RiskClassSensitivity.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>RiskClassSensitivity</i> holds the Risk Class Bucket Sensitivities for a single Risk Class. The
  80.  * 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/product/README.md">ISDA SIMM Risk Factor Sensitivities</a></li>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class RiskClassSensitivity
  121. {
  122.     private org.drip.simm.product.RiskMeasureSensitivity _vega = null;
  123.     private org.drip.simm.product.RiskMeasureSensitivity _delta = null;
  124.     private org.drip.simm.product.RiskMeasureSensitivity _curvature = null;

  126.     /**
  127.      * RiskClassSensitivity Constructor
  128.      * 
  129.      * @param delta The Delta Risk Measure Sensitivity
  130.      * @param vega The Vega Risk Measure Sensitivity
  131.      * @param curvature The Curvature Risk Measure Sensitivity
  132.      * 
  133.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  134.      */

  136.     public RiskClassSensitivity (
  137.         final org.drip.simm.product.RiskMeasureSensitivity delta,
  138.         final org.drip.simm.product.RiskMeasureSensitivity vega,
  139.         final org.drip.simm.product.RiskMeasureSensitivity curvature)
  140.         throws java.lang.Exception
  141.     {
  142.         if (null == (_delta = delta) ||
  143.             null == (_vega = vega) ||
  144.             null == (_curvature = curvature))
  145.         {
  146.             throw new java.lang.Exception ("RiskClassSensitivity Constructor => Invalid Inputs");
  147.         }
  148.     }

  150.     /**
  151.      * Retrieve the Delta Risk Measure Sensitivity
  152.      * 
  153.      * @return The Delta Risk Measure Sensitivity
  154.      */

  156.     public org.drip.simm.product.RiskMeasureSensitivity delta()
  157.     {
  158.         return _delta;
  159.     }

  161.     /**
  162.      * Retrieve the Vega Risk Measure Sensitivity
  163.      * 
  164.      * @return The Vega Risk Measure Sensitivity
  165.      */

  167.     public org.drip.simm.product.RiskMeasureSensitivity vega()
  168.     {
  169.         return _vega;
  170.     }

  172.     /**
  173.      * Retrieve the Curvature Risk Measure Sensitivity
  174.      * 
  175.      * @return The Curvature Risk Measure Sensitivity
  176.      */

  178.     public org.drip.simm.product.RiskMeasureSensitivity curvature()
  179.     {
  180.         return _curvature;
  181.     }

  183.     /**
  184.      * Compute the Risk Class Sensitivity Aggregate
  185.      * 
  186.      * @param riskClassSensitivitySettings The Risk Class Sensitivity Settings
  187.      * @param marginEstimationSettings Margin Estimation Settings
  188.      * 
  189.      * @return The Risk Class Sensitivity Aggregate
  190.      */

  192.     public org.drip.simm.margin.RiskClassAggregate aggregate (
  193.         final org.drip.simm.parameters.RiskClassSensitivitySettings riskClassSensitivitySettings,
  194.         final org.drip.simm.foundation.MarginEstimationSettings marginEstimationSettings)
  195.     {
  196.         if (null == riskClassSensitivitySettings)
  197.         {
  198.             return null;
  199.         }

  201.         try
  202.         {
  203.             return new org.drip.simm.margin.RiskClassAggregate (
  204.                 _delta.linearAggregate (
  205.                     riskClassSensitivitySettings.delta(),
  206.                     marginEstimationSettings
  207.                 ),
  208.                 _vega.linearAggregate (
  209.                     riskClassSensitivitySettings.vega(),
  210.                     marginEstimationSettings
  211.                 ),
  212.                 _curvature.curvatureAggregate (
  213.                     riskClassSensitivitySettings.curvature(),
  214.                     marginEstimationSettings
  215.                 )
  216.             );
  217.         }
  218.         catch (java.lang.Exception e)
  219.         {
  220.             e.printStackTrace();
  221.         }

  223.         return null;
  224.     }
  225. }
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