BucketSensitivityIR.java
package org.drip.simm.product;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>BucketSensitivityIR</i> holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across IR Factor Sub
* Curves. USD Exposures enhanced with the USD specific Sub-Curve Factors - PRIME and MUNICIPAL. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
* Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
* </li>
* <li>
* Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
* Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
* </li>
* <li>
* Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
* Framework for Forecasting Initial Margin Requirements
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
* </li>
* <li>
* Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
* Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
* <b>eSSRN</b>
* </li>
* <li>
* International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
* https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/README.md">Initial Margin Analytics based on ISDA SIMM and its Variants</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/product/README.md">ISDA SIMM Risk Factor Sensitivities</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BucketSensitivityIR
{
private org.drip.simm.product.RiskFactorTenorSensitivity _oisTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _primeTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _libor1MTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _libor3MTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _libor6MTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _libor12MTenorSensitivity = null;
private org.drip.simm.product.RiskFactorTenorSensitivity _municipalTenorSensitivity = null;
private org.drip.simm.margin.BucketAggregateIR linearAggregate (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
org.drip.simm.margin.RiskFactorAggregateIR riskFactorAggregate = curveAggregate
(bucketSensitivitySettings);
if (null == riskFactorAggregate)
{
return null;
}
org.drip.simm.margin.SensitivityAggregateIR sensitivityAggregate = riskFactorAggregate.linearMargin
(bucketSensitivitySettings);
if (null == sensitivityAggregate)
{
return null;
}
try
{
return new org.drip.simm.margin.BucketAggregateIR (
riskFactorAggregate,
sensitivityAggregate,
sensitivityAggregate.cumulativeMarginCovariance(),
riskFactorAggregate.cumulativeSensitivityMargin()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private org.drip.simm.margin.BucketAggregateIR curvatureAggregate (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
org.drip.simm.margin.RiskFactorAggregateIR riskFactorAggregate = curveAggregate
(bucketSensitivitySettings);
if (null == riskFactorAggregate)
{
return null;
}
org.drip.simm.margin.SensitivityAggregateIR sensitivityAggregate =
riskFactorAggregate.curvatureMargin (bucketSensitivitySettings);
if (null == sensitivityAggregate)
{
return null;
}
try
{
return new org.drip.simm.margin.BucketAggregateIR (
riskFactorAggregate,
sensitivityAggregate,
sensitivityAggregate.cumulativeMarginCovariance(),
riskFactorAggregate.cumulativeSensitivityMargin()
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate a Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
*
* @param oisTenorSensitivity OIS Tenor Sensitivity Map
* @param libor1MTenorSensitivity LIBOR1M Tenor Sensitivity Map
* @param libor3MTenorSensitivity LIBOR3M Tenor Sensitivity Map
* @param libor6MTenorSensitivity LIBOR6M Tenor Sensitivity Map
* @param libor12MTenorSensitivity LIBOR 12M Tenor Sensitivity Map
* @param primeTenorSensitivity Prime Tenor Sensitivity Map
* @param municipalTenorSensitivity Municipal Tenor Sensitivity Map
*
* @return Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
*/
public static final BucketSensitivityIR Standard (
final java.util.Map<java.lang.String, java.lang.Double> oisTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> primeTenorSensitivity,
final java.util.Map<java.lang.String, java.lang.Double> municipalTenorSensitivity)
{
try
{
return new BucketSensitivityIR (
new org.drip.simm.product.RiskFactorTenorSensitivity (oisTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (libor1MTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (libor3MTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (libor6MTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (libor12MTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (primeTenorSensitivity),
new org.drip.simm.product.RiskFactorTenorSensitivity (municipalTenorSensitivity)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* BucketSensitivityIR Constructor
*
* @param oisTenorSensitivity The OIS Risk Factor Tenor Sensitivity
* @param libor1MTenorSensitivity The LIBOR1M Risk Factor Tenor Sensitivity
* @param libor3MTenorSensitivity The LIBOR3M Risk Factor Tenor Sensitivity
* @param libor6MTenorSensitivity The LIBOR6M Risk Factor Tenor Delta Sensitivity
* @param libor12MTenorSensitivity The LIBOR12M Risk Factor Tenor Sensitivity
* @param primeTenorSensitivity The PRIME Risk Factor Tenor Sensitivity
* @param municipalTenorSensitivity The MUNICIPAL Risk Factor Tenor Sensitivity
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public BucketSensitivityIR (
final org.drip.simm.product.RiskFactorTenorSensitivity oisTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity libor1MTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity libor3MTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity libor6MTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity libor12MTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity primeTenorSensitivity,
final org.drip.simm.product.RiskFactorTenorSensitivity municipalTenorSensitivity)
throws java.lang.Exception
{
if (null == (_oisTenorSensitivity = oisTenorSensitivity) ||
null == (_libor1MTenorSensitivity = libor1MTenorSensitivity) ||
null == (_libor3MTenorSensitivity = libor3MTenorSensitivity) ||
null == (_libor6MTenorSensitivity = libor6MTenorSensitivity) ||
null == (_libor12MTenorSensitivity = libor12MTenorSensitivity) ||
null == (_primeTenorSensitivity = primeTenorSensitivity) ||
null == (_municipalTenorSensitivity = municipalTenorSensitivity))
{
throw new java.lang.Exception ("BucketSensitivityIR Constructor => Invalid Inputs");
}
}
/**
* Retrieve the OIS Risk Factor Tenor Sensitivity
*
* @return The OIS Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity oisTenorSensitivity()
{
return _oisTenorSensitivity;
}
/**
* Retrieve the LIBOR1M Risk Factor Tenor Sensitivity
*
* @return The LIBOR1M Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity libor1MTenorSensitivity()
{
return _libor1MTenorSensitivity;
}
/**
* Retrieve the LIBOR3M Risk Factor Tenor Sensitivity
*
* @return The LIBOR3M Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity libor3MTenorSensitivity()
{
return _libor3MTenorSensitivity;
}
/**
* Retrieve the LIBOR6M Risk Factor Tenor Sensitivity
*
* @return The LIBOR6M Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity libor6MTenorSensitivity()
{
return _libor6MTenorSensitivity;
}
/**
* Retrieve the LIBOR12M Risk Factor Tenor Sensitivity
*
* @return The LIBOR12M Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity libor12MTenorSensitivity()
{
return _libor12MTenorSensitivity;
}
/**
* Retrieve the PRIME Risk Factor Tenor Sensitivity
*
* @return The PRIME Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity primeTenorSensitivity()
{
return _primeTenorSensitivity;
}
/**
* Retrieve the MUNICIPAL Risk Factor Tenor Sensitivity
*
* @return The MUNICIPAL Risk Factor Tenor Sensitivity
*/
public org.drip.simm.product.RiskFactorTenorSensitivity municipalTenorSensitivity()
{
return _municipalTenorSensitivity;
}
/**
* Generate the Cumulative Tenor Sensitivity
*
* @return The Cumulative Tenor Sensitivity
*/
public double cumulativeTenorSensitivity()
{
return _oisTenorSensitivity.cumulative() +
_libor1MTenorSensitivity.cumulative() +
_libor3MTenorSensitivity.cumulative() +
_libor6MTenorSensitivity.cumulative() +
_libor12MTenorSensitivity.cumulative() +
_primeTenorSensitivity.cumulative() +
_municipalTenorSensitivity.cumulative();
}
/**
* Compute the Sensitivity Concentration Risk Factor
*
* @param sensitivityConcentrationThreshold The Sensitivity Concentration Threshold
*
* @return The Sensitivity Concentration Risk Factor
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double sensitivityConcentrationRiskFactor (
final double sensitivityConcentrationThreshold)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (sensitivityConcentrationThreshold))
{
throw new java.lang.Exception
("BucketSensitivityIR::sensitivityConcentrationRiskFactor => Invalid Inputs");
}
return java.lang.Math.max (
java.lang.Math.sqrt (
java.lang.Math.max (
cumulativeTenorSensitivity(),
0.
) / sensitivityConcentrationThreshold
),
1.
);
}
/**
* Generate the OIS Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The OIS Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin =
_oisTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.oisTenorRiskWeight());
if (null == oisTenorMargin)
{
return oisTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisTenorMarginEntry :
oisTenorMargin.entrySet())
{
java.lang.String tenor = oisTenorMarginEntry.getKey();
oisTenorMargin.put (
tenor,
oisTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return oisTenorMargin;
}
/**
* Generate the LIBOR1M Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The LIBOR1M Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin =
_libor1MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor1MTenorRiskWeight());
if (null == libor1MTenorMargin)
{
return libor1MTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MTenorMarginEntry :
libor1MTenorMargin.entrySet())
{
java.lang.String tenor = libor1MTenorMarginEntry.getKey();
libor1MTenorMargin.put (
tenor,
libor1MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return libor1MTenorMargin;
}
/**
* Generate the LIBOR3M Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The LIBOR3M Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin =
_libor3MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor3MTenorRiskWeight());
if (null == libor3MTenorMargin)
{
return libor3MTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MTenorMarginEntry :
libor3MTenorMargin.entrySet())
{
java.lang.String tenor = libor3MTenorMarginEntry.getKey();
libor3MTenorMargin.put (
tenor,
libor3MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return libor3MTenorMargin;
}
/**
* Generate the LIBOR6M Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The LIBOR6M Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin =
_libor6MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor6MTenorRiskWeight());
if (null == libor6MTenorMargin)
{
return libor6MTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MTenorMarginEntry :
libor6MTenorMargin.entrySet())
{
java.lang.String tenor = libor6MTenorMarginEntry.getKey();
libor6MTenorMargin.put (
tenor,
libor6MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return libor6MTenorMargin;
}
/**
* Generate the LIBOR12M Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The LIBOR12M Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin =
_libor12MTenorSensitivity.sensitivityMargin
(bucketSensitivitySettings.libor12MTenorRiskWeight());
if (null == libor12MTenorMargin)
{
return libor12MTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MTenorMarginEntry :
libor12MTenorMargin.entrySet())
{
java.lang.String tenor = libor12MTenorMarginEntry.getKey();
libor12MTenorMargin.put (
tenor,
libor12MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return libor12MTenorMargin;
}
/**
* Generate the PRIME Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The PRIME Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin =
_primeTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.primeTenorRiskWeight());
if (null == primeTenorMargin)
{
return primeTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeTenorMarginEntry :
primeTenorMargin.entrySet())
{
java.lang.String tenor = primeTenorMarginEntry.getKey();
primeTenorMargin.put (
tenor,
primeTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return primeTenorMargin;
}
/**
* Generate the MUNICIPAL Tenor Sensitivity Margin Map
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The MUNICIPAL Tenor Sensitivity Margin Map
*/
public java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin =
_municipalTenorSensitivity.sensitivityMargin
(bucketSensitivitySettings.municipalTenorRiskWeight());
if (null == municipalTenorMargin)
{
return municipalTenorMargin;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorMarginEntry :
municipalTenorMargin.entrySet())
{
java.lang.String tenor = municipalTenorMarginEntry.getKey();
municipalTenorMargin.put (
tenor,
municipalTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
return municipalTenorMargin;
}
/**
* Generate the IR Margin Factor Curve Tenor Aggregate
*
* @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
*
* @return The IR Margin Factor Curve Tenor Aggregate
*/
public org.drip.simm.margin.RiskFactorAggregateIR curveAggregate (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
{
if (null == bucketSensitivitySettings)
{
return null;
}
java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin =
_oisTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.oisTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin =
_libor1MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor1MTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin =
_libor3MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor3MTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin =
_libor6MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor6MTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin =
_libor12MTenorSensitivity.sensitivityMargin
(bucketSensitivitySettings.libor12MTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin =
_primeTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.primeTenorRiskWeight());
java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin =
_municipalTenorSensitivity.sensitivityMargin
(bucketSensitivitySettings.municipalTenorRiskWeight());
if (null == oisTenorMargin ||
null == libor1MTenorMargin ||
null == libor3MTenorMargin ||
null == libor6MTenorMargin ||
null == libor12MTenorMargin ||
null == primeTenorMargin ||
null == municipalTenorMargin)
{
return null;
}
double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;
try
{
sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
(bucketSensitivitySettings.concentrationThreshold());
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorMarginEntry :
municipalTenorMargin.entrySet())
{
java.lang.String tenor = municipalTenorMarginEntry.getKey();
oisTenorMargin.put (
tenor,
oisTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
libor1MTenorMargin.put (
tenor,
libor1MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
libor3MTenorMargin.put (
tenor,
libor3MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
libor6MTenorMargin.put (
tenor,
libor6MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
libor12MTenorMargin.put (
tenor,
libor12MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
primeTenorMargin.put (
tenor,
primeTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
municipalTenorMargin.put (
tenor,
municipalTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
);
}
try
{
return new org.drip.simm.margin.RiskFactorAggregateIR (
oisTenorMargin,
libor1MTenorMargin,
libor3MTenorMargin,
libor6MTenorMargin,
libor12MTenorMargin,
primeTenorMargin,
municipalTenorMargin,
sensitivityConcentrationRiskFactor
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate the Bucket IR Sensitivity Margin Aggregate
*
* @param bucketSensitivitySettingsIR The IR Bucket Sensitivity Settings
*
* @return The Bucket IR Sensitivity Margin Aggregate
*/
public org.drip.simm.margin.BucketAggregateIR aggregate (
final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
{
if (null == bucketSensitivitySettingsIR)
{
return null;
}
return bucketSensitivitySettingsIR instanceof org.drip.simm.parameters.BucketCurvatureSettingsIR ?
curvatureAggregate (bucketSensitivitySettingsIR) : linearAggregate (bucketSensitivitySettingsIR);
}
}