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

  126.     /**
  127.      * Generate SIMM 2.0 Credit Qualifying Delta Sensitivity Settings
  128.      * 
  129.      * @return The SIMM 2.0 Credit Qualifying Delta Sensitivity Settings
  130.      */

  132.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_DELTA_20()
  133.     {
  134.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  135.             bucketSensitivitySettingsMap = new
  136.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  138.         java.util.Set<java.lang.Integer> bucketIndexSet =
  139.             org.drip.simm.credit.CRQSettingsContainer20.BucketSet();

  141.         for (int bucketIndex : bucketIndexSet)
  142.         {
  143.             bucketSensitivitySettingsMap.put (
  144.                 "" + bucketIndex,
  145.                 org.drip.simm.parameters.BucketSensitivitySettingsCR.ISDA_CRQ_DELTA_20 (bucketIndex)
  146.             );
  147.         }

  149.         try
  150.         {
  151.             return new RiskMeasureSensitivitySettingsCR (
  152.                 bucketSensitivitySettingsMap,
  153.                 org.drip.simm.credit.CRQSettingsContainer20.CrossBucketCorrelation()
  154.             );
  155.         }
  156.         catch (java.lang.Exception e)
  157.         {
  158.             e.printStackTrace();
  159.         }

  161.         return null;
  162.     }

  164.     /**
  165.      * Generate SIMM 2.1 Credit Qualifying Delta Sensitivity Settings
  166.      * 
  167.      * @return The SIMM 2.1 Credit Qualifying Delta Sensitivity Settings
  168.      */

  170.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_DELTA_21()
  171.     {
  172.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  173.             bucketSensitivitySettingsMap = new
  174.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  176.         java.util.Set<java.lang.Integer> bucketIndexSet =
  177.             org.drip.simm.credit.CRQSettingsContainer21.BucketSet();

  179.         for (int bucketIndex : bucketIndexSet)
  180.         {
  181.             bucketSensitivitySettingsMap.put (
  182.                 "" + bucketIndex,
  183.                 org.drip.simm.parameters.BucketSensitivitySettingsCR.ISDA_CRQ_DELTA_21 (bucketIndex)
  184.             );
  185.         }

  187.         try
  188.         {
  189.             return new RiskMeasureSensitivitySettingsCR (
  190.                 bucketSensitivitySettingsMap,
  191.                 org.drip.simm.credit.CRQSettingsContainer21.CrossBucketCorrelation()
  192.             );
  193.         }
  194.         catch (java.lang.Exception e)
  195.         {
  196.             e.printStackTrace();
  197.         }

  199.         return null;
  200.     }

  202.     /**
  203.      * Generate SIMM 2.0 Credit Qualifying Vega Sensitivity Settings
  204.      * 
  205.      * @return The SIMM 2.0 Credit Qualifying Vega Sensitivity Settings
  206.      */

  208.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_VEGA_20()
  209.     {
  210.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  211.             bucketSensitivitySettingsMap = new
  212.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  214.         java.util.Set<java.lang.Integer> bucketIndexSet =
  215.             org.drip.simm.credit.CRQSettingsContainer20.BucketSet();

  217.         for (int bucketIndex : bucketIndexSet)
  218.         {
  219.             bucketSensitivitySettingsMap.put (
  220.                 "" + bucketIndex,
  221.                 org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRQ_20 (bucketIndex)
  222.             );
  223.         }

  225.         try
  226.         {
  227.             return new RiskMeasureSensitivitySettingsCR (
  228.                 bucketSensitivitySettingsMap,
  229.                 org.drip.simm.credit.CRQSettingsContainer20.CrossBucketCorrelation()
  230.             );
  231.         }
  232.         catch (java.lang.Exception e)
  233.         {
  234.             e.printStackTrace();
  235.         }

  237.         return null;
  238.     }

  240.     /**
  241.      * Generate SIMM 2.1 Credit Qualifying Vega Sensitivity Settings
  242.      * 
  243.      * @return The SIMM 2.1 Credit Qualifying Vega Sensitivity Settings
  244.      */

  246.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_VEGA_21()
  247.     {
  248.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  249.             bucketSensitivitySettingsMap = new
  250.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  252.         java.util.Set<java.lang.Integer> bucketIndexSet =
  253.             org.drip.simm.credit.CRQSettingsContainer21.BucketSet();

  255.         for (int bucketIndex : bucketIndexSet)
  256.         {
  257.             bucketSensitivitySettingsMap.put (
  258.                 "" + bucketIndex,
  259.                 org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRQ_21 (bucketIndex)
  260.             );
  261.         }

  263.         try
  264.         {
  265.             return new RiskMeasureSensitivitySettingsCR (
  266.                 bucketSensitivitySettingsMap,
  267.                 org.drip.simm.credit.CRQSettingsContainer21.CrossBucketCorrelation()
  268.             );
  269.         }
  270.         catch (java.lang.Exception e)
  271.         {
  272.             e.printStackTrace();
  273.         }

  275.         return null;
  276.     }

  278.     /**
  279.      * Generate SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings
  280.      * 
  281.      * @return The SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings
  282.      */

  284.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_CURVATURE_20()
  285.     {
  286.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  287.             bucketSensitivitySettingsMap = new
  288.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  290.         java.util.Set<java.lang.Integer> bucketIndexSet =
  291.             org.drip.simm.credit.CRQSettingsContainer20.BucketSet();

  293.         for (int bucketIndex : bucketIndexSet)
  294.         {
  295.             bucketSensitivitySettingsMap.put (
  296.                 "" + bucketIndex,
  297.                 org.drip.simm.parameters.BucketCurvatureSettingsCR.ISDA_CRQ_20 (bucketIndex)
  298.             );
  299.         }

  301.         try
  302.         {
  303.             return new RiskMeasureSensitivitySettingsCR (
  304.                 bucketSensitivitySettingsMap,
  305.                 org.drip.simm.credit.CRQSettingsContainer20.CrossBucketCorrelation()
  306.             );
  307.         }
  308.         catch (java.lang.Exception e)
  309.         {
  310.             e.printStackTrace();
  311.         }

  313.         return null;
  314.     }

  316.     /**
  317.      * Generate SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings
  318.      * 
  319.      * @return The SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings
  320.      */

  322.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_CURVATURE_21()
  323.     {
  324.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  325.             bucketSensitivitySettingsMap = new
  326.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  328.         java.util.Set<java.lang.Integer> bucketIndexSet =
  329.             org.drip.simm.credit.CRQSettingsContainer21.BucketSet();

  331.         for (int bucketIndex : bucketIndexSet)
  332.         {
  333.             bucketSensitivitySettingsMap.put (
  334.                 "" + bucketIndex,
  335.                 org.drip.simm.parameters.BucketCurvatureSettingsCR.ISDA_CRQ_21 (bucketIndex)
  336.             );
  337.         }

  339.         try
  340.         {
  341.             return new RiskMeasureSensitivitySettingsCR (
  342.                 bucketSensitivitySettingsMap,
  343.                 org.drip.simm.credit.CRQSettingsContainer21.CrossBucketCorrelation()
  344.             );
  345.         }
  346.         catch (java.lang.Exception e)
  347.         {
  348.             e.printStackTrace();
  349.         }

  351.         return null;
  352.     }

  354.     /**
  355.      * Generate SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings
  356.      * 
  357.      * @return The SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings
  358.      */

  360.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_DELTA_20()
  361.     {
  362.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  363.             bucketSensitivitySettingsMap = new
  364.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  366.         java.util.Set<java.lang.Integer> bucketIndexSet =
  367.             org.drip.simm.credit.CRNQSettingsContainer20.BucketSet();

  369.         int bucketCount = bucketIndexSet.size();

  371.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  373.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  375.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  376.         {
  377.             bucketSensitivitySettingsMap.put (
  378.                 "" + bucketIndexOuter,
  379.                 org.drip.simm.parameters.BucketSensitivitySettingsCR.ISDA_CRNQ_DELTA_20 (bucketIndexOuter)
  380.             );

  382.             bucketLabelList.add ("" + bucketIndexOuter);

  384.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  385.             {
  386.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  387.                     bucketIndexInner == bucketIndexOuter ? 1. :
  388.                     org.drip.simm.credit.CRNQBucketCorrelation20.NON_RESIDUAL_TO_NON_RESIDUAL;
  389.             }
  390.         }

  392.         try
  393.         {
  394.             return new RiskMeasureSensitivitySettingsCR (
  395.                 bucketSensitivitySettingsMap,
  396.                 new org.drip.measure.stochastic.LabelCorrelation (
  397.                     bucketLabelList,
  398.                     crossBucketCorrelation
  399.                 )
  400.             );
  401.         }
  402.         catch (java.lang.Exception e)
  403.         {
  404.             e.printStackTrace();
  405.         }

  407.         return null;
  408.     }

  410.     /**
  411.      * Generate SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings
  412.      * 
  413.      * @return The SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings
  414.      */

  416.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_DELTA_21()
  417.     {
  418.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  419.             bucketSensitivitySettingsMap = new
  420.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  422.         java.util.Set<java.lang.Integer> bucketIndexSet =
  423.             org.drip.simm.credit.CRNQSettingsContainer21.BucketSet();

  425.         int bucketCount = bucketIndexSet.size();

  427.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  429.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  431.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  432.         {
  433.             bucketSensitivitySettingsMap.put (
  434.                 "" + bucketIndexOuter,
  435.                 org.drip.simm.parameters.BucketSensitivitySettingsCR.ISDA_CRNQ_DELTA_21 (bucketIndexOuter)
  436.             );

  438.             bucketLabelList.add ("" + bucketIndexOuter);

  440.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  441.             {
  442.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  443.                     bucketIndexInner == bucketIndexOuter ? 1. :
  444.                     org.drip.simm.credit.CRNQBucketCorrelation21.NON_RESIDUAL_TO_NON_RESIDUAL;
  445.             }
  446.         }

  448.         try
  449.         {
  450.             return new RiskMeasureSensitivitySettingsCR (
  451.                 bucketSensitivitySettingsMap,
  452.                 new org.drip.measure.stochastic.LabelCorrelation (
  453.                     bucketLabelList,
  454.                     crossBucketCorrelation
  455.                 )
  456.             );
  457.         }
  458.         catch (java.lang.Exception e)
  459.         {
  460.             e.printStackTrace();
  461.         }

  463.         return null;
  464.     }

  466.     /**
  467.      * Generate SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings
  468.      * 
  469.      * @return The SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings
  470.      */

  472.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_VEGA_20()
  473.     {
  474.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  475.             bucketSensitivitySettingsMap = new
  476.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  478.         java.util.Set<java.lang.Integer> bucketIndexSet =
  479.             org.drip.simm.credit.CRNQSettingsContainer20.BucketSet();

  481.         int bucketCount = bucketIndexSet.size();

  483.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  485.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  487.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  488.         {
  489.             bucketSensitivitySettingsMap.put (
  490.                 "" + bucketIndexOuter,
  491.                 org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRNQ_20 (bucketIndexOuter)
  492.             );

  494.             bucketLabelList.add ("" + bucketIndexOuter);

  496.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  497.             {
  498.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  499.                     bucketIndexInner == bucketIndexOuter ? 1. :
  500.                     org.drip.simm.credit.CRNQBucketCorrelation20.NON_RESIDUAL_TO_NON_RESIDUAL;
  501.             }
  502.         }

  504.         try
  505.         {
  506.             return new RiskMeasureSensitivitySettingsCR (
  507.                 bucketSensitivitySettingsMap,
  508.                 new org.drip.measure.stochastic.LabelCorrelation (
  509.                     bucketLabelList,
  510.                     crossBucketCorrelation
  511.                 )
  512.             );
  513.         }
  514.         catch (java.lang.Exception e)
  515.         {
  516.             e.printStackTrace();
  517.         }

  519.         return null;
  520.     }

  522.     /**
  523.      * Generate SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings
  524.      * 
  525.      * @return The SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings
  526.      */

  528.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_VEGA_21()
  529.     {
  530.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  531.             bucketSensitivitySettingsMap = new
  532.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  534.         java.util.Set<java.lang.Integer> bucketIndexSet =
  535.             org.drip.simm.credit.CRNQSettingsContainer21.BucketSet();

  537.         int bucketCount = bucketIndexSet.size();

  539.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  541.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  543.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  544.         {
  545.             bucketSensitivitySettingsMap.put (
  546.                 "" + bucketIndexOuter,
  547.                 org.drip.simm.parameters.BucketVegaSettingsCR.ISDA_CRNQ_21 (bucketIndexOuter)
  548.             );

  550.             bucketLabelList.add ("" + bucketIndexOuter);

  552.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  553.             {
  554.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  555.                     bucketIndexInner == bucketIndexOuter ? 1. :
  556.                     org.drip.simm.credit.CRNQBucketCorrelation21.NON_RESIDUAL_TO_NON_RESIDUAL;
  557.             }
  558.         }

  560.         try
  561.         {
  562.             return new RiskMeasureSensitivitySettingsCR (
  563.                 bucketSensitivitySettingsMap,
  564.                 new org.drip.measure.stochastic.LabelCorrelation (
  565.                     bucketLabelList,
  566.                     crossBucketCorrelation
  567.                 )
  568.             );
  569.         }
  570.         catch (java.lang.Exception e)
  571.         {
  572.             e.printStackTrace();
  573.         }

  575.         return null;
  576.     }

  578.     /**
  579.      * Generate SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings
  580.      * 
  581.      * @return The SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings
  582.      */

  584.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_CURVATURE_20()
  585.     {
  586.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  587.             bucketSensitivitySettingsMap = new
  588.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  590.         java.util.Set<java.lang.Integer> bucketIndexSet =
  591.             org.drip.simm.credit.CRNQSettingsContainer20.BucketSet();

  593.         int bucketCount = bucketIndexSet.size();

  595.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  597.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  599.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  600.         {
  601.             bucketSensitivitySettingsMap.put (
  602.                 "" + bucketIndexOuter,
  603.                 org.drip.simm.parameters.BucketCurvatureSettingsCR.ISDA_CRNQ_20 (bucketIndexOuter)
  604.             );

  606.             bucketLabelList.add ("" + bucketIndexOuter);

  608.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  609.             {
  610.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  611.                     bucketIndexInner == bucketIndexOuter ? 1. :
  612.                     org.drip.simm.credit.CRNQBucketCorrelation20.NON_RESIDUAL_TO_NON_RESIDUAL;
  613.             }
  614.         }

  616.         try
  617.         {
  618.             return new RiskMeasureSensitivitySettingsCR (
  619.                 bucketSensitivitySettingsMap,
  620.                 new org.drip.measure.stochastic.LabelCorrelation (
  621.                     bucketLabelList,
  622.                     crossBucketCorrelation
  623.                 )
  624.             );
  625.         }
  626.         catch (java.lang.Exception e)
  627.         {
  628.             e.printStackTrace();
  629.         }

  631.         return null;
  632.     }

  634.     /**
  635.      * Generate SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings
  636.      * 
  637.      * @return The SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings
  638.      */

  640.     public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_CURVATURE_21()
  641.     {
  642.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  643.             bucketSensitivitySettingsMap = new
  644.                 org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.simm.parameters.BucketSensitivitySettingsCR>();

  646.         java.util.Set<java.lang.Integer> bucketIndexSet =
  647.             org.drip.simm.credit.CRNQSettingsContainer21.BucketSet();

  649.         int bucketCount = bucketIndexSet.size();

  651.         java.util.List<java.lang.String> bucketLabelList = new java.util.ArrayList<java.lang.String>();

  653.         double[][] crossBucketCorrelation = new double[bucketCount][bucketCount];

  655.         for (int bucketIndexOuter = 0; bucketIndexOuter < bucketCount; ++bucketIndexOuter)
  656.         {
  657.             bucketSensitivitySettingsMap.put (
  658.                 "" + bucketIndexOuter,
  659.                 org.drip.simm.parameters.BucketCurvatureSettingsCR.ISDA_CRNQ_21 (bucketIndexOuter)
  660.             );

  662.             bucketLabelList.add ("" + bucketIndexOuter);

  664.             for (int bucketIndexInner = 0; bucketIndexInner < bucketCount; ++bucketIndexInner)
  665.             {
  666.                 crossBucketCorrelation[bucketIndexInner][bucketIndexOuter] =
  667.                     bucketIndexInner == bucketIndexOuter ? 1. :
  668.                     org.drip.simm.credit.CRNQBucketCorrelation21.NON_RESIDUAL_TO_NON_RESIDUAL;
  669.             }
  670.         }

  672.         try
  673.         {
  674.             return new RiskMeasureSensitivitySettingsCR (
  675.                 bucketSensitivitySettingsMap,
  676.                 new org.drip.measure.stochastic.LabelCorrelation (
  677.                     bucketLabelList,
  678.                     crossBucketCorrelation
  679.                 )
  680.             );
  681.         }
  682.         catch (java.lang.Exception e)
  683.         {
  684.             e.printStackTrace();
  685.         }

  687.         return null;
  688.     }

  690.     /**
  691.      * RiskMeasureSensitivitySettingsCR Constructor
  692.      * 
  693.      * @param bucketSensitivitySettingsMap Credit Bucket Sensitivity Settings Map
  694.      * @param crossBucketCorrelation Cross Bucket Correlation
  695.      * 
  696.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  697.      */

  699.     public RiskMeasureSensitivitySettingsCR (
  700.         final java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  701.             bucketSensitivitySettingsMap,
  702.         final org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation)
  703.         throws java.lang.Exception
  704.     {
  705.         if (null == (_bucketSensitivitySettingsMap = bucketSensitivitySettingsMap) ||
  706.                 0 == _bucketSensitivitySettingsMap.size() ||
  707.             null == (_crossBucketCorrelation = crossBucketCorrelation))
  708.         {
  709.             throw new java.lang.Exception ("RiskMeasureSensitivitySettingsCR Constructor => Invalid Inputs");
  710.         }
  711.     }

  713.     /**
  714.      * Retrieve the Cross Bucket Correlation
  715.      * 
  716.      * @return The Cross Bucket Correlation
  717.      */

  719.     public org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation()
  720.     {
  721.         return _crossBucketCorrelation;
  722.     }

  724.     /**
  725.      * Retrieve the Credit Bucket Sensitivity Settings Map
  726.      * 
  727.      * @return The Credit Bucket Sensitivity Settings Map
  728.      */

  730.     public java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsCR>
  731.         bucketSensitivitySettingsMap()
  732.     {
  733.         return _bucketSensitivitySettingsMap;
  734.     }
  735. }
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