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

  126.     /**
  127.      * Generate the Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR
  128.      * 
  129.      * @param currencyList The Currency List
  130.      * 
  131.      * @return The Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR
  132.      */

  134.     public static final RiskMeasureSensitivitySettingsIR ISDA_DELTA_20 (
  135.         final java.util.List<java.lang.String> currencyList)
  136.     {
  137.         if (null == currencyList)
  138.         {
  139.             return null;
  140.         }

  142.         int currencyListSize = currencyList.size();

  144.         if (0 == currencyListSize)
  145.         {
  146.             return null;
  147.         }

  149.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  151.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  152.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  153.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  155.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  156.         {
  157.             java.lang.String currency = currencyList.get (currencyListIndex);

  159.             bucketDeltaSettingsMap.put (
  160.                 currency,
  161.                 org.drip.simm.parameters.BucketSensitivitySettingsIR.ISDA_DELTA_20 (currency)
  162.             );

  164.             for (int currencyListInnerIndex = 0;
  165.                 currencyListInnerIndex < currencyListSize;
  166.                 ++currencyListInnerIndex)
  167.             {
  168.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  169.                     currencyListIndex == currencyListInnerIndex ? 1. :
  170.                         org.drip.simm.rates.IRSystemics20.CROSS_CURRENCY_CORRELATION;
  171.             }
  172.         }

  174.         try
  175.         {
  176.             return new RiskMeasureSensitivitySettingsIR (
  177.                 bucketDeltaSettingsMap,
  178.                 new org.drip.measure.stochastic.LabelCorrelation (
  179.                     currencyList,
  180.                     crossCurrencyCorrelation
  181.                 )
  182.             );
  183.         }
  184.         catch (java.lang.Exception e)
  185.         {
  186.             e.printStackTrace();
  187.         }

  189.         return null;
  190.     }

  192.     /**
  193.      * Generate the Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR
  194.      * 
  195.      * @param currencyList The Currency List
  196.      * 
  197.      * @return The Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR
  198.      */

  200.     public static final RiskMeasureSensitivitySettingsIR ISDA_DELTA_21 (
  201.         final java.util.List<java.lang.String> currencyList)
  202.     {
  203.         if (null == currencyList)
  204.         {
  205.             return null;
  206.         }

  208.         int currencyListSize = currencyList.size();

  210.         if (0 == currencyListSize)
  211.         {
  212.             return null;
  213.         }

  215.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  217.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  218.             bucketDeltaSettingsMap = new java.util.HashMap<java.lang.String,
  219.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  221.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  222.         {
  223.             java.lang.String currency = currencyList.get (currencyListIndex);

  225.             bucketDeltaSettingsMap.put (
  226.                 currency,
  227.                 org.drip.simm.parameters.BucketSensitivitySettingsIR.ISDA_DELTA_21 (currency)
  228.             );

  230.             for (int currencyListInnerIndex = 0;
  231.                 currencyListInnerIndex < currencyListSize;
  232.                 ++currencyListInnerIndex)
  233.             {
  234.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  235.                     currencyListIndex == currencyListInnerIndex ? 1. :
  236.                         org.drip.simm.rates.IRSystemics21.CROSS_CURRENCY_CORRELATION;
  237.             }
  238.         }

  240.         try
  241.         {
  242.             return new RiskMeasureSensitivitySettingsIR (
  243.                 bucketDeltaSettingsMap,
  244.                 new org.drip.measure.stochastic.LabelCorrelation (
  245.                     currencyList,
  246.                     crossCurrencyCorrelation
  247.                 )
  248.             );
  249.         }
  250.         catch (java.lang.Exception e)
  251.         {
  252.             e.printStackTrace();
  253.         }

  255.         return null;
  256.     }

  258.     /**
  259.      * Generate the Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR
  260.      * 
  261.      * @param currencyList The Currency List
  262.      * 
  263.      * @return The Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR
  264.      */

  266.     public static final RiskMeasureSensitivitySettingsIR ISDA_VEGA_20 (
  267.         final java.util.List<java.lang.String> currencyList)
  268.     {
  269.         if (null == currencyList)
  270.         {
  271.             return null;
  272.         }

  274.         int currencyListSize = currencyList.size();

  276.         if (0 == currencyListSize)
  277.         {
  278.             return null;
  279.         }

  281.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  283.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  284.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  285.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  287.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  288.         {
  289.             java.lang.String currency = currencyList.get (currencyListIndex);

  291.             bucketVegaSettingsMap.put (
  292.                 currency,
  293.                 org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_20 (currency)
  294.             );

  296.             for (int currencyListInnerIndex = 0;
  297.                 currencyListInnerIndex < currencyListSize;
  298.                 ++currencyListInnerIndex)
  299.             {
  300.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  301.                     currencyListIndex == currencyListInnerIndex ? 1. :
  302.                         org.drip.simm.rates.IRSystemics20.CROSS_CURRENCY_CORRELATION;
  303.             }
  304.         }

  306.         try
  307.         {
  308.             return new RiskMeasureSensitivitySettingsIR (
  309.                 bucketVegaSettingsMap,
  310.                 new org.drip.measure.stochastic.LabelCorrelation (
  311.                     currencyList,
  312.                     crossCurrencyCorrelation
  313.                 )
  314.             );
  315.         }
  316.         catch (java.lang.Exception e)
  317.         {
  318.             e.printStackTrace();
  319.         }

  321.         return null;
  322.     }

  324.     /**
  325.      * Generate the Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR
  326.      * 
  327.      * @param currencyList The Currency List
  328.      * 
  329.      * @return The Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR
  330.      */

  332.     public static final RiskMeasureSensitivitySettingsIR ISDA_VEGA_21 (
  333.         final java.util.List<java.lang.String> currencyList)
  334.     {
  335.         if (null == currencyList)
  336.         {
  337.             return null;
  338.         }

  340.         int currencyListSize = currencyList.size();

  342.         if (0 == currencyListSize)
  343.         {
  344.             return null;
  345.         }

  347.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  349.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  350.             bucketVegaSettingsMap = new java.util.HashMap<java.lang.String,
  351.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  353.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  354.         {
  355.             java.lang.String currency = currencyList.get (currencyListIndex);

  357.             bucketVegaSettingsMap.put (
  358.                 currency,
  359.                 org.drip.simm.parameters.BucketVegaSettingsIR.ISDA_21 (currency)
  360.             );

  362.             for (int currencyListInnerIndex = 0;
  363.                 currencyListInnerIndex < currencyListSize;
  364.                 ++currencyListInnerIndex)
  365.             {
  366.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  367.                     currencyListIndex == currencyListInnerIndex ? 1. :
  368.                         org.drip.simm.rates.IRSystemics21.CROSS_CURRENCY_CORRELATION;
  369.             }
  370.         }

  372.         try
  373.         {
  374.             return new RiskMeasureSensitivitySettingsIR (
  375.                 bucketVegaSettingsMap,
  376.                 new org.drip.measure.stochastic.LabelCorrelation (
  377.                     currencyList,
  378.                     crossCurrencyCorrelation
  379.                 )
  380.             );
  381.         }
  382.         catch (java.lang.Exception e)
  383.         {
  384.             e.printStackTrace();
  385.         }

  387.         return null;
  388.     }

  390.     /**
  391.      * Generate the Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
  392.      * 
  393.      * @param currencyList The Currency List
  394.      * 
  395.      * @return The Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
  396.      */

  398.     public static final RiskMeasureSensitivitySettingsIR ISDA_CURVATURE_20 (
  399.         final java.util.List<java.lang.String> currencyList)
  400.     {
  401.         if (null == currencyList)
  402.         {
  403.             return null;
  404.         }

  406.         int currencyListSize = currencyList.size();

  408.         if (0 == currencyListSize)
  409.         {
  410.             return null;
  411.         }

  413.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  415.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  416.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  417.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  419.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  420.         {
  421.             java.lang.String currency = currencyList.get (currencyListIndex);

  423.             bucketCurvatureSettingsMap.put (
  424.                 currency,
  425.                 org.drip.simm.parameters.BucketCurvatureSettingsIR.ISDA_20 (currency)
  426.             );

  428.             for (int currencyListInnerIndex = 0;
  429.                 currencyListInnerIndex < currencyListSize;
  430.                 ++currencyListInnerIndex)
  431.             {
  432.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  433.                     currencyListIndex == currencyListInnerIndex ? 1. :
  434.                         org.drip.simm.rates.IRSystemics20.CROSS_CURRENCY_CORRELATION;
  435.             }
  436.         }

  438.         try
  439.         {
  440.             return new RiskMeasureSensitivitySettingsIR (
  441.                 bucketCurvatureSettingsMap,
  442.                 new org.drip.measure.stochastic.LabelCorrelation (
  443.                     currencyList,
  444.                     crossCurrencyCorrelation
  445.                 )
  446.             );
  447.         }
  448.         catch (java.lang.Exception e)
  449.         {
  450.             e.printStackTrace();
  451.         }

  453.         return null;
  454.     }

  456.     /**
  457.      * Generate the Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
  458.      * 
  459.      * @param currencyList The Currency List
  460.      * 
  461.      * @return The Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
  462.      */

  464.     public static final RiskMeasureSensitivitySettingsIR ISDA_CURVATURE_21 (
  465.         final java.util.List<java.lang.String> currencyList)
  466.     {
  467.         if (null == currencyList)
  468.         {
  469.             return null;
  470.         }

  472.         int currencyListSize = currencyList.size();

  474.         if (0 == currencyListSize)
  475.         {
  476.             return null;
  477.         }

  479.         double[][] crossCurrencyCorrelation = new double[currencyListSize][currencyListSize];

  481.         java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  482.             bucketCurvatureSettingsMap = new java.util.HashMap<java.lang.String,
  483.                 org.drip.simm.parameters.BucketSensitivitySettingsIR>();

  485.         for (int currencyListIndex = 0; currencyListIndex < currencyListSize; ++currencyListIndex)
  486.         {
  487.             java.lang.String currency = currencyList.get (currencyListIndex);

  489.             bucketCurvatureSettingsMap.put (
  490.                 currency,
  491.                 org.drip.simm.parameters.BucketCurvatureSettingsIR.ISDA_21 (currency)
  492.             );

  494.             for (int currencyListInnerIndex = 0;
  495.                 currencyListInnerIndex < currencyListSize;
  496.                 ++currencyListInnerIndex)
  497.             {
  498.                 crossCurrencyCorrelation[currencyListIndex][currencyListInnerIndex] =
  499.                     currencyListIndex == currencyListInnerIndex ? 1. :
  500.                         org.drip.simm.rates.IRSystemics21.CROSS_CURRENCY_CORRELATION;
  501.             }
  502.         }

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

  519.         return null;
  520.     }

  522.     /**
  523.      * RiskMeasureSensitivitySettingsIR Constructor
  524.      * 
  525.      * @param bucketSensitivitySettingsMap The IR Bucket Sensitivity Settings Map
  526.      * @param crossBucketCorrelation The Cross Bucket Correlation
  527.      * 
  528.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  529.      */

  531.     public RiskMeasureSensitivitySettingsIR (
  532.         final java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  533.             bucketSensitivitySettingsMap,
  534.         final org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation)
  535.         throws java.lang.Exception
  536.     {
  537.         if (null == (_bucketSensitivitySettingsMap = bucketSensitivitySettingsMap) ||
  538.                 0 == _bucketSensitivitySettingsMap.size() ||
  539.             null == (_crossBucketCorrelation = crossBucketCorrelation))
  540.         {
  541.             throw new java.lang.Exception ("RiskMeasureSensitivitySettingsIR Constructor => Invalid Inputs");
  542.         }
  543.     }

  545.     /**
  546.      * Retrieve the Cross Bucket Correlation
  547.      * 
  548.      * @return The Cross Bucket Correlation
  549.      */

  551.     public org.drip.measure.stochastic.LabelCorrelation crossBucketCorrelation()
  552.     {
  553.         return _crossBucketCorrelation;
  554.     }

  556.     /**
  557.      * Retrieve the IR Bucket Sensitivity Settings Map
  558.      * 
  559.      * @return The IR Bucket Sensitivity Settings Map
  560.      */

  562.     public java.util.Map<java.lang.String, org.drip.simm.parameters.BucketSensitivitySettingsIR>
  563.         bucketSensitivitySettingsMap()
  564.     {
  565.         return _bucketSensitivitySettingsMap;
  566.     }
  567. }
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