BucketSensitivityIR.java

  1. package org.drip.simm.product;

  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>BucketSensitivityIR</i> holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across IR Factor Sub
  80.  * Curves. USD Exposures enhanced with the USD specific Sub-Curve Factors - PRIME and MUNICIPAL. The
  81.  * References are:
  82.  * 
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li>
  86.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  87.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
  91.  *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
  92.  *      </li>
  93.  *      <li>
  94.  *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
  95.  *              Framework for Forecasting Initial Margin Requirements
  96.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  97.  *      </li>
  98.  *      <li>
  99.  *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
  100.  *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
  101.  *                  <b>eSSRN</b>
  102.  *      </li>
  103.  *      <li>
  104.  *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
  105.  *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  106.  *      </li>
  107.  *  </ul>
  108.  * 
  109.  * <br><br>
  110.  *  <ul>
  111.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  112.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
  113.  *      <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>
  114.  *      <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>
  115.  *  </ul>
  116.  * <br><br>
  117.  * 
  118.  * @author Lakshmi Krishnamurthy
  119.  */

  121. public class BucketSensitivityIR
  122. {
  123.     private org.drip.simm.product.RiskFactorTenorSensitivity _oisTenorSensitivity = null;
  124.     private org.drip.simm.product.RiskFactorTenorSensitivity _primeTenorSensitivity = null;
  125.     private org.drip.simm.product.RiskFactorTenorSensitivity _libor1MTenorSensitivity = null;
  126.     private org.drip.simm.product.RiskFactorTenorSensitivity _libor3MTenorSensitivity = null;
  127.     private org.drip.simm.product.RiskFactorTenorSensitivity _libor6MTenorSensitivity = null;
  128.     private org.drip.simm.product.RiskFactorTenorSensitivity _libor12MTenorSensitivity = null;
  129.     private org.drip.simm.product.RiskFactorTenorSensitivity _municipalTenorSensitivity = null;

  131.     private org.drip.simm.margin.BucketAggregateIR linearAggregate (
  132.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  133.     {
  134.         org.drip.simm.margin.RiskFactorAggregateIR riskFactorAggregate = curveAggregate
  135.             (bucketSensitivitySettings);

  137.         if (null == riskFactorAggregate)
  138.         {
  139.             return null;
  140.         }

  142.         org.drip.simm.margin.SensitivityAggregateIR sensitivityAggregate = riskFactorAggregate.linearMargin
  143.             (bucketSensitivitySettings);

  145.         if (null == sensitivityAggregate)
  146.         {
  147.             return null;
  148.         }

  150.         try
  151.         {
  152.             return new org.drip.simm.margin.BucketAggregateIR (
  153.                 riskFactorAggregate,
  154.                 sensitivityAggregate,
  155.                 sensitivityAggregate.cumulativeMarginCovariance(),
  156.                 riskFactorAggregate.cumulativeSensitivityMargin()
  157.             );
  158.         }
  159.         catch (java.lang.Exception e)
  160.         {
  161.             e.printStackTrace();
  162.         }

  164.         return null;
  165.     }

  167.     private org.drip.simm.margin.BucketAggregateIR curvatureAggregate (
  168.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  169.     {
  170.         org.drip.simm.margin.RiskFactorAggregateIR riskFactorAggregate = curveAggregate
  171.             (bucketSensitivitySettings);

  173.         if (null == riskFactorAggregate)
  174.         {
  175.             return null;
  176.         }

  178.         org.drip.simm.margin.SensitivityAggregateIR sensitivityAggregate =
  179.             riskFactorAggregate.curvatureMargin (bucketSensitivitySettings);

  181.         if (null == sensitivityAggregate)
  182.         {
  183.             return null;
  184.         }

  186.         try
  187.         {
  188.             return new org.drip.simm.margin.BucketAggregateIR (
  189.                 riskFactorAggregate,
  190.                 sensitivityAggregate,
  191.                 sensitivityAggregate.cumulativeMarginCovariance(),
  192.                 riskFactorAggregate.cumulativeSensitivityMargin()
  193.             );
  194.         }
  195.         catch (java.lang.Exception e)
  196.         {
  197.             e.printStackTrace();
  198.         }

  200.         return null;
  201.     }

  203.     /**
  204.      * Generate a Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
  205.      * 
  206.      * @param oisTenorSensitivity OIS Tenor Sensitivity Map
  207.      * @param libor1MTenorSensitivity LIBOR1M Tenor Sensitivity Map
  208.      * @param libor3MTenorSensitivity LIBOR3M Tenor Sensitivity Map
  209.      * @param libor6MTenorSensitivity LIBOR6M Tenor Sensitivity Map
  210.      * @param libor12MTenorSensitivity LIBOR 12M Tenor Sensitivity Map
  211.      * @param primeTenorSensitivity Prime Tenor Sensitivity Map
  212.      * @param municipalTenorSensitivity Municipal Tenor Sensitivity Map
  213.      * 
  214.      * @return Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
  215.      */

  217.     public static final BucketSensitivityIR Standard (
  218.         final java.util.Map<java.lang.String, java.lang.Double> oisTenorSensitivity,
  219.         final java.util.Map<java.lang.String, java.lang.Double> libor1MTenorSensitivity,
  220.         final java.util.Map<java.lang.String, java.lang.Double> libor3MTenorSensitivity,
  221.         final java.util.Map<java.lang.String, java.lang.Double> libor6MTenorSensitivity,
  222.         final java.util.Map<java.lang.String, java.lang.Double> libor12MTenorSensitivity,
  223.         final java.util.Map<java.lang.String, java.lang.Double> primeTenorSensitivity,
  224.         final java.util.Map<java.lang.String, java.lang.Double> municipalTenorSensitivity)
  225.     {
  226.         try
  227.         {
  228.             return new BucketSensitivityIR (
  229.                 new org.drip.simm.product.RiskFactorTenorSensitivity (oisTenorSensitivity),
  230.                 new org.drip.simm.product.RiskFactorTenorSensitivity (libor1MTenorSensitivity),
  231.                 new org.drip.simm.product.RiskFactorTenorSensitivity (libor3MTenorSensitivity),
  232.                 new org.drip.simm.product.RiskFactorTenorSensitivity (libor6MTenorSensitivity),
  233.                 new org.drip.simm.product.RiskFactorTenorSensitivity (libor12MTenorSensitivity),
  234.                 new org.drip.simm.product.RiskFactorTenorSensitivity (primeTenorSensitivity),
  235.                 new org.drip.simm.product.RiskFactorTenorSensitivity (municipalTenorSensitivity)
  236.             );
  237.         }
  238.         catch (java.lang.Exception e)
  239.         {
  240.             e.printStackTrace();
  241.         }

  243.         return null;
  244.     }

  246.     /**
  247.      * BucketSensitivityIR Constructor
  248.      * 
  249.      * @param oisTenorSensitivity The OIS Risk Factor Tenor Sensitivity
  250.      * @param libor1MTenorSensitivity The LIBOR1M Risk Factor Tenor Sensitivity
  251.      * @param libor3MTenorSensitivity The LIBOR3M Risk Factor Tenor Sensitivity
  252.      * @param libor6MTenorSensitivity The LIBOR6M Risk Factor Tenor Delta Sensitivity
  253.      * @param libor12MTenorSensitivity The LIBOR12M Risk Factor Tenor Sensitivity
  254.      * @param primeTenorSensitivity The PRIME Risk Factor Tenor Sensitivity
  255.      * @param municipalTenorSensitivity The MUNICIPAL Risk Factor Tenor Sensitivity
  256.      * 
  257.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  258.      */

  260.     public BucketSensitivityIR (
  261.         final org.drip.simm.product.RiskFactorTenorSensitivity oisTenorSensitivity,
  262.         final org.drip.simm.product.RiskFactorTenorSensitivity libor1MTenorSensitivity,
  263.         final org.drip.simm.product.RiskFactorTenorSensitivity libor3MTenorSensitivity,
  264.         final org.drip.simm.product.RiskFactorTenorSensitivity libor6MTenorSensitivity,
  265.         final org.drip.simm.product.RiskFactorTenorSensitivity libor12MTenorSensitivity,
  266.         final org.drip.simm.product.RiskFactorTenorSensitivity primeTenorSensitivity,
  267.         final org.drip.simm.product.RiskFactorTenorSensitivity municipalTenorSensitivity)
  268.         throws java.lang.Exception
  269.     {
  270.         if (null == (_oisTenorSensitivity = oisTenorSensitivity) ||
  271.             null == (_libor1MTenorSensitivity = libor1MTenorSensitivity) ||
  272.             null == (_libor3MTenorSensitivity = libor3MTenorSensitivity) ||
  273.             null == (_libor6MTenorSensitivity = libor6MTenorSensitivity) ||
  274.             null == (_libor12MTenorSensitivity = libor12MTenorSensitivity) ||
  275.             null == (_primeTenorSensitivity = primeTenorSensitivity) ||
  276.             null == (_municipalTenorSensitivity = municipalTenorSensitivity))
  277.         {
  278.             throw new java.lang.Exception ("BucketSensitivityIR Constructor => Invalid Inputs");
  279.         }
  280.     }

  282.     /**
  283.      * Retrieve the OIS Risk Factor Tenor Sensitivity
  284.      * 
  285.      * @return The OIS Risk Factor Tenor Sensitivity
  286.      */

  288.     public org.drip.simm.product.RiskFactorTenorSensitivity oisTenorSensitivity()
  289.     {
  290.         return _oisTenorSensitivity;
  291.     }

  293.     /**
  294.      * Retrieve the LIBOR1M Risk Factor Tenor Sensitivity
  295.      * 
  296.      * @return The LIBOR1M Risk Factor Tenor Sensitivity
  297.      */

  299.     public org.drip.simm.product.RiskFactorTenorSensitivity libor1MTenorSensitivity()
  300.     {
  301.         return _libor1MTenorSensitivity;
  302.     }

  304.     /**
  305.      * Retrieve the LIBOR3M Risk Factor Tenor Sensitivity
  306.      * 
  307.      * @return The LIBOR3M Risk Factor Tenor Sensitivity
  308.      */

  310.     public org.drip.simm.product.RiskFactorTenorSensitivity libor3MTenorSensitivity()
  311.     {
  312.         return _libor3MTenorSensitivity;
  313.     }

  315.     /**
  316.      * Retrieve the LIBOR6M Risk Factor Tenor Sensitivity
  317.      * 
  318.      * @return The LIBOR6M Risk Factor Tenor Sensitivity
  319.      */

  321.     public org.drip.simm.product.RiskFactorTenorSensitivity libor6MTenorSensitivity()
  322.     {
  323.         return _libor6MTenorSensitivity;
  324.     }

  326.     /**
  327.      * Retrieve the LIBOR12M Risk Factor Tenor Sensitivity
  328.      * 
  329.      * @return The LIBOR12M Risk Factor Tenor Sensitivity
  330.      */

  332.     public org.drip.simm.product.RiskFactorTenorSensitivity libor12MTenorSensitivity()
  333.     {
  334.         return _libor12MTenorSensitivity;
  335.     }

  337.     /**
  338.      * Retrieve the PRIME Risk Factor Tenor Sensitivity
  339.      * 
  340.      * @return The PRIME Risk Factor Tenor Sensitivity
  341.      */

  343.     public org.drip.simm.product.RiskFactorTenorSensitivity primeTenorSensitivity()
  344.     {
  345.         return _primeTenorSensitivity;
  346.     }

  348.     /**
  349.      * Retrieve the MUNICIPAL Risk Factor Tenor Sensitivity
  350.      * 
  351.      * @return The MUNICIPAL Risk Factor Tenor Sensitivity
  352.      */

  354.     public org.drip.simm.product.RiskFactorTenorSensitivity municipalTenorSensitivity()
  355.     {
  356.         return _municipalTenorSensitivity;
  357.     }

  359.     /**
  360.      * Generate the Cumulative Tenor Sensitivity
  361.      * 
  362.      * @return The Cumulative Tenor Sensitivity
  363.      */

  365.     public double cumulativeTenorSensitivity()
  366.     {
  367.         return _oisTenorSensitivity.cumulative() +
  368.             _libor1MTenorSensitivity.cumulative() +
  369.             _libor3MTenorSensitivity.cumulative() +
  370.             _libor6MTenorSensitivity.cumulative() +
  371.             _libor12MTenorSensitivity.cumulative() +
  372.             _primeTenorSensitivity.cumulative() +
  373.             _municipalTenorSensitivity.cumulative();
  374.     }

  376.     /**
  377.      * Compute the Sensitivity Concentration Risk Factor
  378.      * 
  379.      * @param sensitivityConcentrationThreshold The Sensitivity Concentration Threshold
  380.      * 
  381.      * @return The Sensitivity Concentration Risk Factor
  382.      * 
  383.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  384.      */

  386.     public double sensitivityConcentrationRiskFactor (
  387.         final double sensitivityConcentrationThreshold)
  388.         throws java.lang.Exception
  389.     {
  390.         if (!org.drip.numerical.common.NumberUtil.IsValid (sensitivityConcentrationThreshold))
  391.         {
  392.             throw new java.lang.Exception
  393.                 ("BucketSensitivityIR::sensitivityConcentrationRiskFactor => Invalid Inputs");
  394.         }

  396.         return java.lang.Math.max (
  397.             java.lang.Math.sqrt (
  398.                 java.lang.Math.max (
  399.                     cumulativeTenorSensitivity(),
  400.                     0.
  401.                 ) / sensitivityConcentrationThreshold
  402.             ),
  403.             1.
  404.         );
  405.     }

  407.     /**
  408.      * Generate the OIS Tenor Sensitivity Margin Map
  409.      * 
  410.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  411.      * 
  412.      * @return The OIS Tenor Sensitivity Margin Map
  413.      */

  415.     public java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin (
  416.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  417.     {
  418.         if (null == bucketSensitivitySettings)
  419.         {
  420.             return null;
  421.         }

  423.         java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin =
  424.             _oisTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.oisTenorRiskWeight());

  426.         if (null == oisTenorMargin)
  427.         {
  428.             return oisTenorMargin;
  429.         }

  431.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  433.         try
  434.         {
  435.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  436.                 (bucketSensitivitySettings.concentrationThreshold());
  437.         }
  438.         catch (java.lang.Exception e)
  439.         {
  440.             e.printStackTrace();

  442.             return null;
  443.         }

  445.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> oisTenorMarginEntry :
  446.             oisTenorMargin.entrySet())
  447.         {
  448.             java.lang.String tenor = oisTenorMarginEntry.getKey();

  450.             oisTenorMargin.put (
  451.                 tenor,
  452.                 oisTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  453.             );
  454.         }

  456.         return oisTenorMargin;
  457.     }

  459.     /**
  460.      * Generate the LIBOR1M Tenor Sensitivity Margin Map
  461.      * 
  462.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  463.      * 
  464.      * @return The LIBOR1M Tenor Sensitivity Margin Map
  465.      */

  467.     public java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin (
  468.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  469.     {
  470.         if (null == bucketSensitivitySettings)
  471.         {
  472.             return null;
  473.         }

  475.         java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin =
  476.             _libor1MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor1MTenorRiskWeight());

  478.         if (null == libor1MTenorMargin)
  479.         {
  480.             return libor1MTenorMargin;
  481.         }

  483.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  485.         try
  486.         {
  487.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  488.                 (bucketSensitivitySettings.concentrationThreshold());
  489.         }
  490.         catch (java.lang.Exception e)
  491.         {
  492.             e.printStackTrace();

  494.             return null;
  495.         }

  497.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor1MTenorMarginEntry :
  498.             libor1MTenorMargin.entrySet())
  499.         {
  500.             java.lang.String tenor = libor1MTenorMarginEntry.getKey();

  502.             libor1MTenorMargin.put (
  503.                 tenor,
  504.                 libor1MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  505.             );
  506.         }

  508.         return libor1MTenorMargin;
  509.     }

  511.     /**
  512.      * Generate the LIBOR3M Tenor Sensitivity Margin Map
  513.      * 
  514.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  515.      * 
  516.      * @return The LIBOR3M Tenor Sensitivity Margin Map
  517.      */

  519.     public java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin (
  520.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  521.     {
  522.         if (null == bucketSensitivitySettings)
  523.         {
  524.             return null;
  525.         }

  527.         java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin =
  528.             _libor3MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor3MTenorRiskWeight());

  530.         if (null == libor3MTenorMargin)
  531.         {
  532.             return libor3MTenorMargin;
  533.         }

  535.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  537.         try
  538.         {
  539.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  540.                 (bucketSensitivitySettings.concentrationThreshold());
  541.         }
  542.         catch (java.lang.Exception e)
  543.         {
  544.             e.printStackTrace();

  546.             return null;
  547.         }

  549.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor3MTenorMarginEntry :
  550.             libor3MTenorMargin.entrySet())
  551.         {
  552.             java.lang.String tenor = libor3MTenorMarginEntry.getKey();

  554.             libor3MTenorMargin.put (
  555.                 tenor,
  556.                 libor3MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  557.             );
  558.         }

  560.         return libor3MTenorMargin;
  561.     }

  563.     /**
  564.      * Generate the LIBOR6M Tenor Sensitivity Margin Map
  565.      * 
  566.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  567.      * 
  568.      * @return The LIBOR6M Tenor Sensitivity Margin Map
  569.      */

  571.     public java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin (
  572.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  573.     {
  574.         if (null == bucketSensitivitySettings)
  575.         {
  576.             return null;
  577.         }

  579.         java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin =
  580.             _libor6MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor6MTenorRiskWeight());

  582.         if (null == libor6MTenorMargin)
  583.         {
  584.             return libor6MTenorMargin;
  585.         }

  587.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  589.         try
  590.         {
  591.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  592.                 (bucketSensitivitySettings.concentrationThreshold());
  593.         }
  594.         catch (java.lang.Exception e)
  595.         {
  596.             e.printStackTrace();

  598.             return null;
  599.         }

  601.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor6MTenorMarginEntry :
  602.             libor6MTenorMargin.entrySet())
  603.         {
  604.             java.lang.String tenor = libor6MTenorMarginEntry.getKey();

  606.             libor6MTenorMargin.put (
  607.                 tenor,
  608.                 libor6MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  609.             );
  610.         }

  612.         return libor6MTenorMargin;
  613.     }

  615.     /**
  616.      * Generate the LIBOR12M Tenor Sensitivity Margin Map
  617.      * 
  618.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  619.      * 
  620.      * @return The LIBOR12M Tenor Sensitivity Margin Map
  621.      */

  623.     public java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin (
  624.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  625.     {
  626.         if (null == bucketSensitivitySettings)
  627.         {
  628.             return null;
  629.         }

  631.         java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin =
  632.             _libor12MTenorSensitivity.sensitivityMargin
  633.                 (bucketSensitivitySettings.libor12MTenorRiskWeight());

  635.         if (null == libor12MTenorMargin)
  636.         {
  637.             return libor12MTenorMargin;
  638.         }

  640.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  642.         try
  643.         {
  644.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  645.                 (bucketSensitivitySettings.concentrationThreshold());
  646.         }
  647.         catch (java.lang.Exception e)
  648.         {
  649.             e.printStackTrace();

  651.             return null;
  652.         }

  654.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> libor12MTenorMarginEntry :
  655.             libor12MTenorMargin.entrySet())
  656.         {
  657.             java.lang.String tenor = libor12MTenorMarginEntry.getKey();

  659.             libor12MTenorMargin.put (
  660.                 tenor,
  661.                 libor12MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  662.             );
  663.         }

  665.         return libor12MTenorMargin;
  666.     }

  668.     /**
  669.      * Generate the PRIME Tenor Sensitivity Margin Map
  670.      * 
  671.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  672.      * 
  673.      * @return The PRIME Tenor Sensitivity Margin Map
  674.      */

  676.     public java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin (
  677.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  678.     {
  679.         if (null == bucketSensitivitySettings)
  680.         {
  681.             return null;
  682.         }

  684.         java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin =
  685.             _primeTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.primeTenorRiskWeight());

  687.         if (null == primeTenorMargin)
  688.         {
  689.             return primeTenorMargin;
  690.         }

  692.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  694.         try
  695.         {
  696.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  697.                 (bucketSensitivitySettings.concentrationThreshold());
  698.         }
  699.         catch (java.lang.Exception e)
  700.         {
  701.             e.printStackTrace();

  703.             return null;
  704.         }

  706.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> primeTenorMarginEntry :
  707.             primeTenorMargin.entrySet())
  708.         {
  709.             java.lang.String tenor = primeTenorMarginEntry.getKey();

  711.             primeTenorMargin.put (
  712.                 tenor,
  713.                 primeTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  714.             );
  715.         }

  717.         return primeTenorMargin;
  718.     }

  720.     /**
  721.      * Generate the MUNICIPAL Tenor Sensitivity Margin Map
  722.      * 
  723.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  724.      * 
  725.      * @return The MUNICIPAL Tenor Sensitivity Margin Map
  726.      */

  728.     public java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin (
  729.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  730.     {
  731.         if (null == bucketSensitivitySettings)
  732.         {
  733.             return null;
  734.         }

  736.         java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin =
  737.             _municipalTenorSensitivity.sensitivityMargin
  738.                 (bucketSensitivitySettings.municipalTenorRiskWeight());

  740.         if (null == municipalTenorMargin)
  741.         {
  742.             return municipalTenorMargin;
  743.         }

  745.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  747.         try
  748.         {
  749.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  750.                 (bucketSensitivitySettings.concentrationThreshold());
  751.         }
  752.         catch (java.lang.Exception e)
  753.         {
  754.             e.printStackTrace();

  756.             return null;
  757.         }

  759.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorMarginEntry :
  760.             municipalTenorMargin.entrySet())
  761.         {
  762.             java.lang.String tenor = municipalTenorMarginEntry.getKey();

  764.             municipalTenorMargin.put (
  765.                 tenor,
  766.                 municipalTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  767.             );
  768.         }

  770.         return municipalTenorMargin;
  771.     }

  773.     /**
  774.      * Generate the IR Margin Factor Curve Tenor Aggregate
  775.      * 
  776.      * @param bucketSensitivitySettings The Bucket Tenor Sensitivity Settings
  777.      * 
  778.      * @return The IR Margin Factor Curve Tenor Aggregate
  779.      */

  781.     public org.drip.simm.margin.RiskFactorAggregateIR curveAggregate (
  782.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettings)
  783.     {
  784.         if (null == bucketSensitivitySettings)
  785.         {
  786.             return null;
  787.         }

  789.         java.util.Map<java.lang.String, java.lang.Double> oisTenorMargin =
  790.             _oisTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.oisTenorRiskWeight());

  792.         java.util.Map<java.lang.String, java.lang.Double> libor1MTenorMargin =
  793.             _libor1MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor1MTenorRiskWeight());

  795.         java.util.Map<java.lang.String, java.lang.Double> libor3MTenorMargin =
  796.             _libor3MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor3MTenorRiskWeight());

  798.         java.util.Map<java.lang.String, java.lang.Double> libor6MTenorMargin =
  799.             _libor6MTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.libor6MTenorRiskWeight());

  801.         java.util.Map<java.lang.String, java.lang.Double> libor12MTenorMargin =
  802.             _libor12MTenorSensitivity.sensitivityMargin
  803.                 (bucketSensitivitySettings.libor12MTenorRiskWeight());

  805.         java.util.Map<java.lang.String, java.lang.Double> primeTenorMargin =
  806.             _primeTenorSensitivity.sensitivityMargin (bucketSensitivitySettings.primeTenorRiskWeight());

  808.         java.util.Map<java.lang.String, java.lang.Double> municipalTenorMargin =
  809.             _municipalTenorSensitivity.sensitivityMargin
  810.                 (bucketSensitivitySettings.municipalTenorRiskWeight());

  812.         if (null == oisTenorMargin ||
  813.             null == libor1MTenorMargin ||
  814.             null == libor3MTenorMargin ||
  815.             null == libor6MTenorMargin ||
  816.             null == libor12MTenorMargin ||
  817.             null == primeTenorMargin ||
  818.             null == municipalTenorMargin)
  819.         {
  820.             return null;
  821.         }

  823.         double sensitivityConcentrationRiskFactor = java.lang.Double.NaN;

  825.         try
  826.         {
  827.             sensitivityConcentrationRiskFactor = sensitivityConcentrationRiskFactor
  828.                 (bucketSensitivitySettings.concentrationThreshold());
  829.         }
  830.         catch (java.lang.Exception e)
  831.         {
  832.             e.printStackTrace();

  834.             return null;
  835.         }

  837.         for (java.util.Map.Entry<java.lang.String, java.lang.Double> municipalTenorMarginEntry :
  838.             municipalTenorMargin.entrySet())
  839.         {
  840.             java.lang.String tenor = municipalTenorMarginEntry.getKey();

  842.             oisTenorMargin.put (
  843.                 tenor,
  844.                 oisTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  845.             );

  847.             libor1MTenorMargin.put (
  848.                 tenor,
  849.                 libor1MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  850.             );

  852.             libor3MTenorMargin.put (
  853.                 tenor,
  854.                 libor3MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  855.             );

  857.             libor6MTenorMargin.put (
  858.                 tenor,
  859.                 libor6MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  860.             );

  862.             libor12MTenorMargin.put (
  863.                 tenor,
  864.                 libor12MTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  865.             );

  867.             primeTenorMargin.put (
  868.                 tenor,
  869.                 primeTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  870.             );

  872.             municipalTenorMargin.put (
  873.                 tenor,
  874.                 municipalTenorMargin.get (tenor) * sensitivityConcentrationRiskFactor
  875.             );
  876.         }

  878.         try
  879.         {
  880.             return new org.drip.simm.margin.RiskFactorAggregateIR (
  881.                 oisTenorMargin,
  882.                 libor1MTenorMargin,
  883.                 libor3MTenorMargin,
  884.                 libor6MTenorMargin,
  885.                 libor12MTenorMargin,
  886.                 primeTenorMargin,
  887.                 municipalTenorMargin,
  888.                 sensitivityConcentrationRiskFactor
  889.             );
  890.         }
  891.         catch (java.lang.Exception e)
  892.         {
  893.             e.printStackTrace();
  894.         }

  896.         return null;
  897.     }

  899.     /**
  900.      * Generate the Bucket IR Sensitivity Margin Aggregate
  901.      * 
  902.      * @param bucketSensitivitySettingsIR The IR Bucket Sensitivity Settings
  903.      * 
  904.      * @return The Bucket IR Sensitivity Margin Aggregate
  905.      */

  907.     public org.drip.simm.margin.BucketAggregateIR aggregate (
  908.         final org.drip.simm.parameters.BucketSensitivitySettingsIR bucketSensitivitySettingsIR)
  909.     {
  910.         if (null == bucketSensitivitySettingsIR)
  911.         {
  912.             return null;
  913.         }

  915.         return bucketSensitivitySettingsIR instanceof org.drip.simm.parameters.BucketCurvatureSettingsIR ?
  916.             curvatureAggregate (bucketSensitivitySettingsIR) : linearAggregate (bucketSensitivitySettingsIR);
  917.     }
  918. }
Created with JaCoCo 0.7.9.201702052155