegaCategoryIndexOuter = 0;
  818.         double[][] crossBucketCorrelationMatrix = new
  819.             double[fxConcentrationCategoryVegaCount][fxConcentrationCategoryVegaCount];

  821.         try
  822.         {
  823.             for (java.lang.String vegaCategoryOuter : fxConcentrationCategoryVegaKey)
  824.             {
  825.                 vegaCategoryList.add (vegaCategoryOuter);

  827.                 bucketVegaSettingsMap.put (
  828.                     vegaCategoryOuter,
  829.                     org.drip.simm.parameters.BucketVegaSettings.ISDA_FX_21 (vegaCategoryOuter)
  830.                 );

  832.                 for (int vegaCategoryIndexInner = 0;
  833.                     vegaCategoryIndexInner < fxConcentrationCategoryVegaCount;
  834.                     ++vegaCategoryIndexInner)
  835.                 {
  836.                     crossBucketCorrelationMatrix[vegaCategoryIndexOuter][vegaCategoryIndexInner] =
  837.                         vegaCategoryIndexOuter == vegaCategoryIndexInner ? 1. :
  838.                         org.drip.simm.fx.FXSystemics21.CORRELATION;
  839.                 }

  841.                 ++vegaCategoryIndexOuter;
  842.             }

  844.             return new RiskMeasureSensitivitySettings (
  845.                 bucketVegaSettingsMap,
  846.                 new org.drip.measure.stochastic.LabelCorrelation (
  847.                     vegaCategoryList,
  848.                     crossBucketCorrelationMatrix
  849.                 )
  850.             );
  851.         }
  852.         catch (java.lang.Exception e)
  853.         {
  854.             e.printStackTrace();
  855.         }

  857.         return null;
  858.     }

  860.     /**
  861.      * Construct an ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
  862.      * 
  863.      * @param vegaDurationDays The Vega Duration Days
  864.      * 
  865.      * @return ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
  866.      */

  868.     public static final RiskMeasureSensitivitySettings ISDA_FX_CURVATURE_20 (
  869.         final int vegaDurationDays)
  870.     {
  871.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  872.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  873.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  875.         java.util.Map<java.lang.String, java.lang.Double> fxConcentrationCategoryCurvatureMap =
  876.             org.drip.simm.fx.FXRiskThresholdContainer20.CategoryVegaMap();

  878.         java.util.Set<java.lang.String> fxConcentrationCategoryCurvatureKey =
  879.             fxConcentrationCategoryCurvatureMap.keySet();

  881.         java.util.List<java.lang.String> curvatureCategoryList = new java.util.ArrayList<java.lang.String>();

  883.         int fxConcentrationCategoryCurvatureCount = fxConcentrationCategoryCurvatureKey.size();

  885.         int curvatureCategoryIndexOuter = 0;
  886.         double[][] crossBucketCorrelationMatrix = new
  887.             double[fxConcentrationCategoryCurvatureCount][fxConcentrationCategoryCurvatureCount];

  889.         try
  890.         {
  891.             for (java.lang.String curvatureCategoryOuter : fxConcentrationCategoryCurvatureKey)
  892.             {
  893.                 curvatureCategoryList.add (curvatureCategoryOuter);

  895.                 bucketCurvatureSettingsMap.put (
  896.                     curvatureCategoryOuter,
  897.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_FX_20 (
  898.                         curvatureCategoryOuter,
  899.                         vegaDurationDays
  900.                     )
  901.                 );

  903.                 for (int curvatureCategoryIndexInner = 0;
  904.                     curvatureCategoryIndexInner < fxConcentrationCategoryCurvatureCount;
  905.                     ++curvatureCategoryIndexInner)
  906.                 {
  907.                     crossBucketCorrelationMatrix[curvatureCategoryIndexOuter][curvatureCategoryIndexInner] =
  908.                         curvatureCategoryIndexOuter == curvatureCategoryIndexInner ? 1. :
  909.                         org.drip.simm.fx.FXSystemics20.CORRELATION;
  910.                 }

  912.                 ++curvatureCategoryIndexOuter;
  913.             }

  915.             return new RiskMeasureSensitivitySettings (
  916.                 bucketCurvatureSettingsMap,
  917.                 new org.drip.measure.stochastic.LabelCorrelation (
  918.                     curvatureCategoryList,
  919.                     crossBucketCorrelationMatrix
  920.                 )
  921.             );
  922.         }
  923.         catch (java.lang.Exception e)
  924.         {
  925.             e.printStackTrace();
  926.         }

  928.         return null;
  929.     }

  931.     /**
  932.      * Construct an ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
  933.      * 
  934.      * @param vegaDurationDays The Vega Duration Days
  935.      * 
  936.      * @return ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
  937.      */

  939.     public static final RiskMeasureSensitivitySettings ISDA_FX_CURVATURE_21 (
  940.         final int vegaDurationDays)
  941.     {
  942.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  943.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  944.                 org.drip.simm.parameters.BucketSensitivitySettings>();

  946.         java.util.Map<java.lang.String, java.lang.Double> fxConcentrationCategoryCurvatureMap =
  947.             org.drip.simm.fx.FXRiskThresholdContainer21.CategoryVegaMap();

  949.         java.util.Set<java.lang.String> fxConcentrationCategoryCurvatureKey =
  950.             fxConcentrationCategoryCurvatureMap.keySet();

  952.         java.util.List<java.lang.String> curvatureCategoryList = new java.util.ArrayList<java.lang.String>();

  954.         int fxConcentrationCategoryCurvatureCount = fxConcentrationCategoryCurvatureKey.size();

  956.         int curvatureCategoryIndexOuter = 0;
  957.         double[][] crossBucketCorrelationMatrix = new
  958.             double[fxConcentrationCategoryCurvatureCount][fxConcentrationCategoryCurvatureCount];

  960.         try
  961.         {
  962.             for (java.lang.String curvatureCategoryOuter : fxConcentrationCategoryCurvatureKey)
  963.             {
  964.                 curvatureCategoryList.add (curvatureCategoryOuter);

  966.                 bucketCurvatureSettingsMap.put (
  967.                     curvatureCategoryOuter,
  968.                     org.drip.simm.parameters.BucketCurvatureSettings.ISDA_FX_21 (
  969.                         curvatureCategoryOuter,
  970.                         vegaDurationDays
  971.                     )
  972.                 );

  974.                 for (int curvatureCategoryIndexInner = 0;
  975.                     curvatureCategoryIndexInner < fxConcentrationCategoryCurvatureCount;
  976.                     ++curvatureCategoryIndexInner)
  977.                 {
  978.                     crossBucketCorrelationMatrix[curvatureCategoryIndexOuter][curvatureCategoryIndexInner] =
  979.                         curvatureCategoryIndexOuter == curvatureCategoryIndexInner ? 1. :
  980.                         org.drip.simm.fx.FXSystemics21.CORRELATION;
  981.                 }

  983.                 ++curvatureCategoryIndexOuter;
  984.             }

  986.             return new RiskMeasureSensitivitySettings (
  987.                 bucketCurvatureSettingsMap,
  988.                 new org.drip.measure.stochastic.LabelCorrelation (
  989.                     curvatureCategoryList,
  990.                     crossBucketCorrelationMatrix
  991.                 )
  992.             );
  993.         }
  994.         catch (java.lang.Exception e)
  995.         {
  996.             e.printStackTrace();
  997.         }

  999.         return null;
  1000.     }

  1002.     /**
  1003.      * RiskMeasureSensitivitySettings Constructor
  1004.      * 
  1005.      * @param bucketSettingsMap The Bucket Sensitivity Settings Map
  1006.      * @param crossBucketCorrelation The Cross Bucket Correlation
  1007.      * 
  1008.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  1009.      */

  1011.     public RiskMeasureSensitivitySettings (
  1012.         final java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  1013.             bucketSettingsMap,
  1014.         final org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation)
  1015.         throws java.lang.Exception
  1016.     {
  1017.         if (null == (_bucketSettingsMap = bucketSettingsMap) || 0 == _bucketSettingsMap.size() ||
  1018.             null == (_crossBucketCorrelation = crossBucketCorrelation))
  1019.         {
  1020.             throw new java.lang.Exception ("RiskMeasureSensitivitySettings Constructor => Invalid Inputs");
  1021.         }
  1022.     }

  1024.     /**
  1025.      * Retrieve the Cross Bucket Correlation
  1026.      * 
  1027.      * @return The Cross Bucket Correlation
  1028.      */

  1030.     public org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation()
  1031.     {
  1032.         return _crossBucketCorrelation;
  1033.     }

  1035.     /**
  1036.      * Retrieve the Bucket Sensitivity Settings Map
  1037.      * 
  1038.      * @return The Bucket Sensitivity Settings Map
  1039.      */

  1041.     public java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettings>
  1042.         bucketSettingsMap()
  1043.     {
  1044.         return _bucketSettingsMap;
  1045.     }
  1046. }
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